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DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística

0.09

Impact Factor

0.06

5-Years IF

7

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 (%)0.04
19920.13300 (%)0.05
19930.13283110.0312335 (41.7%)10.040.06
19940.030.140.03195020.0443113113 (75%)10.050.06
19950.090.170.08267640.0574745042 (28.6%)0.11
19960.040.220.072510180.08244527654 (16.7%)30.120.1
19970.060.220.052712880.0629513101511 (37.9%)20.070.09
19980.230.240.1133161180.113052121251410 (33.3%)40.120.13
19990.230.30.1334195180.09266014130172 (7.7%)10.030.16
20000.150.370.0832227140.06126710145123 (25%)20.060.14
20010.060.370.0929256200.0843664151137 (16.3%)30.10.17
20020.050.370.041126760.02166131556 (%)0.18
20030.050.40.0417284110.041640213954 (25%)10.060.19
20040.210.410.0717301180.061928612385 (26.3%)20.120.18
20050.090.430.111312160.056343106111 (16.7%)0.21
20060.210.440.1419331170.051428685123 (21.4%)20.110.19
20070.070.370.0918349110.036302757 (%)10.060.17
20080.080.390.126375130.036373828 (%)0.17
20090.360.0823398130.0310449171 (10%)0.17
20100.020.340.0226424110.03224919721 (4.5%)0.15
20110.080.410.0428452140.031949411252 (10.5%)10.040.2
20120.190.450.120472230.05155410121125 (33.3%)10.050.21
20130.150.50.1531503250.0515487123194 (26.7%)20.060.2
20140.180.550.1123526260.05351912814 (%)0.25
20150.070.570.1122548230.0411544128144 (36.4%)0.26
20160.090.660.0615563180.03245412482 (100%)0.34
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
11999On the asymptotic theory of subsampling. (1999). Wolf, Michael ; Politis, Dimitris N ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6334.

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17
22001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

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16
32010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

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9
42001Multivariate analysis in vector time series. (2001). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws012415.

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8
51996Nonlinear cointegration and nonlinear error correction. (1996). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4546.

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7
62001GMM estimation of a production function with panel data : an application to Spanish manufacturing firms. (2001). Sánchez-Mangas, Rocío ; Alonso-Borrego, César ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws015527.

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7
72004Variance changes detection in multivariate time series. (2004). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws041305.

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7
82003GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS. (2003). . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws035212.

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6
91998The correlogram of a long memory process plus a simple noise. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:9820.

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6
102002Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws025414.

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6
111997Nonlinear cointegration with mixing errors. (1997). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6204.

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6
121996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. (1996). Ng, Serena ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6203.

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6
132006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws066016.

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6
142010A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. (2010). Galeano, Pedro ; Ausin, Concepcion ; Ghosh, Pulak . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103822.

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6
152015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

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5
162002Pseudo-maximum likelihood estimation of a dynamic structural investment model. (2002). Sánchez-Mangas, Rocío ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws026218.

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5
172001Is stochastic volatility more flexible than garch?. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010805.

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5
181997Threshold unit root models. (1997). Gonzalez-Rozada, Martin ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6214.

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5
192002Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis. (2002). Poncela, Pilar ; Espasa, Antoni ; Senra, E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws020301.

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5
202008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws087326.

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4
211998Searching for fractional evidence using combined unit root tests. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10613.

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4
221998Subsampling confidence intervals for the autoregressive root. (1998). Wolf, Michael ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6268.

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4
231996P-values for non-standard distributions with an application to the DF test. (1996). Gonzalo, Jesus ; Adda, Jerome. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4541.

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4
242013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

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4
252004Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws046315.

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4
262003Generalized spectral tests for the martingale difference hypothesis. (2003). Velasco, Carlos ; Escanciano, Juan Carlos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws035312.

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3
272000Notes on time serie analysis, ARIMA models and signal extraction. (2000). Maravall, Agustin ; Kaiser, Regina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10058.

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3
281998FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes. (1998). Dolado, Juan ; Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4672.

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3
292012Portfolio selection through and extremality stochastic order. (2012). Pellerey, Franco ; Lillo, Rosa E. ; Romo, Juan ; Laniado, Henry . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121812.

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3
301995Comovements in large systems. (1995). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:5825.

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3
312006On the concept of depth for functional data. (2006). Romo, Juan ; Lopez-Pintado, Sara . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws063012.

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3
322011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

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3
332005Bayesian estimation of the gaussian mixture garch model. (2005). Galeano, Pedro ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws053605.

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3
342012National minimum wage and labour market outcomes of young workers. (2012). Tena, Juan de Dios ; Fidrmuc, Jan ; Juan de Dios Tena, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121209.

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3
352011Interacting multiple -- Try algorithms with different proposal distributions. (2011). Casarin, Roberto ; Leisen, Fabrizio ; Craiu, Radu . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws110402.

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3
361996Automatic modelling of daily series of economic activity. (1996). Espasa, Antoni ; Cancelo, Jose Ramon ; Revuelta, Manuel J. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:3356.

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3
371997Improved testing and specification of smooth transition regression models. (1997). Jorda, Oscar ; Escribano, Alvaro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6218.

