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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

 
 

CREATES Research Papers / School of Economics and Management, University of Aarhus, Denmark

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19910.10000.05
19920.090000.05
19930.10000.05
19940.120000.04
19950.170000.09
19960.20000.09
19970.210000.09
19980.220000.13
19990.290000.15
20000.40000.15
20010.380000.18
20020.410000.2
20030.440000.2
20040.460000.2
20050.460000.25
20060.490000.22
20070.424526500100.220.19
200810.4365179454520270.420.19
20090.850.4601101109431.9180.30.19
20100.460.3374661255715.8160.220.16
20110.460.556171346214.5110.20.27
 
 
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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
RePEc:aah:create:2007-18 [Citation Analysis]
75
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
RePEc:aah:create:2007-20 [Citation Analysis]
61
2007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
RePEc:aah:create:2007-27 [Citation Analysis]
22
2007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
RePEc:aah:create:2007-43 [Citation Analysis]
20
2007Expected Stock Returns and Variance Risk Premia
RePEc:aah:create:2007-17 [Citation Analysis]
18
2008Option Valuation with Long-run and Short-run Volatility Components
RePEc:aah:create:2008-11 [Citation Analysis]
16
2008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution
RePEc:aah:create:2008-41 [Citation Analysis]
15
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
RePEc:aah:create:2008-58 [Citation Analysis]
14
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
RePEc:aah:create:2007-21 [Citation Analysis]
14
2009Realised Quantile-Based Estimation of the Integrated Variance
RePEc:aah:create:2009-27 [Citation Analysis]
14
2008Disagreement and Biases in Inflation Expectations
RePEc:aah:create:2008-56 [Citation Analysis]
12
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
RePEc:aah:create:2007-09 [Citation Analysis]
11
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
RePEc:aah:create:2010-13 [Citation Analysis]
11
2008Inference for the jump part of quadratic variation of Itô semimartingales
RePEc:aah:create:2008-17 [Citation Analysis]
10
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
RePEc:aah:create:2009-34 [Citation Analysis]
10
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations
RePEc:aah:create:2007-03 [Citation Analysis]
10
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
RePEc:aah:create:2010-29 [Citation Analysis]
10
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:aah:create:2008-63 [Citation Analysis]
10
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
RePEc:aah:create:2009-52 [Citation Analysis]
9
2010Stochastic Volatility
RePEc:aah:create:2010-10 [Citation Analysis]
9
2008Multivariate GARCH models
RePEc:aah:create:2008-06 [Citation Analysis]
8
2009Co-integration Rank Testing under Conditional Heteroskedasticity
RePEc:aah:create:2009-22 [Citation Analysis]
8
2009Testing Conditional Factor Models
RePEc:aah:create:2009-09 [Citation Analysis]
8
2007Risk, Jumps, and Diversification
RePEc:aah:create:2007-19 [Citation Analysis]
7
2008Option Pricing using Realized Volatility
RePEc:aah:create:2008-13 [Citation Analysis]
7
2009The Taylor Rule and “Opportunistic” Monetary Policy
RePEc:aah:create:2010-04 [Citation Analysis]
7
2007Extreme Coexceedances in New EU Member States’ Stock Markets
RePEc:aah:create:2007-34 [Citation Analysis]
7
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
RePEc:aah:create:2008-08 [Citation Analysis]
6
2010Forecast Combinations
RePEc:aah:create:2010-21 [Citation Analysis]
6
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
RePEc:aah:create:2007-10 [Citation Analysis]
6
2009On the Economic Evaluation of Volatility Forecasts
RePEc:aah:create:2009-56 [Citation Analysis]
6
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility
RePEc:aah:create:2008-50 [Citation Analysis]
6
2008Maximum likelihood estimation of fractionally cointegrated systems
RePEc:aah:create:2008-53 [Citation Analysis]
5
2008Short-run Exchange-Rate Dynamics: Theory and Evidence
RePEc:aah:create:2008-01 [Citation Analysis]
5
2008Local polynomial Whittle estimation of perturbed fractional processes
RePEc:aah:create:2008-29 [Citation Analysis]
5
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
RePEc:aah:create:2007-02 [Citation Analysis]
5
2007Are Economists More Likely to Hold Stocks?
