Mark J. Jensen
Names
| first: |
Mark |
| middle: |
J. |
| last: |
Jensen |
Identifer
Contact
| postal address: |
Federal Reserve Bank of Atlanta
1000 Peachtree Street, NE
Atlanta, GA 30309-4470 |
Affiliations
-
Federal Reserve Bank of Atlanta
/ Economic Research Department
Research profile
author of:
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models (RePEc:bla:jtsera:v:25:y:2004:i:6:p:895-922)
by Mark J. Jensen - Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (RePEc:bpj:sndecm:v:20:y:2016:i:4:p:455-475:n:4)
by Jensen Mark J. - An Approximate Wavelet MLE of Short- and Long-Memory Parameters (RePEc:bpj:sndecm:v:3:y:1999:i:4:n:5)
by Jensen Mark J. - Long Memory Inflationary Dynamics: The Case of Brazil (RePEc:bpj:sndecm:v:7:y:2003:i:3:n:3)
by Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J - Research In Econometric Theory: Quantitative And Qualitative Productivity Rankings (RePEc:cup:etheor:v:15:y:1999:i:05:p:719-752_15)
by Cribari-Neto, Francisco & Jensen, Mark J. & Novo, Álvaro A. - Capm Risk Adjustment For Exact Aggregation Over Financial Assets (RePEc:cup:macdyn:v:1:y:1997:i:02:p:485-512_00)
by Barnett, William A. & Liu, Yi & Jensen, Mark - An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets (RePEc:eee:dyncon:v:24:y:2000:i:3:p:361-387)
by Jensen, Mark J. - Bayesian semiparametric stochastic volatility modeling (RePEc:eee:econom:v:157:y:2010:i:2:p:306-316)
by Jensen, Mark J. & Maheu, John M. - Bayesian semiparametric multivariate GARCH modeling (RePEc:eee:econom:v:176:y:2013:i:1:p:3-17)
by Jensen, Mark J. & Maheu, John M. - Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (RePEc:eee:econom:v:178:y:2014:i:p3:p:523-538)
by Jensen, Mark J. & Maheu, John M. - Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors (RePEc:eee:econom:v:210:y:2019:i:1:p:187-202)
by Fisher, Mark & Jensen, Mark J. - Bayesian nonparametric learning of how skill is distributed across the mutual fund industry (RePEc:eee:econom:v:230:y:2022:i:1:p:131-153)
by Fisher, Mark & Jensen, Mark J. - A single-blind controlled competition among tests for nonlinearity and chaos (RePEc:eee:econom:v:82:y:1997:i:1:p:157-192)
by Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J. - A comment on De Grauwe's, “The legacy of the Eurozone crisis and how to overcome it” (RePEc:eee:empfin:v:39:y:2016:i:pb:p:166-168)
by Jensen, Mark J. - Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size (RePEc:eee:jeborg:v:27:y:1995:i:2:p:301-320)
by Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J. - Long-run neutrality in a fractionally integrated model (RePEc:eee:jmacro:v:27:y:2005:i:2:p:257-274)
by Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G. - Do long swings in the business cycle lead to strong persistence in output? (RePEc:eee:moneco:v:53:y:2006:i:3:p:597-611)
by Jensen, Mark J. & Liu, Ming - CAPM Risk Adjustment (RePEc:eme:ceazzz:s0573-8555(2000)0000245021)
by William A. Barnett & Yi Liu & Mark Jensen - Unknown item RePEc:fip:a00001:88480 (paper)
- Unknown item RePEc:fip:a00001:89429 (paper)
- The long-run Fisher effect: can it be tested? (RePEc:fip:fedawp:2006-11)
by Mark J. Jensen - Bayesian semiparametric stochastic volatility modeling (RePEc:fip:fedawp:2008-15)
by Mark J. Jensen & John M. Maheu - Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture (RePEc:fip:fedawp:2012-06)
by Mark J. Jensen & John M. Maheu - Bayesian semiparametric multivariate GARCH modeling (RePEc:fip:fedawp:2012-09)
by Mark J. Jensen & John M. Maheu - Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:fip:fedawp:2014-06)
by Mark J. Jensen & John M. Maheu - Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (RePEc:fip:fedawp:2015-12)
by Mark J. Jensen - Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors (RePEc:fip:fedawp:2018-02)
by Mark Fisher & Mark J. Jensen - Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry (RePEc:fip:fedawp:2019-03)
by Mark Fisher & Mark J. Jensen & Paula A. Tkac - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993)
