Mark J. Jensen : Citation Profile


Are you Mark J. Jensen?

Federal Reserve Bank of Atlanta

11

H index

12

i10 index

487

Citations

RESEARCH PRODUCTION:

23

Articles

35

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 18
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 24 (4.7 %)

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   Permalink: http://citec.repec.org/pje71
   Updated: 2022-05-21    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 (76)

Serletis, Apostolos (24)

Shintani, Mototsugu (18)

LINTON, OLIVER (13)

JAWADI, Fredj (10)

Galeano, Pedro (9)

Panagiotidis, Theodore (8)

GUPTA, RANGAN (8)

Chauvet, Marcelle (8)

Canarella, Giorgio (8)

Miller, Stephen (8)

Cites to:

Maheu, John (15)

Barnett, William (15)

Shephard, Neil (14)

Diebold, Francis (13)

Sowell, Fallaw (10)

Gallant, A. (9)

Serletis, Apostolos (9)

Rossi, Peter (8)

Rudebusch, Glenn (8)

Geweke, John (7)

Bollerslev, Tim (6)

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
Econometrics / University Library of Munich, Germany8
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta8
Working Paper series / Rimini Centre for Economic Analysis5
MPRA Paper / University Library of Munich, Germany3
Policy Hub / Federal Reserve Bank of Atlanta2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS / University of Kansas, Department of Economics2
Macroeconomics / University Library of Munich, Germany2

Recent works citing Mark J. Jensen (2021 and 2020)


YearTitle of citing document
2020A 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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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Long memory in select stock returns using an alternative wavelet log-scale alignment approach. (2020). Kamaiah, Bandi ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2004.08550.

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2020On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

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2020A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series. (2020). Lin, Shang Han. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:39:n:3.

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2020Causal relationships between inflation and inflation uncertainty. (2020). JAWADI, Fredj ; Barnett, William ; William, Barnett ; ZIED, FTITI . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:5:p:26:n:4.

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2020Fisher Effect: An Empirical Re-examination in Case of India. (2020). Kamaiah, Bandi ; Bhat, Sajad Ahmad ; Danish, Shadab ; Adil, Masudul Hasan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00590.

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2020Chaotic signals inside some tick-by-tick financial time series. (2020). Escot, Lorenzo ; Sandubete, Julio E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302526.

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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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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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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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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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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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2020Reviewing monetary policy inertia and its effects: The fractional integration approach for an emerging economy. (2020). Monte, Edson Zambon ; Moreira, Ricardo Ramalhete. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:34-41.

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2021Constructing Divisia Monetary Aggregates for Singapore. (2021). Barnett, William ; Nguyen, Van H. In: Journal of Risk and Financial Management. 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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2020Land Use/Land Cover Assessment over Time Using a New Weighted Environmental Index (WEI) Based on an Object-Oriented Model and GIS Data. (2020). Romero, Claudia P ; Rodrigo-Ilarri, Javier ; Rodrigo-Clavero, Maria-Elena. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:24:p:10234-:d:458502.

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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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2020Causal Relationships Between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202010.

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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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2020Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails. (2020). Boubaker, Heni. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09897-9.

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2020Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model. (2020). Andersson, Fredrik ; Li, Yushu. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09900-3.

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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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2020Causal Relationships between Inflation and Inflation Uncertainty. (2020). Barnett, William ; Ftiti, Zied ; Jawadi, Fredj. In: MPRA Paper. RePEc:pra:mprapa:101682.

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2020Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:101946.

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2020Efficiency-Market Hypothesis: case of Tunisian and 6 ‎Asian stock markets ‎. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:103232.

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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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2020Shilnikov Chaos, Low Interest Rates, and New Keynesian Macroeconomics. (2020). Barnett, William ; Venturi, Beatrice ; Mattana, Paolo ; Ghosh, Taniya ; Bella, Giobanni. In: MPRA Paper. RePEc:pra:mprapa:98417.

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2020Long memory and fractality among global equity markets: A multivariate wavelet approach. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:99653.

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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.
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article18
2016Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2015Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper.
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paper
1999An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics.
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article10
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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paper
2003Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics.
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article4
1999RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory.
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article23
1998Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics.
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paper
1997CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics.
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article37
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
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article36
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
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paper
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
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article44
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.
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article17
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
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paper
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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2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
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article8
2012Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture.(2012) In: FRB Atlanta Working Paper.
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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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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors In: Journal of Econometrics.
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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.
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article125
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.
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article0
1995Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization.
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article41
2005Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics.
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article14
2006Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics.
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article6
2020Measuring and Managing COVID-19 Model Risk In: Policy Hub.
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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.
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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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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: 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.
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paper0
1997MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics.
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article4
2012The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
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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.
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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.
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article5
2014Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance.
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1997Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews.
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article3
1994Wavelet Analysis of Fractionally Integrated Processes In: Econometrics.
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paper3
1995OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics.
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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.
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paper5

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