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Author ID: jasiak.joann Recent zbMATH articles by "Jasiak, Joann"
Published as: Jasiak, Joann; Jasiak, J.; Jasiak, Joanna
Documents Indexed: 26 Publications since 1998, including 3 Books
Co-Authors: 5 Co-Authors with 25 Joint Publications
96 Co-Co-Authors

Publications by Year

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 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

Citations by Year