Edit Profile (opens in new tab) Jasiak, Joann Co-Author Distance Author ID: jasiak.joann Published as: Jasiak, Joann; Jasiak, J.; Jasiak, Joanna more...less Documents Indexed: 26 Publications since 1998, including 3 Books Co-Authors: 5 Co-Authors with 25 Joint Publications 96 Co-Co-Authors Co-Authors 1 single-authored 24 Gourieroux, Christian 3 Ghysels, Eric 1 Darolles, Serge 1 Monfort, Alain 1 Sufana, Razvan all top 5 Serials 8 Journal of Econometrics 6 Journal of Time Series Analysis 1 Journal of Statistical Planning and Inference 1 Insurance Mathematics & Economics 1 Econometric Reviews 1 Economics Letters 1 Studies in Nonlinear Dynamics and Econometrics 1 Journal of Business and Economic Statistics 1 Journal of Probability and Statistics 1 Journal of Time Series Econometrics Fields 24 Statistics (62-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Probability theory and stochastic processes (60-XX) 1 Integral transforms, operational calculus (44-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 20 Publications have been cited 302 times in 271 Documents Cited by ▼ Year ▼ The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397 Gourieroux, C.; Jasiak, J.; Sufana, R. 77 2009 Multivariate Jacobi process with application to smooth transitions. Zbl 1337.62365 Gourieroux, Christian; Jasiak, Joann 31 2006 Stochastic volatility duration models. Zbl 1282.91237 Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann 28 2004 Heterogeneous INAR(1) model with application to car insurance. Zbl 1107.62110 Gourieroux, C.; Jasiak, J. 25 2004 Structural Laplace transform and compound autoregressive models. Zbl 1112.62090 Darolles, Serge; Gourieroux, Christian; Jasiak, Joann 25 2006 Financial econometrics. Problems, models, and methods. Zbl 1028.62083 Gourieroux, Christian; Jasiak, Joann 22 2001 Memory and infrequent breaks. Zbl 0968.91036 Gourieroux, C.; Jasiak, J. 18 2001 GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564 Ghysels, Eric; Jasiak, Joanna 16 1998 Dynamic quantile models. Zbl 1429.62396 Gourieroux, C.; Jasiak, J. 13 2008 Filtering, prediction and simulation methods for noncausal processes. Zbl 1381.62247 Gourieroux, Christian; Jasiak, Joann 12 2016 Nonlinear autocorrelograms: an application to inter-trade durations. Zbl 1062.62177 Gouriéroux, Christian; Jasiak, Joann 6 2002 The econometrics of individual risk: credit, insurance, and marketing. Zbl 1112.91038 Gourieroux, Christian; Jasiak, Joann 5 2007 Noncausal vector autoregressive process: representation, identification and semi-parametric estimation. Zbl 1388.62256 Gourieroux, Christian; Jasiak, Joann 5 2017 Local likelihood density estimation and value-at-risk. Zbl 1200.91303 Gourieroux, Christian; Jasiak, Joann 5 2010 State space models with finite dimensional dependence. Zbl 0984.62070 Gourieroux, Christian; Jasiak, Joann 4 2001 Kernel autocorrelogram for time-deformed processes. Zbl 0944.62073 Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna 3 1998 Dynamic factor models. Zbl 1077.62544 Gourieroux, Christian; Jasiak, Joann 3 2001 Stationary bubble equilibria in rational expectation models. Zbl 1464.91058 Gourieroux, C.; Jasiak, J.; Monfort, A. 2 2020 Misspecification of noncausal order in autoregressive processes. Zbl 1452.62640 Gourieroux, Christian; Jasiak, Joann 1 2018 Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055 Gourieroux, C.; Jasiak, J. 1 2023 Time varying Markov process with partially observed aggregate data: an application to coronavirus. Zbl 07633055 Gourieroux, C.; Jasiak, J. 1 2023 Stationary bubble equilibria in rational expectation models. Zbl 1464.91058 Gourieroux, C.; Jasiak, J.; Monfort, A. 2 2020 Misspecification of noncausal order in autoregressive processes. Zbl 1452.62640 Gourieroux, Christian; Jasiak, Joann 1 2018 Noncausal vector autoregressive process: representation, identification and semi-parametric estimation. Zbl 1388.62256 Gourieroux, Christian; Jasiak, Joann 5 2017 Filtering, prediction and simulation methods for noncausal processes. Zbl 1381.62247 Gourieroux, Christian; Jasiak, Joann 