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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute


0.42

Impact Factor

0.33

5-Years IF

15

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.081104 (%)0.05
19910.083415 (%)0.05
19920.09446 (%)0.05
19930.14834 (%)0.05
19940.11210148 (%)0.05
19950.151828176102 (11.8%)0.1
19960.150.190.11295750.09192032735 (26.3%)20.070.09
19970.280.20.252481180.2218471353135 (27.8%)50.210.08
19980.190.210.1331112110.153531077102 (3.8%)10.030.12
19990.130.270.0847159120.085955710483 (5.1%)40.090.15
20000.130.360.0728187140.0767781014911 (%)30.110.14
20010.050.360.0736223120.0531754159114 (12.9%)10.030.17
20020.130.370.1448271300.1191648166237 (7.7%)40.080.18
20030.190.390.1553324370.11868416190285 (5.8%)10.020.18
20040.230.410.1949373570.157510123212419 (12%)50.10.18
20050.230.430.2155428640.1566102232144521 (31.8%)60.110.22
20060.210.450.1650478600.133910422241399 (23.1%)50.10.19
20070.150.380.1554532480.0942105162553712 (28.6%)40.070.17
20080.130.380.1137569640.1164104132613014 (21.9%)20.050.17
20090.290.350.1746615710.12929126245418 (8.7%)60.130.17
20100.340.320.1774689730.1111583282424130 (26.1%)40.050.15
20110.240.410.1545734760.161120292613916 (26.2%)70.160.2
20120.290.460.2434768970.132511934256622 (8%)50.150.21
20130.390.490.34328001250.16367931236816 (16.7%)20.060.22
20140.420.560.33318311280.15236628231777 (30.4%)100.320.3
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:


[Click on heading to sort table]

YearTitleCited
1998Does the absence of cointegration explain the typical findings in long horizon regressions?. (1998). Berben, R-P., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1555.

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34
2010What Makes a Great Journal Great in Economics? The Singer Not the Song.. (2010). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:20158.

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33
2011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. (2011). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22236.

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32
2002Reverse logistics. (2002). Flapper, S. D. P., ; Dekker, R. ; de Brito, M. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:561.

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28
2004Quasi-random simulation of discrete choice models. (2004). Train, K. ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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23
2010Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940.

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20
2014A One Line Derivation of EGARCH. (2014). . In: Econometric Institute Research Papers. RePEc:ems:eureir:51742.

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19
2005Operations research in passenger railway transportation. (2005). Huisman, D. ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941.

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16
2009Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Sato, K. ; Zhang, Z. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522.

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16
1999On SETAR non- linearity and forecasting. (1999). Franses, Ph. H. B. F., ; Clements, M. P. ; Smith, J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1567.

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16
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

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15
2009Block Structure Multivariate Stochastic Volatility Models. (2009). Asai, M. ; Caporin, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523.

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15
2009Modelling conditional correlations for risk diversification in crude oil markets. (2009). Chang, C-L., ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:16105.

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15
2003Forecasting industrial production with linear, nonlinear, and structural change models. (2003). Siliverstovs, B. ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1716.

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15
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703.

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15
2002Changes in variability of the business cycle in the G7 countries. (2002). Osborn, D. R. ; van Dijk, D. J. C., ; Sensier, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:551.

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14
2003A generalized dynamic conditional correlation model for many asset returns. (2003). Hafner, C. M. ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1718.

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13
2008Bayesian near-boundary analysis in basic macroeconomic time series models. (2008). Ravazzolo, F. ; Segers, R. ; de Pooter, M. D. ; Van Dijk, H. K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13055.

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13
2008A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). Jimenez-Martin, J-A., ; Perez-Amaral, T. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13986.

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12
2006Bayesian Model Averaging in the Presence of Structural Breaks. (2006). Ravazzolo, F. ; van Dijk, D. J. C., ; Paap, R. ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:7904.

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11
2000Asymmetric and common absorption of shocks in nonlinear autoregressive models. (2000). Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; Boswijk, H. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1637.

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11
2000Smooth transition autoregressive models - A survey of recent developments. (2000). Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; TERaSVIRTA, T.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1656.

