Joann Jasiak
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Joann |
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Jasiak |
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Affiliations
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York University
/ Department of Economics
Research profile
author of:
- Causality between Returns and Traded Volumes (RePEc:adr:anecst:y:2000:i:60:p:189-206)
by Eric Ghysels & Christian Gouriéroux & Joann Jasiak - Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity (RePEc:adr:anecst:y:2005:i:78:p:1-31)
by Christian Gouriéroux & Joann Jasiak - Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models (RePEc:adr:anecst:y:2020:i:140:p:1-26)
by Christian Gourieroux & Joann Jasiak - Long Run Predictions (RePEc:adr:anecst:y:2022:i:145:p:75-90)
by Christian Gourieroux & Joann Jasiak - Generalized Covariance Estimator (RePEc:arx:papers:2107.06979)
by Christian Gourieroux & Joann Jasiak - Composite Likelihood for Stochastic Migration Model with Unobserved Factor (RePEc:arx:papers:2109.09043)
by Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali - Long Run Risk in Stationary Structural Vector Autoregressive Models (RePEc:arx:papers:2202.09473)
by Christian Gourieroux & Joann Jasiak - Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models (RePEc:arx:papers:2205.09922)
by Christian Gourieroux & Joann Jasiak - Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood (RePEc:arx:papers:2211.11876)
by Christian Gourieroux & Joann Jasiak - Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether (RePEc:arx:papers:2301.00509)
by Antoine Djobenou & Emre Inan & Joann Jasiak - Digital Divide: Empirical Study of CIUS 2020 (RePEc:arx:papers:2301.07855)
by Joann Jasiak & Peter MacKenzie & Purevdorj Tuvaandorj - Penalized Likelihood Inference with Survey Data (RePEc:arx:papers:2304.07855)
by Joann Jasiak & Purevdorj Tuvaandorj - Optimization of the Generalized Covariance Estimator in Noncausal Processes (RePEc:arx:papers:2306.14653)
by Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak - GCov-Based Portmanteau Test (RePEc:arx:papers:2312.05373)
by Joann Jasiak & Aryan Manafi Neyazi - Bayesian Analysis of Stochastic Volatility Models: Comment (RePEc:bes:jnlbes:v:12:y:1994:i:4:p:399-401)
by Ghysels, Eric & Jasiak, Joanna - State‐space Models with Finite Dimensional Dependence (RePEc:bla:jtsera:v:22:y:2001:i:6:p:665-678)
by Christian Gourieroux & Joann Jasiak - Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations (RePEc:bla:jtsera:v:23:y:2002:i:2:p:127-154)
by Christian Gouriéroux & Joann Jasiak - First‐Order Autoregressive Processes with Heterogeneous Persistence (RePEc:bla:jtsera:v:24:y:2003:i:3:p:283-309)
by Joann Jasiak - Structural Laplace Transform and Compound Autoregressive Models (RePEc:bla:jtsera:v:27:y:2006:i:4:p:477-503)
by Serge Darolles & Christian Gourieroux & Joann Jasiak - Filtering, Prediction and Simulation Methods for Noncausal Processes (RePEc:bla:jtsera:v:37:y:2016:i:3:p:405-430)
by Christian Gourieroux & Joann Jasiak - Dynamic deconvolution and identification of independent autoregressive sources (RePEc:bla:jtsera:v:44:y:2023:i:2:p:151-180)
by Christian Gourieroux & Joann Jasiak - Temporally Local Maximum Likelihood with Application to SIS Model (RePEc:bpj:jtsmet:v:15:y:2023:i:2:p:151-198:n:3)
by Gourieroux Christian & Jasiak Joann - GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model (RePEc:bpj:sndecm:v:2:y:1998:i:4:n:4)
by Ghysels Eric & Jasiak Joanna - Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (RePEc:cir:cirwor:2000s-13)
