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 8 86
An econometric panel data model of the COVID-19 pandemic 0 0 0 1 0 5 10 22
Causality Between Returns and Trated Volumes 0 0 0 23 0 3 9 69
Composite Likelihood for Stochastic Migration Model with Unobserved Factor 0 0 1 13 2 5 9 19
Compound Autoregressive Models 0 0 0 83 1 4 8 288
DYNAMIC QUANTILE MODELS 1 1 1 412 2 12 22 825
Digital Divide: Empirical Study of CIUS 2020 0 0 1 10 3 4 9 29
Dynamic Factor Models 1 1 2 41 5 14 17 136
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 1 1 205
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 89 0 2 7 338
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 258 2 7 10 2,371
Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 117 2 5 12 888
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 1 1,393 0 3 12 5,806
GCov-Based Portmanteau Test 1 1 1 13 4 8 11 22
Generalized Covariance Estimator 0 0 0 23 0 3 8 37
Inference for Noisy Long Run Component Process 0 0 0 6 0 3 10 25
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 2 6 8 1,534
L-performance with an application to hedge funds 0 0 0 0 1 2 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 1 1 48 2 3 6 32
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 1 10 17 2,259
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 1 15 16 250
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 8 10 397
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 1 5 7 137
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 0 6 8 197
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 1 5 7 63
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models 0 0 0 66 0 4 10 38
Nonlinear Innovations and Impulse Response 0 0 0 14 3 14 17 88
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 1 7 9 61
Nonlinear Persistence and Copersistence 0 0 0 55 0 4 7 156
Nonlinear Persistence and Copersistence 0 0 0 16 1 6 7 75
Nonlinear innovations and impulse responses 0 0 0 290 2 9 12 1,335
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 15 3 6 11 21
Optimization of the Generalized Covariance Estimator in Noncausal Processes 0 0 1 57 2 5 11 42
Penalized Likelihood Inference with Survey Data 0 0 0 24 1 4 4 13
Persistence in Intertrade Durations 0 0 0 163 0 4 8 458
Robust Analysis of the Martingale Hypothesis 0 0 0 11 1 5 6 59
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 1 2 6 160
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 3 4 12
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 0 8 18 122
Stochastic Volatility Duration Models 0 0 0 38 1 7 8 127
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 0 0 2 594 2 7 11 2,988
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 2 8 17 379
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 0 39 0 2 2 210
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 1 3 5 24
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood 0 0 0 17 0 3 13 18
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 2 7 10 1,248
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 1 1 5 717 2 9 22 1,348
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 1 5 5 79
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus 0 0 0 43 0 2 3 56
Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether 0 0 0 19 2 10 13 29
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 0 8 10 3,030
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 0 2 4 59
Total Working Papers 4 5 21 7,343 60 297 504 28,419

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 2 5 10 45
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models 0 0 0 28 0 5 7 72
Autoregressive gamma processes 0 1 2 178 0 7 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 1 3 25
Composite Likelihood for Stochastic Migration Model with Unobserved Factor* 0 0 0 0 0 2 5 11
Convolution‐based filtering and forecasting: An application to WTI crude oil prices 0 0 0 4 2 6 12 27
DYNAMIC FACTOR MODELS 0 1 2 279 2 8 13 664
Dynamic deconvolution and identification of independent autoregressive sources 0 0 1 3 1 3 7 11
Dynamic quantile models 0 0 0 229 0 5 9 571
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 0 29 0 4 5 55
Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors 0 0 0 0 1 7 8 166
First‐Order Autoregressive Processes with Heterogeneous Persistence 0 0 0 63 1 4 5 368
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes 0 0 1 8 1 8 10 28
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 0 0 2 378 2 3 9 976
Generalized Covariance Estimator 1 1 3 4 1 13 21 28
Generalized covariance‐based inference for models set‐identified from independence restrictions 0 0 1 1 1 6 8 8
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 1 9 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 2 11 14 529
L-performance with an application to hedge funds 1 1 1 31 1 5 6 179
Local Likelihood Density Estimation and Value-at-Risk 0 0 0 1 0 3 4 8
Long Run Predictions 0 2 3 19 3 8 14 53
Memory and infrequent breaks 0 0 0 49 1 10 14 148
Misspecification of noncausal order in autoregressive processes 0 0 1 24 0 4 7 85
Modelling common bubbles in cryptocurrency prices 1 1 6 12 5 14 30 49
Multivariate Jacobi process with application to smooth transitions 0 0 1 181 1 2 4 370
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 2 6 16 148
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations 0 0 0 1 0 3 4 7
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 3 8 11 51
Robust analysis of the martingale hypothesis 0 0 2 5 0 8 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 11 17 73
Stochastic volatility duration models 0 0 0 262 0 2 5 604
Structural Laplace Transform and Compound Autoregressive Models 1 1 1 142 2 3 8 350
Temporally Local Maximum Likelihood with Application to SIS Model 0 0 0 1 1 2 2 5
Testing for Endogeneity of Covid-19 Patient Assignments* 0 0 0 2 1 3 7 18
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 7 11 25 924
The ordered qualitative model for credit rating transitions 1 1 3 182 2 9 16 506
Time varying Markov process with partially observed aggregate data: An application to coronavirus 0 0 1 2 0 3 4 10
Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether 0 0 1 4 1 5 16 25
Transition model for coronavirus management 0 0 0 0 0 6 6 12
Total Journal Articles 5 9 41 3,108 50 240 419 8,666

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 3 3 54
Total Books 0 0 0 0 0 3 3 54

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Introduction 0 0 0 13 2 3 3 57
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 0 11 15 740
Nonlinear Persistence and Copersistence 0 0 0 0 2 5 6 6
Total Chapters 0 0 2 325 4 19 24 803

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Statistics updated 2026-03-04