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
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Working Papers
2019
- 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
- Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
Working Paper series, Rimini Centre for Economic Analysis
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (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
- 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
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (6)
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (2)
See also Journal Article Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, JRFM, MDPI (2018) View citations (3) (2018)
2012
- 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 (130) (1997)
- 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 (23) (2013)
- Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Working Paper series, Rimini Centre for Economic Analysis View citations (1)
Also in Working Papers, University of Toronto, Department of Economics (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)
- 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
- Bayesian Semiparametric Stochastic Volatility Modeling
Working Paper series, Rimini Centre for Economic Analysis
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (5)
Working Papers, University of Toronto, Department of Economics (2008) View citations (3)
See also Journal Article Bayesian semiparametric stochastic volatility modeling, Journal of Econometrics, Elsevier (2010) View citations (70) (2010)
2006
- 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
- 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)
- Long-Run Neutrality in a Long-Memory Model
Macroeconomics, University Library of Munich, Germany View citations (5)
- 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
- 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
- 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
- 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)
- 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
- OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels
Econometrics, University Library of Munich, Germany
1994
- Wavelet Analysis of Fractionally Integrated Processes
Econometrics, University Library of Munich, Germany View citations (3)
1993
- The Tracking Ability of the Divisia Monetary Aggregate Under Risk
Macroeconomics, University Library of Munich, Germany
Journal Articles
2022
- 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
- Measuring and Managing COVID-19 Model Risk
Policy Hub, 2020, 2020, (7), 12
2019
- 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, Working Paper series (2018) (2018)
2018
- Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
JRFM, 2018, 11, (3), 1-29 View citations (3)
See also Working Paper Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis, Working Paper series (2014) View citations (2) (2014)
2016
- 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
- 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
- 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 Paper series (2012) View citations (1) (2012)
2013
- Bayesian semiparametric multivariate GARCH modeling
Journal of Econometrics, 2013, 176, (1), 3-17 View citations (23)
See also Working Paper Bayesian Semiparametric Multivariate GARCH Modeling, Working Paper series (2012) View citations (2) (2012)
2010
- Bayesian semiparametric stochastic volatility modeling
Journal of Econometrics, 2010, 157, (2), 306-316 View citations (70)
See also Working Paper Bayesian Semiparametric Stochastic Volatility Modeling, Working Paper series (2009) (2009)
2009
- 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
- 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
- Long-run neutrality in a fractionally integrated model
Journal of Macroeconomics, 2005, 27, (2), 257-274 View citations (16)
2004
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
Journal of Time Series Analysis, 2004, 25, (6), 895-922 View citations (24)
2003
- Long Memory Inflationary Dynamics: The Case of Brazil
Studies in Nonlinear Dynamics & Econometrics, 2003, 7, (3), 18 View citations (6)
2000
- 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
- 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)
- 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
- 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)
- A single-blind controlled competition among tests for nonlinearity and chaos
Journal of Econometrics, 1997, 82, (1), 157-192 View citations (130)
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)
- CAPM RISK ADJUSTMENT FOR EXACT AGGREGATION OVER FINANCIAL ASSETS
Macroeconomic Dynamics, 1997, 1, (2), 485-512 View citations (41)
- MATLAB as an Econometric Programming Environment
Journal of Applied Econometrics, 1997, 12, (6), 735-44 View citations (4)
- Quality of life in central cities and suburbs
The Annals of Regional Science, 1997, 31, (4), 431-449 View citations (1)
- Revisiting the flexibility and regularity properties of the asymptotically ideal production model
Econometric Reviews, 1997, 16, (2), 179-203 View citations (3)
1995
- 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
- Measuring the Impact Intradaily Events Have on the Persistent Nature of Volatility
Springer View citations (2)
2000
- CAPM Risk Adjustment
A chapter in The Theory of Monetary Aggregation, 2000, pp 245-273
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