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Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni G. Parenti


0.36

Impact Factor

0.47

5-Years IF

9

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12000 (%)0.06
19950.16000 (%)0.1
19960.2000 (%)0.09
19970.21000 (%)0.09
19980.22000 (%)0.13
19990.28115001 (20%)0.16
20000.37111 (%)0.14
200110.3615610.172311115 (21.7%)0.17
20020.20.370.1761220.17751611 (14.3%)10.170.18
20030.360.40.3321450.36211141241 (4.8%)10.50.19
20040.420.1441860.331181424 (36.4%)410.19
200510.430.4132170.335661772 (40%)0.21
20060.140.450.2562790.3367712058 (11.9%)30.50.2
20070.330.390.2963390.2719932164 (21.1%)10.170.17
20080.330.390.29235100.29171242161 (5.9%)0.17
20090.750.370.76338210.55288621166 (21.4%)0.18
201010.330.6341150.3785520121 (12.5%)0.15
20110.50.410.9142230.5518632018 (%)220.2
201210.461.2244320.7314415181 (100%)10.50.21
20130.670.50.9144210.48321110 (%)0.21
20140.540.781155240.4492971 (11.1%)20.180.26
20150.360.60.47661230.38114178 (%)0.3
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:


#YearTitleCited
12006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

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35
22011Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

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18
32009Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01.

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18
42006Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15.

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18
52007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16.

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18
62009Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03.

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13
72001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

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11
82003A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_07.

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11
92003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04.

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10
102008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). Velucchi, Margherita ; Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09.

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9
112008Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_03.

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8
122001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_04.

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8
132010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06.

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7
142006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_04.

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6
152014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

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6
16Indirect Estimation of Just-Identified Models with Control Variates. (1999). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno46.

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5
17On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.. (2004). Lombardi, Marco ; Godsill, Simon J.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_05.

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5
182001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Gallo, Giampiero ; Lee, Tae-Why ; Hong, Yongmiao . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03.

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4
192006Exchange Market Pressure: Some Caveats In Empirical Applications. (2006). Ricchiuti, Giorgio ; Gallo, Giampiero ; Bertoli, Simone. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_17.

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4
202005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11.

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4
212006Indirect estimation of alpha-stable stochastic volatility models. (2006). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07.

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4
222004Indirect estimation of alpha-stable distributions and processes.. (2004). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_07.

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3
232002GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_06.

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3
242002Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_03.

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3
252004Bayesian inference for alpha-stable distributions: a random walk MCMC approach.. (2004). Lombardi, Marco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_11.

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2
262014Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09.

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2
272001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets. (2001). Granger, Clive ; Gallo, Giampiero ; Jeon, Yongil . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_01.

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2
282006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_12.

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2
292007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_02.

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1
302014Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11.

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1
312002Inflation Differentials before and after the EMU. (2002). Arese-Visconti, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_19.

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1
322010A Time-varying Mixing Multiplicative Error Model for Realized Volatility. (2010). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_03.

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1
33Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_10.

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1
342001Alternative Simulation-Based Estimators of Logit Models with Random Effects. (2001). Rampichini, Carla ; Mealli, Fabrizia ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno48.

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1
352012Volatility Swings in the US Financial Markets. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_03.

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1
362009Automated Variable Selection in Vector Multiplicative Error Models. (2009). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_02.

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1
372004A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.. (2004). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_12.

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1

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

Full description at Econpapers || Download paper

16
22011Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

Full description at Econpapers || Download paper

9
32009Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03.

Full description at Econpapers || Download paper

8
42001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

Full description at Econpapers || Download paper

7
52014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

Full description at Econpapers || Download paper

6
62009Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01.

Full description at Econpapers || Download paper

4
72007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16.

Full description at Econpapers || Download paper

3
82001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Gallo, Giampiero ; Lee, Tae-Why ; Hong, Yongmiao . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03.

Full description at Econpapers || Download paper

3
92010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06.

Full description at Econpapers || Download paper

2
102014Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09.

Full description at Econpapers || Download paper

2
112003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 4:


YearTitle
2015DO CONSENSUAL UNIONS DIFFER FROM MARRIAGES? A STUDY OF FAMILY CHARACTERISTICS AND RECEIVED HELPS IN ITALY. (2015). Fraboni, Romina ; Meli, Eleonora . In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics. RePEc:ite:iteeco:150202.

Full description at Econpapers || Download paper

2015FloGARCH : Realizing long memory and asymmetries in returns volatility. (2015). Vander Elst, Harry. In: Working Paper Research. RePEc:nbb:reswpp:201504-280.

Full description at Econpapers || Download paper

2015Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). Baruník, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946.

Full description at Econpapers || Download paper

2015Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/200436.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2014

YearCiting document
2014Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks. (2014). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/177444.

Full description at Econpapers || Download paper

2014Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11.

Full description at Econpapers || Download paper

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team