Economists

Mark Jensen is a financial economist and associate policy adviser with the financial group of the research department of the Federal Reserve Bank of Atlanta. Dr. Jensen concentrates his research on estimating diffusion models of stock prices using stock and option price data and designing estimators of the volatility present in financial instruments.

Before joining the Bank, Dr. Jensen was an associate professor in the Department of Economics at Brigham Young University from 2001 to 2005. He has also taught at the University of Missouri and Southern Illinois University.

Dr. Jensen is a member of the American Economic Association, the American Statistical Association, and the Econometric Society. He has published works in the Journal of Econometrics, Econometric Theory, and the Journal of Monetary Economics and has presented papers at a number of professional conferences and academic institutions.

Dr. Jensen earned his bachelor's degree in economics, magna cum laude, from Weber State University. He earned his master's degree and doctorate in economics from Washington University in St. Louis.

Econometrics

Financial Economics

Macroeconomics

Monetary Economics

"American Business and the Global Marketplace," (with Murray Weidenbaum). Business in the Contemporary World, Summer 1990. Pages 38—46.

"Introduction to The Modern Corporation and Private Property," (with Murray Weidenbaum). In Adolf A. Berle and Gardiner C. Means, The Modern Corporation and Private Property, New Jersey, Transaction Press, 1991. Translated into a Chinese language edition by Transaction Press, 2005.

"Modern Corporation and Private Property," (with Murray Weidenbaum). Society, November / December 1992. Pages 101—106.

"A Monte Carlo Experiment of Two Methods of Calculating the MLE's Covariance Matrix of a Seemingly Unrelated Nonlinear Equation," Econometric Reviews (14) 1995. Pages 315—330.

"Robustness of Nonlinearity and Chaos Tests to Measurement Error, Inference Method, and Sample Size," (with William A. Barnett, A. Ronald Gallant, Melvin Hinich, and Jochen Jungeilges). Journal of Economic Behavior and Organization (27) 1995. Pages 301—320.

"Comparisons of the Available Tests for Nonlinearity and Chaos," (with William A. Barnett, A. Ronald Gallant, Melvin Hinich, and Jochen Jungeilges). In W.A. Barnett, Giancarlo Gaandolfo, and Claude Hillinger (eds.), Dynamics Disequilibrium Modeling: Theory and Applications, Cambridge University Press, Cambridge, 1996. Pages 313—346.

"An Experimental Design to Compare Tests of Nonlinearity and Chaos," (with William A. Barnett, A. Ronald Gallant, Melvin Hinich, Jochen Jungeilges and Daniel T. Kaplan). In W.A. Barnett, A. Kirman, and M. Salmon (eds.), Nonlinear Dynamics and Economics, Cambridge University press, Cambridge, 1996. Pages 163&#mdash;190.

"A Homotopy Approach to Solving Nonlinear Rational Expectation Problems," Computational Economics (10) 1997. Pages 47—65.

"Revisiting the Flexibility and Regularity Properties of the Asymptotically Ideal Model," Econometric Reviews (16) 1997. Pages 179—203.

"Making Wavelets in Finance," Financial Engineering News (1) 1997. Pages 1—10.

"CAPM Risk Adjustment for Exact Aggregation over Financial Assets," (with William A. Barnett, and Yi Liu). Macroeconomic Dynamics (1) 1997. Pages 485—512. Reprinted in W.A. Barnett and A. Serletis (eds.), Theory of Monetary Aggregation, North Holland, Amsterdam, 2000. Pages 245-273.

"Quality of Life in Central Cities and Suburbs," (with Charles Leven). Annals of Regional Science, 31, 431-449, 1997. Abstract reprinted in R.W. Wassmer (eds.), Readings in Urban Economics: Issues and Public Policy, Blackwell, Oxford, 2000. Pages 208—209.

"MATLAB as an Econometric Programming Environment," (with Francisco Cribari-Neto). Journal of Applied Econometrics (12) 1997. Pages 735— 744.

