Mark J. Jensen : Citation Profile

Federal Reserve Bank of Atlanta

13

H index

14

i10 index

580

Citations

RESEARCH PRODUCTION:

25

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1993 - 2022). See details.
   Cites by year: 20
   Journals where Mark J. Jensen has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 30 (4.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pje71
   Updated: 2026-01-17    RAS profile: 2024-03-07    
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Relations with other researchers

Works with:

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 (28)

Shintani, Mototsugu (19)

Maheu, John (15)

LINTON, OLIVER (14)

JAWADI, Fredj (10)

Casarin, Roberto (10)

Ftiti, Zied (10)

Chauvet, Marcelle (9)

Galeano, Pedro (9)

Li, Chenxing (9)

Cites to:

Barnett, William (19)

Maheu, John (16)

Shephard, Neil (16)

Diebold, Francis (14)

Sowell, Fallaw (10)

Serletis, Apostolos (9)

Gallant, A. (9)

Geweke, John (9)

Bollerslev, Tim (8)

Bauwens, Luc (8)

Rudebusch, Glenn (8)

Main data

Where Mark J. Jensen has published?

Journals with more than one article published# docs
Journal of Econometrics6
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

Recent works citing Mark J. Jensen (2025 and 2024)

YearTitle of citing document
2025Transformers Beyond Order: A Chaos-Markov-Gaussian Framework for Short-Term Sentiment Forecasting of Any Financial OHLC timeseries Data. (2025). Pathan, Arif. In: Papers. RePEc:arx:papers:2506.17244.

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2024A Dynamic Latent-Space Model for Asset Clustering. (2024). Casarin, Roberto ; Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9.

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2024The dynamic impact of monetary policy on stock market liquidity. (2024). Lyu, Xiaoyi ; Hu, Hao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:388-405.

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2025Measuring the monetary services of US treasury securities. (2025). Keinsley, Andrew. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003043.

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2025The resonance effect of economic policy uncertainty worldwide: A time–frequency analysis. (2025). Zhang, NA ; Wu, Yuhang ; Huang, Yurui ; Geng, Xinru ; Zhao, Xiaojun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000774.

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2025Flexible and Robust Particle Tempering for State Space Models. (2025). Kohn, Robert ; Gunawan, David ; Tran, Minh Ngoc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:35-55.

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2025Predictive distributions and the market return: The role of market illiquidity. (2025). Ellington, Michael ; Kalli, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:309-322.

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2024Welfare implications of a tax on electricity: A semi-parametric specification of the incomplete EASI demand system. (2024). Ramírez Hassan, Andrés ; Ramirezhassan, Andres ; Lopez-Vera, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000975.

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2025Risk connectedness and portfolios between fossil energy, new energy and environmental governance markets. (2025). He, Miao ; Gao, Wang ; Zhang, Hongwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003217.

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2025What does energy price uncertainty reveal about the global energy crisis?. (2025). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pb:s1057521924007701.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2025An infinite hidden Markov model with GARCH for short-term interest rates. (2025). Li, Chenxing ; Yang, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325005574.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024The determinants of Turkish CDS volatility: An ARDL approach covering COVID period. (2024). Sunal, Onur ; Yaci, Filiz. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000930.

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2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

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2024Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19. (2024). Obojska, Lidia ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:205:y:2024:i:c:s004016252400115x.

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2024Revisiting Risky Money. (2024). Nesmith, Travis. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-90.

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2024A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework. (2024). Gonzalez, Sandra ; Inglada-Perez, Lucia. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:6:p:893-:d:1358995.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2024Characterization and Prediction of the Ghana Stock Exchange Composite Index Utilizing Bayesian Stochastic Volatility Models. (2024). Mariani, Maria C ; Ohene-Obeng, Kwesi A ; Tweneboah, Osei K. In: Risks. RePEc:gam:jrisks:v:13:y:2024:i:1:p:3-:d:1556848.

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2025In Der Welle Des Preises Mitschwimmen: A Multichannel View of the Weimar Hyperinflation. (2025). Sbarile, Andrea. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-025-09796-7.

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2025An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates. (2025). Li, Chenxing ; Yang, Qiao. In: MPRA Paper. RePEc:pra:mprapa:123200.

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2024Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture. (2024). , Frank. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:4:p:697-704.

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2024An infinite hidden Markov model with stochastic volatility. (2024). Maheu, John ; Li, Chenxing ; Yang, Qiao. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2187-2211.

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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]		article18
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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This paper has nother version. Agregated cites: 0		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
1999An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics.
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This paper has nother version. Agregated cites: 15		paper
2003Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
1997CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article43
2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article40
1997An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets.(1997) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2010Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 66		paper
2009Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series.
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This paper has nother version. Agregated cites: 66		paper
2008Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 66		paper
2013Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2012Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series.
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This paper has nother version. Agregated cites: 25		paper
2012Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 25		paper
2014Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
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 nother version. Agregated cites: 15		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2012Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
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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This paper has nother version. Agregated cites: 0		paper
2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: Working Paper series.
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This paper has nother version. Agregated cites: 0		paper
2022Bayesian nonparametric learning of how skill is distributed across the mutual fund industry In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2019Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry.(2019) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 3		paper
1997A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics.
[Full Text][Citation analysis]		article136
2012A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*.(2012) In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 136		paper
1996A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics.
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This paper has nother version. Agregated cites: 136		paper
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]		article47
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]		article6
2000CAPM Risk Adjustment In: Contributions to Economic Analysis.
[Full Text][Citation analysis]		chapter0
In: .
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In: .
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2020Measuring and Managing COVID-19 Model Risk In: Policy Hub.
[Full Text][Citation analysis]		article0
2006The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper16
2009The Long-Run Fisher Effect: Can It Be Tested?.(2009) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 16		article
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]		paper12
2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM.
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This paper has nother version. Agregated cites: 12		article
2013Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 12		paper
2014Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series.
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This paper has nother version. Agregated cites: 12		paper
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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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 1		paper
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]		paper72
1997Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter.(1997) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
1997Quality of life in central cities and suburbs In: The Annals of Regional Science.
[Full Text][Citation analysis]		article1
2014Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance.
[Citation analysis]		chapter4
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]		paper4
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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