12 2016 Local likelihood density estimation and value-at-risk. Zbl 1200.91303 Gourieroux, Christian; Jasiak, Joann 5 2010 The Wishart autoregressive process of multivariate stochastic volatility. Zbl 1429.62397 Gourieroux, C.; Jasiak, J.; Sufana, R. 77 2009 Dynamic quantile models. Zbl 1429.62396 Gourieroux, C.; Jasiak, J. 13 2008 The econometrics of individual risk: credit, insurance, and marketing. Zbl 1112.91038 Gourieroux, Christian; Jasiak, Joann 5 2007 Multivariate Jacobi process with application to smooth transitions. Zbl 1337.62365 Gourieroux, Christian; Jasiak, Joann 31 2006 Structural Laplace transform and compound autoregressive models. Zbl 1112.62090 Darolles, Serge; Gourieroux, Christian; Jasiak, Joann 25 2006 Stochastic volatility duration models. Zbl 1282.91237 Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann 28 2004 Heterogeneous INAR(1) model with application to car insurance. Zbl 1107.62110 Gourieroux, C.; Jasiak, J. 25 2004 Nonlinear autocorrelograms: an application to inter-trade durations. Zbl 1062.62177 Gouriéroux, Christian; Jasiak, Joann 6 2002 Financial econometrics. Problems, models, and methods. Zbl 1028.62083 Gourieroux, Christian; Jasiak, Joann 22 2001 Memory and infrequent breaks. Zbl 0968.91036 Gourieroux, C.; Jasiak, J. 18 2001 State space models with finite dimensional dependence. Zbl 0984.62070 Gourieroux, Christian; Jasiak, Joann 4 2001 Dynamic factor models. Zbl 1077.62544 Gourieroux, Christian; Jasiak, Joann 3 2001 GARCH for irregularly spaced financial data: the ACD-GARCH model. Zbl 1078.91564 Ghysels, Eric; Jasiak, Joanna 16 1998 Kernel autocorrelogram for time-deformed processes. Zbl 0944.62073 Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna 3 1998 all cited Publications top 5 cited Publications all top 5 Cited by 439 Authors 32 Gourieroux, Christian 13 Jasiak, Joann 9 Monfort, Alain 7 Asai, Manabu 6 Hu, Xiang 6 Lu, Yang 6 McAleer, Michael 5 Darolles, Serge 5 Werker, Bas J. M. 4 Bodnar, Taras 4 Filipović, Damir 4 Gagliardini, Patrick 4 Larsson, Martin 4 Leipus, Remigijus 4 Renault, Eric 4 Surgailis, Donatas 4 Wong, Hoi Ying 3 Bakosi, Jozsef 3 Caporin, Massimiliano 3 Chiu, Mei Choi 3 Cont, Rama 3 Cuchiero, Christa 3 Escobar, Marcos 3 Fernandes, Marcelo A. C. 3 Gerlach, Richard H. 3 Götz, Barbara 3 Grammig, Joachim 3 Grasselli, Martino 3 Gribisch, Bastian 3 Li, Wai Keung 3 Martin, Gael M. 3 Perera, Indeewara 3 Renne, Jean-Paul 3 Ristorcelli, J. Raymond 3 Silvapulle, Mervyn Joseph 3 Wagalath, Lakshithe 3 Zagst, Rudi 3 Zhang, Lianzeng 2 Ackerer, Damien 2 Alfelt, Gustav 2 Allen, David E. 2 Bauwens, Luc Claude A. 2 Blasques, Francisco 2 Boucher, Jean-Philippe 2 Chen, Cathy W. S. 2 Chen, Mi 2 Corsi, Fulvio 2 Czado, Claudia 2 Da Fonseca, José 2 Denuit, Michel M. 2 Drost, Feike C. 2 Duchesne, Pierre 2 Florens, Jean-Pierre 2 Ghysels, Eric 2 Golosnoy, Vasyl 2 Guillen, Montserrat 2 Hong, Yongmiao 2 Ispány, Márton 2 Jiang, Feiyu 2 Knight, John L. 2 Liu, Shuangzhe 2 Maillet, Bertrand B. 2 Malevergne, Yannick 2 Nakajima, Jouchi 2 Neykova, Daniela 2 Nientker, Marc 2 Okhrin, Yarema 2 Pap, Gyula 2 Patie, Pierre 2 Paulauskas, Vygantas Ionovič 2 Peiris, M. Shelton 2 Pigorsch, Christian 2 Pigorsch, Uta 2 Pulido, Sergio 2 Rombouts, Jeroen V. K. 2 Roussellet, Guillaume 2 Sekine, Jun 2 So, Mike K. P. 2 Sornette, Didier 2 Sufana, Razvan 2 Triantafyllopoulos, Kostas 2 Tyrcha, Joanna 2 van den Akker, Ramon 2 Veredas, David 2 Xu, Yongdeng 2 Zhu, Ke 1 Agoitia Hurtado, María Fernanda del Carmen 1 Ahn, Jae Youn 1 Aït-Sahalia, Yacine 1 Alitab, Dario 1 Altay, Sühan 1 Amano, Tomoyuki 1 Ammy-Driss, Ayoub 1 Anatolyev, Stanislav 1 Aries, Nawel 1 Ashley, Richard A. 1 Augustyniak, Maciej 1 Backström, Johan U. 1 Badescu, Alexandru M. 1 Banerjee, Anindya ...and 339 more Authors all top 5 Cited in 94 Serials 51 Journal of Econometrics 15 Quantitative Finance 13 Econometric Reviews 12 Computational Statistics and Data Analysis 10 Journal of Time Series Analysis 8 Insurance Mathematics & Economics 6 Journal of Economic Dynamics & Control 5 Mathematical Finance 5 Studies in Nonlinear