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Joann Jasiak

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This is information that was supplied by Joann Jasiak in registering through RePEc. If you are Joann Jasiak , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Joann
Middle Name:
Last Name: Jasiak
Suffix:

RePEc Short-ID: pja135

Email: [This author has chosen not to make the email address public]
Homepage: http://www.econ.yorku.ca/~jasiakj
Postal Address:
Phone:

Affiliation

Department of Economics
York University
Location: Toronto, Canada
Homepage: http://dept.econ.yorku.ca/
Email:
Phone: (416) 736-5083
Fax: (416) 736-5987
Postal: 4700 Keele Street, Toronto, Ontario, M3J 1P3
Handle: RePEc:edi:dyorkca (more details at EDIRC)

Works

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Working papers

  1. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
  2. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
  3. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
  4. Christian Gourieroux & Joanna Jasiak, 2001. "Local Likelihood Density Estimation and Value at Risk," Working Papers 2001-31, Centre de Recherche en Economie et Statistique.
  5. Pierre Druilhet, 2001. "Conditions for Optimality in Experimental Designs," Working Papers 2001-20, Centre de Recherche en Economie et Statistique.
  6. Jean-Marie Dufour & Joanna Jasiak, 2000. "Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors," Econometric Society World Congress 2000 Contributed Papers 1536, Econometric Society.
  7. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.
  8. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers 98-50, Centre de Recherche en Economie et Statistique.
  9. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers 98-41, Centre de Recherche en Economie et Statistique.
  10. Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
  11. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
  12. Eric Ghysels & Joanna Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.
  13. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.

Articles

  1. 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.
  2. 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.
  3. 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.
  4. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
  5. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
  6. 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, 07.
  7. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
  8. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
  9. 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.
  10. Joann Jasiak, 2003. "First-Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, 05.
  11. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
  12. 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 815-43, August.
  13. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
  14. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
  15. 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.
  16. 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, 2007. "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
    [The Econometrics of Individual Risk: Credit, Insurance, and Marketing]
    ," Introductory Chapters, Princeton University Press.

NEP Fields

4 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-DCM: Discrete Choice Models (1) 2006-11-18. Author is listed
  2. NEP-ECM: Econometrics (3) 1999-09-17 2006-11-25 2006-11-25. Author is listed
  3. NEP-ETS: Econometric Time Series (2) 1999-09-17 2006-11-25. Author is listed
  4. NEP-MST: Market Microstructure (1) 2006-11-25. Author is listed
  5. NEP-RMG: Risk Management (1) 2006-11-25. Author is listed
  6. NEP-TID: Technology & Industrial Dynamics (1) 1999-09-17. Author is listed

Statistics

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