RePEc:aah:create:2007-08 [Citation Analysis]
5
2008Glossary to ARCH (GARCH)
RePEc:aah:create:2008-49 [Citation Analysis]
5
2009Quadratic Variation by Markov Chains
RePEc:aah:create:2009-13 [Citation Analysis]
4
2007Power variation for Gaussian processes with stationary increments
RePEc:aah:create:2007-42 [Citation Analysis]
4
2008Expected Stock Returns and Variance Risk Premia
RePEc:aah:create:2008-48 [Citation Analysis]
4
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
RePEc:aah:create:2009-45 [Citation Analysis]
4
2007Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates
RePEc:aah:create:2007-05 [Citation Analysis]
4
2008Bipower-type estimation in a noisy diffusion setting
RePEc:aah:create:2008-25 [Citation Analysis]
4
2010Forecasting with nonlinear time series models
RePEc:aah:create:2010-01 [Citation Analysis]
4
2008An analysis of the indicator saturation estimator as a robust regression estimator
RePEc:aah:create:2008-09 [Citation Analysis]
4
2009Multipower Variation for Brownian Semistationary Processes
RePEc:aah:create:2009-21 [Citation Analysis]
4
2008Explaining output volatility: The case of taxation
RePEc:aah:create:2008-04 [Citation Analysis]
4
2008Local polynomial Whittle estimation covering non-stationary fractional processes
RePEc:aah:create:2008-28 [Citation Analysis]
3
2008New tests for jumps: a threshold-based approach
RePEc:aah:create:2008-34 [Citation Analysis]
3

Citing documents used to compute impact factor 62:
YearTitleSee
2011Non-linear DSGE models and the optimized central difference particle filter
RePEc:eee:dyncon:v:35:y:2011:i:10:p:1671-1695
[Citation Analysis]
2011Combining Survey Forecasts and Time Series Models: The Case of the Euribor
RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81
[Citation Analysis]
2011Disagreement, Uncertainty and the True Predictive Density
RePEc:knz:dpteco:1143
[Citation Analysis]
2011What we can learn from pricing 139,879 Individual Stock Options
RePEc:aah:create:2011-52
[Citation Analysis]
2011Pricing Nikkei 225 Options Using Realized Volatility
RePEc:ime:imedps:11-e-18
[Citation Analysis]
2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
RePEc:dgr:uvatin:20110132
[Citation Analysis]
2011The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting
RePEc:pra:mprapa:35252
[Citation Analysis]
2011An Empirical Test of Pricing Kernel Monotonicity
RePEc:cdl:ucsdec:qt5572n8pc
[Citation Analysis]
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
RePEc:aah:create:2011-27
[Citation Analysis]
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
RePEc:aah:create:2011-28
[Citation Analysis]
2011The Australian Phillips curve and more
RePEc:pra:mprapa:28762
[Citation Analysis]
2011Anthropogenic Influences on Atmospheric CO2
RePEc:oxf:wpaper:584
[Citation Analysis]
2011Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
RePEc:eee:csdana:v:55:y:2011:i:2:p:1008-1017
[Citation Analysis]
2011Asymptotic theory for iterated one-step Huber-skip estimators
RePEc:kud:kuiedp:1129
[Citation Analysis]
2011Asymptotic theory for iterated one-step Huber-skip estimators
RePEc:aah:create:2011-40
[Citation Analysis]
2011The effect of round-off error on long memory processes
RePEc:arx:papers:1107.4476
[Citation Analysis]
2011Data-based ranking of realised volatility estimators
RePEc:eee:econom:v:161:y:2011:i:2:p:284-303
[Citation Analysis]
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models
RePEc:nuf:econwp:1101
[Citation Analysis]
2011Testing Conditional Factor Models
RePEc:nbr:nberwo:17561
[Citation Analysis]
2011The Role of the Spouse in Early Retirement Decisions for Older Workers
RePEc:aah:create:2011-38
[Citation Analysis]
2011Can Internet search queries help to predict stock market volatility?
RePEc:zbw:tuewef:18
[Citation Analysis]
2011Can internet search queries help to predict stock market volatility?
