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 1 18 0 0 2 70
Causality Between Returns and Trated Volumes 0 0 0 21 0 0 2 52
Compound Autoregressive Models 2 2 2 78 3 3 9 271
DYNAMIC QUANTILE MODELS 0 1 1 403 1 5 12 776
Dynamic Factor Models 0 1 2 37 3 7 15 107
Filtering and Prediction in Noncausal Processes 0 1 5 171 1 4 22 179
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 1 257 1 2 9 2,351
Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors 0 0 0 89 0 1 8 323
GARCH for Irregularly Spaced Data: The ACD-GARCH Model 0 0 5 1,385 1 1 18 5,764
Inference for Noisy Long Run Component Process 0 0 0 0 0 1 2 2
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 164 0 0 5 1,521
L-performance with an application to hedge funds 0 0 0 0 1 1 4 46
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 1 3 83
Market Time and Asset Price Movements Theory and Estimation 0 0 1 606 0 0 6 2,226
Market Time and Asset Price Movements: Theory and Estimation 0 0 1 30 0 1 7 213
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 6 375
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 2 42 0 1 7 116
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 1 1 47 2 8 16 170
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 14 0 1 6 50
Nonlinear Innovations and Impulse Response 0 0 0 12 0 0 5 60
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 26 0 0 2 48
Nonlinear Persistence and Copersistence 0 0 1 15 0 1 4 61
Nonlinear Persistence and Copersistence 0 0 0 55 0 0 6 144
Nonlinear innovations and impulse responses 0 0 0 288 1 2 9 1,302
Persistence in Intertrade Durations 1 1 3 147 4 4 16 409
Robust Analysis of the Martingale Hypothesis 0 0 0 7 3 4 12 36
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 4 53 1 2 16 122
Stationary Bubble Equilibria in Rational Expectation Models 1 1 11 21 1 2 29 65
Stochastic Volatility Duration Models 0 0 1 36 0 0 5 114
Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects 1 2 5 578 2 5 21 2,936
Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects 0 0 0 0 3 9 17 310
Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects 0 0 1 35 0 1 21 196
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 0 1 1 3 14
The Ordered Qualitative Model For Credit Rating Transitions 1 2 3 519 3 8 20 1,224
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 4 705 3 5 12 1,294
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 0 4 69
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus 1 11 36 36 1 12 23 23
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 1 3 788 1 3 18 2,996
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 20 0 0 3 49
Total Working Papers 7 25 94 6,763 38 96 405 26,167


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Autoregressive gamma processes 1 3 5 161 2 4 20 408
Bayesian Analysis of Stochastic Volatility Models: Comment 0 0 0 0 0 0 7 154
Causality between Returns and Traded Volumes 0 0 0 3 1 1 5 21
DYNAMIC FACTOR MODELS 0 1 4 261 0 1 13 611
Dynamic quantile models 0 1 6 199 1 7 25 480
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 3 11 0 0 5 22
Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors 0 0 0 0 1 1 7 152
First‐Order Autoregressive Processes with Heterogeneous Persistence 0 0 0 62 0 0 7 352
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model 0 1 6 361 0 3 13 912
Granularity adjustment for default risk factor model with cohorts 0 0 2 53 1 2 9 238
Heterogeneous INAR(1) model with application to car insurance 0 0 4 188 0 7 18 418
Intra-day market activity 1 1 4 244 2 2 20 472
L-performance with an application to hedge funds 0 0 0 30 1 2 20 154
Local Likelihood Density Estimation and Value-at-Risk 0 0 0 0 0 0 0 1
Memory and infrequent breaks 0 0 1 43 0 1 6 116
Misspecification of noncausal order in autoregressive processes 0 0 2 19 1 1 15 58
Multivariate Jacobi process with application to smooth transitions 0 0 1 162 0 2 7 337
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 6 26 0 0 8 63
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations 0 0 0 0 0 0 0 0
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 2 0 4 7 16
Robust analysis of the martingale hypothesis 0 0 0 0 0 2 8 11
State‐space Models with Finite Dimensional Dependence 0 0 0 0 0 0 1 1
Stochastic volatility duration models 0 0 1 255 1 1 9 571
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 134 1 1 9 315
The Tradability Premium on the S&P 500 Index 0 0 0 7 0 0 3 28
The Wishart Autoregressive process of multivariate stochastic volatility 2 3 9 309 8 16 37 786
The ordered qualitative model for credit rating transitions 0 1 8 169 1 4 24 472
Total Journal Articles 4 11 63 2,699 21 62 303 7,169


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 0 7 37
Total Books 0 0 0 0 0 0 7 37


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 4 11 45
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 307 1 1 9 709
Total Chapters 0 0 2 320 1 5 20 754


Statistics updated 2020-09-04