Mark J. Jensen : Citation Profile

Are you Mark J. Jensen?

Federal Reserve Bank of Atlanta

10

H index

10

i10 index

402

Citations

RESEARCH PRODUCTION:

21

Articles

32

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 16
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 22 (5.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pje71
   Updated: 2018-12-08    RAS profile: 2018-11-19    
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Relations with other researchers

Works with:

Maheu, John (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Mark J. Jensen.

Is cited by:

Barnett, William (59)

Serletis, Apostolos (22)

Shintani, Mototsugu (18)

LINTON, OLIVER (13)

Galeano, Pedro (9)

Chauvet, Marcelle (8)

Panagiotidis, Theodore (8)

Nesmith, Travis (7)

Miller, Stephen (6)

Asongu, Simplice (6)

Çakmaklı, Cem (6)

Cites to:

Barnett, William (15)

Maheu, John (13)

Diebold, Francis (12)

Shephard, Neil (11)

Sowell, Fallaw (10)

Serletis, Apostolos (9)

Gallant, A. (9)

Rudebusch, Glenn (8)

Rossi, Peter (8)

Granger, Clive (6)

Nelson, Charles (6)

Main data

Where Mark J. Jensen has published?

Journals with more than one article published# docs
Journal of Econometrics4
Studies in Nonlinear Dynamics & Econometrics3

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany8
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta7
Working Paper series / Rimini Centre for Economic Analysis5
MPRA Paper / University Library of Munich, Germany3
Macroeconomics / University Library of Munich, Germany2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2

Recent works citing Mark J. Jensen (2018 and 2017)

YearTitle of citing document
2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

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2017Accounting Research: A Bibliometric Analysis. (2017). Merigo, Jose M ; Yang, Jian-Bo. In: Australian Accounting Review. RePEc:bla:ausact:v:27:y:2017:i:1:p:71-100.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2018Dual-semiparametric regression using weighted Dirichlet process mixture. (2018). Lee, Ki-Ahm ; Kim, Inyoung ; Sun, Peng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:117:y:2018:i:c:p:162-181.

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2018Complex price dynamics in vertically linked cobweb markets. (2018). Miranda, Mario ; Chaudhry, Muhammad Imran . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:363-378.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017The semiparametric asymmetric stochastic volatility model with time-varying parameters: The case of US inflation. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:14-18.

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2017On efficient Bayesian inference for models with stochastic volatility. (2017). Griffin, Jim ; Sakaria, D K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:23-33.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Mutual information and persistence in the stochastic volatility of market returns: An emergent market example. (2017). Dima, Bogdan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:36-59.

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2017User Cost of Credit Card Services under Risk with Intertemporal Nonseparability. (2017). Barnett, William ; Liu, Jinan . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201705.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201803.

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2018Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation. (2018). Barnett, William ; Zhang, Jianbo . In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201806.

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2018The Fisher Equation: A Nonlinear Panel Data Approach. (2018). Lin, Shu-Chin ; Suen, Yu-Bo ; Hsieh, Joyce ; Kim, Dong-Hyeon. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:1:p:162-180.

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2018Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility. (2018). Leon-Gonzalez, Roberto. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:17-16.

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2017Modeling the Asymmetric Impact of Defense Spending on Economic Growth: An Evidence from Nonlinear ARDL and Multipliers. (2017). Dar, Adeel Ahmad. In: MPRA Paper. RePEc:pra:mprapa:80085.

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2017User Cost of Credit Card Services under Risk with Intertemporal Nonseparability. (2017). Barnett, William ; Liu, Jinan . In: MPRA Paper. RePEc:pra:mprapa:81461.

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2018The Causal Relationships between Inflation and Inflation Uncertainty. (2018). JAWADI, Fredj ; Barnett, William ; Ftiti, Zied. In: MPRA Paper. RePEc:pra:mprapa:86478.

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2018Two Stage Markov Switching Model: Identifying the Indonesian Rupiah Per US Dollar Turning Points Post 1997 Financial Crisis. (2018). Widodo, Tri ; Mendy, David. In: MPRA Paper. RePEc:pra:mprapa:86728.

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2018Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation. (2018). Barnett, William ; Jianbo, Zhang ; Qing, Han. In: MPRA Paper. RePEc:pra:mprapa:88261.

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2018Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation. (2018). Boubaker, Heni ; Miller, Stephen M ; Gupta, Rangan ; Canarella, Giorgio. In: Working Papers. RePEc:pre:wpaper:201869.

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2018Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics. (2018). Steel, Mark ; Kalli, Maria ; Griffin, Jim . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0.

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2017Researcher rank stability across alternative output measurement schemes in the context of a time limited research evaluation: the New Zealand case. (2017). Tressler, John ; Anderson, David L. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:45:p:4542-4553.

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2017Inference for impulse response coefficients from multivariate fractionally integrated processes. (2017). Baillie, Richard T ; Papailias, Fotis ; Kapetanios, George. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:60-84.

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2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. (2018). Casarin, Roberto ; Tronzano, Marco ; Sartore, Domenico. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:101-114.

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2018Particle Learning for Bayesian Semi-Parametric Stochastic Volatility Model. (2018). Virbickaite, Audrone ; Galeano, Pedro ; Ausin, Maria Concepcion ; Lopes, Hedibert F. In: DEA Working Papers. RePEc:ubi:deawps:88.

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Works by Mark J. Jensen:

YearTitleTypeCited
2004Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article14
2016Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics.
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2015Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper.
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1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article9
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters.(1999) In: Computing in Economics and Finance 1999.
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1999An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics.
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2003Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article2
1999RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory.
[Full Text][Citation analysis]		article22
1998Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics.
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1997CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article29
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article28
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
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2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 12		paper
2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2012Estimating 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: 6		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]		article112
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
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2016A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it” In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article38
2005Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article10
2006Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article6
2006The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper7
2009The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
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2014Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper.
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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: Journal of Risk and Financial Management.
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2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors In: FRB Atlanta Working Paper.
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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: Working Paper series.
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1997MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article3
2012The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]		paper0
1996The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets.(1996) In: Econometrics.
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1997A Homotopy Approach to Solving Nonlinear Rational Expectation Problems. In: Computational Economics.
[Full Text][Citation analysis]		article1
1995A Homotopy Approach to Solving Nonlinear Rational Expectation Problems.(1995) In: Computational Economics.
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1995A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression In: MPRA Paper.
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1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper.
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1997Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter.(1997) In: Econometrics.
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1997Quality of life in central cities and suburbs In: The Annals of Regional Science.
[Full Text][Citation analysis]		article0
1997Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews.
[Full Text][Citation analysis]		article3
1994Wavelet Analysis of Fractionally Integrated Processes In: Econometrics.
[Full Text][Citation analysis]		paper2
1995OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics.
[Full Text][Citation analysis]		paper0
1993The Tracking Ability of the Divisia Monetary Aggregate Under Risk In: Macroeconomics.
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1998Long-Run Neutrality in a Long-Memory Model In: Macroeconomics.
[Full Text][Citation analysis]		paper5

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