Citation Profile: Journal of Empirical Finance / Elsevier Science Economics Articles Archive

Most cited documents in this series:

Year Title Cited
1993 A long memory property of stock market returns and a new model
RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106 [Citation Analysis] 448
1996 The forward discount anomaly and the risk premium: A survey of recent evidence
RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192 [Citation Analysis] 356
1997 Intraday periodicity and volatility persistence in financial markets
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158 [Citation Analysis] 230
1996 The econometrics of financial markets
RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102 [Citation Analysis] 157
1998 Volatility and cross correlation across major stock markets
RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416 [Citation Analysis] 103
2003 Emerging markets finance
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56 [Citation Analysis] 103
2000 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300 [Citation Analysis] 99
1993 Common stock offerings across the business cycle : Theory and evidence
RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31 [Citation Analysis] 96
2003 A simple measure of the intensity of capital controls
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103 [Citation Analysis] 86
1997 High frequency data in financial markets: Issues and applications
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114 [Citation Analysis] 79
1997 Volatilities of different time resolutions -- Analyzing the dynamics of market components
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239 [Citation Analysis] 70
2003 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621 [Citation Analysis] 61
1997 The incremental volatility information in one million foreign exchange quotations
RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340 [Citation Analysis] 60
2003 Univariate and multivariate stochastic volatility models: estimation and diagnostics
RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531 [Citation Analysis] 53
2004 Modelling daily Value-at-Risk using realized volatility and ARCH type models
RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398 [Citation Analysis] 50
1997 Public information releases, private information arrival and volatility in the foreign exchange market
RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315 [Citation Analysis] 50
2001 The specification of conditional expectations
RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637 [Citation Analysis] 50
2002 Market timing and return prediction under model instability
RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510 [Citation Analysis] 49
1994 Alternative constructions of Tobins q: An empirical comparison
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341 [Citation Analysis] 49
2007 Measuring financial contagion: A Copula approach
RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423 [Citation Analysis] 47
2005 Testing for contagion: a conditional correlation analysis
RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489 [Citation Analysis] 45
1999 A primer on hedge funds
RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331 [Citation Analysis] 45
2000 Sensitivity analysis of Values at Risk
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245 [Citation Analysis] 44
1997 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212 [Citation Analysis] 43
2003 Predicting emerging market currency crashes
RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454 [Citation Analysis] 42
1998 International evidence on the stock market and aggregate economic activity
RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296 [Citation Analysis] 40
2002 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285 [Citation Analysis] 39
1999 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477 [Citation Analysis] 38
1993 International asset pricing with alternative distributional specifications
RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131 [Citation Analysis] 38
1999 Economic determinants of evolution in international stock market integration
RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27 [Citation Analysis] 37
1995 The structure of international stock returns and the integration of capital markets
RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197 [Citation Analysis] 37
1998 Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154 [Citation Analysis] 35
2001 Testing for mean-variance spanning: a survey
RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155 [Citation Analysis] 35
1993 The performance of international asset allocation strategies using conditioning information
RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55 [Citation Analysis] 34
2006 Instability of return prediction models
RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315 [Citation Analysis] 34
1994 Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248 [Citation Analysis] 34
2007 Firm-level implications of early stage venture capital investment -- An empirical investigation
RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167 [Citation Analysis] 33
1995 Testing for continuous-time models of the short-term interest rate
RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223 [Citation Analysis] 31
2005 Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164 [Citation Analysis] 30
1997 The analysis of foreign exchange data using waveform dictionaries
RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372 [Citation Analysis] 29
1994 A contingent claim approach to performance evaluation
RePEc:eee:empfin:v:1:y:1994:i:2:p:133-160 [Citation Analysis] 29
1999 Multivariate unit root tests of the PPP hypothesis
RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353 [Citation Analysis] 28
1995 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251 [Citation Analysis] 28
2001 Why long horizons? A study of power against persistent alternatives
RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491 [Citation Analysis] 28
1994 Neglected common factors in exchange rate volatility
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:279-311 [Citation Analysis] 28
2003 Central bank interventions and jumps in double long memory models of daily exchange rates
RePEc:eee:empfin:v:10:y:2003:i:5:p:641-660 [Citation Analysis] 27
2007 Order dynamics: Recent evidence from the NYSE
RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661 [Citation Analysis] 27
2004 Investor sentiment and the near-term stock market
RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27 [Citation Analysis] 27
2003 Realized volatility in the futures markets
RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353 [Citation Analysis] 27
2001 Testing and comparing Value-at-Risk measures
RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342 [Citation Analysis] 27

Citing documents used to compute impact factor 72:

Year Title See
2011 Investment horizon effect on asset allocation between value and growth strategies
RePEc:eee:ecmode:v:28:y:2011:i:4:p:1489-1497 [Citation Analysis]