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11
2012Robust Ranking of Journal Quality: An Application to Economics. (2012). Chang, C-L., ; McAleer, M. J. ; Maasoumi, E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:32136.

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11
2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). Chang, C-L., ; Perez-Amaral, T. ; McAleer, M. J. ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22807.

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10
2000Daily exchange rate behaviour and hedging of currency risk. (2000). Bos, C. S. ; Mahieu, R. J. ; Van Dijk, H. K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1657.

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9
2005Dynamic lot sizing with product returns. (2005). Teunter, R. H. ; Bayindir, Z. P. ; van den Heuvel, W.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6557.

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9
2004Testing for causality in variance using multivariate GARCH models. (2004). Hafner, C. M. ; HERWARTZ, H.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1285.

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9
2013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:39179.

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9
The new Dutch timetable: The OR revolution. (2008). Schrijver, A. ; Ybema, R. ; Fischetti, M. ; Kroon, L. G. ; Maroti, G. ; Fioole, P-J., ; Huisman, D. ; Abbink, E. J. W., ; Steenbeek, A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13767.

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9
2009Real-time inflation forecasting in a changing world. (2009). Groen, J. J. J., ; Paap, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:16709.

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8
1995Flexible Seasonal Long Memory and Economic Time Series. (1995). Ooms, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1351.

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8
1999Combined forecasts from linear and nonlinear time series models. (1999). Van Dijk, H. K. ; Terui, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1621.

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8
2009Labour Market Status and Migration Dynamics. (2009). Bijwaard, G. E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17016.

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8
2007Disruption management in passenger railway transportation.. (2007). Huisman, D. ; Nielsen, M. N. ; Kroon, L. G. ; Jespersen-Groth, J. ; Clausen, J. ; Maroti, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:8527.

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8
1999Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation. (1999). Doornik, J. A. ; Ooms, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1619.

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8
2008Modelling sustainable international tourism demand to the Brazilian Amazon. (2008). Divino, J. A. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13773.

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8
2004Rank reduction of correlation matrices by majorization. (2004). Groenen, P. J. F., ; Pietersz, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1202.

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8
2010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Lean, H. H. ; Wong, W. K. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038.

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8
Testing for changes in volatility in heteroskedastic time series - a further examination. (2004). de Pooter, M. D. ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1627.

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8
2008An econometric analysis of SARS and Avian flu on international tourist arrivals to Asia. (2008). Chang, C-L., ; McAleer, M. J. ; Kuo, H-I., ; Huang, B-W., ; Chen, C-C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:13771.

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8
2002An Empirical Comparison of Default Swap Pricing Models. (2002). Houweling, P. ; Vorst, A. C. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:172.

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8
2000Learning, Network Formation and Coordination. (2000). Vega-Redondo, F. ; Goyal, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6931.

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7
2010Ranking multivariate GARCH models by problem dimension. (2010). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:19447.

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7
2009Modelling conditional correlations in the volatility of Asian rubber spot and futures returns. (2009). Chang, C-L., ; Khamkaew, T. ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17297.

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7
2006Optimal maintenance of multi-component systems: a review. (2006). Dekker, R. ; Nicolai, R. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

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7
2001Short-term volatility versus long-term growth: evidence in US macroeconomic time series. (2001). Sensier, M. ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1674.

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7
2008Column generation with dynamic duty selection for railway crew rescheduling. (2008). Huisman, D. ; Desaulniers, G. ; Potthoff, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:14423.

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7
2005Trends and cycles in economic time series: A Bayesian approach. (2005). Harvey, A. C. ; Trimbur, T. M. ; Van Dijk, H. K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6913.

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7
2000Networks of Collaboration in Oligopoly. (2000). Goyal, S. ; Joshi, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6932.

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7
2000Seasonal smooth transition autoregression. (2000). Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; de Bruin, P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1639.

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7

50 most relevant documents in this series:


Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2011How are Journal Impact, Prestige and Article Influence Related? An Application to Neuroscience. (2011). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22236.

Full description at Econpapers || Download paper

21
2010What Makes a Great Journal Great in Economics? The Singer Not the Song.. (2010). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:20158.

