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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 176 (2013) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10009764412
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Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
Jensen, Mark J. - In: Journal of forecasting 18 (1999) 1, pp. 17-32
Persistent link: https://www.econbiz.de/10001363641
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Revisiting the flexibility and regularity properties of the asymptotically ideal production model
Jensen, Mark J. - In: Econometric reviews 16 (1997) 2, pp. 179-203
Persistent link: https://www.econbiz.de/10001220186
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A comment on De Grauwe's, "The legacy of the Eurozone crisis and how to overcome it"
Jensen, Mark J. - In: Journal of empirical finance 39 (2016), pp. 166-168
Persistent link: https://www.econbiz.de/10011663816
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An approximate wavelet MLE of short- and long-memory parameters
Jensen, Mark J. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 4, pp. 239-253
Persistent link: https://www.econbiz.de/10001769725
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An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
Jensen, Mark J. - In: Journal of economic dynamics & control 24 (2000) 3, pp. 361-387
Persistent link: https://www.econbiz.de/10001433033
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The long-run Fisher effect : can it be tested?
Jensen, Mark J. - In: Journal of money, credit and banking : JMCB 41 (2009) 1, pp. 221-231
Persistent link: https://www.econbiz.de/10003807638
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Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 4, pp. 455-475
Persistent link: https://www.econbiz.de/10011649139