2011 Essays on asset pricing.
RePEc:ner:tilbur:urn:nbn:nl:ui:12-5146522 [Citation Analysis]
2011 Specialists as risk managers: The competition between intermediated and non-intermediated markets
RePEc:eee:jbfina:v:35:y:2011:i:1:p:51-66 [Citation Analysis]
2011 Financial market equilibria with heterogeneous agents: CAPM and market segmentation.
RePEc:flo:wpaper:2011-08 [Citation Analysis]
2011 The causes and consequences of venture capital stage financing
RePEc:eee:jfinec:v:101:y:2011:i:1:p:132-159 [Citation Analysis]
2011 Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159 [Citation Analysis]
2011 Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model
RePEc:eee:quaeco:v:51:y:2011:i:4:p:339-349 [Citation Analysis]
2011 Dynamic Relationship among Intraday Realized Volatility, Volume and Number of Trades
RePEc:kap:apfinm:v:18:y:2011:i:3:p:291-317 [Citation Analysis]
2011 What drives the volume-volatility relationship on Euronext Paris?
RePEc:eee:finana:v:20:y:2011:i:4:p:200-206 [Citation Analysis]
2011 Intraday jumps and US macroeconomic news announcements
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2511-2527 [Citation Analysis]
2011 The instability of the correlation structure of the S&P 500
RePEc:pra:mprapa:34160 [Citation Analysis]
2011 The simple econometrics of tail dependence
RePEc:dnb:dnbwpp:296 [Citation Analysis]
2011 Technical analysis in the foreign exchange market
RePEc:fip:fedlwp:2011-001 [Citation Analysis]
2011 Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability
RePEc:fri:fribow:fribow00421 [Citation Analysis]
2011 Structural change in the forward discount: a Bayesian analysis of forward rate unbiasedness hypothesis
RePEc:ebl:ecbull:eb-10-00711 [Citation Analysis]
2011 The threshold nonstationary panel data approach to forward premiums
RePEc:pra:mprapa:34265 [Citation Analysis]
2011 Fiscal Policy in the BRICs
RePEc:nip:nipewp:19/2011 [Citation Analysis]
2011 Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S
RePEc:nip:nipewp:21/2011 [Citation Analysis]
2011 Wealth, Labour Income, Stock Returns and Government Bond Yields, and Financial Stress in the Euro Area
RePEc:nip:nipewp:22/2011 [Citation Analysis]
2011 How Does Fiscal Policy React to Wealth Composition and Asset Prices?
RePEc:nip:nipewp:24/2011 [Citation Analysis]
2011 Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
RePEc:ces:ceswps:_3601 [Citation Analysis]
2011 Are Stock and Housing Returns Complements or Substitutes?: Evidence from OECD Countries
RePEc:diw:diwwpp:dp1158 [Citation Analysis]
2011 Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
RePEc:diw:diwwpp:dp1159 [Citation Analysis]
