12
H index
13
i10 index
542
Citations
Mark J. Jensen : Citation Profile
Federal Reserve Bank of Atlanta | RESEARCH PRODUCTION: 22 Articles 35 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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29 years (1993 - 2022). 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:
| Cites to:
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Main data
Where Mark J. Jensen has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 6 |
| Studies in Nonlinear Dynamics & Econometrics | 3 |
Recent works citing Mark J. Jensen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper |
| 2023 | Incorporating Prior Knowledge of Latent Group Structure in Panel Data Models. (2022). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2211.16714. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
| 2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper |
| 2023 | A detection analysis for temporal memory patterns at different time-scales. (2023). Lambert, David ; Vanni, Fabio. In: Papers. RePEc:arx:papers:2309.12034. Full description at Econpapers || Download paper |
| 2024 | A Dynamic Latent-Space Model for Asset Clustering. (2024). Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9. Full description at Econpapers || Download paper |
| 2024 | The dynamic impact of monetary policy on stock market liquidity. (2024). Hu, Hao ; Lyu, Xiaoyi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:388-405. Full description at Econpapers || Download paper |
| 2023 | Sequential Bayesian analysis for semiparametric stochastic volatility model with applications. (2023). Lou, Zhusheng ; Wang, Nianling. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000998. Full description at Econpapers || Download paper |
| 2023 | Chaos in long-maturity real rates. (2023). Serletis, Apostolos ; Islam, M M ; He, Mingyu. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000642. Full description at Econpapers || Download paper |
| 2024 | Welfare implications of a tax on electricity: A semi-parametric specification of the incomplete EASI demand system. (2024). Lopez-Vera, Alejandro ; Ramirezhassan, Andres. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000975. Full description at Econpapers || Download paper |
| 2023 | The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach. (2023). Sharif, Arshian ; Shah, Nida ; Raza, Syed Ali ; Gao, Pengpeng ; Sun, Yunpeng. In: Energy. RePEc:eee:energy:v:270:y:2023:i:c:s0360544223002062. Full description at Econpapers || Download paper |
| 2023 | Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence. (2023). Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521922002587. Full description at Econpapers || Download paper |
| 2024 | Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2023 | An Assessment on Quality of Life and Happiness Indices of Project Affected People in Indian Coalfields. (2023). Goswami, Shubham ; Mishra, Arvind Kumar ; Chandra, Bibhas ; Sinha, Archana. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:12:p:9634-:d:1172121. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
| 2023 | Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459. Full description at Econpapers || Download paper |
| 2023 | Nonlinear dynamics in Divisia monetary aggregates: an application of recurrence quantification analysis. (2023). Serletis, Apostolos ; Karakasidis, Theodoros E ; Fragkou, Athanasios D ; Andreadis, Ioannis. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00419-5. Full description at Econpapers || Download paper |
| 2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper |
| 2023 | Fisher’s hypothesis in time–frequency space: a premier using South Africa as a case study. (2023). Phiri, Andrew. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:5:d:10.1007_s11135-022-01561-z. Full description at Econpapers || Download paper |
| 2023 | Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6. Full description at Econpapers || Download paper |
| 2023 | Forecasting with a panel Tobit model. (2023). Schorfheide, Frank ; Moon, Hyungsik Roger ; Liu, Laura. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:117-159. Full description at Econpapers || Download paper |
Works by Mark J. Jensen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2015 | Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility.(2015) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1999 | An Approximate Wavelet MLE of Short- and Long-Memory Parameters In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
| 1999 | An 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 | |
| 1999 | An Approximate Wavelet MLE of Short and Long Memory Parameters.(1999) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2003 | Long Memory Inflationary Dynamics: The Case of Brazil In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 1999 | RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS In: Econometric Theory. [Full Text][Citation analysis] | article | 23 |
| 1998 | Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings.(1998) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 1997 | CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 41 |
| 2000 | An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 40 |
| 1997 | An 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 | |
| 2010 | Bayesian semiparametric stochastic volatility modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 59 |
| 2008 | Bayesian semiparametric stochastic volatility modeling.(2008) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
| 2009 | Bayesian Semiparametric Stochastic Volatility Modeling.(2009) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
| 2008 | Bayesian semiparametric stochastic volatility modeling.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
| 2013 | Bayesian semiparametric multivariate GARCH modeling In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
| 2012 | Bayesian semiparametric multivariate GARCH modeling.(2012) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2012 | Bayesian Semiparametric Multivariate GARCH Modeling.(2012) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2012 | Bayesian semiparametric multivariate GARCH modeling.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2014 | Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture In: Journal of Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2012 | Estimating 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 | |
| 2012 | Estimating 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 | |
| 2012 | Estimating 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 | |
| 2019 | Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2018 | Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Bayesian nonparametric learning of how skill is distributed across the mutual fund industry In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2019 | Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry.(2019) In: FRB Atlanta Working Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1997 | A single-blind controlled competition among tests for nonlinearity and chaos In: Journal of Econometrics. [Full Text][Citation analysis] | article | 133 |
| 2012 | A 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: 133 | paper | |
| 1996 | A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
| 2016 | A comment on De Grauwes, “The legacy of the Eurozone crisis and how to overcome it” In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 1995 | Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 47 |
| 2005 | Long-run neutrality in a fractionally integrated model In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 14 |
| 2006 | Do long swings in the business cycle lead to strong persistence in output? In: Journal of Monetary Economics. [Full Text][Citation analysis] | article | 6 |
| In: . [Full Text][Citation analysis] | chapter | 0 | |
| 2020 | Measuring and Managing COVID-19 Model Risk In: Policy Hub*. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Measuring and Managing COVID-19 Model Risk In: Policy Hub*. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The long-run Fisher effect: can it be tested? In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 16 |
| 2009 | The 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 | |
| 2014 | Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis In: FRB Atlanta Working Paper. [Full Text][Citation analysis] | paper | 11 |
| 2018 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2018) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2013 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2014 | Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.(2014) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 1997 | MATLAB as an Econometric Programming Environment. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2012 | The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. [Full Text][Citation analysis] | paper | 0 |
| 1996 | The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets.(1996) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1997 | A Homotopy Approach to Solving Nonlinear Rational Expectation Problems. In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 1995 | A Homotopy Approach to Solving Nonlinear Rational Expectation Problems.(1995) In: Computational Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1995 | A 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] | paper | 0 |
| 1999 | Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter In: MPRA Paper. [Full Text][Citation analysis] | paper | 72 |
| 1997 | Using 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 | |
| 1997 | Quality of life in central cities and suburbs In: The Annals of Regional Science. [Full Text][Citation analysis] | article | 1 |
| 2014 | Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | chapter | 1 |
| 1997 | Revisiting the flexibility and regularity properties of the asymptotically ideal production model In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
| 1994 | Wavelet Analysis of Fractionally Integrated Processes In: Econometrics. [Full Text][Citation analysis] | paper | 3 |
| 1995 | OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 1993 | The Tracking Ability of the Divisia Monetary Aggregate Under Risk In: Macroeconomics. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Long-Run Neutrality in a Long-Memory Model In: Macroeconomics. [Full Text][Citation analysis] | paper | 5 |
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