"A Single-Blind Controlled Competition Among Tests for Nonlinearity and Chaos," (with William A. Barnett, A. Ronald Gallant, Melvin J. Hinich, Jochen A. Jungeilges, Daniel T. Kaplan). Journal of Econometrics (82) 1997. Pages 157—192. Reprinted in W.A. Barnett and J.M. Binner (eds.) Functional Structure and Approximation in Econometrics, North Holland, Amsterdam, 2004, pages 481—615, 2004.

"The Sensitivity of n-Alkane Analysis to Measurement Error: Implications for Use in the Study of Diet Composition," (with J.A. Newman and F. Cribari-Neto). Journal of Agricultural Science, Cambridge (131) 1998. Pages 465—476.

"Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Fractional Differencing Parameter," Journal of Forecasting (18) 1999. Pages 17—32.

"Research in Econometric Theory: Quantitative and Qualitative Productivity Rankings," (with Francisco Cribari-Neto and Alvaro Novo). Econometric Theory (15) 1999. Pages 719—752.

"An Approximate Wavelet MLE of Short and Long Memory Parameters," Studies in Nonlinear Dynamics and Econometrics (3) 1999. Pages 239— 253.

"An Alternative Maximum Likelihood Estimator of Long-Memory Processes Using Compactly Supported Wavelets," Journal of Economec Dynamics and Control (24) 2000. Pages 361—387.

"Wavelet Estimation of a Local Long-Memory Parameter," (with Brandon Whitcher). Exploration Geophysics (31) 2000. Pages 89—98.

"Long Memory Inflationary Dynamics: The Case of Brazil," (with Francisco Cribari-Neto and Valderio A. Reisen). Studies in Nonlinear Dynamics and Econometrics (7) 2003, No. 3, Article 3.

"Semiparametric Bayesian Inference of Long-Memory Stochastic Volatility," Journal of Time Series Analysis (25) 2004. Pages 895-922.

"Long-run Neutrality in a Franctionally Integrated Model," (with SangKun Bae and Scott G. Murdock). Journal of Macroeconomics (27) 2005. Pages 257—274.

"Do Long Swings in the Business Cycle Lead to Strong Persistence in Output?" (with Ming Liu). Journal of Monetary Economics (53) 2006. Pages 597—611.

"The Long-Run Fisher Effect: Can it be Tested?" Journal of Money, Credit, and Banking, (41) 2009. Pages 221-231.

2008-15
Bayesian Semiparametric Stochastic Volatility Modeling
Mark Jensen and John M. Maheu
June 2008
Abstract || Full text in PDF (525 KB)

2006-11
The Long-Run Fisher Effect: Can It Be Tested?
Mark Jensen
August 2006
Abstract || Full text in PDF (156 KB)

Ph.D. Economics, May 1994
Washington University in St. Louis.

M.A. Economics, Dec. 1989
Washington University in St. Louis.

B.A. (magna cum laude), May 1988
Economics, Weber State University, Ogden, UT

Associate Professor of Economics, Brigham Young University, 2001—2005.

Assistant Professor of Economics, University of Missouri, Columbia, 1997—2001.

Assistant Professor of Economics, Southern Illinois Uiversity, Carbondale, 1994—1997.

Visiting Fellow, University of Technology, Sydney, April 2001.

University Dissertation Fellowship. Dissertation fellowship from Washington University, 1993—1994.

Senior Teaching Fellow. Faculty status with teaching responsibilities, Washington University, 1992—1993.

N.S.F. Grant SES-9223557, Research Assistant (Investigator: William Barnett), "Monte Carlo Investigation of Three Issues: Exact Monetary Aggregation under Risk, Tests for Nonlinearity and Chaos, and the AIM Model's Regularity Properties," July 1, 1993—August 1994.

Arthur and Jeanne Ansehl Research Fellow. Research assistant to Murray Weidenbaum, at the Center for the Study of American Business, Washington University, August 1990—July 1991.

John M. Olin Research Fellow. Research assistant to Murray Weidenbaum, at the Center for the Study of American Business, Washington University.

University Fellowship. University fellowship from Washington University, August 1988—June 1989.

