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

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

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    • Tel: (+1 858) 822-0667
    • Fax: (+1 858) 534-0712
SCHOLARLY PAPERS

9

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1,152

SSRN CITATIONS
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132

CROSSREF CITATIONS

98

Scholarly Papers (9)

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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 282 (209,928)
Citation 5

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Aggregation, GARCH, Quasi-Maximum Likelihood, Estimation

2.

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 187 (310,853)
Citation 46

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

3.

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 2023
Arnaud Costinot, Arnaud Costinot, Dave Donaldson, Dave Donaldson and Ivana Komunjer
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 168 (341,912)
Citation 84

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4.

Multivariate Forecast Evaluation and Rationality Testing

Downloads 138 (401,726)
Citation 1

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 85 (572,763)

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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 53 (737,829)

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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 119 (450,066)
Citation 12

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specification testing, nonparametric identification, duration models

6.

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 92 (539,252)
Citation 1

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Nonlinear State Space Systems, Bayes Updating, Stochastic Volatility

7.

What Goods Do Countries Trade? New Ricardian Predictions

NBER Working Paper No. w13691
Number of pages: 42 Posted: 21 Dec 2007 Last Revised: 30 Nov 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 76 (604,069)

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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 66 (651,398)
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 (947,493)
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IMF, OECD, asymmetric loss, macroeconomic forecasting