Details about Joann Jasiak

Homepage:	https://www.jjstats.com
Workplace:	Department of Economics, York University, (more information at EDIRC)

Access statistics for papers by Joann Jasiak.

Last updated 2023-08-14. Update your information in the RePEc Author Service.

Short-id: pja135

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Working Papers

2024

1. Digital Divide: Empirical Study of CIUS 2020
   Papers, arXiv.org
2. Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models
   Papers, arXiv.org View citations (2)
3. Optimization of the Generalized Covariance Estimator in Noncausal Processes
   Papers, arXiv.org View citations (3)
   Also in CEIS Research Paper, Tor Vergata University, CEIS (2024) View citations (2)

2023

4. Composite Likelihood for Stochastic Migration Model with Unobserved Factor
   Papers, arXiv.org
   See also Journal Article Composite Likelihood for Stochastic Migration Model with Unobserved Factor*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
5. GCov-Based Portmanteau Test
   Papers, arXiv.org
6. Penalized Likelihood Inference with Survey Data
   Papers, arXiv.org View citations (1)
7. Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether
   Papers, arXiv.org View citations (2)
   See also Journal Article Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether, Journal of International Money and Finance, Elsevier (2023) View citations (2) (2023)

2022

8. An econometric panel data model of the COVID-19 pandemic
   Post-Print, HAL
   See also Journal Article An Econometric Panel Data Model of the COVID-19 Pandemic, Journal of Statistical and Econometric Methods, SCIENPRESS Ltd (2022) (2022)
9. Long Run Risk in Stationary Structural Vector Autoregressive Models
   Papers, arXiv.org
10. Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood
    Papers, arXiv.org

2021

11. Generalized Covariance Estimator
    Papers, arXiv.org
    See also Journal Article Generalized Covariance Estimator, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (2) (2023)

2020

12. Stationary Bubble Equilibria in Rational Expectation Models
    Post-Print, HAL View citations (3)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (5)
    See also Journal Article Stationary bubble equilibria in rational expectation models, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)
13. Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus
    Working Papers, Center for Research in Economics and Statistics View citations (4)
    See also Journal Article Time varying Markov process with partially observed aggregate data: An application to coronavirus, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2016

14. Robust Analysis of the Martingale Hypothesis
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    See also Journal Article Robust analysis of the martingale hypothesis, Econometrics and Statistics, Elsevier (2019) View citations (2) (2019)

2015

15. Semi-Parametric Estimation of Noncausal Vector Autoregression
    Working Papers, Center for Research in Economics and Statistics View citations (5)

2014

16. Filtering and Prediction in Noncausal Processes
    Working Papers, Center for Research in Economics and Statistics View citations (1)
17. Misspecification of Causal and Noncausal Orders in Autoregressive Processes
    Working Papers, Center for Research in Economics and Statistics View citations (1)

2013

18. Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives
    Working Papers, Center for Research in Economics and Statistics

2010

19. Inference for Noisy Long Run Component Process
    MPRA Paper, University Library of Munich, Germany

2009

20. L-performance with an application to hedge funds
    Post-Print, HAL View citations (15)
    See also Journal Article L-performance with an application to hedge funds, Journal of Empirical Finance, Elsevier (2009) View citations (17) (2009)

2006

21. A Degeneracy in the Analysis of Volatility and Covolatility Effects
    Working Papers, Center for Research in Economics and Statistics
22. DYNAMIC QUANTILE MODELS
    Working Papers, York University, Department of Economics View citations (11)
    See also Journal Article Dynamic quantile models, Journal of Econometrics, Elsevier (2008) View citations (42) (2008)
23. Structural Laplace Transform and Compound Autoregressive Models
    Post-Print, HAL View citations (43)
    See also Journal Article Structural Laplace Transform and Compound Autoregressive Models, Journal of Time Series Analysis, Wiley Blackwell (2006) View citations (43) (2006)
24. The Ordered Qualitative Model For Credit Rating Transitions
    Working Papers, York University, Department of Economics
    See also Journal Article The ordered qualitative model for credit rating transitions, Journal of Empirical Finance, Elsevier (2008) View citations (38) (2008)

2005

25. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    Working Papers, York University, Department of Economics View citations (17)
    See also Journal Article The Wishart Autoregressive process of multivariate stochastic volatility, Journal of Econometrics, Elsevier (2009) View citations (144) (2009)

2004

26. The Wishart Autoregressive of Multivariate Stochastic Volatility
    Working Papers, Center for Research in Economics and Statistics View citations (16)

2001

27. Compound Autoregressive Models
    Working Papers, Center for Research in Economics and Statistics View citations (8)
28. Local Likelihood Density Estimation and Value at Risk
    Working Papers, Center for Research in Economics and Statistics View citations (6)
    See also Journal Article Local Likelihood Density Estimation and Value-at-Risk, Journal of Probability and Statistics, Hindawi (2010) (2010)

