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Details about Joann Jasiak

Postal address:website: www.jjstats.com
Workplace:Department of Economics, York University, (more information at EDIRC)

Access statistics for papers by Joann Jasiak.

Last updated 2016-09-26. Update your information in the RePEc Author Service.

Short-id: pja135


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Working Papers

2015

  1. Semi-Parametric Estimation of Noncausal Vector Autoregression
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)

2014

  1. Filtering and Prediction in Noncausal Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  2. Misspecification of Causal and Noncausal Orders in Autoregressive Processes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)

2013

  1. Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2009

  1. L-performance with an application to hedge funds
    Post-Print, HAL
    See also Journal Article in Journal of Empirical Finance (2009)

2006

  1. A Degeneracy in the Analysis of Volatility and Covolatility Effects
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. DYNAMIC QUANTILE MODELS
    Working Papers, York University, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2008)
  3. Structural Laplace Transform and Compound Autoregressive Models
    Post-Print, HAL View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2006)
  4. The Ordered Qualitative Model For Credit Rating Transitions
    Working Papers, York University, Department of Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2008)

2005

  1. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    Working Papers, York University, Department of Economics Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2009)

2004

  1. The Wishart Autoregressive of Multivariate Stochastic Volatility
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)

2001

  1. Compound Autoregressive Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  2. Local Likelihood Density Estimation and Value at Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)

2000

  1. Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors
    CIRANO Working Papers, CIRANO Downloads
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (4)

1999

  1. Dynamic Factor Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Reviews (2001)
  2. Nonlinear Innovations and Impulse Response
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) Downloads View citations (4)
  3. Nonlinear Persistence and Copersistence
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in Working Papers, York University, Department of Economics (1999) Downloads
  4. Persistence in Intertrade Durations
    Working Papers, York University, Department of Economics Downloads View citations (17)

1998

  1. Causality Between Returns and Trated Volumes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Annals of Economics and Statistics (2000)
  2. Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  3. Nonlinear Panel Data Models with Dynamic Heterogeneity
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  4. Truncated Maximum Likelihood and Nonparametric Tail Analysis
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

1997

  1. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
    CIRANO Working Papers, CIRANO Downloads View citations (8)
  2. Stochastic Volatility Duration Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2004)

1996

  1. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO Downloads View citations (1)

1995

  1. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (10)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (15)
  2. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (5)
  3. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO Downloads View citations (9)

Journal Articles

2012

  1. Granularity adjustment for default risk factor model with cohorts
    Journal of Banking & Finance, 2012, 36, (5), 1464-1477 Downloads View citations (1)

2009

  1. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 Downloads View citations (6)
    See also Working Paper (2009)
  2. The Wishart Autoregressive process of multivariate stochastic volatility
    Journal of Econometrics, 2009, 150, (2), 167-181 Downloads View citations (77)
    See also Working Paper (2005)

2008

  1. Dynamic quantile models
    Journal of Econometrics, 2008, 147, (1), 198-205 Downloads View citations (22)
    See also Working Paper (2006)
  2. The ordered qualitative model for credit rating transitions
    Journal of Empirical Finance, 2008, 15, (1), 111-130 Downloads View citations (18)
    See also Working Paper (2006)

2006

  1. Autoregressive gamma processes
    Journal of Forecasting, 2006, 25, (2), 129-152 Downloads View citations (41)
  2. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 Downloads View citations (17)
  3. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 Downloads View citations (21)
    See also Working Paper (2006)

2005

  1. Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
    Annals of Economics and Statistics, 2005, (78), 1-31 Downloads View citations (1)

2004

  1. Heterogeneous INAR(1) model with application to car insurance
    Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 Downloads View citations (8)
  2. Stochastic volatility duration models
    Journal of Econometrics, 2004, 119, (2), 413-433 Downloads View citations (52)
    See also Working Paper (1997)

2003

  1. First-Order Autoregressive Processes with Heterogeneous Persistence
    Journal of Time Series Analysis, 2003, 24, (3), 283-309 Downloads

2001

  1. DYNAMIC FACTOR MODELS
    Econometric Reviews, 2001, 20, (4), 385-424 Downloads View citations (5)
    See also Working Paper (1999)
  2. Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors
    International Economic Review, 2001, 42, (3), 815-43 View citations (60)
  3. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 Downloads View citations (47)

2000

  1. Causality between Returns and Traded Volumes
    Annals of Economics and Statistics, 2000, (60), 189-206 Downloads View citations (1)
    See also Working Paper (1998)

1999

  1. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 Downloads View citations (41)

1998

  1. GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 1-19 Downloads View citations (31)

1994

  1. Bayesian Analysis of Stochastic Volatility Models: Comment
    Journal of Business & Economic Statistics, 1994, 12, (4), 399-401 View citations (1)

Books

2015

  1. The Econometrics of Individual Risk: Credit, Insurance, and Marketing
    Economics Books, Princeton University Press

Chapters

2015

  1. Introduction
    A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2015 Downloads

2007

  1. Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
    A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2007 Downloads View citations (5)
 
Page updated 2017-06-27