Joann Jasiak : Citation Profile

Are you Joann Jasiak?

York University

16

H index

23

i10 index

1033

Citations

RESEARCH PRODUCTION:

37

Articles

51

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   29 years (1994 - 2023). See details.
   Cites by year: 35
   Journals where Joann Jasiak has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 28 (2.64 %)

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   Permalink: http://citec.repec.org/pja135
   Updated: 2023-11-04    RAS profile: 2023-08-14    
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Relations with other researchers

Works with:

Djogbenou, Antoine (5)

Monfort, 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)

Monfort, Alain (33)

Dufour, Jean-Marie (33)

Bauwens, Luc (32)

Hecq, Alain (30)

Gagliardini, Patrick (20)

Khalaf, Lynda (18)

Hautsch, Nikolaus (18)

Grammig, Joachim (17)

Asai, Manabu (15)

Veredas, David (15)

Cites to:

gourieroux, christian (60)

Ghysels, Eric (34)

Engle, Robert (22)

Bollerslev, Tim (20)

Lanne, Markku (19)

Monfort, Alain (18)

Tauchen, George (18)

Saikkonen, Pentti (14)

Gallant, A. (12)

Harvey, Andrew (12)

Rossi, Peter (10)

Main data

Where Joann Jasiak has published?

Journals with more than one article published# docs
Journal of Econometrics8
Journal of Time Series Analysis6
Annals of Economics and Statistics4
Journal of Empirical Finance2
Journal of Forecasting2
The Journal of Financial Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics19
Papers / arXiv.org9
Working Papers / York University, Department of Economics5
Post-Print / HAL4

Recent works citing Joann Jasiak (2023 and 2022)

YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2022Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model. (2021). Yang, Cynthia Fan ; Pesaran, Hashem M. In: Papers. RePEc:arx:papers:2109.00321.

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2022Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094.

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2022Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models. (2022). Hecq, Alain ; Voisin, Elisa ; Issler, Joao. In: Papers. RePEc:arx:papers:2205.00924.

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2022Is climate change time reversible?. (2022). Morana, Claudio ; Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2205.07579.

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2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022Detecting common bubbles in multivariate mixed causal-noncausal models. (2022). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Papers. RePEc:arx:papers:2207.11557.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2022Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830.

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2023Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843.

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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Standard Error Biases When Using Generated Regressors in Accounting Research. (2023). Melessa, Sam ; Hribar, Paul ; Chen, Wei. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:2:p:531-569.

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2022Assessing hail risk for property insurers with a dependent marked point process. (2022). Dickinson, Daniel ; Fung, Glenn M ; Shi, Peng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:302-328.

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2022On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196.

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2022Autoregressive mixture models for clustering time series. (2022). Barnett, Ian ; Ren, Benny. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:918-937.

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2022The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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2023Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937.

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2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

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2022Income, Employment and Health Risks of Older Workers. (2022). Wei, Siqi. In: Working Papers. RePEc:cmf:wpaper:wp2022_2205.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2022Towards predicting COVID-19 infection waves: A random-walk Monte Carlo simulation approach. (2022). Triambak, S ; Mahapatra, D P. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077921011383.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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2022Bayesian estimation of long-run risk models using sequential Monte Carlo. (2022). Liu, Hening ; Heng, Jeremy ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:1:p:62-84.

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2022Factor models with many assets: Strong factors, weak factors, and the two-pass procedure. (2022). Anatolyev, Stanislav ; Mikusheva, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:103-126.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2022Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2022Structural breaks, macroeconomic fundamentals and cross hedge ratio. (2022). Liu, LI ; Dong, Qingma ; Xiao, Dongli ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005699.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187.

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2022Time-varying risk of nominal bonds: How important are macroeconomic shocks?. (2022). Ermolov, Andrey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:1-28.

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2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

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2022Financial bubbles as a recursive process lead by short-term strategies. (2022). Lombardini, Simone ; Cerruti, Gianluca. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:555-568.

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2022Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC. (2022). Muoz, Carlos Salvador ; Cuadros-Solas, Pedro Jesus. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001562.

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2022When Do State-Dependent Local Projections Work?. (2022). Pesavento, Elena ; Kilian, Lutz ; Herrera, Ana María ; Goncalves, Silvia. In: Working Papers. RePEc:fip:feddwp:94175.

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2022Is Climate Change Time-Reversible?. (2022). Hecq, Alain ; Morana, Claudio ; Giancaterini, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:4:p:36-:d:996598.

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2022.

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2022The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-02367200.

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2022The Laplace transform of the integrated Volterra Wishart process. (2021). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-02367200.

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2023Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, Jerome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Working Papers. RePEc:hal:wpaper:hal-03347521.

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2023Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x.

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2023The Rank-Size Rule and Challenges in Diversifying Commercial Real Estate Portfolios. (2023). Pace, Kelley R ; Narayanan, Rajesh P ; Dombrowski, Timothy P. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09765-6.

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2023The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398.

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2023Uncertain Remedies to Fight Uncertain Consequences: The Case of Solar Geoengineering. (2023). Meier, Felix D ; Traeger, Christian P. In: RFF Working Paper Series. RePEc:rff:dpaper:dp-23-37.

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2023Fat Tailed DSGE Models: A Survey and New Results. (2023). Sorge, Marco ; Dave, Chetan. In: Working Papers. RePEc:ris:albaec:2023_003.

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2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

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2022Exploring the Effects of Classical Auto Insurance Rating Variables on Premium in ARDL: Is the high Policyholders’ Premium in Ghana Justified?. (2022). Kwame, Bright Nana ; Wu, Zhao ; Azaare, Jacob. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:4:p:21582440221134219.

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2022A financial fraud detection indicator for investors: an IDeA. (2022). Maillet, Bertrand B ; el Mekkaoui, Najat ; Bernard, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-019-03360-6.

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2022A meta-measure of performance related to both investors and investments characteristics. (2022). Billio, Monica ; Pelizzon, Loriana ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03771-w.

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2022True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods. (2022). Mokni, Khaled ; Gil-Alana, Luis Alberiko ; Assaf, Ata. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02165-6.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Information loss in volatility measurement with flat price trading. (2023). Yu, Jun ; Phillips, Peter. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2022A GARCH approach to model short?term interest rates: Evidence from Spanish economy. (2022). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1621-1632.

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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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2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article12
2020Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article4
2022Long Run Predictions In: Annals of Economics and Statistics.
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2021Generalized Covariance Estimator In: Papers.
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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor In: Papers.
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2022Long Run Risk in Stationary Structural Vector Autoregressive Models In: Papers.
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2022Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models In: Papers.
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2022Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood In: Papers.
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2023Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether In: Papers.
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2023Digital Divide: Empirical Study of CIUS 2020 In: Papers.
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2023Penalized Likelihood Inference with Survey Data In: Papers.
[Full Text][Citation analysis]		paper0
2023Optimization of the Generalized Covariance Estimator in Noncausal Processes 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]		article44
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]		article20
2023Dynamic deconvolution and identification of independent autoregressive sources In: Journal of Time Series Analysis.
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1998GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article45
2000Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers.
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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]		paper29
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 another version. Agregated cites: 29		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.
[Citation analysis]
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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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.
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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.
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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.
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2014Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers.
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2015Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers.
[Full Text][Citation analysis]		paper5
2016Robust Analysis of the Martingale Hypothesis In: Working Papers.
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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.
[Full Text][Citation analysis]		paper3
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