Follow
Mark  J Jensen
Title
Cited by
Cited by
Year
A single-blind controlled competition among tests for nonlinearity and chaos
WA Barnett, A Ronald Gallant, MJ Hinich, JA Jungeilges, DT Kaplan
Journal of Econometrics 82 (1), 157-192, 1997
3521997
Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter
MJ Jensen
Journal of Forecasting 18, 17-32, 1999
2401999
An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
MJ Jensen
Journal of Economic Dynamics and Control 24 (3), 361-387, 2000
1762000
Robustness of nonlinearity and chaos tests to measurement error, inference method, and sample size
WA Barnett, AR Gallant, MJ Hinich, JA Jungeilges, DT Kaplan, MJ Jensen
Journal of Economic Behavior & Organization 27 (2), 301-320, 1995
1311995
Bayesian semiparametric stochastic volatility modeling
MJ Jensen, JM Maheu
Journal of Econometrics 157 (2), 306-316, 2010
1302010
Wavelet estimation of a local long memory parameter
B Whitcher, MJ Jensen
Exploration Geophysics 31 (2), 94-103, 2000
902000
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
MJ Jensen, JM Maheu
Journal of Econometrics 178, 523-538, 2014
722014
An approximate wavelet MLE of short-and long-memory parameters
MJ Jensen
Studies in Nonlinear Dynamics & Econometrics 3 (4), 1999
691999
Semiparametric Bayesian inference of long‐memory stochastic volatility models
MJ Jensen
Journal of Time Series Analysis 25 (6), 895-922, 2004
65*2004
CAPM risk adjustment for exact aggregation over financial assets
WA Barnett, Y Liu, M Jensen
Macroeconomic Dynamics 1 (2), 485-512, 1997
651997
Bayesian semiparametric multivariate GARCH modeling
MJ Jensen, JM Maheu
Journal of Econometrics 176 (1), 3-17, 2013
522013
Time-varying long-memory in volatility: detection and estimation with wavelets
MJ Jensen, B Whitcher
preprint, University of Missouri and Eurandom, 2000
452000
Research in econometric theory: quantitative and qualitative productivity rankings
F Cribari-Neto, MJ Jensen, ┴A Novo
Econometric Theory 15 (5), 719-752, 1999
401999
The Long‐Run Fisher Effect: Can It Be Tested?
MJ Jensen
Journal of Money, Credit and Banking 41 (1), 221-231, 2009
362009
Long-run neutrality in a fractionally integrated model
SK Bae, MJ Jensen, SG Murdock
Journal of Macroeconomics 27 (2), 257-274, 2005
362005
The sensitivity of n-alkane analysis to measurement error: implications for use in the study of diet composition
JA Newman, F Cribari-Neto, MJ Jensen
The Journal of Agricultural Science 131 (4), 465-476, 1998
351998
Long memory inflationary dynamics: the case of Brazil
VA Reisen, F Cribari-Neto, MJ Jensen
Studies in Nonlinear Dynamics & Econometrics 7 (3), 2003
302003
Do long swings in the business cycle lead to strong persistence in output?
MJ Jensen, M Liu
Journal of Monetary Economics 53 (3), 597-611, 2006
242006
An experimental design to compare tests of nonlinearity and chaos
WA Barnett, AR Gallant, MJ Hinich, J Jungeilges, D Kaplan, MJ Jensen
Nonlinear dynamics in economics (Cambridge University Press, Cambridge), 163-191, 1996
231996
Wavelet analysis of fractionally integrated processes
MJ Jensen
Econometrics, 1994
171994
The system can't perform the operation now. Try again later.
Articles 1–20