Rutger-Jan Lange : Citation Profile


Are you Rutger-Jan Lange?

Erasmus Universiteit Rotterdam

4

H index

1

i10 index

33

Citations

RESEARCH PRODUCTION:

4

Articles

8

Papers

RESEARCH ACTIVITY:

   5 years (2015 - 2020). See details.
   Cites by year: 6
   Journals where Rutger-Jan Lange has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 2 (5.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla919
   Updated: 2020-10-17    RAS profile: 2020-09-29    
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Relations with other researchers


Works with:

Harvey, Andrew (3)

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

Is cited by:

Ayala, Astrid (5)

Blazsek, Szabolcs (5)

Harvey, Andrew (5)

Escribano, Alvaro (3)

Salisu, Afees (2)

Ogbonna, Ahamuefula (2)

Schienle, Melanie (2)

Bonga-Bonga, Lumengo (1)

Makieła, Kamil (1)

Zarraga, Ainhoa (1)

Ślepaczuk, Robert (1)

Cites to:

Koopman, Siem Jan (20)

Lucas, Andre (18)

Creal, Drew (12)

Harvey, Andrew (8)

Campbell, John (6)

Engle, Robert (5)

Blasques, Francisco (5)

Zhang, Xin (4)

Bauwens, Luc (4)

Askitas, Nikos (4)

Startz, Richard (4)

Main data


Where Rutger-Jan Lange has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute4

Recent works citing Rutger-Jan Lange (2020 and 2019)


YearTitle of citing document
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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2019Dynamic Tobit models. (2019). Harvey, Andrew ; Liao, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1913.

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2019Score-Driven Models for Realized Volatility. (2019). Harvey, Andrew ; Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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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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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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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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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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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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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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2019Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar. (2019). Blazsek, Szabolcs ; Ayala, Astrid. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:10:y:2019:i:1:d:10.1007_s13209-018-0186-0.

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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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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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2019Timely exposure of a secret project: Which activities to monitor?. (2019). Hamers, Herbert ; Hermans, Ben ; Lindelauf, Roy ; Leus, Roel. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:66:y:2019:i:6:p:451-468.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:123.

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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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2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

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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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article4
2015Volatility Modeling with a Generalized t-distribution In: Cambridge Working Papers in Economics.
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paper15
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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paper2
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: 2
paper
2020Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times In: Journal of Financial and Quantitative Analysis.
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article0
2020Can Google search data help predict macroeconomic series? In: International Journal of Forecasting.
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article4
0000Can Google Search Data Help Predict Macroeconomic Series?.(0000) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
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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paper4
2020Bellman filtering for state-space models In: Tinbergen Institute Discussion Papers.
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paper0

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