Home/Author

Joann Jasiak

14 works· latest 2009· 2 institutionscluster: provisionalORCID 0000-0002-8980-3429

h-index14

i1014

Citations1,684

Works here14

Most cited in this library

The Wishart Autoregressive process of multivariate stochastic volatility2009 · 295 citations
Autoregressive gamma processes2006 · 211 citations
Financial Econometrics: Problems, Models, and Methods2001 · 165 citations
Stochastic volatility duration models2003 · 144 citations
Financial Econometrics2002 · 142 citations

Works

14 shown

L-performance with an application to hedge funds

Journal of Empirical Finance·2009·3 authors·Open access

37citations

The Wishart Autoregressive process of multivariate stochastic volatility

Journal of Econometrics·2009·3 authors

295citations

Dynamic quantile models

Journal of Econometrics·2008·2 authors

92citations

The ordered qualitative model for credit rating transitions

Journal of Empirical Finance·2007·3 authors

69citations

Structural Laplace Transform and Compound Autoregressive Models

Journal of Time Series Analysis·2006·3 authors·Open access

103citations

Autoregressive gamma processes

Journal of Forecasting·2006·2 authors·Open access

211citations

The Wishart Autoregressive Process of Multivariate Stochastic Volatility

RePEc: Research Papers in Economics·2005·3 authors·preprint

28citations

Multivariate Jacobi process with application to smooth transitions

Journal of Econometrics·2005·2 authors

73citations

Heterogeneous INAR(1) model with application to car insurance

Insurance Mathematics and Economics·2004·2 authors

92citations

Stochastic volatility duration models

Journal of Econometrics·2003·3 authors

144citations

Financial Econometrics

Princeton University Press eBooks·2002·2 authors·book

142citations

Financial Econometrics: Problems, Models, and Methods

·2001·2 authors

165citations

Memory and infrequent breaks

Economics Letters·2001·2 authors

106citations

Persistence in Intertrade Durations

SSRN Electronic Journal·1999·1 author·preprint·Open access

127citations