Citations ranking for series: Journal of Financial Econometrics / Society for Financial Econometrics

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Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

Journal of Financial Econometrics / Society for Financial Econometrics

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

	IF	AIF	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	%SC	CiY	II	AII
1990		0.08		0	0		0	0		0			0.04
1991		0.08		0	0		0	0		0			0.04
1992		0.08		0	0		0	0		0			0.04
1993		0.09		0	0		0	0		0			0.05
1994		0.1		0	0		0	0		0			0.04
1995		0.19		0	0		0	0		0			0.07
1996		0.23		0	0		0	0		0			0.09
1997		0.29		0	0		0	0		0			0.1
1998		0.29		0	0		0	0		0			0.11
1999		0.33		0	3		0	0		0			0.14
2000		0.42		0	1		0	0		0			0.16
2001		0.44		0	0		0	0		0			0.17
2002		0.44		0	6		0	0		0			0.19
2003		0.46	19	19	12	0.63	182	0		0	5	0.26	0.2
2004	0.74	0.53	24	43	52	1.21	474	19	14	0	22	0.92	0.22
2005	0.88	0.56	27	70	72	1.03	314	43	38	0	10	0.37	0.23
2006	1.31	0.53	24	94	131	1.39	591	51	67	0	26	1.08	0.22
2007	1.63	0.46	10	104	161	1.55	117	51	83	0	6	0.6	0.19
2008	2.68	0.49	21	125	241	1.93	132	34	91	1.1	2	0.1	0.21
2009	1.35	0.5	24	149	262	1.76	174	31	42	0	16	0.67	0.2
2010	0.8	0.46	33	182	233	1.28	76	45	36	0	6	0.18	0.16
2011	1.02	0.57	23	205	349	1.7	74	57	58	0	11	0.48	0.22
2012	0.86	0.66	29	234	335	1.43	44	56	48	0	10	0.34	0.26

IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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

Most cited documents in this series:

Year	Title	Cited
2006	Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers \|\| Download paper	174
2004	Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers \|\| Download paper	147
2006	Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers \|\| Download paper	132
2009	A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers \|\| Download paper	109
2005	The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers \|\| Download paper	95
2006	Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers \|\| Download paper	79
2004	A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers \|\| Download paper	73
2004	On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers \|\| Download paper	67
2005	A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers \|\| Download paper	57
2004	Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250. Full description at Econpapers \|\| Download paper	51
2007	Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. Full description at Econpapers \|\| Download paper	47
2004	Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers \|\| Download paper	37
2007	Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers \|\| Download paper	36
2006	Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493. Full description at Econpapers \|\| Download paper	33
2003	Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54. Full description at Econpapers \|\| Download paper	31
2003	Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25. Full description at Econpapers \|\| Download paper	29
2005	Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers \|\| Download paper	28
2006	Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Bollerslev, Tim ; Tauchen, George ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers \|\| Download paper	28
2006	Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers \|\| Download paper	28
2005	Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). Oomen, Roel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577. Full description at Econpapers \|\| Download paper	28
2003	Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188. Full description at Econpapers \|\| Download paper	27
2006	Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449. Full description at Econpapers \|\| Download paper	26
2008	Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360. Full description at Econpapers \|\| Download paper	26
2009	Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, AndrÃ©as ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers \|\| Download paper	22
2004	How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers \|\| Download paper	22
2004	Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564. Full description at Econpapers \|\| Download paper	21
2003	The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470. Full description at Econpapers \|\| Download paper	20
2006	Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods. (2006). GAO, Jiti ; Arapis, Manuel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345. Full description at Econpapers \|\| Download paper	20
2006	Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers \|\| Download paper	18
2006	The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers \|\| Download paper	18
2008	Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers \|\| Download paper	18
2003	Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes. (2003). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125. Full description at Econpapers \|\| Download paper	17
2005	Multivariate Lagrange Multiplier Tests for Fractional Integration. (2005). Nielsen, Morten. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398. Full description at Econpapers \|\| Download paper	16
2012	Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. (2012). Breitung, JÃ¶rg. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:1:p:198-231. Full description at Econpapers \|\| Download paper	16
2009	Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). TerÃ¤svirta, Timo ; Silvennoinen, Annastiina ; TERaSVIRTA, Timo . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411. Full description at Econpapers \|\| Download paper	15
2010	Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers \|\| Download paper	15
2005	Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. Full description at Econpapers \|\| Download paper	14
2004	Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers \|\| Download paper	14
2003	A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility. (2003). Kirby, Chris ; Fleming, Jeff . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419. Full description at Econpapers \|\| Download paper	14
2008	Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107. Full description at Econpapers \|\| Download paper	13
2005	Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers \|\| Download paper	13
2010	Structural Conditional Correlation. (2010). Weber, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:3:p:392-407. Full description at Econpapers \|\| Download paper	13
2005	Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel A.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168. Full description at Econpapers \|\| Download paper	13
2008	Econometric Asset Pricing Modelling. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458. Full description at Econpapers \|\| Download paper	12
2006	Affine Models for Credit Risk Analysis. (2006). POLIMENIS, VASSILIS ; Monfort, Alain ; gourieroux, christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530. Full description at Econpapers \|\| Download paper	12
2008	Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers \|\| Download paper	12
2003	The Robustness of the Conditional CAPM with Human Capital. (2003). Palacios-Huerta, Ignacio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289. Full description at Econpapers \|\| Download paper	12
2004	Nonparametric Tests for Positive Quadrant Dependence. (2004). DENUIT, Michel . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:3:p:422-450. Full description at Econpapers \|\| Download paper	11
2008	American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). Stentoft, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582. Full description at Econpapers \|\| Download paper	11
2010	Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449. Full description at Econpapers \|\| Download paper	10

