13
H index
14
i10 index
529
Citations
Federal Reserve Bank of Atlanta | 13 H index 14 i10 index 529 Citations RESEARCH PRODUCTION: 23 Articles 35 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mark J. Jensen. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Studies in Nonlinear Dynamics & Econometrics | 3 |
Year | Title of citing document |
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2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper |
2021 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper |
2022 | Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793. Full description at Econpapers || Download paper |
2022 | Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714. Full description at Econpapers || Download paper |
2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
2021 | A Bayesian semiparametric vector Multiplicative Error Model. (2021). Mira, Antonietta ; Peluso, Stefano ; Donelli, Nicola. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:161:y:2021:i:c:s0167947321000761. Full description at Econpapers || Download paper |
2022 | The efficiency of primary sovereign bond markets in Turkey: The so-called Fisher puzzle reconsidered. (2022). Sunal, Onur . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:255-261. Full description at Econpapers || Download paper |
2021 | Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472. Full description at Econpapers || Download paper |
2022 | Bayesian nonparametric learning of how skill is distributed across the mutual fund industry. (2022). Fisher, Mark ; Jensen, Mark J. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:131-153. Full description at Econpapers || Download paper |
2022 | Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity. (2022). Pelenis, Justinas ; Norets, Andriy. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:62-82. Full description at Econpapers || Download paper |
2022 | User cost of foreign monetary assets under dollarization. (2022). Yemba, Boniface P. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s154461232200263x. Full description at Econpapers || Download paper |
2021 | Monetary services aggregation under uncertainty: A behavioral economics extension using Choquet expectation. (2021). Barnett, William ; Zhang, Jianbo. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:437-447. Full description at Econpapers || Download paper |
2022 | Inflation expectations: Australian consumer survey data versus the bond market. (2022). Wegener, Christoph ; Basse, Tobias. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:203:y:2022:i:c:p:416-430. Full description at Econpapers || Download paper |
2021 | Multi-scale comovement of the dynamic correlations between copper futures and spot prices. (2021). Guo, Sui ; Wang, Xinya ; Jia, Xiaoliang ; Gao, Xiangyun ; Sun, Qingru ; Ding, Yinghui ; Yu, Hui. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309442. Full description at Econpapers || Download paper |
2022 | The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. (2022). Poza, Carlos ; Gil-Alana, Luis Alberiko ; Caporale, Guglielmo Maria. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:118-123. Full description at Econpapers || Download paper |
2022 | Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Working Papers. RePEc:fip:fedcwq:93787. Full description at Econpapers || Download paper |
2022 | A Bayesian Approach to Inference on Probabilistic Surveys. (2022). Casarin, Roberto ; Bassetti, Federico ; del Negro, Marco. In: Staff Reports. RePEc:fip:fednsr:94495. Full description at Econpapers || Download paper |
2022 | Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models. (2022). Zevallos, Mauricio ; Abbara, Omar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2022:i:1:p:1-:d:1013050. Full description at Econpapers || Download paper |
2021 | Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance. (2021). Lehtomaa, Jaakko ; Hagele, Miriam. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:202-:d:548135. Full description at Econpapers || Download paper |
2021 | Constructing Divisia Monetary Aggregates for Singapore. (2021). Barnett, William ; Nguyen, Van H. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:8:p:370-:d:613048. Full description at Econpapers || Download paper |
2022 | Multiscale Partial Correlation Clustering of Stock Market Returns. (2022). Michis, Antonis. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:1:p:24-:d:720850. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Projections des températures de leau de la Seine à Paris à lhorizon 2100. (2021). Oudin, Ludovic ; Ducharne, Agnes ; le Breton, Guillaume ; Thomas, William ; Ladet, Daphne ; Riviere, Agnes. In: Post-Print. RePEc:hal:journl:hal-03533469. Full description at Econpapers || Download paper |
2021 | Constructing Divisia Monetary Aggregates for Singapore. (2021). Nguyen, Van H ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202114. Full description at Econpapers || Download paper |
2022 | Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2022). Asai, Manabu ; McAleer, Michael. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6. Full description at Econpapers || Download paper |
2021 | Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing. (2021). Çakmaklı, Cem ; Ozturk, Verda. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2110. Full description at Econpapers || Download paper |
2021 | Constructing Divisia monetary aggregates for Singapore. (2021). Nguyen, Van H ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108422. Full description at Econpapers || Download paper |
2022 | A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792. Full description at Econpapers || Download paper |
2022 | An Infinite Hidden Markov Model with Stochastic Volatility. (2022). Yang, Qiao ; Maheu, John M ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:115456. Full description at Econpapers || Download paper |
