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 3 10 88
An econometric panel data model of the COVID-19 pandemic 0 0 0 1 1 1 10 23
Causality Between Returns and Trated Volumes 0 0 0 23 3 4 13 73
Composite Likelihood for Stochastic Migration Model with Unobserved Factor 0 0 1 13 2 4 9 21
Compound Autoregressive Models 0 0 0 83 5 6 13 293
DYNAMIC QUANTILE MODELS 0 1 1 412 1 3 21 826
Digital Divide: Evidence from the 2020 Canadian Internet Use Survey 0 0 1 10 3 7 13 33
Dynamic Factor Models 0 1 2 41 2 8 20 139
Filtering and Prediction in Noncausal Processes 0 0 0 180 1 2 3 207
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 258 3 6 14 2,375
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 89 2 2 9 340
Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 117 4 7 17 893
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 4 4 15 5,810
GCov-Based Portmanteau Test 1 2 2 14 1 6 13 24
Generalized Covariance Estimator 0 0 0 23 0 0 8 37
Inference for Noisy Long Run Component Process 0 0 0 6 2 2 10 27
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 3 6 12 1,538
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 1 1 6 96
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 2 3 17 2,261
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 5 6 21 255
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 3 12 399
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 0 46 1 3 8 139
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 0 2 10 199
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 2 8 64
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models 0 0 0 66 0 0 9 38
Nonlinear Innovations and Impulse Response 0 0 0 14 6 9 22 94
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 2 3 11 63
Nonlinear Persistence and Copersistence 0 0 0 55 2 2 9 158
Nonlinear Persistence and Copersistence 0 0 0 16 2 4 10 78
Nonlinear innovations and impulse responses 0 0 0 290 3 5 15 1,338
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 57 1 4 10 44
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 15 3 6 13 24
Penalized Likelihood Inference with Survey Data 0 0 0 24 1 2 5 14
Persistence in Intertrade Durations 0 0 0 163 3 4 10 462
Robust Analysis of the Martingale Hypothesis 0 0 0 11 4 8 13 66
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 1 5 9 164
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 0 1 18 123
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 4 12
Stochastic Volatility Duration Models 0 0 0 38 2 4 10 130
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 6 11 19 2,997
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 5 8 23 385
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 4 4 6 214
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 1 2 6 25
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood 0 0 0 17 1 2 11 20
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 1 3 10 1,249
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 3 717 4 7 23 1,353
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 2 3 7 81
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus 0 0 0 43 3 3 6 59
Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether 0 0 0 19 2 4 14 31
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 5 9 19 3,039
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 2 4 8 63
Total Working Papers 1 5 19 7,344 115 211 621 28,570

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 9 2 4 11 47
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models 0 0 0 28 1 1 8 73
Autoregressive gamma processes 0 0 2 178 3 3 18 472
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 4 168
Causality between Returns and Traded Volumes 0 0 0 3 5 5 8 30
Composite Likelihood for Stochastic Migration Model with Unobserved Factor* 0 0 0 0 3 4 9 15
Convolution‐based filtering and forecasting: An application to WTI crude oil prices 0 0 0 4 2 4 13 29
DYNAMIC FACTOR MODELS 0 0 1 279 1 4 14 666
Dynamic deconvolution and identification of independent autoregressive sources 0 0 1 3 1 2 8 12
Dynamic quantile models 0 0 0 229 0 0 9 571
Filtering, Prediction and Simulation Methods for Noncausal Processes 1 1 1 30 3 6 10 61
Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors 0 0 0 0 4 5 12 170
First‐Order Autoregressive Processes with Heterogeneous Persistence 0 0 0 63 1 2 6 369
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes 0 0 1 8 1 3 12 30
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 0 1 3 379 3 7 13 981
Generalized Covariance Estimator 0 1 3 4 1 4 24 31
Generalized covariance‐based inference for models set‐identified from independence restrictions 0 0 1 1 1 2 8 9
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 2 3 19 273
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 1 1 6 455
Intra-day market activity 0 0 0 262 2 5 17 532
L-performance with an application to hedge funds 0 1 1 31 1 3 8 181
Local Likelihood Density Estimation and Value-at-Risk 0 0 0 1 3 3 7 11
Long Run Predictions 0 0 2 19 4 7 15 57
Memory and infrequent breaks 0 0 0 49 1 3 16 150
Misspecification of noncausal order in autoregressive processes 0 0 1 24 1 3 10 88
Modelling common bubbles in cryptocurrency prices 0 1 2 12 4 11 30 55
Multivariate Jacobi process with application to smooth transitions 2 2 2 183 3 5 7 374
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 1 3 16 149
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations 0 0 0 1 3 4 8 11
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 1 5 13 53
Robust analysis of the martingale hypothesis 0 0 2 5 2 2 14 44
State‐space Models with Finite Dimensional Dependence 0 0 0 5 1 1 3 13
Stationary bubble equilibria in rational expectation models 0 0 0 17 0 6 19 76
Stochastic volatility duration models 0 0 0 262 4 4 9 608
Structural Laplace Transform and Compound Autoregressive Models 0 1 1 142 2 5 11 353
Temporally Local Maximum Likelihood with Application to SIS Model 0 0 0 1 0 2 3 6
Testing for Endogeneity of Covid-19 Patient Assignments* 0 0 0 2 1 3 8 20
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 0 2 41
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 1 338 2 12 24 929
The ordered qualitative model for credit rating transitions 0 1 3 182 1 4 17 508
Time varying Markov process with partially observed aggregate data: An application to coronavirus 0 0 1 2 0 1 5 11
Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether 0 0 1 4 3 6 21 30
Transition model for coronavirus management 0 0 0 0 2 2 8 14
Total Journal Articles 3 9 34 3,112 77 160 503 8,776

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 2 5 56
Total Books 0 0 0 0 1 2 5 56

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 0 0 13 1 3 4 58
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 2 3 18 743
Nonlinear Persistence and Copersistence 0 0 0 0 0 2 6 6
Total Chapters 0 0 2 325 3 8 28 807

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Statistics updated 2026-05-06