Mark J. Jensen

Federal Reserve Bank of Atlanta

Vice President and Senior Economist

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

SCHOLARLY PAPERS

10

DOWNLOADS
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SSRN RANKINGS

Top 41,600

in Total Papers Downloads

1,065

SSRN CITATIONS
Rank 28,795

SSRN RANKINGS

Top 28,795

in Total Papers Citations

9

CROSSREF CITATIONS

15

Scholarly Papers (10)

1.

Bayesian Inference of Long-Memory Stochastic Volatility Via Wavelets

Missouri Economics Working Paper No. 01-02
Number of pages: 35 Posted: 23 Mar 2001
Mark J. Jensen
Federal Reserve Bank of Atlanta
Downloads 341 (91,062)
Citation 1

Abstract:

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Long-memory, Markov chain Monte Carlo, Metropolis-Hastings, Semiparametric, Stochastic volatility, Wavelets

2.

The Long-Run Fisher Effect: Can it Be Tested?

FRB of Atlanta Working Paper No. 2006-11
Number of pages: 16 Posted: 07 Oct 2006
Mark J. Jensen
Federal Reserve Bank of Atlanta
Downloads 278 (113,807)

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Fisher effect, fractional integration, long memory

3.

Bayesian Semiparametric Stochastic Volatility Modeling

Federal Reserve Bank of Atlanta Working Paper No. 2008-15
Number of pages: 51 Posted: 02 Jul 2008
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 128 (230,411)
Citation 9

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Bayesian nonparametrics, Dirichlet process mixture prior, Markov chain Monte Carlo, mixture models, stochastic volatility

4.

Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis

FRB Atlanta Working Paper No. 2014-6
Number of pages: 38 Posted: 04 Apr 2015
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 83 (309,609)
Citation 2

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Dirichlet process prior, slice sampling, dependent Bayesian nonparametrics

5.

Bayesian Semiparametric Multivariate GARCH Modeling

FRB Atlanta Working Paper Series No. 2012-9
Number of pages: 37 Posted: 08 Aug 2012
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 69 (344,061)
Citation 1

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Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, forecasting, infinite mixture model, MCMC, slice sampler

6.

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

FRB Atlanta Working Paper Series No. 2012-6
Number of pages: 39 Posted: 16 May 2012
Mark J. Jensen and John M. Maheu
Federal Reserve Bank of Atlanta and McMaster University - Michael G. DeGroote School of Business
Downloads 57 (379,305)
Citation 4

Abstract:

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Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, infinite mixture model, leverage effect, marginal likelihood, MCMC, non-normal, stochastic volatility, volatility-return relationship

7.

Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors

FRB Atlanta Working Paper No. 2018-2
Number of pages: 50 Posted: 28 Feb 2018 Last Revised: 21 Feb 2019
Mark Fisher and Mark J. Jensen
Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 35 (461,214)

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Bayesian nonparametric analysis, change points, Dirichlet process, hierarchical priors, mutual fund performance

8.

Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility

FRB Atlanta Working Paper No. 2015-12
Number of pages: 31 Posted: 23 Nov 2015 Last Revised: 30 Aug 2017
Mark J. Jensen
Federal Reserve Bank of Atlanta
Downloads 33 (470,286)

Abstract:

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Bayes, infinite variance, long-memory, Markov chain Monte Carlo, mean-reverting, wavelets

9.

Bayesian Nonparametric Learning of How Skill is Distributed Across the Mutual Fund Industry

FRB Atlanta Working Paper No. 2019-3
Number of pages: 42 Posted: 13 Mar 2019
Mark Fisher, Mark J. Jensen and Paula A. Tkac
Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 26 (505,866)

Abstract:

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Bayesian nonparametrics, mutual funds, unsupervised learning

10.

Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility Models

Journal of Time Series Analysis, Vol. 25, No. 6, pp. 895-922, November 2004
Number of pages: 28 Posted: 18 Oct 2004
Mark J. Jensen
Federal Reserve Bank of Atlanta
Downloads 15 (571,749)
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