Citing documents used to compute impact factor 48:

Year	Title	See
2012	Estimation of Quarticity with High Frequency Data. (2012). Mancino, Maria Elvira ; Sanfelici, Simona . In: DiMaD Working Papers. RePEc:flo:wpaper:2011-06. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Spot Volatility Estimation Using Delta Sequences. (2012). RenÃ², Roberto ; Mancini, Cecilia ; Mattiussi, Vanessa ; Reno, Roberto . In: DiMaD Working Papers. RePEc:flo:wpaper:2012-10. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Asymptotics for the Fourier estimators of the volatility of volatility and the leverage. (2012). Curato, Imma Valentina . In: DiMaD Working Papers. RePEc:flo:wpaper:2012-11. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Risk Spillovers in International Equity Portfolios. (2012). Ranaldo, Angelo ; Caporin, Massimiliano ; Bonato, Mateo . In: Working Papers on Finance. RePEc:usg:sfwpfi:2012:14. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. (2012). Audrino, Francesco ; Corsi, Fulvio ; Peluso, Stefano . In: Economics Working Paper Series. RePEc:usg:econwp:2012:02. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Spillover Effects in the Volatility of Financial Markets. (2012). Otranto, Edoardo. In: Working Paper CRENoS. RePEc:cns:cnscwp:201217. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Local Adaptive Multiplicative Error Models for High-Frequency Forecasts. (2012). Mihoci, Andrija ; HÃ¤rdle, Wolfgang ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-031. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes. (2012). Hautsch, Nikolaus ; Bodnar, Taras . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-044. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Nonparametric Kernel Density Estimation Near the Boundary. (2012). Schienle, Melanie ; Malec, Peter. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-047. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Market risk of developed and developing countries during the global financial crisis. (2012). KÃ¶ksal, BÃ¼lent ; Koksal, Bulent ; Orhan, Mehmet . In: MPRA Paper. RePEc:pra:mprapa:37523. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Pitfalls in Backtesting Historical Simulation VaR Models. (2012). Pei, Pei ; Escanciano, Juan Carlos. In: Caepr Working Papers. RePEc:inu:caeprp:2012-003. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Estimation Adjusted VaR. (2012). Zakoian, Jean-Michel ; gourieroux, christian. In: Working Papers. RePEc:crs:wpaper:2012-16. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:8:p:2233-2244. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Testing for crude oil markets globalization during extreme price movements. (2012). JoÃ«ts, Marc ; Candelon, Bertrand ; Tokpavi, Sessi . In: EconomiX Working Papers. RePEc:drm:wpaper:2012-28. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Sovereign risk contagion in the Eurozone. (2012). Metiu, Norbert. In: Economics Letters. RePEc:eee:ecolet:v:117:y:2012:i:1:p:35-38. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility. (2012). Lunde, Asger ; Hansen, Peter ; Voev, Valeri . In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd12-269. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: Economics Working Papers. RePEc:eui:euiwps:eco2012/26. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2012). Lunde, Asger ; Hansen, Peter ; Voev, Valeri . In: Economics Working Papers. RePEc:eui:euiwps:eco2012/28. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Examining macroeconomic models through the lens of asset pricing. (2012). BoroviÄka, Jaroslav ; Borovicka, Jaroslav ; Hansen, Lars . In: Working Paper Series. RePEc:fip:fedhwp:wp-2012-01. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Variance bounds on the permanent and transitory components of stochastic discount factors. (2012). Chabi-Yo, Fousseni ; Bakshi, Gurdip . In: Journal of Financial Economics. RePEc:eee:jfinec:v:105:y:2012:i:1:p:191-208. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Risk Pricing over Alternative Investment Horizons. (2012). Hansen, Lars. In: Working Papers. RePEc:bfi:wpaper:2012-008. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1223. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Multivariate Variance Targeting in the BEKK-GARCH Model. (2012). Rahbek, Anders ; Pedersen, Rasmus Sondergaard . In: CREATES Research Papers. RePEc:aah:create:2012-53. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	On detecting end-of-sample instabilities. (2012). Busetti, Fabio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_881_12. