IDEAS home Printed from https://ideas.repec.org/e/pja135.html
   My authors  Follow this author

Joann Jasiak

Personal Details

First Name:Joann
Middle Name:
Last Name:Jasiak
Suffix:
RePEc Short-ID:pja135
[This author has chosen not to make the email address public]
https://www.jjstats.com

Affiliation

Department of Economics
York University

Toronto, Canada
http://econ.laps.yorku.ca/
RePEc:edi:dyorkca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Antoine Djobenou & Emre Inan & Joann Jasiak, 2023. "Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether," Papers 2301.00509, arXiv.org.
  2. Joann Jasiak & Peter MacKenzie & Purevdorj Tuvaandorj, 2023. "Digital Divide: Empirical Study of CIUS 2020," Papers 2301.07855, arXiv.org, revised Oct 2024.
  3. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
  4. Joann Jasiak & Purevdorj Tuvaandorj, 2023. "Penalized Likelihood Inference with Survey Data," Papers 2304.07855, arXiv.org.
  5. Joann Jasiak & Aryan Manafi Neyazi, 2023. "GCov-Based Portmanteau Test," Papers 2312.05373, arXiv.org.
  6. Christian Gourieroux & Joann Jasiak, 2022. "Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models," Papers 2205.09922, arXiv.org, revised Apr 2024.
  7. Antoine Djogbenou & Christian Gourieroux & Joann Jasiak & Paul Rilstone, 2022. "An econometric panel data model of the COVID-19 pandemic," Post-Print hal-03641783, HAL.
  8. Christian Gourieroux & Joann Jasiak, 2022. "Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood," Papers 2211.11876, arXiv.org.
  9. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
  10. Christian Gourieroux & Joann Jasiak, 2021. "Generalized Covariance Estimator," Papers 2107.06979, arXiv.org.
  11. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
  12. Christian GOURIEROUX & Joann JASIAK, 2020. "Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus," Working Papers 2020-11, Center for Research in Economics and Statistics, revised 08 May 2020.
  13. Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.
  14. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
  15. Christian Gouriéroux & Joann Jasiak, 2015. "Semi-Parametric Estimation of Noncausal Vector Autoregression," Working Papers 2015-02, Center for Research in Economics and Statistics.
  16. Christian Gouriéroux & Joann Jasiak, 2014. "Filtering and Prediction in Noncausal Processes," Working Papers 2014-15, Center for Research in Economics and Statistics.
  17. Christian Gouriéroux & Joann Jasiak, 2014. "Misspecification of Causal and Noncausal Orders in Autoregressive Processes," Working Papers 2014-25, Center for Research in Economics and Statistics.
  18. Christian Gouriéroux & Joann Jasiak & Peng Xu, 2013. "Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives," Working Papers 2013-05, Center for Research in Economics and Statistics.
  19. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
  20. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2009. "L-performance with an application to hedge funds," Post-Print halshs-00677730, HAL.
  21. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
  22. Christian Gourieroux & Joann Jasiak, 2006. "A Degeneracy in the Analysis of Volatility and Covolatility Effects," Working Papers 2006-30, Center for Research in Economics and Statistics.
  23. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Post-Print halshs-00678240, HAL.
  24. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
  25. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
  26. Christian Gourieroux & Joann Jasiak & Razvan Sufana, 2004. "The Wishart Autoregressive of Multivariate Stochastic Volatility," Working Papers 2004-32, Center for Research in Economics and Statistics.
  27. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.
  28. Christian Gourieroux & Joanna Jasiak, 2001. "Local Likelihood Density Estimation and Value at Risk," Working Papers 2001-31, Center for Research in Economics and Statistics.
  29. Jean-Marie Dufour & Joann Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," CIRANO Working Papers 2000s-13, CIRANO.
  30. Christian Gourieroux & Joanna Jasiak, 1999. "Dynamic Factor Models," Working Papers 99-08, Center for Research in Economics and Statistics.
  31. Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
  32. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.
  33. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers 98-41, Center for Research in Economics and Statistics.
  34. Christian Gourieroux & Joanna Jasiak, 1998. "Truncated Maximum Likelihood and Nonparametric Tail Analysis," Working Papers 98-25, Center for Research in Economics and Statistics.
  35. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers 98-50, Center for Research in Economics and Statistics.
  36. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1998. "Causality Between Returns and Trated Volumes," Working Papers 98-40, Center for Research in Economics and Statistics.
  37. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Center for Research in Economics and Statistics.
  38. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
  39. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
  40. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
  41. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
  42. Eric Ghysels & Joann Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.
  43. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.