RePEc:zbw:cfrwps:1115
[Citation Analysis]
2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
RePEc:aah:create:2011-26
[Citation Analysis]
2011Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
RePEc:bos:wpaper:wp2011-050
[Citation Analysis]
2011Multivariate option pricing with time varying volatility and correlations
RePEc:eee:jbfina:v:35:y:2011:i:9:p:2267-2281
[Citation Analysis]
2011Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
RePEc:eee:ecmode:v:28:y:2011:i:3:p:1279-1290
[Citation Analysis]
2011The ECB Monetary Policy and the Current Financial Crisis
RePEc:cyb:wpaper:2011-1
[Citation Analysis]
2011The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
RePEc:dgr:uvatin:20110132
[Citation Analysis]
2011Financial Risk Measurement for Financial Risk Management
RePEc:aah:create:2011-37
[Citation Analysis]
2011Monitoring a change in persistence of a long range dependent time series
RePEc:han:dpaper:dp-479
[Citation Analysis]
2011Testing for a rational bubble under long memory
RePEc:rug:rugwps:11/722
[Citation Analysis]
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
RePEc:ucm:doicae:1120
[Citation Analysis]
2011Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation
RePEc:dgr:eureir:1765023582
[Citation Analysis]
2011RATIONAL IGNORANCE IN LONG-RUN RISK MODELS
RePEc:rcr:wpaper:08_11
[Citation Analysis]
2011Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios
RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495
[Citation Analysis]
2011A martingale approach for testing diffusion models based on infinitesimal operator
RePEc:eee:econom:v:162:y:2011:i:2:p:189-212
[Citation Analysis]
2011Analytical approximation of the transition density in a local volatility model
RePEc:pra:mprapa:31107
[Citation Analysis]
2011Getting beyond carry trade: what makes a safe haven currency?
RePEc:ecb:ecbwps:20111288
[Citation Analysis]
2011FX strategies in periods of distress
RePEc:bis:bisqtr:1112e
[Citation Analysis]
2011Exchangeability type properties of asset prices
RePEc:arx:papers:0901.4914
[Citation Analysis]
2011Useful models for time series of counts or simply wrong ones?
RePEc:spr:alstar:v:95:y:2011:i:1:p:59-91
[Citation Analysis]
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:eee:econom:v:162:y:2011:i:2:p:149-169
[Citation Analysis]
2011A Long Memory Model with Normal Mixture GARCH
RePEc:kap:compec:v:38:y:2011:i:4:p:517-539
[Citation Analysis]
2011Volatility models
RePEc:cor:louvco:2011058
[Citation Analysis]
2011Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States
RePEc:rwi:repape:0240
[Citation Analysis]
2011Combining Survey Forecasts and Time Series Models: The Case of the Euribor
RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81
[Citation Analysis]
2011Testing Conditional Factor Models
RePEc:nbr:nberwo:17561
[Citation Analysis]
2011Essays on asset pricing.
RePEc:ner:tilbur:urn:nbn:nl:ui:12-5146522
[Citation Analysis]
2011Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
RePEc:eee:jfinec:v:102:y:2011:i:2:p:363-389
[Citation Analysis]
2011Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:557-567
[Citation Analysis]
2011On the Predictability of Stock Prices: A Case for High and Low Prices.
RePEc:pad:wpaper:0136
[Citation Analysis]
2011Forecasting with Option Implied Information
RePEc:aah:create:2011-46
[Citation Analysis]
2011Parametric Inference and Dynamic State Recovery from Option Panels
RePEc:aah:create:2012-11
[Citation Analysis]
2011The effect of infrequent trading on detecting price jumps
RePEc:spr:alstar:v:95:y:2011:i:1:p:27-58
[Citation Analysis]
2011Subsampling high frequency data
RePEc:eee:econom:v:161:y:2011:i:2:p:262-283
[Citation Analysis]
2011Extreme value theory for finance: a survey
RePEc:bdi:opques:qef_99_11
[Citation Analysis]
2011Cointegrated VARMA models and forecasting US interest rates
RePEc:zur:econwp:033
[Citation Analysis]
2011Monetary Policy Rules in the BRICS: How Important is Nonlinearity?