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Granularity adjustment for mark-to-market credit risk models. (2012). Gordy, Michael ; Marrone, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:7:p:1896-1910. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Properties of Foreign Exchange Risk Premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul . In: Working Paper Series. RePEc:rim:rimwps:10_12. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	The term structure of inflation expectations. (2012). Mueller, Philippe ; Chernov, Mikhail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:106:y:2012:i:2:p:367-394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Properties of foreign exchange risk premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul . In: Journal of Financial Economics. RePEc:eee:jfinec:v:105:y:2012:i:2:p:279-310. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Commodities volatility and the theory of storage. (2012). Carpantier, Jean-FranÃ§ois ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2012037. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Realized Volatility and Change of Regimes. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_02. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: Economics Working Papers. RePEc:eui:euiwps:eco2012/26. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Determination the Parameters of Markowitz Portfolio Optimization Model. (2012). Bilge, Ayse Humeyra ; Bayraktar, Ertugrul . In: Papers. RePEc:arx:papers:1210.5859. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss. (2012). Khallaf, Ashraf ; Baghestani, Hamid . In: International Review of Economics & Finance. RePEc:eee:reveco:v:22:y:2012:i:1:p:222-229. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A Framework for Extracting the Probability of Default from Stock Option Prices. (2012). Vinogradov, Dmitri ; Takeyama, Azusa ; Constantinou, Nick . In: IMES Discussion Paper Series. RePEc:ime:imedps:12-e-14. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Credit Risk Contagion and the Global Financial Crisis. (2012). Vinogradov, Dmitri ; Takeyama, Azusa ; Constantinou, Nick . In: IMES Discussion Paper Series. RePEc:ime:imedps:12-e-15. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A comparative study of the probability of default for global financial firms. (2012). Cmara, Antnio ; Popova, Ivilina ; Simkins, Betty . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:3:p:717-732. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving. (2012). Kohn, Robert ; Alice X. D. Dong, ; Peters, Gareth W.. In: Papers. RePEc:arx:papers:1210.3849. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Crisis and risk dependencies. (2012). Grundke, Peter ; Polle, Simone . In: European Journal of Operational Research. RePEc:eee:ejores:v:223:y:2012:i:2:p:518-528. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Common influences, spillover and integration in Chinese stock markets. (2012). Weber, Enzo ; Zhang, Yanqun . In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:3:p:382-394. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Identifying the Substitution Effect of Temporary Agency Employment. (2012). Weber, Enzo ; Jahn, Elke. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:23597. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Identifying the Substitution Effect of Temporary Agency Employment. (2012). Weber, Enzo ; Jahn, Elke. In: IZA Discussion Papers. RePEc:iza:izadps:dp6471. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	The Signal of Volatility. (2012). Weber, Enzo ; Strohsal, Till . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-043. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation. (2012). Vahid, Farshid ; Choi, Pilsun ; Choe, Kwang-il ; Nam, Kiseok . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:20:y:2012:i:2:p:271-291. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Return and volatility spillovers among CIVETS stock markets. (2012). Atukeren, Erdal ; evik, Emrah a. ; KORKMAZ, Turhan . In: Emerging Markets Review. RePEc:eee:ememar:v:13:y:2012:i:2:p:230-252. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Rejoinder on: Some recent theory for autoregressive count time series. (2012). Tjostheim, Dag . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:21:y:2012:i:3:p:469-476. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Estimating GARCH volatility in the presence of outliers. (2012). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: Economics Letters. RePEc:eee:ecolet:v:114:y:2012:i:1:p:86-90. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

