Mark Jensen
Vice President and Senior Economistpersonal website
email :: 404-498-8019
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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.
Working Papers
Atlanta Fed Working Papers
2019-3
Bayesian Nonparametric Learning of How Skill Is Distributed across the Mutual Fund Industry
Mark Fisher, Mark J. Jensen, and Paula Tkac
March 2019
Abstract | Full text
(1,098 KB)
2018-2
Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
Mark Fisher and Mark J. Jensen
February 2018
Abstract | Full text (1,815 KB)
2015-12
Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility
Mark J. Jensen
November 2015
Abstract | Full text (487 KB)
2014-6
Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
Mark Jensen and John M. Maheu
June 2014
Abstract | Full text (1.23 MB)
2012-9
Bayesian Semiparametric Multivariate GARCH Modeling
Mark Jensen and John M. Maheu
July 2012
Abstract | Full text (749 KB)
2012-6
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Mark Jensen and John M. Maheu
April 2012
Abstract | Full text (829 KB)
2008-15
Bayesian Semiparametric Stochastic Volatility Modeling
Mark Jensen and John M. Maheu
June 2008
Abstract | Full text (525 KB)
2006-11
The Long-Run Fisher Effect: Can It Be Tested?
Mark Jensen
August 2006
Abstract | Full text (156 KB)
Other Fed Work
Articles
2021
Mark Jensen and Brian Robertson. "Market Response to Taper Talk," Policy Hub: Macroblog. October 18, 2021.
2020
Mark J. Jensen "Measuring and Managing COVID-19 Model Risk." Policy Hub (2020-7).
Abstract | Full text
2016
Mark J. Jensen. "Stress Testing with the Help of Bayes' Theorem." Notes from the Vault (2016 February).