Graduate of the Year in Mathematical Economics. Best graduate in mathematical economics, Weber State University, June 1988.

Research Assistant to the President of Weber State University. Served as President Stephen Nadauld's personal research assistant, 1987— 1988.

Utah Power and Light Scholarship Recipient. Scholarship at Weber State University, September 1985—June 1988.

College of Family, Home, and Social Science Research Grant. Research grant from Brigham Young University for the project entitled, The Fisher Effect as Investigated under Non-stationary Mean-Reverting Long-Memory Models, 2004.

College of Amily, Home, and Social Science Research Grant. Research grant from Brigham Young University for the project entitled, Bayesian Inference of Locally Stationary Stochastic Volatility, 2003.

College of Family, Home, and Social Science Research Grant. Research grant from Brigham Young University for the project entitled, Bayesian Inference of Long-Memory Stochastic Volatility, 2002.

MOGAIA. Research grant for the project entitled, Computational Mathematics and its Applications, with Daniel Lieman (Mathematics), Stamatis Dostoglou (Mathematics), and Youssef Saab (Computer Science). Grants objective is to create a financial engineering degree between the economics and mathematics departments.

University of Missouri Research Board Grant. Research grant from the University of Missouri Research Board for the project entitled, Testing for Long-Memory in Economics with Wavelets, January 1998—December 1998.

Special Research Project. Research grant from Southern Illinois University for the project entitled, Using Wavelets to Invert a Long-Memory Process's Covariance Matrix and to Calculate its Exact Maximum Likelihood Estimator, 1997—1998.

University Priorities and Interdisciplinary Initiative Program. Research grant from Southern Illinois University for the project entitled, A Sensitivity Analysis of Least-Squares Estimation of Diet Composition Using n-Alkanes as Natural Markers, 1996.

Faculty Summer Research Fellowship. Research grant from Southern Illinois University for the project entitled, Dispelling of Deaton's Paradox with Jensen's Wavelet Estimator of the Differencing Parameter, May 1995.

President of the Society for Nonlinear Dynamics and Econometrics, 2009—present.

Associate Editor, Journal of Empirical Finance, 2008—present.

Treasurer of the Society for Nonlinear Dynamics and Econometrics, 2003—09.

Member of the Executive Committee of the Society for Nonlinear Dynamics and Econometrics, 2000–present.

Midwestern Economic Association Meetings, Chicago, March 1992 ("A Monte Carlo Experiment of the Methods of Calculating the MLE's Covariance Matrix of Seemingly Unrelated Nonlinear Equation")

North American Meetings of the Regional Science Association, Niagara Falls, Canada, November 1994 ("Are Economic Conditions Getting Worse in American Cities?")

Invited speaker to the (EC)2 Conference on Nonparametric and Dynamic Modelling, Humboldt University, Berlin, Germany, December 1994 ("Analysis and Estimation of Fractionally Integrated Processes with Compactly Supported Wavelets")

International Symposia in Economic Theory and Econometrics, Washington University, St. Louis, September 1995 ("The CAPM Risk Adjustment for Exact Aggregation over Financial Assets")

5th Annual Meeting of the Midwest Econometric Group, Washington University, St. Louis, October 1995 ("A Consistent Ordinary Least Squares Estimator of the Fractional Differencing Parameter Using Continuous Wavelets")

(EC)2 Conference on Non-linear Modelling in Economics, University of Aarhus, Aarhus, Denmark, December 1995 ("Ordinary Least Squares Estimate of the Fractional Differencing Parameter Using Wavelets as Derived from Smoothing Kernels")

International Workshop: Statistics in Wavelets, Duke University, Durham, NC, October 1997 ("Estimating Short and Long Memory Parameters with Wavelets")

7th Annual Meeting of the Midwest Econometric Group, Michigan State University, East Lansing, MI, October 1997 ("Estimating Short and long Memory Parameters with Wavelets")

6th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, New York University, New York City, NY, March 1998 ("An Approximate Wavelet MLE of Short and long Memory Parameters")

