Mark J. Jensen

Names

Identifer

Contact

Affiliations

• Federal Reserve Bank of Atlanta / Economic Research Department
  • EDIRC entry
  • location:

Research profile

author of:

• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
  Journal of Time Series Analysis, Wiley Blackwell (2004)
  by Mark J. Jensen
  (ReDIF-article, bla:jtsera:v:25:y:2004:i:6:p:895-922)
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
  Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016)
  by Jensen Mark J.
  (ReDIF-article, bpj:sndecm:v:20:y:2016:i:4:p:455-475:n:4)
• An Approximate Wavelet MLE of Short- and Long-Memory Parameters
  Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1999)
  by Jensen Mark J.
  (ReDIF-article, bpj:sndecm:v:3:y:1999:i:4:n:5)
• Long Memory Inflationary Dynamics: The Case of Brazil
  Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2003)
  by Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J
  (ReDIF-article, bpj:sndecm:v:7:y:2003:i:3:n:3)
• Research In Econometric Theory: Quantitative And Qualitative Productivity Rankings
  Econometric Theory, Cambridge University Press (1999)
  by Cribari-Neto, Francisco & Jensen, Mark J. & Novo, Álvaro A.
  (ReDIF-article, cup:etheor:v:15:y:1999:i:05:p:719-752_15)
• Capm Risk Adjustment For Exact Aggregation Over Financial Assets
  Macroeconomic Dynamics, Cambridge University Press (1997)
  by Barnett, William A. & Liu, Yi & Jensen, Mark
  (ReDIF-article, cup:macdyn:v:1:y:1997:i:02:p:485-512_00)
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
  Journal of Economic Dynamics and Control, Elsevier (2000)
  by Jensen, Mark J.
  (ReDIF-article, eee:dyncon:v:24:y:2000:i:3:p:361-387)
• Bayesian semiparametric stochastic volatility modeling
  Journal of Econometrics, Elsevier (2010)
  by Jensen, Mark J. & Maheu, John M.
  (ReDIF-article, eee:econom:v:157:y:2010:i:2:p:306-316)
• Bayesian semiparametric multivariate GARCH modeling
  Journal of Econometrics, Elsevier (2013)
  by Jensen, Mark J. & Maheu, John M.
  (ReDIF-article, eee:econom:v:176:y:2013:i:1:p:3-17)
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
  Journal of Econometrics, Elsevier (2014)
  by Jensen, Mark J. & Maheu, John M.
  (ReDIF-article, eee:econom:v:178:y:2014:i:p3:p:523-538)
• Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
  Journal of Econometrics, Elsevier (2019)
  by Fisher, Mark & Jensen, Mark J.
  (ReDIF-article, eee:econom:v:210:y:2019:i:1:p:187-202)
• Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
  Journal of Econometrics, Elsevier (2022)
  by Fisher, Mark & Jensen, Mark J.
  (ReDIF-article, eee:econom:v:230:y:2022:i:1:p:131-153)
• A single-blind controlled competition among tests for nonlinearity and chaos
  Journal of Econometrics, Elsevier (1997)
  by Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J.
  (ReDIF-article, eee:econom:v:82:y:1997:i:1:p:157-192)
• A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it”
  Journal of Empirical Finance, Elsevier (2016)
  by Jensen, Mark J.
  (ReDIF-article, eee:empfin:v:39:y:2016:i:pb:p:166-168)
• Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
  Journal of Economic Behavior & Organization, Elsevier (1995)
  by Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J.
  (ReDIF-article, eee:jeborg:v:27:y:1995:i:2:p:301-320)
• Long-run neutrality in a fractionally integrated model
  Journal of Macroeconomics, Elsevier (2005)
  by Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G.
  (ReDIF-article, eee:jmacro:v:27:y:2005:i:2:p:257-274)
• Do long swings in the business cycle lead to strong persistence in output?
  Journal of Monetary Economics, Elsevier (2006)
  by Jensen, Mark J. & Liu, Ming
  (ReDIF-article, eee:moneco:v:53:y:2006:i:3:p:597-611)
• CAPM Risk Adjustment
  Contributions to Economic Analysis, Emerald Group Publishing Limited (2000)
  by William A. Barnett & Yi Liu & Mark Jensen
  (ReDIF-chapter, eme:ceazzz:s0573-8555(2000)0000245021)
• Unknown item RePEc:fip:a00001:88480 (paper)
• Unknown item RePEc:fip:a00001:89429 (paper)
• Measuring and Managing COVID-19 Model Risk
  Policy Hub, Federal Reserve Bank of Atlanta (2020)
  by Mark J. Jensen
  (ReDIF-article, fip:a00068:99139)
• The long-run Fisher effect: can it be tested?
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2006)
  by Mark J. Jensen
  (ReDIF-paper, fip:fedawp:2006-11)
• Bayesian semiparametric stochastic volatility modeling
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, fip:fedawp:2008-15)
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, fip:fedawp:2012-06)
• Bayesian semiparametric multivariate GARCH modeling
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2012)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, fip:fedawp:2012-09)
• Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, fip:fedawp:2014-06)
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2015)
  by Mark J. Jensen
  (ReDIF-paper, fip:fedawp:2015-12)
• Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2018)
  by Mark Fisher & Mark J. Jensen
  (ReDIF-paper, fip:fedawp:2018-02)
• Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry
  FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2019)
  by Mark Fisher & Mark J. Jensen & Paula A. Tkac
  (ReDIF-paper, fip:fedawp:2019-03)
• Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
  JRFM, MDPI (2018)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-article, gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993)
• MATLAB as an Econometric Programming Environment
  Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1997)
  by Cribari-Neto, Francisco & Jensen, Mark J
  (ReDIF-article, jae:japmet:v:12:y:1997:i:6:p:735-44)
• 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 (2012)
  by William Barnett & Yi Liu & Haiyang Xu & Mark Jensen
  (ReDIF-paper, kan:wpaper:201215)
