Most cited documents in this series:

Year	Title	Cited
2006	Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns RePEc:fir:econom:wp2006_03 [Citation Analysis]	14
2007	A Model for Multivariate Non-negative Valued Processes in Financial Econometrics RePEc:fir:econom:wp2007_16 [Citation Analysis]	11
2003	A Multiple Indicators Model For Volatility Using Intra-Daily Data. RePEc:fir:econom:wp2003_07 [Citation Analysis]	10
2001	A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models RePEc:fir:econom:wp2001_04 [Citation Analysis]	9
2006	Vector Multiplicative Error Models: Representation and Inference RePEc:fir:econom:wp2006_15 [Citation Analysis]	9
2008	Comparison of Volatility Measures: a Risk Management Perspective RePEc:fir:econom:wp2008_03 [Citation Analysis]	7
2006	Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model RePEc:fir:econom:wp2006_04 [Citation Analysis]	6
2008	A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets RePEc:fir:econom:wp2008_09 [Citation Analysis]	6
2003	A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA). RePEc:fir:econom:wp2003_04 [Citation Analysis]	5
	repec:fir:econom:quaderno46 [Citation Analysis]	4
2011	Multiplicative Error Models RePEc:fir:econom:wp2011_03 [Citation Analysis]	4
2004	On-line Bayesian estimation of AR signals in symmetric alpha-stable noise. RePEc:fir:econom:wp2004_05 [Citation Analysis]	3
2006	Indirect estimation of alpha-stable stochastic volatility models RePEc:fir:econom:wp2006_07 [Citation Analysis]	3
2009	Semiparametric vector MEM RePEc:fir:econom:wp2009_03 [Citation Analysis]	3
2009	Intra-daily Volume Modeling and Prediction for Algorithmic Trading RePEc:fir:econom:wp2009_01 [Citation Analysis]	3
2001	Modelling the Impact of Overnight Surprises on Intra-daily Volatility RePEc:fir:econom:wp2001_02 [Citation Analysis]	3
2004	Indirect estimation of alpha-stable distributions and processes. RePEc:fir:econom:wp2004_07 [Citation Analysis]	3
2002	GARCH-based Volatility Forecasts for Market Volatility Indices RePEc:fir:econom:wp2002_06 [Citation Analysis]	3
2006	Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models RePEc:fir:econom:wp2006_12 [Citation Analysis]	2
2004	Bayesian inference for alpha-stable distributions: a random walk MCMC approach. RePEc:fir:econom:wp2004_11 [Citation Analysis]	2
2006	Exchange Market Pressure: Some Caveats In Empirical Applications RePEc:fir:econom:wp2006_17 [Citation Analysis]	2
2001	Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets RePEc:fir:econom:wp2001_01 [Citation Analysis]	2
2005	Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models RePEc:fir:econom:wp2005_11 [Citation Analysis]	1
2010	A Time-varying Mixing Multiplicative Error Model for Realized Volatility RePEc:fir:econom:wp2010_03 [Citation Analysis]	1
2002	Analytic Hessian Matrices and the Computation of FIGARCH Estimates RePEc:fir:econom:wp2002_03 [Citation Analysis]	1
	repec:fir:econom:wp2005_10 [Citation Analysis]	1
2004	A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets. RePEc:fir:econom:wp2004_12 [Citation Analysis]	1
2007	Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria RePEc:fir:econom:wp2007_02 [Citation Analysis]	1
2012	Volatility Swings in the US Financial Markets RePEc:fir:econom:wp2012_03 [Citation Analysis]	1
2002	Inflation Differentials before and after the EMU RePEc:fir:econom:wp2002_19 [Citation Analysis]	1

Citing documents used to compute impact factor 2:

Year	Title	See
2011	Multiplicative Error Models RePEc:fir:econom:wp2011_03	[Citation Analysis]
2011	Shrinkage estimation of semiparametric multiplicative error models RePEc:eee:intfor:v:27:y::i:2:p:365-378	[Citation Analysis]

Cites in year: CiY