Mark Jensen
Vice President and Senior Economist
About
Mark Jensen is a vice president and senior economist on the financial markets team in 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.
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Biography
Mark Jensen is a vice president and senior economist on the financial markets team in 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. He has also been heavily involved with the Federal Reserve System's Comprehensive Capital Analysis and Review (CCAR) by participating on the risk evaluation team for retail products and validating the Federal Reserve's asset-backed security models for the Model Validation Group.
Before joining the Bank in 2005, Dr. Jensen was an associate professor in the department of economics at Brigham Young University from 2001 to 2005. He has also been an assistant professor at the University of Missouri and Southern Illinois University–Carbondale.
Dr. Jensen is an associate editor of the Journal of Empirical Finance. He is a past president and treasurer of the Society for Nonlinear Dynamics and Econometrics and is currently a member of its executive committee. Dr. Jensen also serves on the advisory board of the European Union's Seventh Framework Programme for Research. He has published works in the Journal of Econometrics, Econometric Theory, the Journal of Monetary Economics, and the Journal of Money, Credit and Banking, and has presented his research 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 and doctoral degrees in economics from Washington University in St. Louis.
Published Work
Federal Reserve work covering the latest six years.
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Publications
2019
Mark Fisher, Mark J. Jensen, and Paula Tkac. "Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry ." Working Paper 2019-3. Federal Reserve Bank of Atlanta. March 2019.
2018
Mark Fisher and Mark J. Jensen. "Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors." Working Paper 2018-2. Federal Reserve Bank of Atlanta. February 2018.
2016
Mark J. Jensen. "Stress Testing with the Help of Bayes' Theorem." Notes from the Vault (2016 February).
2015
Mark J. Jensen. "Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility." Working Paper 2015-12. Federal Reserve Bank of Atlanta. November 2015.
2014
Mark Jensen and John M. Maheu. "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis." Working Paper 2014-6. Federal Reserve Bank of Atlanta. June 2014.
2012
Mark Jensen and John M. Maheu. "Bayesian Semiparametric Multivariate GARCH Modeling." Working Paper 2012-9. Federal Reserve Bank of Atlanta. July 2012.
Mark Jensen and John M. Maheu. "Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture." Working Paper 2012-6. Federal Reserve Bank of Atlanta. April 2012.
2008
Mark Jensen and John M. Maheu. "Bayesian Semiparametric Stochastic Volatility Modeling." Working Paper 2008-15. Federal Reserve Bank of Atlanta. June 2008.
Mark Jensen and John M. Maheu. "Bayesian Semiparametric Stochastic Volatility Modeling." Working Paper 2008-15. Federal Reserve Bank of Atlanta. June 2008.
2006
Mark Jensen. "The Long-Run Fisher Effect: Can It Be Tested?." Working Paper 2006-11. Federal Reserve Bank of Atlanta. August 2006.