J. Jasiak

发表

The Wishart Autoregressive Process of Multivariate Stochastic Volatility

C. Gouriéroux, J. Jasiak, R. Sufana, 2009 .

First‐Order Autoregressive Processes with Heterogeneous Persistence

J. Jasiak, 2003 .

Estimation of Autoregressive Processes with Heterogenous Persistence

J. Jasiak, 2000 .

Multivariate Jacobi process with application to smooth transitions

C. Gouriéroux, J. Jasiak, 2006 .

DYNAMIC FACTOR MODELS

C. Gouriéroux, J. Jasiak, 2001 .

Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects

E. Ghysels, J. Jasiak, Eric Ghysels, 1994 .

Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets

C. Gouriéroux, E. Ghysels, J. Jasiak, 1995 .

Time varying Markov process with partially observed aggregate data: An application to coronavirus

C. Gouriéroux, J. Jasiak, 2020, Journal of Econometrics.

Intra-day market activity

C. Gouriéroux, J. Jasiak, G. L. Fol, 1999 .

Heterogeneous INAR(1) model with application to car insurance

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2004 .

Dynamic quantile models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2008 .

Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing

C. Gouriéroux, J. Jasiak, 2007 .

Bayesian Analysis of Stochastic Volatility Models: Comment

E. Ghysels, J. Jasiak, 1994 .

L-Performance with an Application to Hedge Funds

Christian Gourieroux, Serge Darolles, Joann Jasiak, 2008 .

Nonlinear persistence and copersistence

C. Gouriéroux, J. Jasiak, 1999 .

State‐space Models with Finite Dimensional Dependence

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

Stationary bubble equilibria in rational expectation models

C. Gouriéroux, A. Monfort, J. Jasiak, 2020 .

Kernel Autocorrelogram for Time Deformed Processes

C. Gouriéroux, E. Ghysels, J. Jasiak, 1998 .

Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models

C. Gouriéroux, J. Jasiak, 2022, 2205.09922.

Semi-Parametric Estimation of Noncausal Vector Autoregression

C. Gouriéroux, J. Jasiak, 2015 .

Filtering and Prediction in Noncausal Processes

C. Gouriéroux, J. Jasiak, 2014 .

Compound Autoregressive Models

C. Gouriéroux, J. Jasiak, S. Darolles, 2001 .

Série Scientifique Scientific Series N o 95 s-32 MARKET TIME AND ASSET PRICE MOVEMENTS THEORY AND ESTIMATION

C. Gouriéroux, J. Jasiak, Eric Ghysels, 1995 .

Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood

C. Gouriéroux, J. Jasiak, 2022, 2211.11876.

The Wishart Autoregressive of Multivariate Stochastic Volatility

C. Gouriéroux, J. Jasiak, R. Sufana, 2004 .

Truncated Maximum Likelihood and Nonparametric Tail Analysis

C. Gouriéroux, J. Jasiak, 1998 .

Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity

C. Gouriéroux, J. Jasiak, 2003 .

Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether

J. Jasiak, Antoine Djobenou, Emre Inan, 2023, Journal of International Money and Finance.

Robust analysis of the martingale hypothesis

C. Gouriéroux, J. Jasiak, 2019, Econometrics and Statistics.

Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations

C. Gouriéroux, J. Jasiak, 2002 .

The Ordered Qualitative Model for Credit Rating Transitions

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2003 .

Finite Sample Limited Information Inference Methods for Structural Equations and Models With Generated Regressors

Jean-Marie Dufour, J. Jasiak, 2001 .

Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors

Jean-Marie Dufour, Jean-Marie Dufour, J. Jasiak, 1998 .

Memory and infrequent breaks

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

8. Transition Models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2011 .

Temporally Local Maximum Likelihood with Application to SIS Model

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2021, Journal of Time Series Econometrics.

