← All authors Joann Jasiak York University (from arXiv:2603.10152, 2026) · ORCID · OpenAlex
53 papers in scope · 47 published · 13 on the econ.EM arXiv · 1,674 citations · h-index 15 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Francesco Giancaterini Aryan Manafi Neyazi Alain Hecq Gianluca Cubadda Christian Gouriéroux Elisa Voisin Sean Telg Tomás del Barrio Castro Stefano Grassi Claudio Morana Daniel Velásquez-Gaviria Quinlan Lee Ivan Ricardo Ines Wilms Stephan Smeekes Barbara Guardabascio Luca Margaritella Alexander Heinemann Marie Ternes Marina Friedrich Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (14 of 53)
Digital adoption and cyber security: an analysis of canadian businesses
published 2026 · Journal of Productivity Analysis
published 2026 · Econometric Reviews · 1 citations
published 2026 · Econometrics Journal
working paper 2026 · arXiv
published 2026 · Journal of Financial Econometrics · 7 citations · first circulated 2022
working paper 2025 · arXiv
working paper 2025 · arXiv
A Stochastic Tree for Bubble Asset Modelling and Pricing
published 2024 · Journal of Time Series Analysis · 1 citations
published 2024 · Journal of Econometrics · 3 citations · first circulated 2022
Intraday and daily dynamics of cryptocurrency
published 2024 · International Review of Economics & Finance · 6 citations
Generalized covariance‐based inference for models set‐identified from independence restrictions
published 2024 · Journal of Time Series Analysis
published 2024 · Statistics and Computing · 4 citations · first circulated 2023
Modelling common bubbles in cryptocurrency prices
published 2024 · Economic Modelling · 11 citations
with M. Hall
published 2023 · Journal of Financial Econometrics · 1 citations · first circulated 2021
published 2023 · Journal of International Money and Finance · 10 citations
working paper 2023 · arXiv
Temporally Local Maximum Likelihood with Application to SIS Model
published 2023 · Journal of Time Series Econometrics · first circulated 2021
working paper 2023 · arXiv
working paper 2022 · arXiv
published 2022 · Journal of Business and Economic Statistics · 10 citations · first circulated 2021
Dynamic deconvolution and identification of independent autoregressive sources
published 2022 · Journal of Time Series Analysis · 2 citations
Transition model for coronavirus management
published 2022 · Canadian Journal of Economics/Revue canadienne d économique · 1 citations
Convolution‐based filtering and forecasting: An application to WTI crude oil prices
published 2021 · Journal of Forecasting · 7 citations
Time varying Markov process with partially observed aggregate data: An application to coronavirus
published 2020 · Journal of Econometrics · 1 citations
Testing for Endogeneity of Covid-19 Patient Assignments
published 2020 · Journal of Financial Econometrics · 1 citations
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes
published 2020 · Journal of Forecasting · 12 citations
Stationary bubble equilibria in rational expectation models
published 2020 · Journal of Econometrics · 11 citations
Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models
published 2020 · Annals of Economics and Statistics · 1 citations
Robust analysis of the martingale hypothesis
published 2018 · Econometrics and Statistics · 7 citations · first circulated 2016
Misspecification of noncausal order in autoregressive processes
published 2018 · Journal of Econometrics · 14 citations · first circulated 2014
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
published 2017 · Journal of Econometrics · 26 citations
Filtering, Prediction and Simulation Methods for Noncausal Processes
published 2015 · Journal of Time Series Analysis · 55 citations · first circulated 2014
The Tradability Premium on the S&P 500 Index
published 2015 · Journal of Financial Econometrics · first circulated 2013
Granularity adjustment for default risk factor model with cohorts
published 2012 · Journal of Banking & Finance · 9 citations
Local Likelihood Density Estimation and Value‐at‐Risk
published 2010 · Journal of Probability and Statistics · 20 citations · first circulated 2001
L-performance with an application to hedge funds
published 2009 · Journal of Empirical Finance · 38 citations · first circulated 2008
The Wishart Autoregressive process of multivariate stochastic volatility
published 2009 · Journal of Econometrics · 307 citations · first circulated 2004
Dynamic quantile models
published 2008 · Journal of Econometrics · 96 citations · first circulated 2006
The ordered qualitative model for credit rating transitions
published 2007 · Journal of Empirical Finance · 68 citations · first circulated 2003
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
published 2007 · Economics Books · 21 citations
no link
Structural Laplace Transform and Compound Autoregressive Models
published 2006 · Journal of Time Series Analysis · 111 citations
Autoregressive gamma processes
published 2006 · Journal of Forecasting · 199 citations · first circulated 2005
Multivariate Jacobi process with application to smooth transitions
published 2005 · Journal of Econometrics · 75 citations
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
published 2005 · Annals of Economics and Statistics · 9 citations · first circulated 1999
Heterogeneous INAR(1) model with application to car insurance
published 2004 · Insurance Mathematics and Economics · 96 citations
Stochastic volatility duration models
published 2003 · Journal of Econometrics · 149 citations · first circulated 1997
First‐Order Autoregressive Processes with Heterogeneous Persistence
published 2003 · Journal of Time Series Analysis
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
published 2002 · Journal of Time Series Analysis · 9 citations · first circulated 1998
State‐space Models with Finite Dimensional Dependence
published 2001 · Journal of Time Series Analysis · 12 citations
DYNAMIC FACTOR MODELS
published 2001 · Econometric Reviews · 14 citations · first circulated 1999
Finite Sample Limited Information Inference Methods for Structural Equations and Models With Generated Regressors
published 2001 · International Economic Review · 132 citations
Memory and infrequent breaks
published 2001 · Economics Letters · 109 citations
Causality between Returns and Traded Volumes
published 2000 · Annals of Economics and Statistics · 8 citations
no link
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