RePEc:nip:nipewp:18/2011
[Citation Analysis]
2011Threshold effects in the monetary policy reaction function of the Deutsche Bundesbank
RePEc:pra:mprapa:32430
[Citation Analysis]
2011Political Business Cycles and Monetary Policy Revisited – An Application of a Two-Dimensional Asymmetric Taylor Reaction Function
RePEc:rwi:repape:0286
[Citation Analysis]
2011Sources of the great moderation: A time-series analysis of GDP subsectors
RePEc:eee:dyncon:v:35:y:2011:i:1:p:67-79
[Citation Analysis]
2011Asymmetric Taylor reaction functions of the ECB: An approach depending on the state of the economy
RePEc:eee:ecofin:v:22:y:2011:i:2:p:149-163
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise
RePEc:aah:create:2011-31
[Citation Analysis]
2011The effect of round-off error on long memory processes
RePEc:arx:papers:1107.4476
[Citation Analysis]
2011Flexicurity, Wage Dynamics and Inequality over the Life-Cycle
RePEc:ces:ceswps:_3561
[Citation Analysis]
2011Volatility models
RePEc:cor:louvco:2011058
[Citation Analysis]
2011Flexicurity, wage dynamics and inequality over the life-cycle
RePEc:ctc:serie4:ieil0064
[Citation Analysis]
2011A Simple Model for Vast Panels of Volatilities
RePEc:eca:wpaper:2013/97304
[Citation Analysis]
2011Semiparametric Estimation with Generated Covariates
RePEc:iza:izadps:dp6084
[Citation Analysis]
2011Testing Conditional Factor Models
RePEc:nbr:nberwo:17561
[Citation Analysis]
2011Are foreign currency markets interdependent? evidence from data mining technologies
RePEc:pra:mprapa:35261
[Citation Analysis]
2011How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291
[Citation Analysis]
2011Efficient high-dimensional importance sampling in mixture frameworks
RePEc:zbw:cauewp:201111
[Citation Analysis]

Recent citations received in: 2010

YearTitleSee
2010Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos
RePEc:col:000094:007669
[Citation Analysis]
2010Disentangling Systematic and idiosyncratic Risk for large Panels of Assets
RePEc:eca:wpaper:2013/57645
[Citation Analysis]
2010Parametric estimation of risk neutral density functions
RePEc:hum:wpaper:sfb649dp2010-045
[Citation Analysis]
2010FX Smile in the Heston Model
RePEc:hum:wpaper:sfb649dp2010-047
[Citation Analysis]
2010Models for Heavy-tailed Asset Returns
RePEc:hum:wpaper:sfb649dp2010-049
[Citation Analysis]
2010Estimation of the signal subspace without estimation of the inverse covariance matrix
RePEc:hum:wpaper:sfb649dp2010-050
[Citation Analysis]
2010Executive Compensation Regulation and the Dynamics of the Pay-Performance Sensitivity
RePEc:hum:wpaper:sfb649dp2010-051
[Citation Analysis]
2010Spatial Dependencies in German Matching Functions
RePEc:hum:wpaper:sfb649dp2010-054
[Citation Analysis]
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
RePEc:hum:wpaper:sfb649dp2010-055
[Citation Analysis]
2010Context Effects as Customer Reaction on Delisting of Brands
RePEc:hum:wpaper:sfb649dp2010-056
[Citation Analysis]
2010Nonparametric Regression with Nonparametrically Generated Covariates
RePEc:hum:wpaper:sfb649dp2010-059
[Citation Analysis]
2010Every Symmetric 3 x 3 Global Game of Strategic Complementarities Is Noise Independent
RePEc:hum:wpaper:sfb649dp2010-061
[Citation Analysis]
2010Hard Times
RePEc:nbr:nberwo:16222
[Citation Analysis]
2010Revealing the arcane: an introduction to the art of stochastic volatility models
RePEc:pra:mprapa:25511
[Citation Analysis]
2010Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio
RePEc:pra:mprapa:35911
[Citation Analysis]
2010Components of bull and bear markets: bull corrections and bear rallies
RePEc:tor:tecipa:tecipa-402
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach
RePEc:aah:create:2009-11
[Citation Analysis]
2009Quadratic Variation by Markov Chains
RePEc:aah:create:2009-13
[Citation Analysis]
2009Stochastic volatility and stochastic leverage
RePEc:aah:create:2009-20
[Citation Analysis]
2009Stochastic volatility of volatility in continuous time
RePEc:aah:create:2009-25
[Citation Analysis]
2009Realised Quantile-Based Estimation of the Integrated Variance
RePEc:aah:create:2009-27
[Citation Analysis]
2009Semiparametric Modelling and Estimation: A Selective Overview
RePEc:aah:create:2009-44
[Citation Analysis]
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
