Mark J. Jensen : Citation Profile

Are you Mark J. Jensen?

Federal Reserve Bank of Atlanta

13

H index

14

i10 index

529

Citations

RESEARCH PRODUCTION:

23

Articles

35

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 19
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 29 (5.2 %)

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   Permalink: http://citec.repec.org/pje71
   Updated: 2023-03-25    RAS profile: 2021-08-09    
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Relations with other researchers

Works with:

Fisher, Mark (4)

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 (81)

Serletis, Apostolos (24)

Shintani, Mototsugu (19)

LINTON, OLIVER (14)

JAWADI, Fredj (10)

Ftiti, Zied (10)

Galeano, Pedro (9)

Casarin, Roberto (9)

Maheu, John (9)

Chauvet, Marcelle (9)

Panagiotidis, Theodore (8)

Cites to:

Barnett, William (19)

Shephard, Neil (16)

Maheu, John (16)

Diebold, Francis (14)

Sowell, Fallaw (10)

Gallant, A. (9)

Serletis, Apostolos (9)

Geweke, John (8)

Rudebusch, Glenn (8)

Bollerslev, Tim (8)

Bauwens, Luc (8)

Main data

Where Mark J. Jensen has published?

Journals with more than one article published# docs
Journal of Econometrics5
Studies in Nonlinear Dynamics & Econometrics3

Working Papers Series with more than one paper published# docs
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta8
Econometrics / University Library of Munich, Germany8
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
Policy Hub / Federal Reserve Bank of Atlanta2

Recent works citing Mark J. Jensen (2022 and 2021)

YearTitle of citing document
2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793.

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2022Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714.

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2022Bayesian 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.

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2021A 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.

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2022The 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.

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2021Mixed-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.

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2022Bayesian 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.

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2022Adaptive 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.

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2022User 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.

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2021Monetary 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.

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2022Inflation 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.

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2021Multi-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.

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2022The 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.

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2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Working Papers. RePEc:fip:fedcwq:93787.

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2022A Bayesian Approach to Inference on Probabilistic Surveys. (2022). Casarin, Roberto ; Bassetti, Federico ; del Negro, Marco. In: Staff Reports. RePEc:fip:fednsr:94495.

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2022Maximum 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.

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2021Large 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.

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2021Constructing 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.

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2022Multiscale 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.

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2021.

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2021Projections 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.

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2021Constructing Divisia Monetary Aggregates for Singapore. (2021). Nguyen, Van H ; Barnett, William. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202114.

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2022Bayesian 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.

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2021Economic 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.

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2021Constructing Divisia monetary aggregates for Singapore. (2021). Nguyen, Van H ; Barnett, William A. In: MPRA Paper. RePEc:pra:mprapa:108422.

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2022A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792.

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2022An Infinite Hidden Markov Model with Stochastic Volatility. (2022). Yang, Qiao ; Maheu, John M ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:115456.

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2022An 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.

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2021Long 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.

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2022Impact 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.

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2021Estimating 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.

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2021Research 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.

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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]		article19
2016Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
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]		article15
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]		article5
1999RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory.
[Full Text][Citation analysis]		article23
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]		article40
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article39
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
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This paper has another version. Agregated cites: 39		paper
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article52
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]		article19
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: 19		paper
2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
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: 13		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
[Full Text][Citation analysis]
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2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) 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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1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]		article127
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]		article45
2005Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article14
2006Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article5
2020Measuring and Managing COVID-19 Model Risk In: Policy Hub.
[Full Text][Citation analysis]		paper0
2020Measuring and Managing COVID-19 Model Risk.(2020) In: Policy Hub.
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2006The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper14
2009The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
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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.
[Full Text][Citation analysis]		paper11
2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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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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2019Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper1
1997MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article4
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.
[Full Text][Citation analysis]		paper0
1999Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper.
[Full Text][Citation analysis]		paper71
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
2014Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter0
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]		paper3
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.
[Full Text][Citation analysis]		paper0
1998Long-Run Neutrality in a Long-Memory Model In: Macroeconomics.
[Full Text][Citation analysis]		paper5

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