Full description at Econpapers || Download paper

21
2014A One Line Derivation of EGARCH. (2014). . In: Econometric Institute Research Papers. RePEc:ems:eureir:51742.

Full description at Econpapers || Download paper

19
2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

Full description at Econpapers || Download paper

15
2013Coercive Journal Self Citations, Impact Factor, Journal Influence and Article Influence. (2013). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:39179.

Full description at Econpapers || Download paper

9
2009Block Structure Multivariate Stochastic Volatility Models. (2009). Asai, M. ; Caporin, M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17523.

Full description at Econpapers || Download paper

9
2010Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Lean, H. H. ; Wong, W. K. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:18038.

Full description at Econpapers || Download paper

8
2009Identifying Shocks in Regionally Integrated East Asian Economies with Structural VaR and Block Exogeneity. (2009). Sato, K. ; Zhang, Z. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17522.

Full description at Econpapers || Download paper

8
2011Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). Chang, C-L., ; Perez-Amaral, T. ; McAleer, M. J. ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:22807.

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7
2008A decision rule to minimize daily capital charges in forecasting value-at-risk. (2008). Jimenez-Martin, J-A., ; Perez-Amaral, T. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13986.

Full description at Econpapers || Download paper

7
2009Labour Market Status and Migration Dynamics. (2009). Bijwaard, G. E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17016.

Full description at Econpapers || Download paper

7
2012Robust Ranking of Journal Quality: An Application to Economics. (2012). Chang, C-L., ; McAleer, M. J. ; Maasoumi, E.. In: Econometric Institute Research Papers. RePEc:ems:eureir:32136.

Full description at Econpapers || Download paper

7
2011Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). Chang, C-L., ; Perez-Amaral, T. ; Casarin, R. ; McAleer, M. J. ; Jimenez-Martin, J-A., . In: Econometric Institute Research Papers. RePEc:ems:eureir:25614.

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6
2004Quasi-random simulation of discrete choice models. (2004). Train, K. ; Sandor, Z.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1829.

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6
1998Does the absence of cointegration explain the typical findings in long horizon regressions?. (1998). Berben, R-P., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1555.

Full description at Econpapers || Download paper

6
2012Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2012). Chang, C-L., ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:32528.

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6
2010Model Selection and Testing of Conditional and Stochastic Volatility Models. (2010). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:20940.

Full description at Econpapers || Download paper

6
2008Bayesian near-boundary analysis in basic macroeconomic time series models. (2008). Ravazzolo, F. ; Segers, R. ; de Pooter, M. D. ; Van Dijk, H. K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13055.

Full description at Econpapers || Download paper

6
1999Combined forecasts from linear and nonlinear time series models. (1999). Van Dijk, H. K. ; Terui, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1621.

Full description at Econpapers || Download paper

6
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy. (2003). Franses, Ph. H. B. F., ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1703.

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5
2010Are Forecast Updates Progressive?. (2010). Chang, C-L., ; McAleer, M. J. ; Franses, Ph. H. B. F., . In: Econometric Institute Research Papers. RePEc:ems:eureir:19358.

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5
2005Operations research in passenger railway transportation. (2005). Huisman, D. ; Vromans, M. J. C. M., ; Lentink, R. M. ; Kroon, L. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1941.

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5
2015Volatility Spillovers Between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2015). Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78349.

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4
2006Optimal maintenance of multi-component systems: a review. (2006). Dekker, R. ; Nicolai, R. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:7975.

Full description at Econpapers || Download paper

4
2013Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). Chang, C-L., ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:50130.

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4
2010Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns. (2010). Chang, C-L., ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:18043.

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4
2010Investor preferences for oil spot and futures based on mean-variance and stochastic dominance. (2010). Lean, H. H. ; Wong, W. K. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:19455.

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3
2010Axiomatic Characterization of the Mean Function on Trees. (2010). McMorris, F. R. ; Ortega, O. ; Mulder, H. M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:18261.

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3
2009Interdependence of international tourism demand and volatility in leading ASEAN destinations. (2009). Chang, C-L., ; Khamkaew, T. ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17299.

