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Mark J. Jensen

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Personal Details

First Name: Mark
Middle Name: J.
Last Name: Jensen
Suffix:

RePEc Short-ID: pje71

Email:
Homepage:
Postal Address: Federal Reserve Bank of Atlanta 1000 Peachtree Street, NE Atlanta, GA 30309-4470
Phone:

Affiliation

Economic Research Department
Federal Reserve Bank of Atlanta
Location: Atlanta, Georgia (United States)
Homepage: http://www.frbatlanta.org/research/
Email:
Phone: 404-521-8500
Fax:
Postal: 1000 Peachtree St., N.E., Atlanta, Georgia 30309
Handle: RePEc:edi:efrbaus (more details at EDIRC)

Works

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Working papers

  1. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  2. Mark J Jensen & John M Maheu, 2012. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture," Working Papers tecipa-453, University of Toronto, Department of Economics.
  3. Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper Series 48_12, The Rimini Centre for Economic Analysis.
  4. Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
  5. Mark J. Jensen, 2006. "The long-run Fisher effect: can it be tested?," Working Paper 2006-11, Federal Reserve Bank of Atlanta.
  6. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics.
  7. SangKun Bae & Mark J. Jensen, 1998. "Long-Run Neutrality in a Long-Memory Model," Macroeconomics 9809006, EconWPA, revised 30 Sep 1998.
  8. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
  9. Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA.
  10. Francisco Cribari-Neto & Mark J. Jensen & Alvaro C. Novo, 1997. "Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings," Econometrics 9711001, EconWPA, revised 04 Mar 1998.
  11. William A. Barnett & Yi Liu & Haiyang Xu & Mark Jensen, 1996. "The CAPM Risk Adjustment Needed for Exact Aggregation over Financial Assets," Econometrics 9602003, EconWPA.
  12. William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996. "A Single-Blind Controlled Competition among Tests for Nonlinearity and Chaos," Econometrics 9602005, EconWPA, revised 20 Sep 1996.
  13. Mark J. Jensen, 1995. "A Homotopy Approach to Solving Nonlinear Rational Expectation Problems," Computational Economics 9506002, EconWPA.
  14. Mark J. Jensen, 1995. "OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels," Econometrics 9506002, EconWPA.
  15. Jensen, Mark J, 1995. "A Monte Carlo study on two methods of calculating the MLEs covariance matrix in a seemingly unrelated nonlinear regression," MPRA Paper 39020, University Library of Munich, Germany.
  16. Mark J. Jensen, 1994. "Wavelet Analysis of Fractionally Integrated Processes," Econometrics 9405001, EconWPA.
  17. Mark J. Jensen, 1993. "The Tracking Ability of the Divisia Monetary Aggregate Under Risk," Macroeconomics 9309002, EconWPA.

Articles

  1. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  2. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  3. Mark J. Jensen, 2009. "The Long-Run Fisher Effect: Can It Be Tested?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 221-231, 02.
  4. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
  5. Bae, Sang-Kun & Jensen, Mark J. & Murdock, Scott G., 2005. "Long-run neutrality in a fractionally integrated model," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 257-274, June.
  6. Mark J. Jensen, 2004. "Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 895-922, November.
  7. Reisen Valderio A & Cribari-Neto Francisco & Jensen Mark J, 2003. "Long Memory Inflationary Dynamics: The Case of Brazil," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(3), pages 1-18, October.
  8. Jensen, Mark J., 2000. "An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 361-387, March.
  9. Cribari-Neto, Francisco & Jensen, Mark J. & Novo, lvaro A., 1999. "Research In Econometric Theory: Quantitative And Qualitative Productivity Rankings," Econometric Theory, Cambridge University Press, vol. 15(05), pages 719-752, October.
  10. Jensen Mark J., 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(4), pages 1-17, January.
  11. Cribari-Neto, Francisco & Jensen, Mark J, 1997. "MATLAB as an Econometric Programming Environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 735-44, Nov.-Dec..
  12. Barnett, William A. & Liu, Yi & Jensen, Mark, 1997. "Capm Risk Adjustment For Exact Aggregation Over Financial Assets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(02), pages 485-512, June.
  13. Mark J. Jensen & Charles L. Leven, 1997. "Quality of life in central cities and suburbs," The Annals of Regional Science, Springer, vol. 31(4), pages 431-449.
  14. Jensen, Mark J, 1997. "A Homotopy Approach to Solving Nonlinear Rational Expectation Problems," Computational Economics, Society for Computational Economics, vol. 10(1), pages 47-65, February.
  15. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
  16. Mark Jensen, 1997. "Revisiting the flexibility and regularity properties of the asymptotically ideal production model," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 179-203.
  17. Barnett, William A. & Ronald Gallant, A. & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1995. "Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size," Journal of Economic Behavior & Organization, Elsevier, vol. 27(2), pages 301-320, July.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-09-16
  2. NEP-ECM: Econometrics (5) 1998-10-02 2008-05-05 2012-05-02 2012-07-08 2013-12-15. Author is listed
  3. NEP-ETS: Econometric Time Series (11) 1998-10-02 1998-12-09 1999-07-12 2008-05-05 2008-06-27 2012-05-02 2012-05-15 2012-07-08 2012-07-08 2012-07-14 2012-08-23. Author is listed
  4. NEP-FOR: Forecasting (6) 2012-05-02 2012-05-15 2012-07-08 2012-07-08 2012-07-14 2012-08-23. Author is listed
  5. NEP-IFN: International Finance (1) 2006-09-16
  6. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2006-09-16
  7. NEP-MAC: Macroeconomics (1) 2006-09-16
  8. NEP-MON: Monetary Economics (1) 2006-09-16
  9. NEP-ORE: Operations Research (3) 2008-05-05 2012-05-02 2012-07-08
  10. NEP-RMG: Risk Management (1) 2012-09-09

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