2022 | An algorithm of generating random number by wavelet denoising method and its application. (2022). Guiding, GU ; Xiaohui, Zhou. In: Computational Statistics. RePEc:spr:compst:v:37:y:2022:i:1:d:10.1007_s00180-021-01117-z. Full description at Econpapers || Download paper |
2021 | Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach. (2021). Kamaiah, Bandi ; Bhandari, Avishek. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-020-00220-0. Full description at Econpapers || Download paper |
2022 | Impact of monetary policy transmission mechanism in West African countries. (2022). Omolade, Adeleke ; Olusegun, Famoroti Jonathan. In: Studia Universitatis „Vasile Goldis” Arad – Economics Series. RePEc:vrs:suvges:v:32:y:2022:i:1:p:20-42:n:3. Full description at Econpapers || Download paper |
2021 | Estimating expected shortfall using a quantile function model. (2021). Cai, Yuzhi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4332-4360. Full description at Econpapers || Download paper |
2021 | Research constituents, intellectual structure, and collaboration pattern in the Journal of Forecasting: A bibliometric analysis. (2021). Pattnaik, Debidutta ; Baker, Kent H ; Kumar, Satish. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:4:p:577-602. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2004 | Semiparametric Bayesian Inference of Long?Memory Stochastic Volatility Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 19 |
2016 | Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
2015 | Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1999 | An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
1999 | An Approximate Wavelet MLE of Short- and Long-Memory Parameters.(1999) In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
1999 | An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2003 | Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 5 |
1999 | RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 23 |
1998 | Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
1997 | CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 40 |
2000 | An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 39 |
1997 | An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
2010 | Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 52 |
2008 | Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2009 | Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2008 | Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 52 | paper | |
2013 | Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2012 | Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2012 | Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2012 | Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2014 | Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2012 | Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2012 | Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2012 | Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2019 | Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2018 | Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2018 | Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1997 | A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics. [Full Text][Citation analysis] | article | 127 |
2012 | A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] This paper has another version. Agregated cites: 127 | paper | |
1996 | A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 127 | paper | |
2016 | A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it” In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
1995 | Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 45 |
2005 | Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 14 |
2006 | Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 5 |
2020 | Measuring and Managing COVID-19 Model Risk In: Policy Hub. [Full Text][Citation analysis] | paper | 0 |
2020 | Measuring and Managing COVID-19 Model Risk.(2020) In: Policy Hub. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2006 | The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 14 |
2009 | The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2009 | The Long?Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2014 | Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 11 |
2018 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2013 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2014 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2019 | Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 1 |
1997 | MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
2012 | The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] | paper | 0 |
1996 | The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1997 | A Homotopy Approach to Solving Nonlinear Rational Expectation Problems. In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
1995 | A Homotopy Approach to Solving Nonlinear Rational Expectation Problems.(1995) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
1995 | A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
1999 | Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper. [Full Text][Citation analysis] | paper | 71 |
1997 | Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter.(1997) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
1997 | Quality of life in central cities and suburbs In: The Annals of Regional Science. [Full Text][Citation analysis] | article | 0 |
2014 | Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 0 |
1997 | Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
1994 | Wavelet Analysis of Fractionally Integrated Processes In: Econometrics. [Full Text][Citation analysis] | paper | 3 |
1995 | OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
1993 | The Tracking Ability of the Divisia Monetary Aggregate Under Risk In: Macroeconomics. [Full Text][Citation analysis] | paper | 0 |
1998 | Long-Run Neutrality in a Long-Memory Model In: Macroeconomics. [Full Text][Citation analysis] | paper | 5 |
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