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3
1997Self-Organization in Communication Networks. (1997). Goyal, S. ; Bala, V.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1415.

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3
2002Inflation rates; long-memoray, level shifts, or both?. (2002). Franses, Ph. H. B. F., ; Hyung, N.. In: Econometric Institute Research Papers. RePEc:ems:eureir:579.

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3
2002Reverse logistics. (2002). Flapper, S. D. P., ; Dekker, R. ; de Brito, M. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:561.

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3
2010Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH. (2010). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:19452.

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3
2009On the Economic Order Quantity Model With Transportation Costs. (2009). Frenk, J. B. G., ; Birbil, S. I. ; Bulbul, K. ; Mulder, H. M.. In: Econometric Institute Research Papers. RePEc:ems:eureir:16675.

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3
2013Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures. (2013). Lean, H. H. ; Wong, W-K., ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:41467.

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3
2009Modelling Long Memory Volatility in Agricultural Commodity Futures Returns. (2009). Chang, C-L., ; Tansuchat, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:17298.

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3
2005Dynamic lot sizing with product returns. (2005). Teunter, R. H. ; Bayindir, Z. P. ; van den Heuvel, W.. In: Econometric Institute Research Papers. RePEc:ems:eureir:6557.

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3
2009Testing Non-nested Demand Relations: Linear Expenditure System versus Indirect Addilog. (2009). De Boer, P. M. C., ; Paap, R.. In: Econometric Institute Research Papers. RePEc:ems:eureir:15564.

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2
2010Solving Large Scale Crew Scheduling Problems in Practice. (2010). Abbink, E. J. W., ; Saldanha, R. L. ; Albino, L. ; Roussado, J. ; Dollevoet, T. A. B., ; Huisman, D.. In: Econometric Institute Research Papers. RePEc:ems:eureir:21711.

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2
2004Vehicle and crew scheduling: solving large real-world instances with an integrated approach. (2004). Huisman, D. ; de Groot, S. W.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1204.

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2
2000Seasonal smooth transition autoregression. (2000). Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; de Bruin, P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1639.

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2
2008The new Dutch timetable: The OR revolution. (2008). Schrijver, A. ; Ybema, R. ; Fischetti, M. ; Kroon, L. G. ; Maroti, G. ; Fioole, P-J., ; Huisman, D. ; Abbink, E. J. W., ; Steenbeek, A.. In: Econometric Institute Research Papers. RePEc:ems:eureir:13767.

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2
2015Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting. (2015). Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:78067.

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2
2011Causality Between Market Liquidity and Depth for Energy and Grains. (2011). Chang, C-L., ; Hammoudeh, S. M. ; Sari, R. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:23115.

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2
2000Asymmetric and common absorption of shocks in nonlinear autoregressive models. (2000). Franses, Ph. H. B. F., ; van Dijk, D. J. C., ; Boswijk, H. P.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1637.

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2
2000Daily exchange rate behaviour and hedging of currency risk. (2000). Bos, C. S. ; Mahieu, R. J. ; Van Dijk, H. K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1657.

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2
2012Robust Ranking of Multivariate GARCH Models by Problem Dimension. (2012). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:32526.

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2
2011International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord. (2011). Jimenez-Martin, J-A., ; Perez-Amaral, T. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:22237.

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2
2004Valuing structure, model uncertainty and model averaging in vector autoregressive processes. (2004). Van Dijk, H. K. ; Strachan, R. W.. In: Econometric Institute Research Papers. RePEc:ems:eureir:1288.

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2
2003Forecasting industrial production with linear, nonlinear, and structural change models. (2003). Siliverstovs, B. ; van Dijk, D. J. C., . In: Econometric Institute Research Papers. RePEc:ems:eureir:1716.

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2

Citing documents used to compute impact factor 28:


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YearTitleSee
2014Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview. (2014). Hammoudeh, Shawkat . In: Working Papers in Economics. RePEc:cbt:econwp:14/17.

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[Citation Analysis]
2014Advances in Financial Risk Management andEconomic Policy Uncertainty: An Overview. (2014). Hammoudeh, Shawkat . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1417.

