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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Econometrics Working Papers Archive / Econometrics Working Papers Archive

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.080000.04
19920.090000.05
19930.110000.05
19940.130000.05
19950.140000.09
19960.170000.09
19970.180000.09
19980.210000.14
19990.2712000.16
20000.370100.15
200110.355141100.18
20020.20.39655110010.170.19
20030.360.42214114010.50.21
20040.454880410.21
20050.830.453265200.26
20060.140.486217110030.50.22
20070.220.4167925010.170.19
20080.330.4128124250.19
20090.750.37318616.70.19
20100.40.28315200.16
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CIT: Number of citations to the series in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
SC(%): Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
IdI: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data.
RePEc:fir:econom:wp2003_07 [Citation Analysis]
9
2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
RePEc:fir:econom:wp2001_04 [Citation Analysis]
9
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns
RePEc:fir:econom:wp2006_03 [Citation Analysis]
8
2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
RePEc:fir:econom:wp2007_16 [Citation Analysis]
6
2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
RePEc:fir:econom:wp2008_09 [Citation Analysis]
5
2006Vector Multiplicative Error Models: Representation and Inference
RePEc:fir:econom:wp2006_15 [Citation Analysis]
5
2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).
RePEc:fir:econom:wp2003_04 [Citation Analysis]
5
2001Modelling the Impact of Overnight Surprises on Intra-daily Volatility
RePEc:fir:econom:wp2001_02 [Citation Analysis]
3
2002GARCH-based Volatility Forecasts for Market Volatility Indices
RePEc:fir:econom:wp2002_06 [Citation Analysis]
3
2008Comparison of Volatility Measures: a Risk Management Perspective
RePEc:fir:econom:wp2008_03 [Citation Analysis]
3
2004On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.
RePEc:fir:econom:wp2004_05 [Citation Analysis]
3
2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
RePEc:fir:econom:wp2006_04 [Citation Analysis]
3
2004Bayesian inference for alpha-stable distributions: a random walk MCMC approach.
RePEc:fir:econom:wp2004_11 [Citation Analysis]
2
2006Exchange Market Pressure: Some Caveats In Empirical Applications
RePEc:fir:econom:wp2006_17 [Citation Analysis]
2
2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
RePEc:fir:econom:wp2001_01 [Citation Analysis]
2
2004Indirect estimation of alpha-stable distributions and processes.
RePEc:fir:econom:wp2004_07 [Citation Analysis]
2

repec:fir:econom:quaderno46 [Citation Analysis]
2
2006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
RePEc:fir:econom:wp2006_12 [Citation Analysis]
2
2006Indirect estimation of alpha-stable stochastic volatility models
RePEc:fir:econom:wp2006_07 [Citation Analysis]
2
2002Inflation Differentials before and after the EMU
RePEc:fir:econom:wp2002_19 [Citation Analysis]
1
2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
RePEc:fir:econom:wp2005_11 [Citation Analysis]
1
2002Analytic Hessian Matrices and the Computation of FIGARCH Estimates
RePEc:fir:econom:wp2002_03 [Citation Analysis]
1

repec:fir:econom:wp2005_10 [Citation Analysis]
1
2010A Time-varying Mixing Multiplicative Error Model for Realized Volatility
RePEc:fir:econom:wp2010_03 [Citation Analysis]
1
2004A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.
RePEc:fir:econom:wp2004_12 [Citation Analysis]
1
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
RePEc:fir:econom:wp2007_02 [Citation Analysis]
1
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading
RePEc:fir:econom:wp2009_01 [Citation Analysis]
1

Citing documents used to compute impact factor 2:
YearTitleSee
2010Informed and uninformed traders at work: evidence from the French market
RePEc:pra:mprapa:24487
[Citation Analysis]
2010Volatility Transmission in Emerging European Foreign Exchange Markets
RePEc:ces:ceswps:_3063
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2008

YearTitleSee

Recent citations received in: 2007

YearTitleSee
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
RePEc:fir:econom:wp2007_04
[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

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