Joann Jasiak : Citation Profile

York University

17

H index

26

i10 index

1167

Citations

RESEARCH PRODUCTION:

43

Articles

53

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   31 years (1994 - 2025). See details.
   Cites by year: 37
   Journals where Joann Jasiak has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 30 (2.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja135
   Updated: 2026-06-06    RAS profile: 2023-08-14    
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Relations with other researchers

Works with:

Djogbenou, Antoine (7)

Cubadda, Gianluca (2)

Hecq, Alain (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Joann Jasiak.

Is cited by:

gourieroux, christian (55)

Hecq, Alain (54)

Monfort, Alain (35)

Bauwens, Luc (34)

Dufour, Jean-Marie (33)

Khalaf, Lynda (20)

Gagliardini, Patrick (20)

Asai, Manabu (18)

Hautsch, Nikolaus (18)

Grammig, Joachim (17)

Lu, Yang (17)

Cites to:

gourieroux, christian (63)

Ghysels, Eric (34)

Engle, Robert (24)

Lanne, Markku (22)

Bollerslev, Tim (20)

Monfort, Alain (18)

Tauchen, George (18)

Saikkonen, Pentti (17)

Hecq, Alain (15)

Harvey, Andrew (12)

Gallant, A. (12)

Main data

Where Joann Jasiak has published?

Journals with more than one article published# docs
Journal of Econometrics8
Journal of Time Series Analysis7
Annals of Economics and Statistics4
Journal of Financial Econometrics3
Journal of Empirical Finance2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics19
Papers / arXiv.org10
Working Papers / York University, Department of Economics5
Post-Print / HAL4

Recent works citing Joann Jasiak (2026 and 2025)

YearTitle of citing document
2025Impulse Response Analysis of Structural Nonlinear Time Series Models. (2025). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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2025The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models. (2025). Fruhwirth-Schnatter, Sylvia ; Knaus, Peter. In: Papers. RePEc:arx:papers:2312.10487.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2025Moments by Integrating the Moment-Generating Function. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2410.23587.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Cubadda, Gianluca ; Grassi, Stefano ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2501.03945.

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2025Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416.

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2025Regularized Generalized Covariance (RGCov) Estimator. (2025). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2504.18678.

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2026Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Identification of Impulse Response Functions for Nonlinear Dynamic Models. (2025). Lee, Quinlan ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2506.13531.

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2025Stablecoins: Fundamentals, Emerging Issues, and Open Challenges. (2025). di Pietro, Roberto ; Caprolu, Maurantonio ; Mahrous, Ahmed. In: Papers. RePEc:arx:papers:2507.13883.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2025Threshold Tensor Factor Model in CP Form. (2025). Chen, Rong ; Bolivar, Stevenson ; Han, Yuefeng. In: Papers. RePEc:arx:papers:2511.19796.

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2026Shrinkage Regularization for (Non)Linear Serial Dependence Test. (2026). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2603.10152.

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2026Seasonality in Mixed Causal-Noncausal Processes. (2026). Telg, Sean ; Hecq, Alain ; del Barrio Castro, Tomás. In: Papers. RePEc:arx:papers:2604.07040.

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2026Quantum Computing for Financial Transformation: A Review of Optimisation, Pricing, Risk, Machine Learning, and Post-Quantum Security. (2026). Medda, Francesca ; Schroeder, Thomas ; Sedai, Akash ; Gong, Hui. In: Papers. RePEc:arx:papers:2604.08180.

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2025The Shadow Rate Model: Let’s Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014.

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2026Inflation and Growth Risk: Balancing the Scales with Surveys. (2026). Tschopp, Adrien ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:1036.

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2025Temperature Shocks and Climate Change: A Conceptual Analysis. (2025). Trger, Christian ; Traeger, Christian P. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12353.

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2025Predicting cryptocurrency volatility: The power of model clustering. (2025). Qu, Shaoguang ; Qiu, Yue ; Xie, Tian ; Shi, Zhentao. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003432.