by Jean-Marie Dufour & Joann Jasiak - Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects (RePEc:cir:cirwor:95s-31)
by Eric Ghysels & Joann Jasiak - Market Time and Asset Price Movements Theory and Estimation (RePEc:cir:cirwor:95s-32)
by Eric Ghysels & Christian Gouriéroux & Joann Jasiak - Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets (RePEc:cir:cirwor:95s-42)
by Eric Ghysels & Christian Gouriéroux & Joann Jasiak - Kernel Autocorrelogram for Time Deformed Processes (RePEc:cir:cirwor:96s-19)
by Eric Ghysels & Christian Gouriéroux & Joann Jasiak - GARCH for Irregularly Spaced Data: The ACD-GARCH Model (RePEc:cir:cirwor:97s-06)
by Eric Ghysels & Joann Jasiak - Nonlinear innovations and impulse responses (RePEc:cpm:cepmap:9906)
by Gourieroux, Christian & Jasiak, Joanna - Compound Autoregressive Models (RePEc:crs:wpaper:2001-21)
by Serge Darolles & Christian Gourieroux & Joanna Jasiak - Local Likelihood Density Estimation and Value at Risk (RePEc:crs:wpaper:2001-31)
by Christian Gourieroux & Joanna Jasiak - The Wishart Autoregressive of Multivariate Stochastic Volatility (RePEc:crs:wpaper:2004-32)
by Christian Gourieroux & Joann Jasiak & Razvan Sufana - A Degeneracy in the Analysis of Volatility and Covolatility Effects (RePEc:crs:wpaper:2006-30)
by Christian Gourieroux & Joann Jasiak - Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives (RePEc:crs:wpaper:2013-05)
by Christian Gouriéroux & Joann Jasiak & Peng Xu - Filtering and Prediction in Noncausal Processes (RePEc:crs:wpaper:2014-15)
by Christian Gouriéroux & Joann Jasiak - Misspecification of Causal and Noncausal Orders in Autoregressive Processes (RePEc:crs:wpaper:2014-25)
by Christian Gouriéroux & Joann Jasiak - Semi-Parametric Estimation of Noncausal Vector Autoregression (RePEc:crs:wpaper:2015-02)
by Christian Gouriéroux & Joann Jasiak - Robust Analysis of the Martingale Hypothesis (RePEc:crs:wpaper:2016-18)
by Christian Gouriéroux & Joann Jasiak - Stationary Bubble Equilibria in Rational Expectation Models (RePEc:crs:wpaper:2016-31)
by Christian Gouriéroux & Joann Jasiak & Alain Monfort - Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus (RePEc:crs:wpaper:2020-11)
by Christian GOURIEROUX & Joann JASIAK - Stochastic Volatility Duration Models (RePEc:crs:wpaper:97-46)
by Eric Ghysels & Christian Gourieroux & Joanna Jasiak - Truncated Maximum Likelihood and Nonparametric Tail Analysis (RePEc:crs:wpaper:98-25)
by Christian Gourieroux & Joanna Jasiak - Causality Between Returns and Trated Volumes (RePEc:crs:wpaper:98-40)
by Eric Ghysels & Christian Gourieroux & Joanna Jasiak - Nonlinear Autocorrelograms : An Application to Intra-Trade Durations (RePEc:crs:wpaper:98-41)
by Christian Gourieroux & Joanna Jasiak - Nonlinear Panel Data Models with Dynamic Heterogeneity (RePEc:crs:wpaper:98-50)
by Christian Gourieroux & Joanna Jasiak - Dynamic Factor Models (RePEc:crs:wpaper:99-08)
by Christian Gourieroux & Joanna Jasiak - Nonlinear Innovations and Impulse Response (RePEc:crs:wpaper:99-44)
by Christian Gourieroux & Joanna Jasiak - Nonlinear Persistence and Copersistence (RePEc:crs:wpaper:99-63)
by Christian Gourieroux & Joanna Jasiak - Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (RePEc:ecm:wc2000:1536)
by Jean-Marie Dufour & Joanna Jasiak - Memory and infrequent breaks (RePEc:eee:ecolet:v:70:y:2001:i:1:p:29-41)
by Gourieroux, Christian & Jasiak, Joann - Stochastic volatility duration models (RePEc:eee:econom:v:119:y:2004:i:2:p:413-433)
by Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann - Multivariate Jacobi process with application to smooth transitions (RePEc:eee:econom:v:131:y:2006:i:1-2:p:475-505)