2000

29. Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors
    CIRANO Working Papers, CIRANO
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (7)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998)

1999

30. Dynamic Factor Models
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article DYNAMIC FACTOR MODELS, Econometric Reviews, Taylor & Francis Journals (2001) View citations (12) (2001)
31. Nonlinear Innovations and Impulse Response
    Working Papers, Center for Research in Economics and Statistics View citations (10)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) View citations (1)
32. Nonlinear Persistence and Copersistence
    Working Papers, York University, Department of Economics View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (1999)
    See also Chapter Nonlinear Persistence and Copersistence, Palgrave Macmillan Books, Palgrave Macmillan (2011) (2011)
33. Persistence in Intertrade Durations
    Working Papers, York University, Department of Economics View citations (34)

1998

34. Causality Between Returns and Trated Volumes
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Causality between Returns and Traded Volumes, Annals of Economics and Statistics, GENES (2000) View citations (3) (2000)
35. Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
    Working Papers, Center for Research in Economics and Statistics View citations (3)
    See also Journal Article Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (4) (2002)
36. Nonlinear Panel Data Models with Dynamic Heterogeneity
    Working Papers, Center for Research in Economics and Statistics View citations (1)
37. Truncated Maximum Likelihood and Nonparametric Tail Analysis
    Working Papers, Center for Research in Economics and Statistics View citations (3)

1997

38. GARCH for Irregularly Spaced Data: The ACD-GARCH Model
    CIRANO Working Papers, CIRANO View citations (10)
39. Stochastic Volatility Duration Models
    Working Papers, Center for Research in Economics and Statistics View citations (10)
    See also Journal Article Stochastic volatility duration models, Journal of Econometrics, Elsevier (2004) View citations (67) (2004)

1996

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

1995

41. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (14)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (11)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (22)
42. Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
    CIRANO Working Papers, CIRANO View citations (17)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (25)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (23)
43. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO View citations (15)

Journal Articles

2025

1. Generalized covariance‐based inference for models set‐identified from independence restrictions
   Journal of Time Series Analysis, 2025, 46, (2), 300-324

2024

2. Composite Likelihood for Stochastic Migration Model with Unobserved Factor*
   Journal of Financial Econometrics, 2024, 22, (5), 1421-1455
   See also Working Paper Composite Likelihood for Stochastic Migration Model with Unobserved Factor, Papers (2023) (2023)
3. Modelling common bubbles in cryptocurrency prices
   Economic Modelling, 2024, 139, (C) View citations (1)

2023

4. Dynamic deconvolution and identification of independent autoregressive sources
   Journal of Time Series Analysis, 2023, 44, (2), 151-180
5. Generalized Covariance Estimator
   Journal of Business & Economic Statistics, 2023, 41, (4), 1315-1327 View citations (2)
   See also Working Paper Generalized Covariance Estimator, Papers (2021) (2021)
6. Temporally Local Maximum Likelihood with Application to SIS Model
   Journal of Time Series Econometrics, 2023, 15, (2), 151-198
7. Time varying Markov process with partially observed aggregate data: An application to coronavirus
   Journal of Econometrics, 2023, 232, (1), 35-51 View citations (2)
   See also Working Paper Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus, Working Papers (2020) View citations (4) (2020)
8. Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether
   Journal of International Money and Finance, 2023, 139, (C) View citations (2)
   See also Working Paper Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether, Papers (2023) View citations (2) (2023)

2022

9. An Econometric Panel Data Model of the COVID-19 Pandemic
   Journal of Statistical and Econometric Methods, 2022, 11, (1), 3
   See also Working Paper An econometric panel data model of the COVID-19 pandemic, Post-Print (2022) (2022)
10. Long Run Predictions
    Annals of Economics and Statistics, 2022, (145), 75-90
11. Testing for Endogeneity of Covid-19 Patient Assignments*
    (The Value of Life and Health for Public Policy)
    Journal of Financial Econometrics, 2022, 20, (5), 875-901
12. Transition model for coronavirus management
    Canadian Journal of Economics/Revue canadienne d'économique, 2022, 55, (S1), 665-704

2021

13. Convolution‐based filtering and forecasting: An application to WTI crude oil prices
    Journal of Forecasting, 2021, 40, (7), 1230-1244 View citations (3)
14. Forecast performance and bubble analysis in noncausal MAR(1, 1) processes
    Journal of Forecasting, 2021, 40, (2), 301-326 View citations (3)