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2025Exploring the dynamic nexus of traditional and digital assets in inflationary times: The role of safe havens, tech stocks, and cryptocurrencies. (2025). Dimitriadis, Konstantinos A ; Koursaros, Demetris ; Savva, Christos S. In: Economic Modelling. RePEc:eee:ecmode:v:151:y:2025:i:c:s0264999325001907.

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2024State-dependent local projections. (2024). Kilian, Lutz ; Herrera, Ana María ; Gonalves, Slvia ; Pesavento, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000484.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025How do firms’ financial conditions influence the transmission of monetary policy? A non-parametric local projection approach. (2025). Paranhos, Livia. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002318.

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2025Inference on model parameters with many L-moments. (2025). Morettin, Pedro A ; Chiann, Chang. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001551.

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2025Inference in mixed causal and noncausal models with generalized Student’s t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates. (2025). Bernhardt, Dan ; Barardehi, Yashar H. In: Journal of Financial Markets. RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000114.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025A stochastic model for predicting the response time of green vs brown stocks to climate change news risk. (2025). Fahmy, Hany. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s037842662500127x.

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2024Co-Bubble transmission across clean and dirty Cryptocurrencies: Network and portfolio analysis. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:145:y:2024:i:c:s0261560624000950.

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2025Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2025). Alfonsi, Aurlien. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:181:y:2025:i:c:s0304414924002436.

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2026On elephant random walk with random memory. (2026). Dhillon, M ; Kataria, K K. In: Statistics & Probability Letters. RePEc:eee:stapro:v:230:y:2026:i:c:s016771522500255x.

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2025Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies. (2025). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:13-:d:1619092.

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2025Creating Tail Dependence by Rough Stochastic Correlation Satisfying a Fractional SDE; An Application in Finance. (2025). Mrkus, Lszl ; Kumar, Ashish ; Darougi, Amina. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2072-:d:1685378.

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2025A Novel Stochastic SVIR Model Capturing Transmission Variability Through Mean-Reverting Processes and Stationary Reproduction Thresholds. (2025). Sabbar, Yassine ; Aldosary, Saud Fahad. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:13:p:2097-:d:1687817.

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2025Can Cryptocurrencies Be Green? The Role of Stablecoins Toward a Carbon Footprint and Sustainable Ecosystem. (2025). Sariannidis, Nikolaos ; Zournatzidou, Georgia ; Koemtzopoulos, Dimitrios. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:2:p:483-:d:1563848.

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2025Estimating and Testing Long-Run Risk Models: International Evidence. (2025). Li, Junye ; Liu, Hening ; Yan, Cheng ; Fulop, Andras. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:4:p:3517-3536.

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2025Portfolio optimization in deformed time. (2025). Fall, Malick. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-024-00378-9.

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2025Coûts de la Covid-19, Tropicalisation de modèle épidémiologique et Arbitrage santé-économie en Afrique. (2025). Kouakou, Thidj Gaudens-Omer. In: MPRA Paper. RePEc:pra:mprapa:123467.

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2026An intraday GARCH model for discrete price changes and irregularly spaced observations. (2026). Hol, Vladimr. In: Annals of Operations Research. RePEc:spr:annopr:v:357:y:2026:i:1:d:10.1007_s10479-024-06205-z.

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2025Multivariate Stochastic Rayleigh Process: Computational Aspects, Statistical Inference, Estimation and Prediction Analysis. (2025). Chakroune, Yassine ; Makroz, Ilyasse ; Nafidi, Ahmed ; el Azri, Abdenbi. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:4:d:10.1007_s11009-025-10223-0.

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2025Forecasting natural disaster frequencies using nonstationary count time series models. (2025). Lu, Yang ; Pei, Jian. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:3:d:10.1007_s00362-025-01691-0.

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2025Mixed causal-noncausal count process. (2025). Lu, Yang ; Pei, Jian ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:2:d:10.1007_s11749-024-00960-8.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2026Noncausal AR‐ARCH Model and Its Applications to Financial Time Series. (2026). Ling, Shiqing ; Liu, Zhenya ; Zhan, Yaosong ; Wang, Shixuan. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:31:y:2026:i:1:p:1424-1443.