Dynamics and Econometrics 5 International Journal of Theoretical and Applied Finance 5 Econometric Theory 4 Physica A 4 Journal of Multivariate Analysis 4 Stochastic Processes and their Applications 4 Finance and Stochastics 4 Scandinavian Actuarial Journal 4 ASTIN Bulletin 3 Mathematics and Computers in Simulation 3 Economics Letters 3 Communications in Statistics. Theory and Methods 3 European Journal of Operational Research 3 The Econometrics Journal 3 Bayesian Analysis 2 Scandinavian Journal of Statistics 2 Journal of Applied Probability 2 Journal of Computational and Applied Mathematics 2 Statistics & Probability Letters 2 The Annals of Applied Probability 2 Communications in Statistics. Simulation and Computation 2 Statistica Sinica 2 Applied Mathematical Finance 2 Journal of Applied Statistics 2 Stochastic Models 2 Asia-Pacific Financial Markets 2 International Journal of Stochastic Analysis 2 Journal of Business and Economic Statistics 2 Annals of Finance 1 Advances in Applied Probability 1 Classical and Quantum Gravity 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Physics 1 Lithuanian Mathematical Journal 1 Theory of Probability and its Applications 1 Automatica 1 Journal of Statistical Planning and Inference 1 Mathematica Slovaca 1 Statistica Neerlandica 1 Systems & Control Letters 1 Stochastic Analysis and Applications 1 Acta Mathematicae Applicatae Sinica. English Series 1 Statistics 1 Sequential Analysis 1 Statistical Science 1 Computers & Operations Research 1 Mathematical and Computer Modelling 1 Japan Journal of Industrial and Applied Mathematics 1 Computational Statistics 1 SIAM Journal on Applied Mathematics 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering 1 Test 1 Theory of Probability and Mathematical Statistics 1 Mathematical Methods of Statistics 1 Statistical Papers 1 Journal of Mathematical Sciences (New York) 1 Filomat 1 Advances in Computational Mathematics 1 Journal of Difference Equations and Applications 1 Bernoulli 1 Australian & New Zealand Journal of Statistics 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Philosophical Transactions of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 1 Macroeconomic Dynamics 1 Acta Mathematica Sinica. English Series 1 Methodology and Computing in Applied Probability 1 Revista de Matemática: Teoría y Aplicaciones 1 Decisions in Economics and Finance 1 Journal of Machine Learning Research (JMLR) 1 North American Actuarial Journal 1 Review of Derivatives Research 1 Journal of Statistical Mechanics: Theory and Experiment 1 Journal of Industrial and Management Optimization 1 AStA. Advances in Statistical Analysis 1 Electronic Journal of Statistics 1 SIAM Journal on Financial Mathematics 1 Journal of Probability and Statistics 1 Statistics and Computing 1 Journal of Theoretical Biology 1 Stochastic Systems 1 Journal of Time Series Econometrics 1 Dependence Modeling 1 Journal de l’École Polytechnique – Mathématiques 1 Journal of the Japan Statistical Society. Japanese Issue 1 Japanese Journal of Statistics and Data Science all top 5 Cited in 24 Fields 201 Statistics (62-XX) 156 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 70 Probability theory and stochastic processes (60-XX) 14 Numerical analysis (65-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Partial differential equations (35-XX) 4 Operations research, mathematical programming (90-XX) 4 Systems theory; control (93-XX) 3 Dynamical systems and ergodic theory (37-XX) 2 General and overarching topics; collections (00-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Integral transforms, operational calculus (44-XX) 2 Operator theory (47-XX) 2 Information and communication theory, circuits (94-XX) 1 Number theory (11-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Approximations and expansions (41-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Convex and discrete geometry (52-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Relativity and gravitational theory (83-XX) 1 Biology and other natural sciences (92-XX) Citations by Year