2011 How Does Fiscal Policy React to Wealth Composition and Asset Prices?
RePEc:gmf:wpaper:2011-18 [Citation Analysis]
2011 Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
RePEc:ces:ceswps:_3621 [Citation Analysis]
2011 Fiscal Policy Discretion, Private Spending, and Crisis Episodes
RePEc:nip:nipewp:31/2011 [Citation Analysis]
2011 Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
RePEc:nip:nipewp:32/2011 [Citation Analysis]
2011 Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
RePEc:nip:nipewp:33/2011 [Citation Analysis]
2011 What are the effects of fiscal policy on asset markets?
RePEc:eee:ecmode:v:28:y:2011:i:4:p:1871-1890 [Citation Analysis]
2011 Testing for a rational bubble under long memory
RePEc:rug:rugwps:11/722 [Citation Analysis]
2011 Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2598-2605 [Citation Analysis]
2011 Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1190-1201 [Citation Analysis]
2011 The rare event risk in African emerging stock markets
RePEc:eme:mfipps:v:37:y:2011:i:3:p:275-294 [Citation Analysis]
2011 Money growth and inflation in the euro area: a time-frequency view
RePEc:ptu:wpaper:w201122 [Citation Analysis]
2011 International diversification with frontier markets
RePEc:eee:jfinec:v:101:y:2011:i:1:p:227-242 [Citation Analysis]
2011 Shock transmission among the European Stock markets - Conferinta CRESTERE ECONOMICA SI SUSTENABILITATE SOCIALA. PROVOCARI SI PERSPECTIVE EUROPENE>
RePEc:rjr:wpconf:101101 [Citation Analysis]
2011 Egalitarianism and international investment
RePEc:eee:jfinec:v:102:y:2011:i:3:p:621-642 [Citation Analysis]
2011 Fixed-income fund performance: Role of luck and ability in tail membership
RePEc:eee:empfin:v:18:y:2011:i:3:p:379-392 [Citation Analysis]
2011 Performance analysis and optimal selection of large mean-variance portfolios under estimation risk
RePEc:arx:papers:1110.3460 [Citation Analysis]
2011 What Drives Aggregate Credit Risk?
RePEc:onb:oenbfs:y:2011:i:22:b:2 [Citation Analysis]
2011 The asymmetric behavior and procyclical impact of asset correlations
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2559-2568 [Citation Analysis]
2011 Identification of speculative bubbles using state-space models with Markov-switching
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1073-1086 [Citation Analysis]
2011 Forecasting exchange rates: The multi-state Markov-switching model with smoothing
RePEc:eee:reveco:v:20:y:2011:i:2:p:342-362 [Citation Analysis]
2011 Published stock recommendations as investor sentiment in the near-term stock market
RePEc:ros:wpaper:121 [Citation Analysis]
2011 Sentiment dynamics and stock returns: the case of the German stock market
RePEc:spr:empeco:v:41:y:2011:i:3:p:663-679 [Citation Analysis]
2011 The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns
RePEc:eee:jbfina:v:35:y:2011:i:5:p:1239-1249 [Citation Analysis]
2011 How does investor sentiment affect stock market crises?Evidence from panel data
RePEc:dij:wpfarg:1110304 [Citation Analysis]
2011 Capital flows, push versus pull factors and the global financial crisis
RePEc:ecb:ecbwps:20111364 [Citation Analysis]
2011 Capital Flows, Push versus Pull Factors and the Global Financial Crisis
RePEc:nbr:nberwo:17357 [Citation Analysis]
2011 Global crisis and equity market contagion
RePEc:ecb:ecbwps:20111381 [Citation Analysis]
2011 Habit-based asset pricing with limited participation consumption
RePEc:eee:jbfina:v:35:y:2011:i:11:p:2891-2901 [Citation Analysis]
2011 Default probability estimation in small samples - with an application to sovereign bonds
RePEc:pra:mprapa:33778 [Citation Analysis]
2011 Default probability estimation in small samples: With an application to sovereign bonds
RePEc:zbw:ucdpse:511 [Citation Analysis]