RePEc:aah:create:2009-45
[Citation Analysis]
2009On the Economic Evaluation of Volatility Forecasts
RePEc:aah:create:2009-56
[Citation Analysis]
2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
RePEc:aah:create:2009-60
[Citation Analysis]
2009The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets
RePEc:bbk:bbkefp:0914
[Citation Analysis]
2009Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility
RePEc:eee:intfin:v:19:y:2009:i:3:p:490-505
[Citation Analysis]
2009Optimal combinations of realised volatility estimators
RePEc:eee:intfor:v:25:y:2009:i:2:p:218-238
[Citation Analysis]
2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach
RePEc:hhb:aarbfi:2009-03
[Citation Analysis]
2009Crash Risk in Currency Markets
RePEc:nbr:nberwo:15062
[Citation Analysis]
2009A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)
RePEc:pra:mprapa:17960
[Citation Analysis]
2009Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice
RePEc:pra:mprapa:23557
[Citation Analysis]
2009Carry Trade Fundamentals and the Financial Crisis 2007-2010
RePEc:pra:mprapa:9952
[Citation Analysis]
2009Interventions in ingarch processes
RePEc:zbw:sfb475:200911
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Efficient estimation for ergodic diffusions sampled at high frequency
RePEc:aah:create:2007-46
[Citation Analysis]
2008Option Pricing using Realized Volatility
RePEc:aah:create:2008-13
[Citation Analysis]
2008Local polynomial Whittle estimation covering non-stationary fractional processes
RePEc:aah:create:2008-28
[Citation Analysis]
2008Local polynomial Whittle estimation of perturbed fractional processes
RePEc:aah:create:2008-29
[Citation Analysis]
2008Bias-reduced estimation of long memory stochastic volatility
RePEc:aah:create:2008-35
[Citation Analysis]
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
RePEc:aah:create:2008-37
[Citation Analysis]
2008Likelihood based testing for no fractional cointegration
RePEc:aah:create:2008-52
[Citation Analysis]
2008Maximum likelihood estimation of fractionally cointegrated systems
RePEc:aah:create:2008-53
[Citation Analysis]
2008Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
RePEc:aah:create:2008-57
[Citation Analysis]
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
RePEc:aah:create:2008-59
[Citation Analysis]
2008Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
RePEc:aah:create:2008-60
[Citation Analysis]
2008Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
RePEc:aah:create:2008-61
[Citation Analysis]
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:aah:create:2008-63
[Citation Analysis]
2008Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
RePEc:awi:wpaper:0473
[Citation Analysis]
2008Estimation of partial differential equations with applications in finance
RePEc:eee:econom:v:144:y:2008:i:2:p:392-408
[Citation Analysis]
2008Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices
RePEc:eee:finlet:v:5:y:2008:i:4:p:236-244
[Citation Analysis]
2008Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?
RePEc:eee:moneco:v:55:y:2008:i:8:p:1415-1427
[Citation Analysis]
2008Constructive data mining: modeling Argentine broad money demand
RePEc:fip:fedgif:943
[Citation Analysis]
2008The fragility of sensitivity analysis: an encompassing perspective
RePEc:fip:fedgif:959
[Citation Analysis]
2008Rethinking the measurement of household inflation expectations: preliminary findings
RePEc:fip:fednsr:359
[Citation Analysis]
2008Wage, price and unemployment dynamics in the Spanish transition to EMU membership
RePEc:ivi:wpasec:2008-09
[Citation Analysis]
2008A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions
RePEc:kap:apfinm:v:15:y:2008:i:3:p:175-184
[Citation Analysis]
2008Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model
RePEc:kof:wpskof:08-189
[Citation Analysis]
2008Admission conditions and graduates employability
RePEc:nip:nipewp:16/2008
[Citation Analysis]
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:nuf:econwp:0810
[Citation Analysis]
2008Fitting vast dimensional time-varying covariance models
RePEc:oxf:wpaper:403
[Citation Analysis]
2008Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders
RePEc:qed:wpaper:1174
[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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