by Mark J. Jensen & John M. Maheu - MATLAB as an Econometric Programming Environment (RePEc:jae:japmet:v:12:y:1997:i:6:p:735-44)
by Cribari-Neto, Francisco & Jensen, Mark J - The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets (RePEc:kan:wpaper:201215)
by William Barnett & Yi Liu & Haiyang Xu & Mark Jensen - A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos (RePEc:kan:wpaper:201219)
by William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen - A Homotopy Approach to Solving Nonlinear Rational Expectation Problems (RePEc:kap:compec:v:10:y:1997:i:1:p:47-65)
by Jensen, Mark J - The Long-Run Fisher Effect: Can It Be Tested? (RePEc:mcb:jmoncb:v:41:y:2009:i:1:p:221-231)
by Mark J. Jensen - A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression (RePEc:pra:mprapa:39020)
by Jensen, Mark J - Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter (RePEc:pra:mprapa:39152)
by Jensen, Mark J - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:pra:mprapa:52132)
by Jensen, Mark J & Maheu, John M - Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors (RePEc:rim:rimwps:18-12)
by Mark Fisher & Mark J. Jensen - Bayesian Semiparametric Stochastic Volatility Modeling (RePEc:rim:rimwps:23_09)
by Mark J. Jensen & John M. Maheu - Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis (RePEc:rim:rimwps:31_14)
by Mark J. Jensen & John M. Maheu - Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture (RePEc:rim:rimwps:45_12)
by Mark J. Jensen & John M. Maheu - Bayesian Semiparametric Multivariate GARCH Modeling (RePEc:rim:rimwps:48_12)
by Mark J. Jensen & John M. Maheu - An Approximate Wavelet MLE of Short- and Long-Memory Parameters (RePEc:sce:scecf9:1243)
by Mark J. Jensen - Quality of life in central cities and suburbs (RePEc:spr:anresc:v:31:y:1997:i:4:p:431-449)
by Mark J. Jensen & Charles L. Leven - Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility (RePEc:spr:dymchp:978-3-319-07061-2_5)
by Mark J. Jensen & Brandon Whitcher - Revisiting the flexibility and regularity properties of the asymptotically ideal production model (RePEc:taf:emetrv:v:16:y:1997:i:2:p:179-203)
by Mark Jensen - Bayesian semiparametric stochastic volatility modeling (RePEc:tor:tecipa:tecipa-314)
by Mark J Jensen & John M Maheu - Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture (RePEc:tor:tecipa:tecipa-453)
by Mark J Jensen & John M Maheu - Bayesian semiparametric multivariate GARCH modeling (RePEc:tor:tecipa:tecipa-458)
by Mark J Jensen & John M Maheu - The Long‐Run Fisher Effect: Can It Be Tested? (RePEc:wly:jmoncb:v:41:y:2009:i:1:p:221-231)
by Mark J. Jensen - A Homotopy Approach to Solving Nonlinear Rational Expectation Problems (RePEc:wpa:wuwpco:9506002)
by Mark J. Jensen - Wavelet Analysis of Fractionally Integrated Processes (RePEc:wpa:wuwpem:9405001)
by Mark J. Jensen - OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels (RePEc:wpa:wuwpem:9506002)
by Mark J. Jensen - The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets (RePEc:wpa:wuwpem:9602003)
by William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen - A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos (RePEc:wpa:wuwpem:9602005)
by William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen - An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets (RePEc:wpa:wuwpem:9709002)
by Mark J. Jensen - Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter (RePEc:wpa:wuwpem:9710002)
by Mark J. Jensen - Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings (RePEc:wpa:wuwpem:9711001)
by Francisco Cribari-Neto & Mark J. Jensen & Alvaro C. Novo - An Approximate Wavelet MLE of Short and Long Memory Parameters (RePEc:wpa:wuwpem:9802003)
by Mark J. Jensen - The Tracking Ability of the Divisia Monetary Aggregate Under Risk (RePEc:wpa:wuwpma:9309002)
by Mark J. Jensen - Long-Run Neutrality in a Long-Memory Model (RePEc:wpa:wuwpma:9809006)
by SangKun Bae & Mark J. Jensen