2011 Trading duration, mutual funds behavior and stock market shock: Based on ACD model to mine mutual funds investment behavior
RePEc:eme:cfripp:v:1:y:2011:i:3:p:220-240 [Citation Analysis]
2011 Value at Risk and Expected Shortfall for large portfolios
RePEc:eee:finlet:v:8:y:2011:i:2:p:59-68 [Citation Analysis]
2011 Cross-country effects in herding behaviour: Evidence from four south European markets
RePEc:eee:intfin:v:21:y:2011:i:3:p:443-460 [Citation Analysis]
2011 How do exchange rates co-move? A study on the currencies of five inflation-targeting countries
RePEc:eee:jbfina:v:35:y:2011:i:2:p:418-429 [Citation Analysis]
2011 Kernel estimators of extreme level curves
RePEc:spr:testjl:v:20:y:2011:i:2:p:311-333 [Citation Analysis]
2011 A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies
RePEc:eee:jbfina:v:35:y:2011:i:6:p:1399-1414 [Citation Analysis]
2011 Multiple agency perspective, family control, and private information abuse in an emerging economy
RePEc:kap:asiapa:v:28:y:2011:i:1:p:69-93 [Citation Analysis]
2011 How Entrenchment, Incentives and Governance Influence REIT Capital Structure
RePEc:kap:jrefec:v:43:y:2011:i:1:p:39-72 [Citation Analysis]
2011 How do managerial successions shape corporate financial policies in family firms?
RePEc:eee:corfin:v:17:y:2011:i:4:p:1016-1027 [Citation Analysis]
2011 Founder CEO management and the long-run investment performance of IPO firms
RePEc:eee:jbfina:v:35:y:2011:i:7:p:1669-1682 [Citation Analysis]
2011 CEO ownership, external governance, and risk-taking
RePEc:eee:jfinec:v:102:y:2011:i:2:p:272-292 [Citation Analysis]
2011 Corporate governance when founders are directors
RePEc:eee:jfinec:v:102:y:2011:i:2:p:454-469 [Citation Analysis]
2011 The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach
RePEc:eee:reveco:v:20:y:2011:i:4:p:654-664 [Citation Analysis]
2011 The economic value of range-based covariance between stock and bond returns with dynamic copulas
RePEc:eee:empfin:v:18:y:2011:i:4:p:711-727 [Citation Analysis]
2011 Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159 [Citation Analysis]
2011 Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study
RePEc:kap:jbuset:v:99:y:2011:i:2:p:145-165 [Citation Analysis]
2011 Spot and forward volatility in foreign exchange
RePEc:eee:jfinec:v:100:y:2011:i:3:p:496-513 [Citation Analysis]
2011 The heterogeneous expectations hypothesis: Some evidence from the lab
RePEc:eee:dyncon:v:35:y:2011:i:1:p:1-24 [Citation Analysis]
2011 Modeling structural changes in the volatility process
RePEc:eee:empfin:v:18:y:2011:i:3:p:522-532 [Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

Year	Title	See
2011	Study on the Support Systems for Corporate Governance RePEc:aes:infoec:v:15:y:2011:i:4:p:55-63	[Citation Analysis]
2011	The Impact of Macro News on Volatility of Stock Exchanges RePEc:cpn:umkdem:v:11:y:2011:p:99-110	[Citation Analysis]
2011	Diversification in Private Equity Funds: On Knowledge-sharing, Risk-aversion and Limited-attention RePEc:dgr:kubcen:2011046	[Citation Analysis]
2011	Giants at the Gate: On the Cross-Section of Private Equity Investment Returns RePEc:dgr:uvatin:20000	[Citation Analysis]
2011	Long Memory Dynamics for Multivariate Dependence under Heavy Tails RePEc:dgr:uvatin:20110175	[Citation Analysis]
2011	Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach RePEc:eee:eneeco:v:33:y:2011:i:5:p:903-911	[Citation Analysis]
2011	Value creation and pricing in buyouts: Empirical evidence from Europe and North America RePEc:eee:revfin:v:20:y:2011:i:4:p:146-161	[Citation Analysis]
2011	A review of the seasonal affective disorder hypothesis RePEc:eee:soceco:v:40:y:2011:i:6:p:959-967	[Citation Analysis]
2011	Time-Varying Beta Estimators in the Mexican Emerging Market RePEc:ehu:biltok:5283	[Citation Analysis]
