Access Statistics for Joann Jasiak

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 1 4 9 87
An econometric panel data model of the COVID-19 pandemic 0 0 0 1 0 3 9 22
Causality Between Returns and Trated Volumes 0 0 0 23 1 4 10 70
Composite Likelihood for Stochastic Migration Model with Unobserved Factor 0 0 1 13 0 5 8 19
Compound Autoregressive Models 0 0 0 83 0 3 8 288
DYNAMIC QUANTILE MODELS 0 1 1 412 0 8 20 825
Digital Divide: Empirical Study of CIUS 2020 0 0 1 10 1 4 10 30
Dynamic Factor Models 0 1 2 41 1 10 18 137
Filtering and Prediction in Noncausal Processes 0 0 0 180 1 1 2 206
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 258 1 6 11 2,372
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 89 0 1 7 338
Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 117 1 4 13 889
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 0 2 12 5,806
GCov-Based Portmanteau Test 0 1 1 13 1 6 12 23
Generalized Covariance Estimator 0 0 0 23 0 0 8 37
Inference for Noisy Long Run Component Process 0 0 0 6 0 2 9 25
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 1 7 9 1,535
L-performance with an application to hedge funds 0 0 0 0 0 1 4 54
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 1 5 95
Long Run Risk in Stationary Structural Vector Autoregressive Models 0 0 1 48 0 2 5 32
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 8 15 2,259
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 12 16 250
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 6 10 397
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 1 5 8 138
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 2 4 10 199
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 1 3 8 64
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models 0 0 0 66 0 3 9 38
Nonlinear Innovations and Impulse Response 0 0 0 14 0 9 16 88
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 6 9 61
Nonlinear Persistence and Copersistence 0 0 0 16 1 6 8 76
Nonlinear Persistence and Copersistence 0 0 0 55 0 2 7 156
Nonlinear innovations and impulse responses 0 0 0 290 0 6 12 1,335
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 57 1 5 11 43
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 15 0 5 10 21
Penalized Likelihood Inference with Survey Data 0 0 0 24 0 2 4 13
Persistence in Intertrade Durations 0 0 0 163 1 3 7 459
Robust Analysis of the Martingale Hypothesis 0 0 0 11 3 6 9 62
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 3 5 9 163
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 1 6 19 123
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 2 4 12
Stochastic Volatility Duration Models 0 0 0 38 1 7 9 128
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 3 9 13 2,991
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 8 18 380
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 0 1 2 210
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 0 2 5 24
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood 0 0 0 17 1 2 13 19
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 0 6 10 1,248
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 4 717 1 7 22 1,349
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 3 5 79
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus 0 0 0 43 0 1 3 56
Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether 0 0 0 19 0 6 12 29
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 4 11 14 3,034
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 2 4 6 61
Total Working Papers 0 4 20 7,343 36 245 522 28,455

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Econometric Panel Data Model of the COVID-19 Pandemic 0 0 1 9 0 4 10 45
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models 0 0 0 28 0 4 7 72
Autoregressive gamma processes 0 0 2 178 0 5 15 469
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 2 4 168
Causality between Returns and Traded Volumes 0 0 0 3 0 0 3 25
Composite Likelihood for Stochastic Migration Model with Unobserved Factor* 0 0 0 0 1 3 6 12
Convolution‐based filtering and forecasting: An application to WTI crude oil prices 0 0 0 4 0 5 12 27
DYNAMIC FACTOR MODELS 0 0 2 279 1 8 14 665
Dynamic deconvolution and identification of independent autoregressive sources 0 0 1 3 0 1 7 11
Dynamic quantile models 0 0 0 229 0 2 9 571
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 0 29 3 7 7 58
Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors 0 0 0 0 0 3 8 166
First‐Order Autoregressive Processes with Heterogeneous Persistence 0 0 0 63 0 3 5 368
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes 0 0 1 8 1 6 11 29
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 1 1 3 379 2 5 11 978
Generalized Covariance Estimator 0 1 3 4 2 14 23 30
Generalized covariance‐based inference for models set‐identified from independence restrictions 0 0 1 1 0 5 7 8
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 0 7 17 271
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 0 2 5 454
Intra-day market activity 0 0 0 262 1 9 15 530
L-performance with an application to hedge funds 0 1 1 31 1 6 7 180
Local Likelihood Density Estimation and Value-at-Risk 0 0 0 1 0 2 4 8
Long Run Predictions 0 1 2 19 0 7 12 53
Memory and infrequent breaks 0 0 0 49 1 8 15 149
Misspecification of noncausal order in autoregressive processes 0 0 1 24 2 6 9 87
Modelling common bubbles in cryptocurrency prices 0 1 3 12 2 14 29 51
Multivariate Jacobi process with application to smooth transitions 0 0 0 181 1 3 4 371
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 0 6 16 148
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations 0 0 0 1 1 3 5 8
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 1 8 12 52
Robust analysis of the martingale hypothesis 0 0 2 5 0 6 12 42
State‐space Models with Finite Dimensional Dependence 0 0 0 5 0 2 2 12
Stationary bubble equilibria in rational expectation models 0 0 1 17 3 13 20 76
Stochastic volatility duration models 0 0 0 262 0 1 5 604
Structural Laplace Transform and Compound Autoregressive Models 0 1 1 142 1 4 9 351
Temporally Local Maximum Likelihood with Application to SIS Model 0 0 0 1 1 3 3 6
Testing for Endogeneity of Covid-19 Patient Assignments* 0 0 0 2 1 3 7 19
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 1 2 41
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 3 338 3 13 27 927
The ordered qualitative model for credit rating transitions 0 1 3 182 1 10 16 507
Time varying Markov process with partially observed aggregate data: An application to coronavirus 0 0 1 2 1 4 5 11
Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether 0 0 1 4 2 6 18 27
Transition model for coronavirus management 0 0 0 0 0 3 6 12
Total Journal Articles 1 7 37 3,109 33 227 441 8,699

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 1 3 4 55
Total Books 0 0 0 0 1 3 4 55

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 0 0 13 0 3 3 57
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 1 9 16 741
Nonlinear Persistence and Copersistence 0 0 0 0 0 5 6 6
Total Chapters 0 0 2 325 1 17 25 804

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Statistics updated 2026-04-09