• 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 (2012)
  by William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen
  (ReDIF-paper, kan:wpaper:201219)
• A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
  Computational Economics, Springer;Society for Computational Economics (1997)
  by Jensen, Mark J
  (ReDIF-article, kap:compec:v:10:y:1997:i:1:p:47-65)
• The Long-Run Fisher Effect: Can It Be Tested?
  Journal of Money, Credit and Banking, Blackwell Publishing (2009)
  by Mark J. Jensen
  (ReDIF-article, mcb:jmoncb:v:41:y:2009:i:1:p:221-231)
• 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 (1995)
  by Jensen, Mark J
  (ReDIF-paper, pra:mprapa:39020)
• Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
  MPRA Paper, University Library of Munich, Germany (1999)
  by Jensen, Mark J
  (ReDIF-paper, pra:mprapa:39152)
• Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
  MPRA Paper, University Library of Munich, Germany (2013)
  by Jensen, Mark J & Maheu, John M
  (ReDIF-paper, pra:mprapa:52132)
• Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
  Working Paper series, Rimini Centre for Economic Analysis (2018)
  by Mark Fisher & Mark J. Jensen
  (ReDIF-paper, rim:rimwps:18-12)
• Bayesian Semiparametric Stochastic Volatility Modeling
  Working Paper series, Rimini Centre for Economic Analysis (2009)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, rim:rimwps:23_09)
• Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
  Working Paper series, Rimini Centre for Economic Analysis (2014)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, rim:rimwps:31_14)
• Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
  Working Paper series, Rimini Centre for Economic Analysis (2012)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, rim:rimwps:45_12)
• Bayesian Semiparametric Multivariate GARCH Modeling
  Working Paper series, Rimini Centre for Economic Analysis (2012)
  by Mark J. Jensen & John M. Maheu
  (ReDIF-paper, rim:rimwps:48_12)
• An Approximate Wavelet MLE of Short- and Long-Memory Parameters
  Computing in Economics and Finance 1999, Society for Computational Economics (1999)
  by Mark J. Jensen
  (ReDIF-paper, sce:scecf9:1243)
• Quality of life in central cities and suburbs
  The Annals of Regional Science, Springer;Western Regional Science Association (1997)
  by Mark J. Jensen & Charles L. Leven
  (ReDIF-article, spr:anresc:v:31:y:1997:i:4:p:431-449)
• Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility
  Dynamic Modeling and Econometrics in Economics and Finance, Springer (2014)
  by Mark J. Jensen & Brandon Whitcher
  (ReDIF-chapter, spr:dymchp:978-3-319-07061-2_5)
• Revisiting the flexibility and regularity properties of the asymptotically ideal production model
  Econometric Reviews, Taylor & Francis Journals (1997)
  by Mark Jensen
  (ReDIF-article, taf:emetrv:v:16:y:1997:i:2:p:179-203)
• Bayesian semiparametric stochastic volatility modeling
  Working Papers, University of Toronto, Department of Economics (2008)
  by Mark J Jensen & John M Maheu
  (ReDIF-paper, tor:tecipa:tecipa-314)
• Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
  Working Papers, University of Toronto, Department of Economics (2012)
  by Mark J Jensen & John M Maheu
  (ReDIF-paper, tor:tecipa:tecipa-453)
• Bayesian semiparametric multivariate GARCH modeling
  Working Papers, University of Toronto, Department of Economics (2012)
  by Mark J Jensen & John M Maheu
  (ReDIF-paper, tor:tecipa:tecipa-458)
• The Long‐Run Fisher Effect: Can It Be Tested?
  Journal of Money, Credit and Banking, Blackwell Publishing (2009)
  by Mark J. Jensen
  (ReDIF-article, wly:jmoncb:v:41:y:2009:i:1:p:221-231)
• A Homotopy Approach to Solving Nonlinear Rational Expectation Problems
  Computational Economics, University Library of Munich, Germany (1995)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpco:9506002)
• Wavelet Analysis of Fractionally Integrated Processes
  Econometrics, University Library of Munich, Germany (1994)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9405001)
• OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels
  Econometrics, University Library of Munich, Germany (1995)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9506002)
• The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets
  Econometrics, University Library of Munich, Germany (1996)
  by William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen
  (ReDIF-paper, wpa:wuwpem:9602003)
• A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos
  Econometrics, University Library of Munich, Germany (1996)
  by William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9602005)
• An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
  Econometrics, University Library of Munich, Germany (1997)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9709002)
• Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter
  Econometrics, University Library of Munich, Germany (1997)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9710002)
• Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings
  Econometrics, University Library of Munich, Germany (1997)
  by Francisco Cribari-Neto & Mark J. Jensen & Alvaro C. Novo
  (ReDIF-paper, wpa:wuwpem:9711001)
• An Approximate Wavelet MLE of Short and Long Memory Parameters
  Econometrics, University Library of Munich, Germany (1998)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpem:9802003)
• The Tracking Ability of the Divisia Monetary Aggregate Under Risk
  Macroeconomics, University Library of Munich, Germany (1993)
  by Mark J. Jensen
  (ReDIF-paper, wpa:wuwpma:9309002)
• Long-Run Neutrality in a Long-Memory Model
  Macroeconomics, University Library of Munich, Germany (1998)
  by SangKun Bae & Mark J. Jensen
  (ReDIF-paper, wpa:wuwpma:9809006)