Details about Mark J. Jensen

Access statistics for papers by Mark J. Jensen.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pje71

Working Papers

2019

1. Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
   See also Journal Article Bayesian nonparametric learning of how skill is distributed across the mutual fund industry, Journal of Econometrics, Elsevier (2022) View citations (3) (2022)

2018

2. Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
   Also in Working Paper series, Rimini Centre for Economic Analysis (2018)
   See also Journal Article Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors, Journal of Econometrics, Elsevier (2019) (2019)

2015

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

2014

4. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (2)
   MPRA Paper, University Library of Munich, Germany (2013) View citations (6)
   See also Journal Article Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, JRFM, MDPI (2018) View citations (4) (2018)

2012

5. 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
   Also in Econometrics, University Library of Munich, Germany (1997) View citations (18)
   See also Journal Article A single-blind controlled competition among tests for nonlinearity and chaos, Journal of Econometrics, Elsevier (1997) View citations (133) (1997)
6. Bayesian Semiparametric Multivariate GARCH Modeling
   Working Paper series, Rimini Centre for Economic Analysis View citations (2)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (2)
   Working Papers, University of Toronto, Department of Economics (2012) View citations (3)
   See also Journal Article Bayesian semiparametric multivariate GARCH modeling, Journal of Econometrics, Elsevier (2013) View citations (24) (2013)
7. Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
   Working Papers, University of Toronto, Department of Economics View citations (1)
   Also in Working Paper series, Rimini Centre for Economic Analysis (2012) View citations (1)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012) View citations (1)
   See also Journal Article Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture, Journal of Econometrics, Elsevier (2014) View citations (16) (2014)
8. 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
   Also in Econometrics, University Library of Munich, Germany (1996)

2009

9. Bayesian Semiparametric Stochastic Volatility Modeling
   Working Paper series, Rimini Centre for Economic Analysis
   Also in Working Papers, University of Toronto, Department of Economics (2008) View citations (3)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (5)
   See also Journal Article Bayesian semiparametric stochastic volatility modeling, Journal of Econometrics, Elsevier (2010) View citations (75) (2010)

2006

10. The long-run Fisher effect: can it be tested?
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
    See also Journal Article The Long-Run Fisher Effect: Can It Be Tested?, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (13) (2009)

1999

11. An Approximate Wavelet MLE of Short and Long Memory Parameters
    Econometrics, University Library of Munich, Germany View citations (6)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (17)
    See also Journal Article An Approximate Wavelet MLE of Short- and Long-Memory Parameters, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1999) View citations (16) (1999)
12. Long-Run Neutrality in a Long-Memory Model
    Macroeconomics, University Library of Munich, Germany View citations (5)
13. Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
    MPRA Paper, University Library of Munich, Germany View citations (74)
    Also in Econometrics, University Library of Munich, Germany (1997) View citations (18)

1998

14. Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings
    Econometrics, University Library of Munich, Germany View citations (19)
    See also Journal Article RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS, Econometric Theory, Cambridge University Press (1999) View citations (22) (1999)

1997

15. An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
    Econometrics, University Library of Munich, Germany
    See also Journal Article An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets, Journal of Economic Dynamics and Control, Elsevier (2000) View citations (46) (2000)

1995

16. A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
    Computational Economics, University Library of Munich, Germany View citations (1)
    See also Journal Article A Homotopy Approach to Solving Nonlinear Rational Expectation Problems, Computational Economics, Springer (1997) View citations (2) (1997)
17. 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
18. OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels
    Econometrics, University Library of Munich, Germany

1994

19. Wavelet Analysis of Fractionally Integrated Processes
    Econometrics, University Library of Munich, Germany View citations (4)

1993

20. The Tracking Ability of the Divisia Monetary Aggregate Under Risk
    Macroeconomics, University Library of Munich, Germany

Journal Articles

2022

1. Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
   Journal of Econometrics, 2022, 230, (1), 131-153 View citations (3)
   See also Working Paper Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry, FRB Atlanta Working Paper (2019) (2019)

2020

2. Measuring and Managing COVID-19 Model Risk
   Policy Hub, 2020, 2020, (7), 12

2019

3. Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
   Journal of Econometrics, 2019, 210, (1), 187-202
   See also Working Paper Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors, FRB Atlanta Working Paper (2018) (2018)