Discussion Meeting on Wavelets: The Key to Intermittent Information? The Royal Society, London, February 1999 ("An Approximate Wavelet MLE of Short and Long-Memory Parameters")

5th International Conference of the Society for Computational Economics, Boston College, Boston, MA, June 1999 ("An Approximate Wavelet MLE of Short nad Long Memory Parameters")

9th Annual Meeting of the Midwest Econometric Group, Iowa State University, Ames, IA, October 1999 ("A Semiparametric Wavelet-Based Estimator of Locally Stationary Long-Memory Models")

Symposium on Statistical Applications, University of Missouri, Columbia, MO, October 1999 ("A Time-Varying Long-Memory Stochastic Volatility Model")

8th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Atlanta Federal Reserve, Atlanta, GA, March 2000 ("Time-Varying Long-Memory in Volatility: Detection and Estimation with Wavelets")

10th Annual Meeting of the Midwest Econometric Group, University of Chicago, Chicago, IL, October 2000 ("Bayesian Inference of Long-Memory Stochastic Volatility via Wavelets")

9th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Atlanta Federal Reserve, Atlanta, GA, March 2001 ("Bayesian Inference of Long-Memory Stochastic Volatility via Wavelets")

Annual American Statistical Society Conference, Atlanta, GA, August 2001 ("Bayesian Inference of Long-Memory Stochastic Volatility via Wavelets")

11th Annual Meeting of the Midwest Econometric Group, Federal Reserve Bank of Kansas City, Kansas City, MO, October 2001 ("Do Long Swings in the Business Cycle Lead to Strong Persistence in Output?")

10th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Atlanta Federal Reserve, Atlanta, GA, March 2002 ("Do Long Swing in the Business Cycle Lead to Strong Persistence in Output?")

Seminar on Bayesian Inference in Econometrics and Statistics, Washington University, Saint Louis, MO, August, 2005 ("Markov change Monte Carlo sampler for fractionally integrated, autoregressive, moving average, stochastic volatility")

5th Annual All-Georgia Finance Conference, Federal Reserve Bank of Atlanta, Atlanta, GA, October 2005 ("The Long-Run Fisher effect: Can we test it?")

(EC)2 Conference on Financial Risk, Istanbul, Turkey, December, 2005 ("Markov change Monte Carlo sampler for fractionally integrated, autoregressive, moving average, stochastic volatility")

Topics on Financial Econometrics, Federal Reserve Bank of Atlanta, April, 2005 ("Measuring the impact intraday events have on the persistence of volatility")

Eighth Valencia International Meeting on Bayesian Statistics, Benidorm, Spain, June, 2006 ("Markov change Monte Carlo sampler for fractionally integrated, autoregressive, moving average, stochastic volatility")

Conference on Breaks and Persistence in Econometrics, Cass Business School, London, UK, December, 2006 ("Markov change Monte Carlo sampler for fractionally integrated, autoregressive, moving average, stochastic volatility")

System Meeting on Financial Structure and Regulation, Federal Reserve Bank of San Francisco, September, 2007 (Discussant to the paper "Has the CDS market lowered the cost of corporate debt?" by Adam Ashcraft and Joao Santos)

7th Annual All-Georgia Finance Conference, Federal Reserve Bank of Atlanta, Atlanta, GA, October 2007 ("Bayesian semiparametric stochastic volatility model")

University of Alabama—Tuscaloosa

University of Auckland

Brigham Young University

University of California—Davis

Federal Reserve Bank—Atlanta

Federal Reserve Bank—Saint Louis

George Mason University

University of Kansas

University of Missouri—Columbia

Melbourne Institute of Applied Economic and Social Research

Monash University

University of Oklahoma

Oregon State University

University of Osnabrück

Southern Illinois University—Carbondale

SUNY—Binghamton

University of Technology, Sydney

Utah State University, Department of Mathematics and Statistics

Virginia Commonwealth University

Weber State University

Washington University, Olin School of Business

Wayne State University

University of Windsor

American Economic Association

American Statistical Association

Econometric Society

Midwest Econometrics Group

Society for Nonlinear Dynamics and Econometrics