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Details about Mark J. Jensen

E-mail:
Postal address:Federal Reserve Bank of Atlanta 1000 Peachtree Street, NE Atlanta, GA 30309-4470
Workplace:Economic Research Department, Federal Reserve Bank of Atlanta, (more information at EDIRC)

Access statistics for papers by Mark J. Jensen.

Last updated 2017-04-03. Update your information in the RePEc Author Service.

Short-id: pje71


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Working Papers

2015

  1. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2014

  1. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) Downloads View citations (1)

2012

  1. A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in Econometrics, EconWPA (1997) Downloads View citations (15)

    See also Journal Article in Journal of Econometrics (1997)
  2. Bayesian Semiparametric Multivariate GARCH Modeling
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Working Papers, University of Toronto, Department of Economics (2012) Downloads View citations (3)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2013)
  3. Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    Working Papers, University of Toronto, Department of Economics Downloads View citations (1)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) Downloads View citations (1)
    Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2014)
  4. The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets
    WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics Downloads
    Also in Econometrics, EconWPA (1996) Downloads

2009

  1. Bayesian Semiparametric Stochastic Volatility Modeling
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) Downloads View citations (4)
    Working Papers, University of Toronto, Department of Economics (2008) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2010)

2006

  1. The long-run Fisher effect: can it be tested?
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2009)

1999

  1. An Approximate Wavelet MLE of Short and Long Memory Parameters
    Econometrics, EconWPA Downloads View citations (5)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (8)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1999)
  2. Long-Run Neutrality in a Long-Memory Model
    Macroeconomics, EconWPA Downloads View citations (5)
  3. Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
    MPRA Paper, University Library of Munich, Germany Downloads View citations (40)
    Also in Econometrics, EconWPA (1997) Downloads View citations (19)

1998

  1. Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings
    Econometrics, EconWPA Downloads View citations (15)
    See also Journal Article in Econometric Theory (1999)

1997

  1. An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
    Econometrics, EconWPA Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2000)

1995

  1. A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
    Computational Economics, EconWPA Downloads View citations (1)
    See also Journal Article in Computational Economics (1997)
  2. A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression
    MPRA Paper, University Library of Munich, Germany Downloads
  3. OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels
    Econometrics, EconWPA Downloads

1994

  1. Wavelet Analysis of Fractionally Integrated Processes
    Econometrics, EconWPA Downloads View citations (1)

1993

  1. The Tracking Ability of the Divisia Monetary Aggregate Under Risk
    Macroeconomics, EconWPA Downloads

Journal Articles

2016

  1. A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it”
    Journal of Empirical Finance, 2016, 39, (PB), 166-168 Downloads
  2. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 455-475 Downloads
    See also Working Paper (2015)

2014

  1. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
    Journal of Econometrics, 2014, 178, (P3), 523-538 Downloads View citations (4)
    See also Working Paper (2012)

2013

  1. Bayesian semiparametric multivariate GARCH modeling
    Journal of Econometrics, 2013, 176, (1), 3-17 Downloads View citations (8)
    See also Working Paper (2012)

2010

  1. Bayesian semiparametric stochastic volatility modeling
    Journal of Econometrics, 2010, 157, (2), 306-316 Downloads View citations (38)
    See also Working Paper (2009)

2009

  1. The Long-Run Fisher Effect: Can It Be Tested?
    Journal of Money, Credit and Banking, 2009, 41, (1), 221-231 Downloads View citations (3)
    See also Working Paper (2006)

2006

  1. Do long swings in the business cycle lead to strong persistence in output?
    Journal of Monetary Economics, 2006, 53, (3), 597-611 Downloads View citations (6)

2005

  1. Long-run neutrality in a fractionally integrated model
    Journal of Macroeconomics, 2005, 27, (2), 257-274 Downloads View citations (12)

2004

  1. Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models
    Journal of Time Series Analysis, 2004, 25, (6), 895-922 Downloads View citations (17)

2003

  1. Long Memory Inflationary Dynamics: The Case of Brazil
    Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (3), 1-18 Downloads View citations (2)

2000

  1. An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
    Journal of Economic Dynamics and Control, 2000, 24, (3), 361-387 Downloads View citations (30)
    See also Working Paper (1997)

1999

  1. An Approximate Wavelet MLE of Short- and Long-Memory Parameters
    Studies in Nonlinear Dynamics & Econometrics, 1999, 3, (4), 1-17 Downloads View citations (8)
    See also Working Paper (1999)
  2. RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS
    Econometric Theory, 1999, 15, (05), 719-752 Downloads View citations (18)
    See also Working Paper (1998)

1997

  1. A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
    Computational Economics, 1997, 10, (1), 47-65 Downloads View citations (2)
    See also Working Paper (1995)
  2. A single-blind controlled competition among tests for nonlinearity and chaos
    Journal of Econometrics, 1997, 82, (1), 157-192 Downloads View citations (101)
    See also Working Paper (2012)
  3. CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS
    Macroeconomic Dynamics, 1997, 1, (02), 485-512 Downloads View citations (25)
  4. MATLAB as an Econometric Programming Environment
    Journal of Applied Econometrics, 1997, 12, (6), 735-44 Downloads View citations (3)
  5. Quality of life in central cities and suburbs
    The Annals of Regional Science, 1997, 31, (4), 431-449 Downloads
  6. Revisiting the flexibility and regularity properties of the asymptotically ideal production model
    Econometric Reviews, 1997, 16, (2), 179-203 Downloads View citations (3)

1995

  1. Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
    Journal of Economic Behavior & Organization, 1995, 27, (2), 301-320 Downloads View citations (37)
 
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