2018

4. Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
   JRFM, 2018, 11, (3), 1-29 View citations (4)
   See also Working Paper Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, Working Paper series (2014) View citations (2) (2014)

2016

5. 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
6. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
   Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 455-475
   See also Working Paper Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility, FRB Atlanta Working Paper (2015) (2015)

2014

7. Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
   Journal of Econometrics, 2014, 178, (P3), 523-538 View citations (16)
   See also Working Paper Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture, Working Papers (2012) View citations (1) (2012)

2013

8. Bayesian semiparametric multivariate GARCH modeling
   Journal of Econometrics, 2013, 176, (1), 3-17 View citations (24)
   See also Working Paper Bayesian Semiparametric Multivariate GARCH Modeling, Working Paper series (2012) View citations (2) (2012)

2010

9. Bayesian semiparametric stochastic volatility modeling
   Journal of Econometrics, 2010, 157, (2), 306-316 View citations (75)
   See also Working Paper Bayesian Semiparametric Stochastic Volatility Modeling, Working Paper series (2009) (2009)

2009

10. The Long-Run Fisher Effect: Can It Be Tested?
    Journal of Money, Credit and Banking, 2009, 41, (1), 221-231 View citations (13)
    Also in Journal of Money, Credit and Banking, 2009, 41, (1), 221-231 (2009) View citations (4)
    See also Working Paper The long-run Fisher effect: can it be tested?, FRB Atlanta Working Paper (2006) View citations (3) (2006)

2006

11. Do long swings in the business cycle lead to strong persistence in output?
    Journal of Monetary Economics, 2006, 53, (3), 597-611 View citations (7)

2005

12. Long-run neutrality in a fractionally integrated model
    Journal of Macroeconomics, 2005, 27, (2), 257-274 View citations (16)

2004

13. Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
    Journal of Time Series Analysis, 2004, 25, (6), 895-922 View citations (24)

2003

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

2000

15. An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
    Journal of Economic Dynamics and Control, 2000, 24, (3), 361-387 View citations (46)
    See also Working Paper An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets, Econometrics (1997) (1997)

1999

16. An Approximate Wavelet MLE of Short- and Long-Memory Parameters
    Studies in Nonlinear Dynamics & Econometrics, 1999, 3, (4), 17 View citations (16)
    See also Working Paper An Approximate Wavelet MLE of Short and Long Memory Parameters, Econometrics (1999) View citations (6) (1999)
17. RESEARCH IN ECONOMETRIC THEORY: QUANTITATIVE AND QUALITATIVE PRODUCTIVITY RANKINGS
    Econometric Theory, 1999, 15, (5), 719-752 View citations (22)
    See also Working Paper Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings, Econometrics (1998) View citations (19) (1998)

1997

18. A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
    Computational Economics, 1997, 10, (1), 47-65 View citations (2)
    See also Working Paper A Homotopy Approach to Solving Nonlinear Rational Expectation Problems, Computational Economics (1995) View citations (1) (1995)
19. A single-blind controlled competition among tests for nonlinearity and chaos
    Journal of Econometrics, 1997, 82, (1), 157-192 View citations (133)
    See also Working Paper A SINGLE-BLIND CONTROLLED COMPETITION AMONG TESTS FOR NONLINEARITY AND CHAOS*, WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS (2012) (2012)
20. CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS
    Macroeconomic Dynamics, 1997, 1, (2), 485-512 View citations (43)
21. MATLAB as an Econometric Programming Environment
    Journal of Applied Econometrics, 1997, 12, (6), 735-44 View citations (4)
22. Quality of life in central cities and suburbs
    The Annals of Regional Science, 1997, 31, (4), 431-449 View citations (1)
23. Revisiting the flexibility and regularity properties of the asymptotically ideal production model
    Econometric Reviews, 1997, 16, (2), 179-203 View citations (3)

1995

24. Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
    Journal of Economic Behavior & Organization, 1995, 27, (2), 301-320 View citations (48)

Chapters

2014

1. Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility
   Springer View citations (3)

2000

2. CAPM Risk Adjustment
   A chapter in The Theory of Monetary Aggregation, 2000, pp 245-273