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 0 1 2 78
An econometric panel data model of the COVID-19 pandemic 0 0 0 1 1 1 2 12
Causality Between Returns and Trated Volumes 0 0 0 23 0 1 1 60
Composite Likelihood for Stochastic Migration Model with Unobserved Factor 0 0 1 12 1 1 5 10
Compound Autoregressive Models 0 0 2 83 0 0 2 280
DYNAMIC QUANTILE MODELS 0 0 0 411 0 0 3 803
Digital Divide: Empirical Study of CIUS 2020 0 0 0 9 0 0 4 20
Dynamic Factor Models 0 1 2 39 0 3 6 119
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 1 1 204
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 89 0 0 0 331
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 258 0 1 1 2,361
Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 117 0 2 4 876
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 1 2 1,392 0 2 4 5,794
GCov-Based Portmanteau Test 0 0 1 12 1 1 5 11
Generalized Covariance Estimator 0 0 0 23 1 3 4 29
Inference for Noisy Long Run Component Process 0 0 0 6 0 0 0 15
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 1 1 1,526
L-performance with an application to hedge funds 0 0 0 0 0 0 2 50
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 1 1 90
Long Run Risk in Stationary Structural Vector Autoregressive Models 0 0 1 47 0 1 4 26
Market Time and Asset Price Movements Theory and Estimation 0 0 1 609 0 2 5 2,242
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 1 5 387
Market Time and Asset Price Movements: Theory and Estimation 0 0 1 34 0 1 4 234
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 2 45 1 2 5 130
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 0 47 1 2 5 189
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 1 1 56
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models 0 0 1 66 0 0 9 28
Nonlinear Innovations and Impulse Response 0 0 1 14 0 1 5 71
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 1 1 52
Nonlinear Persistence and Copersistence 0 0 0 55 1 1 2 149
Nonlinear Persistence and Copersistence 0 0 0 16 1 2 2 68
Nonlinear innovations and impulse responses 0 0 1 290 1 2 4 1,323
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 5 56 1 2 11 31
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 14 14 0 0 10 10
Penalized Likelihood Inference with Survey Data 0 1 1 24 1 2 4 9
Persistence in Intertrade Durations 0 0 3 163 0 1 6 450
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 0 53
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 1 60 1 2 3 154
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 32 1 1 8 104
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 1 1 2 8
Stochastic Volatility Duration Models 1 1 1 38 1 1 2 119
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 4 592 0 0 6 2,977
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 1 2 14 362
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 1 1 1 208
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 1 1 2 19
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood 0 0 2 17 0 0 2 5
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 1 2 2 1,238
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 1 712 0 2 2 1,326
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 1 1 74
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus 0 0 1 43 0 0 2 53
Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether 0 0 0 19 0 1 2 16
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 0 2 2 3,020
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 1 23 0 0 1 55
Total Working Papers 1 5 52 7,322 20 58 183 27,915

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 0 8 0 0 2 35
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models 0 1 1 28 0 1 3 65
Autoregressive gamma processes 0 2 2 176 0 2 3 454
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 2 2 2 164
Causality between Returns and Traded Volumes 0 0 0 3 0 1 1 22
Convolution‐based filtering and forecasting: An application to WTI crude oil prices 0 0 0 4 0 1 2 15
DYNAMIC FACTOR MODELS 0 1 4 277 1 3 7 651
Dynamic deconvolution and identification of independent autoregressive sources 0 0 0 2 0 0 0 4
Dynamic quantile models 0 1 4 229 0 2 15 562
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 1 10 29 0 1 12 50
Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors 0 0 0 0 0 1 2 158
First‐Order Autoregressive Processes with Heterogeneous Persistence 0 0 0 63 1 1 1 363
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes 0 0 1 7 0 0 4 18
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 0 0 2 376 0 0 5 967
Generalized Covariance Estimator 0 1 1 1 1 2 5 7
Granularity adjustment for default risk factor model with cohorts 0 0 1 57 0 0 5 254
Heterogeneous INAR(1) model with application to car insurance 0 0 2 202 0 0 2 449
Intra-day market activity 0 0 5 262 0 0 7 515
L-performance with an application to hedge funds 0 0 0 30 1 2 5 173
Local Likelihood Density Estimation and Value-at-Risk 0 0 0 1 0 0 0 4
Long Run Predictions 0 0 5 16 1 1 8 39
Memory and infrequent breaks 0 0 1 49 0 0 3 134
Misspecification of noncausal order in autoregressive processes 0 0 0 23 0 0 1 78
Modelling common bubbles in cryptocurrency prices 0 5 6 6 5 13 19 19
Multivariate Jacobi process with application to smooth transitions 0 0 5 180 0 1 9 366
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 3 17 67 0 5 22 132
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations 0 0 0 1 1 1 1 3
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 1 1 3 13 2 3 6 40
Robust analysis of the martingale hypothesis 0 0 0 3 1 2 4 30
State‐space Models with Finite Dimensional Dependence 0 0 0 5 0 0 0 10
Stationary bubble equilibria in rational expectation models 0 0 3 16 0 2 11 56
Stochastic volatility duration models 1 1 2 262 2 3 6 599
Structural Laplace Transform and Compound Autoregressive Models 0 0 5 141 1 1 6 342
Temporally Local Maximum Likelihood with Application to SIS Model 0 0 0 1 1 1 1 3
Testing for Endogeneity of Covid-19 Patient Assignments* 0 0 1 2 1 1 5 11
The Tradability Premium on the S&P 500 Index 0 0 1 9 0 1 2 39
The Wishart Autoregressive process of multivariate stochastic volatility 1 3 6 335 1 5 12 899
The ordered qualitative model for credit rating transitions 0 0 1 179 0 0 1 490
Time varying Markov process with partially observed aggregate data: An application to coronavirus 0 0 0 1 0 0 0 6
Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether 0 0 2 3 0 0 7 9
Transition model for coronavirus management 0 0 0 0 0 0 2 6
Total Journal Articles 3 20 91 3,067 22 59 209 8,241

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 0 1 2 51
Total Books 0 0 0 0 0 1 2 51

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 0 2 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 310 0 1 3 725
Nonlinear Persistence and Copersistence 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 323 0 1 5 779

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Statistics updated 2025-03-03