2011	The financial crisis and hedge fund returns RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135	[Citation Analysis]
2011	Testing Conditional Factor Models RePEc:nbr:nberwo:17561	[Citation Analysis]
2011	Agglomeration Economies and Local Comovement of Stock Returns RePEc:pra:mprapa:31887	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	Memory Parameter Estimation in the Presence of Level Shifts and Deterministic Trends RePEc:bos:wpaper:wp2010-048	[Citation Analysis]
2010	Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis RePEc:cer:papers:wp412	[Citation Analysis]
2010	Were Stocks during the Financial Crisis More Jumpy: A Comparative Study RePEc:cer:papers:wp416	[Citation Analysis]
2010	The properties of realized correlation: Evidence from the French, German and Greek equity markets RePEc:eee:quaeco:v:50:y:2010:i:3:p:273-290	[Citation Analysis]
2010	Generalized power method for sparse principal component analysis. RePEc:ner:louvai:info:hdl:2078.1/33456	[Citation Analysis]
2010	Location, Location, Location: Entrepreneurial Finance Meets Economic Geography RePEc:pen:papers:10-030	[Citation Analysis]
2010	Geographic location of a new venture and the likelihood of a venture capital investment RePEc:zbw:cefswp:201002	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	The dividend-price ratio does predict dividend growth: International evidence RePEc:aah:create:2009-36	[Citation Analysis]
2009	The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression RePEc:ags:nccc09:53035	[Citation Analysis]
2009	A Coupled Markov Chain approach to risk analysis of credit default swap index products RePEc:arx:papers:0911.3802	[Citation Analysis]
2009	The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices RePEc:eee:aosoci:v:34:y:2009:i:6-7:p:835-848	[Citation Analysis]
2009	Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach RePEc:eee:finana:v:18:y:2009:i:5:p:260-270	[Citation Analysis]
2009	Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis RePEc:eee:finana:v:18:y:2009:i:5:p:271-276	[Citation Analysis]
2009	Financial crisis, exchange rate and stock market integration RePEc:kyu:dpaper:38	[Citation Analysis]
2009	Measuring the Timing Ability and Performance of Bond Mutual Funds RePEc:nbr:nberwo:15318	[Citation Analysis]
2009	Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices RePEc:nbr:nberwo:15335	[Citation Analysis]
2009	Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets RePEc:pra:mprapa:18680	[Citation Analysis]
2009	Family firms and investments RePEc:pra:mprapa:19247	[Citation Analysis]
2009	Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises RePEc:zbw:bubdp1:200919	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models. RePEc:bfr:banfra:218	[Citation Analysis]
2008	Beta-t-(E)GARCH RePEc:cam:camdae:0840	[Citation Analysis]
2008	No contagion, only globalization and flight to quality RePEc:dul:wpaper:08-22rs	[Citation Analysis]
2008	The role of long memory in hedging effectiveness RePEc:eee:csdana:v:52:y:2008:i:6:p:3075-3082	[Citation Analysis]
2008	Quadratic stochastic intensity and prospective mortality tables RePEc:eee:insuma:v:43:y:2008:i:1:p:174-184	[Citation Analysis]
2008	Analysing the performance of managed funds using the wavelet multiscaling method RePEc:kap:rqfnac:v:31:y:2008:i:1:p:55-70	[Citation Analysis]
2008	An improved two-step regularization scheme for spot volatility estimation RePEc:par:dipeco:2008-me02	[Citation Analysis]
2008	Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns RePEc:qed:wpaper:1173	[Citation Analysis]
2008	Volatility forecasting: the jumps do matter RePEc:usi:wpaper:534	[Citation Analysis]
2008	Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models RePEc:zbw:cauewp:7368	[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.