Dynamic deconvolution and identification of independent autoregressive sources

C. Gouriéroux, J. Jasiak, 2022, Journal of Time Series Analysis.

Generalized Covariance Estimator

C. Gouriéroux, J. Jasiak, 2021, 2107.06979.

Long Run Risk in Stationary Structural Vector Autoregressive Models

C. Gouriéroux, J. Jasiak, 2022, 2202.09473.

Local Likelihood Density Estimation and Value-at-Risk

C. Gouriéroux, J. Jasiak, 2010 .

Persistence in Intertrade Durations

Joann Jasiak, J. Jasiak, 1999 .

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Eric Ghysels, J. Jasiak, Joanna Jasiak, 1998 .

Structural Laplace Transform and Compound Autoregressive Models

Christian Gourieroux, Serge Darolles, Joann Jasiak, 2006 .

Misspecification of noncausal order in autoregressive processes

C. Gouriéroux, J. Jasiak, 2018, Journal of Econometrics.

Stochastic volatility duration models

Eric Ghysels, Christian Gourieroux, Joanna Jasiak, 2004 .

Autoregressive Gamma Processes

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2005 .

Size Distortion in the Analysis of Volatility and Covolatility Effects

C. Gouriéroux, J. Jasiak, 2013 .

Inference for Noisy Long Run Component Process

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2010 .

The Tradability Premium on the S&P 500 Index

C. Gouriéroux, J. Jasiak, Peng Xu, 2015 .

Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives

C. Gouriéroux, J. Jasiak, Peng Xu, 2013 .

Filtering, Prediction and Simulation Methods for Noncausal Processes

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2016 .

Three Essays on Econometrics of Latent Variables.

J. Jasiak, 1995 .

Convolution‐based filtering and forecasting: An application to WTI crude oil prices

C. Gouriéroux, J. Jasiak, Michelle Tong, 2021 .

Forecast performance and bubble analysis in noncausal MAR(1, 1) processes

Christian Gourieroux, Joann Jasiak, Andrew Hencic, 2020 .

Testing for Endogeneity of Covid-19 Patient Assignments*

C. Gouriéroux, J. Jasiak, A. Djogbenou, 2021, Journal of Financial Econometrics.

Digital Divide: Empirical Study of CIUS 2020

J. Jasiak, Purevdorj Tuvaandorj, P. MacKenzie, 2023, 2301.07855.

Penalized Likelihood Inference with Survey Data

J. Jasiak, Purevdorj Tuvaandorj, 2023, 2304.07855.

Analysis of Virus Propagation: A Transition Model Representation of Stochastic Epidemiological Models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2020, 2006.10265.

Financial Econometrics: Problems, Models, and Methods

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

Value at Risk

C. Gouriéroux, J. Jasiak, 2010 .

Série Scientifique Scientific Series Monte Carlo Tests with Nuisance Parameters: a General Approach to Finite-sample Inference and Non-standard Asymptotics Monte Carlo Tests with Nuisance Parameters: a General Approach to Finite-sample Inference and Non-standard Asymptotics

V. P. Godambe, J. MacKinnon, C. Manski, 2022 .

NONLINEAR CAUSALITY, with Applications to Liquidity and Stochastic Volatility

C. Gouriéroux, J. Jasiak, 2007 .

Série Scientifique Scientific Series Market Time and Asset Price Movements Theory and Estimation Les Organisations-partenaires / the Partner Organizations Crest and Cepremap. Market Time and Asset Price Movements Theory and Estimation

C. Gouriéroux, J. Jasiak, Eric Ghysels, 2022 .

Generalized Covariance Estimator

C. Gouriéroux, J. Jasiak, 2022, Journal of Business & Economic Statistics.

Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation

C. Gouriéroux, J. Jasiak, 2017 .

Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity

C. Gouriéroux, J. Jasiak, Patrick Gagliardini, 2003 .

Financial Econometrics

C. Gouriéroux, J. Jasiak, 2018 .

Série Scientifique Scientific Series Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors

Jean-Marie Dufour, A. Monfort, J. Jasiak, 2022 .

GCov-Based Portmanteau Test

J. Jasiak, Aryan Manafi Neyazi, 2023, 2312.05373.

Série Scientifique Scientific Series Projection-based Statistical Inference in Linear Structural Models with Possibly Weak Instruments Projection-based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

J. Florens, Jean-Marie Dufour, J. Jasiak, 2022 .