Rutger-Jan Lange : Citation Profile


Are you Rutger-Jan Lange?

Erasmus Universiteit Rotterdam

3

H index

1

i10 index

52

Citations

RESEARCH PRODUCTION:

4

Articles

10

Papers

RESEARCH ACTIVITY:

   6 years (2015 - 2021). See details.
   Cites by year: 8
   Journals where Rutger-Jan Lange has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 3 (5.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla919
   Updated: 2021-10-16    RAS profile: 2021-07-08    
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Relations with other researchers


Works with:

Grubb, Michael (2)

Mercure, Jean-Francois (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rutger-Jan Lange.

Is cited by:

Harvey, Andrew (7)

Blazsek, Szabolcs (5)

Ayala, Astrid (5)

Fuertes, Ana-Maria (3)

Escribano, Alvaro (3)

Murray, Cameron (3)

Schienle, Melanie (2)

Kohns, David (1)

Barrios, Salvador (1)

Bonga-Bonga, Lumengo (1)

Pizarro-Irizar, Cristina (1)

Cites to:

Koopman, Siem Jan (20)

Lucas, Andre (18)

Creal, Drew (12)

Harvey, Andrew (8)

Campbell, John (7)

Davis, Morris (6)

Rossi-Hansberg, Esteban (6)

Stambaugh, Robert (6)

Hemous, David (6)

Gobillon, Laurent (5)

Aghion, Philippe (5)

Main data


Where Rutger-Jan Lange has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute6

Recent works citing Rutger-Jan Lange (2021 and 2020)


YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

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2020Stochastic Frontier Analysis with Generalized Errors: inference, model comparison and averaging. (2020). Mazur, Bla Zej ; Makiela, Kamil. In: Papers. RePEc:arx:papers:2003.07150.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2021On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Papers. RePEc:arx:papers:2103.08258.

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2021Policy with stochastic hysteresis. (2021). Riabov, Georgii ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2104.10225.

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2021On an Irreversible Investment Problem with Two-Factor Uncertainty. (2021). Ferrari, Giorgio ; Dammann, Felix. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:646.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2021Regime switching models for directional and linear observations. (2021). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2123.

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2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2020Assessing the extent of contagion of sovereign credit risk among BRICS countries. (2020). Bonga-Bonga, Lumengo ; Manguzvane, Mathias Mandla. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00655.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2020Renewable energy regulation and structural breaks: An empirical analysis of Spanish electricity price volatility. (2020). Zarraga, Ainhoa ; Pizarro-Irizar, Cristina ; Ciarreta, Aitor. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300888.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2020Fear of hazards in commodity futures markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301680.

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2021Economic sentiment during the COVID pandemic: Evidence from search behaviour in the EU. (2021). van der Wielen, Wouter ; Barrios, Salvador. In: Journal of Economics and Business. RePEc:eee:jebusi:v:115:y:2021:i:c:s0148619520304148.

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2020Time is money: How landbanking constrains housing supply. (2020). Murray, Cameron K. In: Journal of Housing Economics. RePEc:eee:jhouse:v:49:y:2020:i:c:s1051137720300449.

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2020A Markov Decision Process approach for balancing intelligence and interdiction operations in city-level drug trafficking enforcement. (2020). Baycik, Orkun N ; Rainwater, Chase E ; Sharkey, Thomas C. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:69:y:2020:i:c:s0038012117302422.

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2021The shape of the value function under Poisson optimal stopping. (2021). Hobson, David. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:133:y:2021:i:c:p:229-246.

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2020Bayesian Model Averaging and Prior Sensitivity in Stochastic Frontier Analysis. (2020). Makieła, Kamil ; Mazur, Baej ; Makiea, Kamil. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:13-:d:347990.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-02931680.

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2020A housing supply absorption rate equation. (2020). Murray, Cameron. In: OSF Preprints. RePEc:osf:osfxxx:7n8rj.

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2020Time is money: How landbanking constrains housing supply. (2020). Murray, Cameron. In: OSF Preprints. RePEc:osf:osfxxx:hym43.

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2020Fear of Hazards in Commodity Futures Markets. (2020). Miffre, Joelle ; Gonzalez-Fernandez, Marcos ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: MPRA Paper. RePEc:pra:mprapa:100528.

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2021A Structural Model of Market Friction with Time-Varying Volatility. (2021). Grassi, Stefano ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: CEIS Research Paper. RePEc:rtv:ceisrp:506.

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2021Box-office forecasting in Korea using search trend data: a modified generalized Bass diffusion model. (2021). Kang, Daekook. In: Electronic Commerce Research. RePEc:spr:elcore:v:21:y:2021:i:1:d:10.1007_s10660-020-09456-7.

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2021Forecasting Spanish unemployment with Google Trends and dimension reduction techniques. (2021). Garcia-Hiernaux, Alfredo ; Mulero, Rodrigo. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:12:y:2021:i:3:d:10.1007_s13209-021-00231-x.

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2020Loss-based approach to two-piece location-scale distributions with applications to dependent data. (2020). Villa, Cristiano ; Rossini, Luca ; Leisen, Fabrizio. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:2:d:10.1007_s10260-019-00481-x.

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2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

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2020Value-at-risk — the comparison of state-of-the-art models on various assets. (2020). Ślepaczuk, Robert ; Kielak, Karol. In: Working Papers. RePEc:war:wpaper:2020-28.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Google trends and the predictability of precious metals. (2020). Salisu, Afees ; Ogbonna, Ahamuefula ; Adewuyi, Adeolu. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719307408.

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Works by Rutger-Jan Lange:


YearTitleTypeCited
2018Modeling the Interactions between Volatility and Returns using EGARCH?M In: Journal of Time Series Analysis.
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article6
2015Volatility Modeling with a Generalized t-distribution In: Cambridge Working Papers in Economics.
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paper23
2015Modeling the Interactions between Volatility and Returns In: Cambridge Working Papers in Economics.
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paper2
2018The option value of vacant land and the optimal timing of city extensions In: CEPR Discussion Papers.
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paper3
2018The option value of vacant land and the optimal timing of city extensions.(2018) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2020Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times In: Journal of Financial and Quantitative Analysis.
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article3
2020Can Google search data help predict macroeconomic series? In: International Journal of Forecasting.
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article9
0000Can Google Search Data Help Predict Macroeconomic Series?.(0000) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 9
paper
2018Systems Innovation, Inertia and Pliability: A mathematical exploration with implications for climate change abatement In: Working Papers.
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paper0
2016When Is Information Sufficient for Action? Search with Unreliable yet Informative Intelligence In: Operations Research.
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article2
2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads In: Tinbergen Institute Discussion Papers.
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paper3
2021Bellman filtering for state-space models In: Tinbergen Institute Discussion Papers.
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paper0
2020Taking Time Seriously: Implications for Optimal Climate Policy In: Tinbergen Institute Discussion Papers.
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paper1
2021The option value of vacant land: Dont build when demand for housing is booming In: Tinbergen Institute Discussion Papers.
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paper0

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