Year	Title	See
2012	Determination the Parameters of Markowitz Portfolio Optimization Model. (2012). Bilge, Ayse Humeyra ; Bayraktar, Ertugrul . In: Papers. RePEc:arx:papers:1210.5859. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications. (2012). Knight, John ; Satchell, Stephen ; Srivastava, Nandini . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1208. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks. (2012). Bohl, Martin ; Kaufmann, Philipp ; Stephan, Patrick . In: CQE Working Papers. RePEc:cqe:wpaper:2412. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Granularity adjustment for default risk factor model with cohorts. (2012). gourieroux, christian ; Jasiak, J.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:5:p:1464-1477. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Fertilizer markets and its interplay with commodity and food prices. (2012). Ott, Herve . In: JRC-IPTS Working Papers. RePEc:ipt:iptwpa:jrc73043. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Systemic Risk Analysis using Forward-Looking Distance-to-Default Series. (2012). Saldias, Martin. In: Working Papers. RePEc:ptu:wpaper:w201216. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Die wirtschaftliche Entwicklung im Inland: GedÃ¤mpfte Expansion bei hohen Risiken. (2012). Zwick, Lina ; Vosen, Simeon ; Schmidt, Torsten ; Kitlinski, Tobias ; Gebhardt, Heinz ; DÃ¶hrn, Roland ; Barabas, GyÃ¶rgy ; Dohrn, Roland ; Micheli, Martin . In: RWI Konjunkturbericht. RePEc:rwi:konjbe:12_02_i. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	Leverage and Feedback Eects on Multifactor Wishart Stochastic Volatility for Option Pricing. (2012). McAleer, Michael ; Asai, Manabu. In: Documentos del Instituto Complutense de AnÃ¡lisis EconÃ³mico. RePEc:ucm:doicae:1302. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	State-dependent Momentum in International Stock Markets. (2012). Baur, Dirk ; Dimpfl, Thomas . In: Working Paper Series. RePEc:uts:wpaper:169. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2012	A Gold Bubble?. (2012). Glover, Kristoffer ; Baur, Dirk. In: Working Paper Series. RePEc:uts:wpaper:175. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Recent citations received in: 2011