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[Citation Analysis]
2014Advances in Financial Risk Management and Economic Policy Uncertainty: An Overview. (2014). McAleer, and Michael ; Hammoudeh, Shawkat . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140076.

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[Citation Analysis]
2014A method to measure enforcement effort in shipping with incomplete information. (2014). Brinkhuis, J. ; Ji, X. ; Knapp, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:77166.

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[Citation Analysis]
2014Modelling a Latent Daily Tourism Financial Conditions Index. (2014). . In: MPRA Paper. RePEc:pra:mprapa:54887.

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[Citation Analysis]
2014A Tourism Conditions Index. (2014). Chang, Chia-Lin ; McAleer, Michael ; Hsu, Hui-Kuang . In: Working Papers in Economics. RePEc:cbt:econwp:14/03.

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[Citation Analysis]
2014A Tourism Conditions Index. (2014). Chang, C-L., ; Hsu, H-K., . In: Econometric Institute Research Papers. RePEc:ems:eureir:50640.

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[Citation Analysis]
2014A Tourism Conditions Index. (2014). Hsu, Hui-Kuang . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1401.

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[Citation Analysis]
2014On the stationarity of Dynamic Conditional Correlation models. (2014). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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[Citation Analysis]
2014Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1418.

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[Citation Analysis]
2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). Hafner, Christian M.. In: Working Papers in Economics. RePEc:cbt:econwp:14/19.

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[Citation Analysis]
2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1429.

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[Citation Analysis]
2014A Tourism Conditions Index. (2014). Chang, Chia-Lin ; McAleer, Michael ; Hsu, Hui-Kuang . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140007.

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[Citation Analysis]
2014Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay. (2014). McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140025.

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[Citation Analysis]
2014A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process. (2014). McAleer, and Michael ; Hafner, Christian M.. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140087.

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[Citation Analysis]
2014Sea Container Terminals. (2014). Gharehgozli, A. H. ; de Koster, M. B. M., ; Roy, D.. In: ERIM Report Series Research in Management. RePEc:ems:eureri:51656.

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[Citation Analysis]
2014Just How Good are the Top Three Journals in Finance? An Assessment Based on Quantity and Quality Citations. (2014). Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:51744.

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[Citation Analysis]
2014Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences. (2014). Chang, Chia-Lin ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140023.

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[Citation Analysis]
2014Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. (2014). Chang, Chia-Lin ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140026.

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[Citation Analysis]
2014Just how Good are the Top Three Journals in Finance? An Assessment based on Quantity and Quality Citations. (2014). Chang, Chia-Lin ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140062.

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[Citation Analysis]
2014Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. (2014). Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:50643.

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[Citation Analysis]
2014Ranking Economics and Econometrics ISI Journals by Quality Weighted Citations. (2014). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1403.

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[Citation Analysis]
2014Analyzing the impacts of carbon regulatory mechanisms on supplier and mode selection decisions: An application to a biofuel supply chain. (2014). Palak, Goke ; Ekiolu, Sandra Duni ; Geunes, Joseph . In: International Journal of Production Economics. RePEc:eee:proeco:v:154:y:2014:i:c:p:198-216.

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[Citation Analysis]
2014Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Chkili, Walid ; Hammoudeh, Shawkat . In: Energy Economics. RePEc:eee:eneeco:v:41:y:2014:i:c:p:1-18.

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[Citation Analysis]
2014The direct and indirect e ects of oil shocks on energy related stocks. (2014). Broadstock, David C ; Wang, Rui . In: Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS). RePEc:sur:seedps:146.

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[Citation Analysis]
2014The influence of biofuels, economic and financial factors on daily returns of commodity futures prices. (2014). Algieri, Bernardina . In: Energy Policy. RePEc:eee:enepol:v:69:y:2014:i:c:p:227-247.

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[Citation Analysis]
2014Direct and indirect oil shocks and their impacts upon energy related stocks. (2014). Broadstock, David C. ; Wang, Rui ; Zhang, Dayong . In: Economic Systems. RePEc:eee:ecosys:v:38:y:2014:i:3:p:451-467.

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[Citation Analysis]
2014Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. (2014). Audrino, Francesco . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:43-60.

