Details about Joann Jasiak

Access statistics for papers by Joann Jasiak.

Last updated 2008-04-22. Update your information in the RePEc Author Service.

Short-id: pja135

Working Papers

2006

1. DYNAMIC QUANTILE MODELS
   Working Papers, York University, Department of Economics View citations
2. The Ordered Qualitative Model For Credit Rating Transitions
   Working Papers, York University, Department of Economics View citations
   See Also Journal Article in Journal of Empirical Finance (2008)

2005

3. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
   Working Papers, York University, Department of Economics View citations

2000

4. Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors
   CIRANO Working Papers, CIRANO
   Also in
   Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998)
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations

1999

5. Nonlinear Persistence and Copersistence
   Working Papers, York University, Department of Economics
6. Nonlinear innovations and impulse responses
   CEPREMAP Working Papers (Couverture Orange), CEPREMAP
7. Persistence in Intertrade Durations
   Working Papers, York University, Department of Economics View citations

1997

8. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
   CIRANO Working Papers, CIRANO

1996

9. Kernel Autocorrelogram for Time Deformed Processes
   CIRANO Working Papers, CIRANO

1995

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

Undated

13. Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2008

1. The ordered qualitative model for credit rating transitions
   Journal of Empirical Finance, 2008, 15, (1), 111-130
   See Also Working Paper (2006)

2006

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

2004

5. Heterogeneous INAR(1) model with application to car insurance
   Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 View citations
6. Stochastic volatility duration models
   Journal of Econometrics, 2004, 119, (2), 413-433 View citations

2003

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

2001

8. DYNAMIC FACTOR MODELS
   Econometric Reviews, 2001, 20, (4), 385-424 View citations
9. Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors
   International Economic Review, 2001, 42, (3), 815-43 View citations
10. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 View citations

1999

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

1998

12. GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 133-149 View citations

1994

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

Chapters

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