by Gourieroux, Christian & Jasiak, Joann - Dynamic quantile models (RePEc:eee:econom:v:147:y:2008:i:1:p:198-205)
by Gourieroux, C. & Jasiak, J. - The Wishart Autoregressive process of multivariate stochastic volatility (RePEc:eee:econom:v:150:y:2009:i:2:p:167-181)
by Gourieroux, C. & Jasiak, J. & Sufana, R. - Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation (RePEc:eee:econom:v:200:y:2017:i:1:p:118-134)
by Gourieroux, Christian & Jasiak, Joann - Misspecification of noncausal order in autoregressive processes (RePEc:eee:econom:v:205:y:2018:i:1:p:226-248)
by Gourieroux, Christian & Jasiak, Joann - Stationary bubble equilibria in rational expectation models (RePEc:eee:econom:v:218:y:2020:i:2:p:714-735)
by Gourieroux, C. & Jasiak, J. & Monfort, A. - Time varying Markov process with partially observed aggregate data: An application to coronavirus (RePEc:eee:econom:v:232:y:2023:i:1:p:35-51)
by Gourieroux, C. & Jasiak, J. - Robust analysis of the martingale hypothesis (RePEc:eee:ecosta:v:9:y:2019:i:c:p:17-41)
by Gourieroux, Christian & Jasiak, Joann - The ordered qualitative model for credit rating transitions (RePEc:eee:empfin:v:15:y:2008:i:1:p:111-130)
by Feng, D. & Gourieroux, C. & Jasiak, J. - L-performance with an application to hedge funds (RePEc:eee:empfin:v:16:y:2009:i:4:p:671-685)
by Darolles, Serge & Gourieroux, Christian & Jasiak, Joann - Intra-day market activity (RePEc:eee:finmar:v:2:y:1999:i:3:p:193-226)
by Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle - Heterogeneous INAR(1) model with application to car insurance (RePEc:eee:insuma:v:34:y:2004:i:2:p:177-192)
by Gourieroux, C. & Jasiak, J. - Granularity adjustment for default risk factor model with cohorts (RePEc:eee:jbfina:v:36:y:2012:i:5:p:1464-1477)
by Gourieroux, C. & Jasiak, J. - Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether (RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300147x)
by Djogbenou, Antoine & Inan, Emre & Jasiak, Joann - Stationary Bubble Equilibria in Rational Expectation Models (RePEc:hal:journl:hal-03330912)
by Christian Gouriéroux & Joann Jasiak & Alain Monfort - An econometric panel data model of the COVID-19 pandemic (RePEc:hal:journl:hal-03641783)
by Antoine Djogbenou & Christian Gourieroux & Joann Jasiak & Paul Rilstone - L-performance with an application to hedge funds (RePEc:hal:journl:halshs-00677730)
by Serge Darolles & Christian Gourieroux & Joann Jasiak - Structural Laplace Transform and Compound Autoregressive Models (RePEc:hal:journl:halshs-00678240)
by Serge Darolles & Christian Gourieroux & Joann Jasiak - Local Likelihood Density Estimation and Value-at-Risk (RePEc:hin:jnljps:754851)
by Christian Gourieroux & Joann Jasiak - Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors (RePEc:ier:iecrev:v:42:y:2001:i:3:p:815-43)
by Dufour, Jean-Marie & Jasiak, Joann - Autoregressive gamma processes (RePEc:jof:jforec:v:25:y:2006:i:2:p:129-152)
by Joann Jasiak & Christian Gourieroux - Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects (RePEc:mtl:montde:9403)
by Ghysels, E. & Jasiak, J. - Market Time and Asset Price Movements: Theory and Estimation (RePEc:mtl:montde:9536)
by Ghysels, E. & Gourieroux, C. & Jasiak, J. - Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (RePEc:mtl:montde:9812)
by DUFOUR, Jean-Marie & JASIAK, Joanna - Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects (RePEc:mtl:montec:9403)
by Ghysels, E. & Jasiak, J. - Market Time and Asset Price Movements: Theory and Estimation (RePEc:mtl:montec:9536)
by Ghysels, E. & Gourieroux, C. & Jasiak, J. - The Tradability Premium on the S&P 500 Index (RePEc:oup:jfinec:v:14:y:2016:i:3:p:461-495.)