Year	Title	See
2011	Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2011-37. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Examining Macroeconomic Models Through the Lens of Asset Pricing. (2011). Hansen, Lars ; BoroviÄka, Jaroslav ; Borovicka, Jaroslav . In: Working Papers. RePEc:bfi:wpaper:2011-012. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Volatility models. (2011). Laurent, SÃ©bastien ; Hafner, Christian ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2011058. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8503. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip . In: Working Paper Series. RePEc:ecl:ohidic:2011-11. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	A simple nonparametric test for structural change in joint tail probabilities. (2011). KrÃ¤mer, Walter ; van Kampen, Maarten ; Kramer, Walter . In: Economics Letters. RePEc:eee:ecolet:v:110:y:2011:i:3:p:245-247. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; GRAVELINE, JEREMY J.. In: Journal of Econometrics. RePEc:eee:econom:v:164:y:2011:i:1:p:35-44. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). Liao, Yin ; Anderson, Heather. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2011-9. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: PIER Working Paper Archive. RePEc:pen:papers:11-037. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Modeling the time-varying skewness via decomposition for out-of-sample forecast. (2011). Liu, Xiaochun. In: MPRA Paper. RePEc:pra:mprapa:41248. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2011	Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus. In: CFS Working Paper Series. RePEc:zbw:cfswop:201125. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Recent citations received in: 2010

Year	Title	See
2010	Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis. (2010). White, Halbert ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:36. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Testing a conditional form of exogeneity. (2010). White, Halbert ; Chalak, Karim. In: Economics Letters. RePEc:eee:ecolet:v:109:y:2010:i:2:p:88-90. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio. In: MPRA Paper. RePEc:pra:mprapa:21302. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	Volatility and the role of order book structure. (2010). Clements, Adam ; Becker, Ralf . In: NCER Working Paper Series. RePEc:qut:auncer:2010_11. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2010	. Full description at Econpapers \|\| Download paper	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	Tails, Fears and Risk Premia. (2009). Bollerslev, Tim ; Todorov, Viktor . In: CREATES Research Papers. RePEc:aah:create:2009-26. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Long Memory and Tail dependence in Trading Volume and Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2009-30. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility. (2009). Santucci de Magistris, Paolo ; Rossi, Eduardo. In: CREATES Research Papers. RePEc:aah:create:2009-31. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Forecasting Realized Volatility with Linear and Nonlinear Models. (2009). Medeiros, Marcelo ; McAleer, Michael. In: CARF F-Series. RePEc:cfi:fseres:cf189. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan. (2009). McAleer, Michael ; Chang, Chia-Lin. In: CARF F-Series. RePEc:cfi:fseres:cf192. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	. Full description at Econpapers \|\| Download paper	[Citation Analysis]
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2009	Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data. (2009). Bubak, Vit ; ike, Filip . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:59:y:2009:i:4:p:334-359. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting. (2009). SÃ©vi, BenoÃ®t ; Chevallier, Julien ; Sevi, Benoit . In: Working Papers. RePEc:fem:femwpa:2009.113. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2009). SÃ©vi, BenoÃ®t ; Chevallier, Julien ; Sevi, Benoit . In: Working Papers. RePEc:hal:wpaper:halshs-00387286. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	International Diversification: An Extreme Value Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2009_026. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	The Dependence Structure of Macroeconomic Variables in the US. (2009). Ning, Cathy ; Chollete, Loran . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2009_031. Full description at Econpapers \|\| Download paper	[Citation Analysis]
2009	The Forward Market in Emerging Currencies: Less Biased than in Major Currencies. (2009). Frankel, Jeffrey ; Poonawala, Jumana . In: Scholarly Articles. RePEc:hrv:hksfac:4448888. Full description at Econpapers \|\| Download paper	[Citation Analysis]

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