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2025Bayesian Semiparametric Multivariate Realized GARCH Modeling. (2025). Nikolakopoulos, Efthimios. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:7:p:2106-2131.

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Works by Joann Jasiak:

YearTitleTypeCited
2000Causality between Returns and Traded Volumes In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article3
1998Causality Between Returns and Trated Volumes.(1998) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article18
2020Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article5
2022Long Run Predictions In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article2
2021Generalized Covariance Estimator In: Papers.
[Full Text][Citation analysis]		paper8
2023Generalized Covariance Estimator.(2023) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 8		article
2023Composite Likelihood for Stochastic Migration Model with Unobserved Factor In: Papers.
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2024Composite Likelihood for Stochastic Migration Model with Unobserved Factor*.(2024) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0		article
2022Long Run Risk in Stationary Structural Vector Autoregressive Models In: Papers.
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2025Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models In: Papers.
[Full Text][Citation analysis]		paper1
2022Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood In: Papers.
[Full Text][Citation analysis]		paper0
2023Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether In: Papers.
[Full Text][Citation analysis]		paper3
2023Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether.(2023) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 3		article
2026Digital Divide: Evidence from the 2020 Canadian Internet Use Survey In: Papers.
[Full Text][Citation analysis]		paper0
2023Penalized Likelihood Inference with Survey Data In: Papers.
[Full Text][Citation analysis]		paper0
2024Optimization of the Generalized Covariance Estimator in Noncausal Processes In: Papers.
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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes.(2024) In: CEIS Research Paper.
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2025GCov-Based Portmanteau Test In: Papers.
[Full Text][Citation analysis]		paper0
1994Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article3
2001State‐space Models with Finite Dimensional Dependence In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2002Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
1998Nonlinear Autocorrelograms : An Application to Intra-Trade Durations.(1998) In: Working Papers.
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2003First‐Order Autoregressive Processes with Heterogeneous Persistence In: Journal of Time Series Analysis.
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2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article49
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
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2016Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article31
2023Dynamic deconvolution and identification of independent autoregressive sources In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2025Generalized covariance‐based inference for models set‐identified from independence restrictions In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2023Temporally Local Maximum Likelihood with Application to SIS Model In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article47
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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1998Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(1998) In: Cahiers de recherche.
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1995Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper31
1994Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
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1994Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 31		paper
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper20
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper12
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1997GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper10
1999Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper10
1999Nonlinear Innovations and Impulse Response.(1999) In: Working Papers.
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2001Compound Autoregressive Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
[Full Text][Citation analysis]		paper6
2010Local Likelihood Density Estimation and Value-at-Risk.(2010) In: Journal of Probability and Statistics.
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2004The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]		paper15
2006A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers.
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2014Filtering and Prediction in Noncausal Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
2014Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers.
[Full Text][Citation analysis]		paper5
2016Robust Analysis of the Martingale Hypothesis In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Robust analysis of the martingale hypothesis.(2019) In: Econometrics and Statistics.
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2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
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2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
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2020Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus In: Working Papers.
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2023Time varying Markov process with partially observed aggregate data: An application to coronavirus.(2023) In: Journal of Econometrics.
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1997Stochastic Volatility Duration Models In: Working Papers.
[Full Text][Citation analysis]		paper78
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
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1998Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers.
[Full Text][Citation analysis]		paper3
1998Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper12
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
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1999Nonlinear Persistence and Copersistence In: Working Papers.
[Full Text][Citation analysis]		paper2
2011Nonlinear Persistence and Copersistence.(2011) In: Palgrave Macmillan Books.
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1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
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2024Modelling common bubbles in cryptocurrency prices In: Economic Modelling.
[Full Text][Citation analysis]		article7
2001Memory and infrequent breaks In: Economics Letters.
[Full Text][Citation analysis]		article64
2006Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics.
[Full Text][Citation analysis]		article35
2008Dynamic quantile models In: Journal of Econometrics.
[Full Text][Citation analysis]		article53
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
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2009The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics.
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2005The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers.
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