by Christian Gourieroux & Joann Jasiak & Peng Xu - Testing for Endogeneity of Covid-19 Patient Assignments
[The Value of Life and Health for Public Policy] (RePEc:oup:jfinec:v:20:y:2022:i:5:p:875-901.)
by C Gourieroux & A Djogbenou & J Jasiak - Nonlinear Persistence and Copersistence (RePEc:pal:palchp:978-0-230-29521-6_4)
by Christian Gourieroux & Joann Jasiak - Inference for Noisy Long Run Component Process (RePEc:pra:mprapa:98987)
by Gourieroux, Christian & Jasiak, Joann - Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing (RePEc:pup:chapts:8433-1)
by Christian Gourieroux & Joann Jasiak - Introduction (RePEc:pup:chapts:8433-2)
by Christian Gourieroux & Joann Jasiak - The Econometrics of Individual Risk: Credit, Insurance, and Marketing (RePEc:pup:pbooks:8433)
by Christian Gourieroux & Joann Jasiak - An Econometric Panel Data Model of the COVID-19 Pandemic (RePEc:spt:stecon:v:11:y:2022:i:1:f:11_1_3)
by Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Paul Rilstone - Dynamic Factor Models (RePEc:taf:emetrv:v:20:y:2001:i:4:p:385-424)
by Christian Gourieroux & Joann Jasiak - Generalized Covariance Estimator (RePEc:taf:jnlbes:v:41:y:2023:i:4:p:1315-1327)
by Christian Gourieroux & Joann Jasiak - Transition model for coronavirus management (RePEc:wly:canjec:v:55:y:2022:i:s1:p:665-704)
by Antoine Djogbenou & Christian Gourieroux & Joann Jasiak & Paul Rilstone & Maygol Bandehali - Forecast performance and bubble analysis in noncausal MAR(1, 1) processes (RePEc:wly:jforec:v:40:y:2021:i:2:p:301-326)
by Christian Gourieroux & Andrew Hencic & Joann Jasiak - Convolution‐based filtering and forecasting: An application to WTI crude oil prices (RePEc:wly:jforec:v:40:y:2021:i:7:p:1230-1244)
by Christian Gourieroux & Joann Jasiak & Michelle Tong - Persistence in Intertrade Durations (RePEc:yca:wpaper:1999_8)
by Joann Jasiak - Nonlinear Persistence and Copersistence (RePEc:yca:wpaper:2000_1)
by Christian Gourieroux & Joann Jasiak - The Wishart Autoregressive Process of Multivariate Stochastic Volatility (RePEc:yca:wpaper:2005_2)
by Joan Jasiak & R. Sufana & C. Gourieroux - The Ordered Qualitative Model For Credit Rating Transitions (RePEc:yca:wpaper:2006_2)
by Joan Jasiak & D. Feng & C. Gourieroux - Dynamic Quantile Models (RePEc:yca:wpaper:2006_4)
by Joan Jasiak & C. Gourieroux