Ivana Komunjer

University of California, San Diego (UCSD) - Department of Economics

Professor

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

http://econ.ucsd.edu/komunjer

SCHOLARLY PAPERS

11

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52

Scholarly Papers (11)

1.

Consistent Estimation for Aggregated GARCH Processes

UCSD Economics Discussion Paper No. 2001-08
Number of pages: 43 Posted: 22 Jul 2001
Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics
Downloads 259 (116,357)
Citation 5

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Aggregation, GARCH, Quasi-Maximum Likelihood, Estimation

2.

What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas

NBER Working Paper No. w16262
Number of pages: 58 Posted: 16 Aug 2010 Last Revised: 27 Aug 2010
Arnaud Costinot, Dave Donaldson and Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics, Stanford University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 161 (181,884)
Citation 98

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3.

Evaluation and Combination of Conditional Quantile Forecasts

UCSD, Economics Discussion Paper No. 2002-11
Number of pages: 30 Posted: 30 Jul 2002
Raffaella Giacomini and Ivana Komunjer
University College London - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 127 (220,571)
Citation 43

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Encompassing, Forecast Combination, Loss Function, GMM, Value-at-Risk

Multivariate Forecast Evaluation and Rationality Testing

Federal Reserve Bank of St. Louis Working Paper No. 2007-047A
Number of pages: 45 Posted: 28 Oct 2007
Ivana Komunjer and Michael Owyang
University of California, San Diego (UCSD) - Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 55 (373,064)

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multivariate forecast rationalit, multivariate loss, asymmetries, Fed transparency

Multivariate Forecast Evaluation and Rationality Testing

FRB of St. Louis Working Paper No. 2007-047D
Number of pages: 36 Posted: 07 Mar 2010 Last Revised: 27 Mar 2011
Ivana Komunjer and Michael Owyang
University of California, San Diego (UCSD) - Department of Economics and Federal Reserve Bank of St. Louis - Research Division
Downloads 31 (468,404)
Citation 7

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multivariate forecast rationality, multivariate loss, asymmetries, Fed transparency

5.

Correct Specification and Identification of Nonparametric Transformation Models

MFI Working Paper No. 2009-03
Number of pages: 30 Posted: 08 Jan 2010 Last Revised: 13 Jan 2010
Pierre-Andre Chiappori and Ivana Komunjer
Columbia University - Graduate School of Arts and Sciences, Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 65 (338,302)
Citation 11

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specification testing, nonparametric identification, duration models

6.

What Goods Do Countries Trade? New Ricardian Predictions

NBER Working Paper No. w13691
Number of pages: 42 Posted: 21 Dec 2007 Last Revised: 28 Dec 2007
Arnaud Costinot and Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 47 (393,633)
Citation 5

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7.

Minimum Distance Estimation of Dynamic Models with Errors-in-Variables

FRB Atlanta Working Paper No. 2014-11
Number of pages: 37 Posted: 04 Apr 2015 Last Revised: 25 Aug 2015
Nikolay Gospodinov, Ivana Komunjer and Serena Ng
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia Business School - Economics Department
Downloads 30 (461,424)
Citation 4

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measurement error, minimum distance, simulation estimation, dynamic panel

8.

Estimating Loss Function Parameters

CEPR Discussion Paper No. 3821
Number of pages: 55 Posted: 06 May 2003
Graham Elliott, Allan Timmermann and Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics, UCSD and University of California, San Diego (UCSD) - Department of Economics
Downloads 24 (492,428)
Citation 2
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IMF, OECD, asymmetric loss, macroeconomic forecasting

9.

A Perturbation Approach to Nonlinear Filtering: The Case of Stochastic Volatility

Number of pages: 50 Posted: 03 Dec 2018
Ivana Komunjer and Natalia Sizova
University of California, San Diego (UCSD) - Department of Economics and Rice University
Downloads 7 (593,053)

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Nonlinear State Space Systems, Bayes Updating, Stochastic Volatility

10.

Semi-Parametric Estimation of Non-Separable Models: A Minimum Distance from Independence Approach

Econometrics Journal, Vol. 13, Issue 3, pp. S28-S55, October 2010
Number of pages: 28 Posted: 27 Sep 2010
Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics
Downloads 3 (620,926)
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11.

Semi‐Parametric Estimation of Non‐Separable Models: A Minimum Distance from Independence Approach

The Econometrics Journal, Vol. 13, Issue 3, pp. S28-S55, 2010
Number of pages: 28 Posted: 03 Nov 2011
Ivana Komunjer
University of California, San Diego (UCSD) - Department of Economics
Downloads 1 (643,529)
Citation 2
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Identification, Non‐separable models, Semi‐parametric estimation