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

9

DOWNLOADS

938

SSRN CITATIONS
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Top 7,728

in Total Papers Citations

69

CROSSREF CITATIONS

99

Scholarly Papers (9)

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 263 (161,399)
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: 09 Jun 2022
Massachusetts Institute of Technology (MIT) - Department of EconomicsUniversity of California, San Diego (UCSD) - Department of Economics, Massachusetts Institute of Technology (MIT)Stanford University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 166 (245,946)
Citation 31

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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 134 (292,028)
Citation 34

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

4.

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 106 (345,361)
Citation 12

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specification testing, nonparametric identification, duration models

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 63 (474,013)

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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 39 (584,717)

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multivariate forecast rationality, multivariate loss, asymmetries, Fed transparency

6.

What Goods Do Countries Trade? New Ricardian Predictions

NBER Working Paper No. w13691
Number of pages: 42 Posted: 21 Dec 2007 Last Revised: 30 May 2022
Arnaud Costinot, Arnaud Costinot and Ivana Komunjer
Massachusetts Institute of Technology (MIT) - Department of EconomicsUniversity of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 56 (494,248)

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7.

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 Bing Ads Marketplace, Microsoft
Downloads 47 (532,894)
Citation 1

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Nonlinear State Space Systems, Bayes Updating, Stochastic Volatility

8.

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 University - Columbia Business School, Economics
Downloads 40 (567,049)
Citation 4

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measurement error, minimum distance, simulation estimation, dynamic panel

9.

Estimating Loss Function Parameters

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 (663,904)
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Abstract:

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IMF, OECD, asymmetric loss, macroeconomic forecasting