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3
382011Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems. (2011). Breto, Carles ; Ionides, Edward L.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws111914.

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3
392011Bootstrap forecast of multivariate VAR models without using the backward representation. (2011). Ruiz, Esther ; Fresoli, Diego ; Pascual, Lorenzo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws113426.

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3
402003Detecting level shifts in the presence of conditional heteroscedasticity.. (2003). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws036313.

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3
411997On the properties of the Dickey-Pantula test against fractional alternatives. (1997). Dolado, Juan ; Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4549.

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3
422012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models. (2012). Veiga, Helena ; Galan, Jorge ; Wiper, Michael P.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121007.

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3
432013Lasso variable selection in functional regression. (2013). Romo, Juan ; Lillo, Rosa E. ; Mingotti, Nicola . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131413.

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3
442009Wavelet-based detection of outliers in volatility models. (2009). Veiga, Helena ; Grane, Aurea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws090403.

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3
451998Asymptotic and bootstrap specification tests of nonlinear in variable econometric models. (1998). Lavergne, Pascal ; Dominguez, Manuel A ; Delgado, Miguel A. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4674.

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3
462007The effect of realised volatility on stock returns risk estimates. (2007). Veiga, Helena ; Grane, Aurea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws076316.

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3
471999Labor contracts and flexibility : evidence from a labor markt reform in Spain. (1999). Alonso-Borrego, César ; Aguirregabiria, Victor. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6302.

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2
482009Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Santos, Andre ; Ruiz, Esther ; Andre A. P., ; Nogales, Francisco J.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws097222.

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2
492013The Mahalanobis distance for functional data with applications to classification. (2013). Galeano, Pedro ; Joseph, Esdras ; Lillo, Rosa E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131312.

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2
502003Estimation of income distribution and detection of subpopulations: an explanatory model. (2003). Flachaire, Emmanuel ; Nuez, Olivier G.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws030201.

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2

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

#YearTitleCited
11999On the asymptotic theory of subsampling. (1999). Wolf, Michael ; Politis, Dimitris N ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6334.

Full description at Econpapers || Download paper

10
22015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

Full description at Econpapers || Download paper

5
32010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

Full description at Econpapers || Download paper

4
42001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

Full description at Econpapers || Download paper

4
52012Portfolio selection through and extremality stochastic order. (2012). Pellerey, Franco ; Lillo, Rosa E. ; Romo, Juan ; Laniado, Henry . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121812.

Full description at Econpapers || Download paper

3
62010Multivariate extremality measure. (2010). Laniado, Henry ; Lillo, Rosa E. ; Romo, Juan . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws101908.

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2
72013Lasso variable selection in functional regression. (2013). Romo, Juan ; Lillo, Rosa E. ; Mingotti, Nicola . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131413.

Full description at Econpapers || Download paper

2
82005Bayesian estimation of the gaussian mixture garch model. (2005). Galeano, Pedro ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws053605.

Full description at Econpapers || Download paper

2
92011Exploring ICA for time series decomposition. (2011). Ferrer, Antonio Garcia ; Prieto, Ester Gonzalez ; Pea, Daniel ; GarciaFerrer, Antonio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws111611.

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2
102012More is not always better : back to the Kalman filter in dynamic factor models. (2012). Ruiz, Esther ; Poncela, Pilar. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws122317.

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2
112011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

Full description at Econpapers || Download paper

2
122009Small area estimation on poverty indicators. (2009). Molina, Isabel ; J. N. K. Rao, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws091505.

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2
132013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

Full description at Econpapers || Download paper

2
142013The Mahalanobis distance for functional data with applications to classification. (2013). Galeano, Pedro ; Joseph, Esdras ; Lillo, Rosa E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131312.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 4:

YearTitle
2016Bootstrap prediction in univariate volatility models with leverage effect. (2016). Hotta, Luiz ; Trucios, Carlos . In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:120:y:2016:i:c:p:91-103.

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2016Vine copula models for predicting water flow discharge at King George Island, Antarctica. (2016). Dominguez, Carmen M ; Diaz, Mario Gomez ; Ausin, Concepcion . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23812.

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2016A multivariate extension of the increasing convex order to compare risks. (2016). Sordo, Miguel A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:224-230.

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2016Directional multivariate extremes in environmental phenomena. (2016). Lillo, Rosa E ; Torres, Raul ; Laniado, Henry ; de Michele, Carlo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23419.

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Recent citations (cites in year: CiY)

Recent citations received in 2016
YearCiting document

Recent citations received in 2015
YearCiting document

Recent citations received in 2014
YearCiting document

Recent citations received in 2013
YearCiting document
2013How to boost the PhD labour market? : facts from the R&D and innovation policies side. (2013). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws133127.

Full description at Econpapers || Download paper

2013Investor attention and stock market activity: Evidence from France. (2013). AROURI, Mohamed ; AOUADI, AMAL ; Teulon, Frederic . In: Economic Modelling. RePEc:eee:ecmode:v:35:y:2013:i:c:p:674-681.

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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, 1st 2017. Contact: CitEc Team