Articles

  1. Hall, Mauri K. & Jasiak, Joann, 2024. "Modelling common bubbles in cryptocurrency prices," Economic Modelling, Elsevier, vol. 139(C).
  2. Christian Gourieroux & Joann Jasiak, 2023. "Generalized Covariance Estimator," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1315-1327, October.
  3. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
  4. Gourieroux Christian & Jasiak Joann, 2023. "Temporally Local Maximum Likelihood with Application to SIS Model," Journal of Time Series Econometrics, De Gruyter, vol. 15(2), pages 151-198, July.
  5. Christian Gourieroux & Joann Jasiak, 2023. "Dynamic deconvolution and identification of independent autoregressive sources," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 151-180, March.
  6. Gourieroux, C. & Jasiak, J., 2023. "Time varying Markov process with partially observed aggregate data: An application to coronavirus," Journal of Econometrics, Elsevier, vol. 232(1), pages 35-51.
  7. Antoine Djogbenou & Christian Gourieroux & Joann Jasiak & Paul Rilstone & Maygol Bandehali, 2022. "Transition model for coronavirus management," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(S1), pages 665-704, February.
  8. Antoine Djogbenou & Christian Gouriéroux & Joann Jasiak & Paul Rilstone, 2022. "An Econometric Panel Data Model of the COVID-19 Pandemic," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 11(1), pages 1-3.
  9. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Predictions," Annals of Economics and Statistics, GENES, issue 145, pages 75-90.
  10. C Gourieroux & A Djogbenou & J Jasiak, 2022. "Testing for Endogeneity of Covid-19 Patient Assignments [The Value of Life and Health for Public Policy]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 875-901.
  11. Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
  12. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
  13. Gourieroux, C. & Jasiak, J. & Monfort, A., 2020. "Stationary bubble equilibria in rational expectation models," Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
  14. Christian Gourieroux & Joann Jasiak, 2020. "Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models," Annals of Economics and Statistics, GENES, issue 140, pages 1-26.
  15. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
  16. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
  17. Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.
  18. Christian Gourieroux & Joann Jasiak, 2016. "Filtering, Prediction and Simulation Methods for Noncausal Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 405-430, May.
  19. Christian Gourieroux & Joann Jasiak & Peng Xu, 2016. "The Tradability Premium on the S&P 500 Index," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 461-495.
  20. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
  21. Christian Gourieroux & Joann Jasiak, 2010. "Local Likelihood Density Estimation and Value-at-Risk," Journal of Probability and Statistics, Hindawi, vol. 2010, pages 1-26, June.
  22. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
  23. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.
  24. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
  25. Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 111-130, January.
  26. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
  27. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 477-503, July.
  28. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
  29. Christian Gouriéroux & Joann Jasiak, 2005. "Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity," Annals of Economics and Statistics, GENES, issue 78, pages 1-31.
  30. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  31. Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April.
  32. Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
  33. Christian Gouriéroux & Joann Jasiak, 2002. "Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 127-154, March.
  34. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
  35. Dufour, Jean-Marie & Jasiak, Joann, 2001. "Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 815-843, August.
  36. Christian Gourieroux & Joann Jasiak, 2001. "State‐space Models with Finite Dimensional Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 665-678, November.
  37. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
  38. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 2000. "Causality between Returns and Traded Volumes," Annals of Economics and Statistics, GENES, issue 60, pages 189-206.
  39. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
  40. Ghysels Eric & Jasiak Joanna, 1998. "GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(4), pages 1-19, January.
  41. Ghysels, Eric & Jasiak, Joanna, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 399-401, October.

Chapters

  1. Christian Gourieroux & Joann Jasiak, 2015. "Introduction," Introductory Chapters, in: The Econometrics of Individual Risk: Credit, Insurance, and Marketing, Princeton University Press.
  2. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
  3. Christian Gourieroux & Joann Jasiak, 2007. "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Introductory Chapters, in: The Econometrics of Individual Risk: Credit, Insurance, and Marketing, Princeton University Press.

Books

  1. Christian Gourieroux & Joann Jasiak, 2015. "The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Economics Books, Princeton University Press, edition 1, number 8433.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (14) 1999-09-17 2000-05-08 2006-11-25 2006-11-25 2014-08-09 2020-05-25 2021-07-19 2021-09-27 2022-04-04 2022-07-18 2022-12-12 2023-05-15 2023-07-31 2024-01-22. Author is listed
  2. NEP-ETS: Econometric Time Series (11) 1999-09-17 2006-11-25 2014-08-09 2020-05-25 2021-07-19 2022-04-04 2022-07-18 2023-02-06 2023-07-31 2024-01-22 2024-05-20. Author is listed
  3. NEP-DCM: Discrete Choice Models (3) 2006-11-18 2023-05-15 2024-05-20
  4. NEP-ORE: Operations Research (3) 2014-08-09 2021-09-27 2022-04-04
  5. NEP-FOR: Forecasting (2) 2014-08-09 2022-07-18
  6. NEP-CMP: Computational Economics (1) 2023-07-31
  7. NEP-DEM: Demographic Economics (1) 2022-07-18
  8. NEP-ICT: Information and Communication Technologies (1) 2023-02-27
  9. NEP-ISF: Islamic Finance (1) 2021-09-27
  10. NEP-MON: Monetary Economics (1) 2023-02-27
  11. NEP-MST: Market Microstructure (1) 2006-11-25
  12. NEP-NET: Network Economics (1) 2022-12-12
  13. NEP-PAY: Payment Systems and Financial Technology (1) 2023-02-27
  14. NEP-RMG: Risk Management (1) 2006-11-25
  15. NEP-TID: Technology and Industrial Dynamics (1) 1999-09-17

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Joann Jasiak should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.