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[Citation Analysis]

Cites in year: CiY


Recent citations received in: 2014


[Click on heading to sort table]

YearTitleSee
2014On the Invertibility of EGARCH. (2014). Martinet, Guillaume Gaetan . In: Working Papers in Economics. RePEc:cbt:econwp:14/21.

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[Citation Analysis]
2014Asymmetry and Leverage in Conditional Volatility Models. (2014). . In: Working Papers in Economics. RePEc:cbt:econwp:14/24.

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[Citation Analysis]
2014The impact of China on stock returns and volatility in the Taiwan tourism industry. (2014). Hsu, Hui-Kuang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:381-401.

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[Citation Analysis]
2014Effects of wind strength and wave height on ship incident risk: regional trends and seasonality. (2014). Heij, C. ; Knapp, S.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51747.

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[Citation Analysis]
2014On the Invertibility of EGARCH. (2014). Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51750.

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[Citation Analysis]
2014A Multivariate Model for Multinomial Choices. (2014). Bel, K.. In: Econometric Institute Research Papers. RePEc:ems:eureir:77168.

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[Citation Analysis]
2014Asymmetry and Leverage in Conditional Volatility Models. (2014). . In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585.

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[Citation Analysis]
2014On the Invertibility of EGARCH. (2014). Martinet, Guillaume Gaetan ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140096.

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[Citation Analysis]
2014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140125.

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[Citation Analysis]
2014On the Invertibility of EGARCH. (2014). Martinet, Guillaume Gaetan . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1428.

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[Citation Analysis]

Recent citations received in: 2013


[Click on heading to sort table]

YearTitleSee
2013On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David . In: Working Papers. RePEc:crs:wpaper:2013-26.

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[Citation Analysis]
2013Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522.

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[Citation Analysis]

Recent citations received in: 2012


[Click on heading to sort table]

YearTitleSee
2012Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. (2012). Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les . In: Working Papers in Economics. RePEc:cbt:econwp:12/13.

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[Citation Analysis]
2012Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. (2012). Chang, C-L., ; McAleer, M. J. ; Oxley, L.. In: Econometric Institute Research Papers. RePEc:ems:eureir:37619.

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[Citation Analysis]
2012Ranking Journal Quality by Harmonic Mean of Ranks:An Application to ISI Statistics & Probability. (2012). Chang, Chia-Lin ; McAleer, Michael . In: KIER Working Papers. RePEc:kyo:wpaper:819.

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[Citation Analysis]
2012Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. (2012). Chang, Chia-Lin ; McAleer, Michael ; Oxley, Les . In: KIER Working Papers. RePEc:kyo:wpaper:822.

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[Citation Analysis]
2012Journal Impact Factor, Eigenfactor, Journal Influence and Article Influence. (2012). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1215.

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[Citation Analysis]

Recent citations received in: 2011


[Click on heading to sort table]

YearTitleSee
2011The Rise and Fall of S&P500 Variance Futures. (2011). Jimenez-Martin, Juan-ngel ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio . In: Working Papers in Economics. RePEc:cbt:econwp:11/32.

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[Citation Analysis]
2011How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environment and Resource Economics. (2011). Chang, C-L., ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:31230.

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[Citation Analysis]
2011The Rise and Fall of S&P500 Variance Futures. (2011). Jimenez-Martin, Juan-ngel ; Perez-Amaral, Teodosio . In: KIER Working Papers. RePEc:kyo:wpaper:795.

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[Citation Analysis]
2011Do Experts SKU Forecasts improve after Feedback?. (2011). Franses, Philip Hans ; Legerstee, Rianne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20110135.

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[Citation Analysis]
2011Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2011). Jimenez-Martin, Juan-Angel ; Gonzalez-Serrano, Lydia . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1133.

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[Citation Analysis]
2011The Rise and Fall of S&P500 Variance Futures. (2011). Jimenez-Martin, Juan-Angel ; Perez-Amaral, Teodosio . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1135.

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[Citation Analysis]
2011How Should Journal Quality be Ranked? An Application to Agricultural, Energy, Environmental and Resource Economics. (2011). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1139.

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[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.