2020

15. Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models
    Annals of Economics and Statistics, 2020, (140), 1-26 View citations (5)
16. Stationary bubble equilibria in rational expectation models
    Journal of Econometrics, 2020, 218, (2), 714-735 View citations (4)
    See also Working Paper Stationary Bubble Equilibria in Rational Expectation Models, Post-Print (2020) View citations (3) (2020)

2019

17. Robust analysis of the martingale hypothesis
    Econometrics and Statistics, 2019, 9, (C), 17-41 View citations (2)
    See also Working Paper Robust Analysis of the Martingale Hypothesis, Working Papers (2016) View citations (2) (2016)

2018

18. Misspecification of noncausal order in autoregressive processes
    Journal of Econometrics, 2018, 205, (1), 226-248 View citations (9)

2017

19. Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
    Journal of Econometrics, 2017, 200, (1), 118-134 View citations (16)

2016

20. Filtering, Prediction and Simulation Methods for Noncausal Processes
    Journal of Time Series Analysis, 2016, 37, (3), 405-430 View citations (31)
21. The Tradability Premium on the S&P 500 Index
    Journal of Financial Econometrics, 2016, 14, (3), 461-495 View citations (1)

2012

22. Granularity adjustment for default risk factor model with cohorts
    Journal of Banking & Finance, 2012, 36, (5), 1464-1477 View citations (2)

2010

23. Local Likelihood Density Estimation and Value-at-Risk
    Journal of Probability and Statistics, 2010, 2010, 1-26
    See also Working Paper Local Likelihood Density Estimation and Value at Risk, Working Papers (2001) View citations (6) (2001)

2009

24. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 View citations (17)
    See also Working Paper L-performance with an application to hedge funds, Post-Print (2009) View citations (15) (2009)
25. The Wishart Autoregressive process of multivariate stochastic volatility
    Journal of Econometrics, 2009, 150, (2), 167-181 View citations (144)
    See also Working Paper The Wishart Autoregressive Process of Multivariate Stochastic Volatility, Working Papers (2005) View citations (17) (2005)

2008

26. Dynamic quantile models
    Journal of Econometrics, 2008, 147, (1), 198-205 View citations (42)
    See also Working Paper DYNAMIC QUANTILE MODELS, Working Papers (2006) View citations (11) (2006)
27. The ordered qualitative model for credit rating transitions
    Journal of Empirical Finance, 2008, 15, (1), 111-130 View citations (38)
    See also Working Paper The Ordered Qualitative Model For Credit Rating Transitions, Working Papers (2006) (2006)

2006

28. Autoregressive gamma processes
    Journal of Forecasting, 2006, 25, (2), 129-152 View citations (98)
29. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 View citations (33)
30. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations (43)
    See also Working Paper Structural Laplace Transform and Compound Autoregressive Models, Post-Print (2006) View citations (43) (2006)

2005

31. Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
    Annals of Economics and Statistics, 2005, (78), 1-31 View citations (13)

2004

32. Heterogeneous INAR(1) model with application to car insurance
    Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 View citations (27)
33. Stochastic volatility duration models
    Journal of Econometrics, 2004, 119, (2), 413-433 View citations (67)
    See also Working Paper Stochastic Volatility Duration Models, Working Papers (1997) View citations (10) (1997)

2003

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

2002

35. Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
    Journal of Time Series Analysis, 2002, 23, (2), 127-154 View citations (4)
    See also Working Paper Nonlinear Autocorrelograms: An Application to Intra-Trade Durations, Working Papers (1998) View citations (3) (1998)

2001

36. DYNAMIC FACTOR MODELS
    Econometric Reviews, 2001, 20, (4), 385-424 View citations (12)
    See also Working Paper Dynamic Factor Models, Working Papers (1999) (1999)
37. Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors
    International Economic Review, 2001, 42, (3), 815-43 View citations (90)
38. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 View citations (63)
39. State‐space Models with Finite Dimensional Dependence
    Journal of Time Series Analysis, 2001, 22, (6), 665-678

2000

40. Causality between Returns and Traded Volumes
    Annals of Economics and Statistics, 2000, (60), 189-206 View citations (3)
    See also Working Paper Causality Between Returns and Trated Volumes, Working Papers (1998) (1998)

1999

41. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (59)

1998

42. GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
    Studies in Nonlinear Dynamics & Econometrics, 1998, 2, (4), 19 View citations (46)

1994

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

Books

2015

1. The Econometrics of Individual Risk: Credit, Insurance, and Marketing
   Economics Books, Princeton University Press View citations (2)

Chapters

2015

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

2011

2. Nonlinear Persistence and Copersistence
   Palgrave Macmillan
   See also Working Paper Nonlinear Persistence and Copersistence, York University, Department of Economics (1999) View citations (2) (1999)

2007

3. Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
   A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2007 View citations (10)