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Journal of Financial Econometrics / Society for Financial Econometrics

1.07

Impact Factor

1.29

5-Years IF

34

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 (%)0.04
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.2000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.29000 (%)0.1
19990.320200 (%)0.13
20000.40100 (%)0.15
20010.4000 (%)0.15
20020.420700 (%)0.18
20030.441919100.53292003 (1%)50.260.19
20040.740.490.742443491.141086191419144 (%)200.830.2
20051.160.531.162770831.19598435043502 (%)90.330.21
20061.630.511.6424941561.6613635183701155 (%)261.080.2
20071.840.451.68101041771.72165194941582 (%)50.50.18
20082.880.482.43211252752.228734981042531 (%)20.10.2
20091.450.472.54241493302.2161331451062694 (%)200.830.19
20101.180.452.02331823171.742234553106214 (%)90.270.16
20111.330.522.25232054442.1727057761122521 (%)170.740.2
20121.140.551.62923446921335664111178 (%)80.280.2
20131.270.621.73232576192.4117852661302251 (%)150.650.22
20141.130.641.83262837002.47415259132241 (%)40.150.21
20151.020.691.06343176732.121244950134142 (%)240.710.22
20161.070.851.29273447352.14326064135174 (%)60.220.26
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
12006Asymmetric 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

464
22009A 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

420
32004Power 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

384
42006Econometrics 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

296
52005The 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

216
62006Value-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

163
72004On 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

134
82004A 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

129
92006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; 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

104
102005A 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

98
112004Backtesting 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

94
122007Why 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

87
132004How 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

86
142004Mixed 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

73
152009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; 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

71
162006The 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

67
172003Dynamics 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

63
182007Integrated 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.

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60
192004Persistence 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.

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56
202010Comparison 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.

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56
212004Modeling 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.

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53
222009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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50
232006Long 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.

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50
242006Inequality 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.

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49
252008Are 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

48
262006Structural 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.

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48
272005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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47
282008Time-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.

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43
292003Fourth 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.

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41
302011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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40
312006Stochastic 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.

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40
322003Trades 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.

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37
332011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

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35
342003The 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.

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34
352010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

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34
362005Properties 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.

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34
372008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

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33
382005Reexamining 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.

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32
392012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

Full description at Econpapers || Download paper

31
402004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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30
412008Using 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.

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29
422005A Test for Symmetry with Leptokurtic Financial Data. (2005). Premaratne, Gamini. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187.

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27
432012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

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27
442008American 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.

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26
452013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

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26
462006Empirical 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.

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26
472005The Accuracy of Density Forecasts from Foreign Exchange Options. (2005). Mazzotta, Stefano ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:578-605.

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25
482005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168.

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25
492003A 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.

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25
502005Nonparametric 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.

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25

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

#YearTitleCited
12009A 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

188
22006Asymmetric 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

158
32004Power 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

133
42006Econometrics 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

98
52005The 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

83
62006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; 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

46
72006Value-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

42
82004Backtesting 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

41
92004On 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

35
102004How 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

33
112009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; 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

27
122004A 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

27
132006The 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

26
142007Why 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

26
152010Comparison 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

25
162005A 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

24
172009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, 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

23
182012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

Full description at Econpapers || Download paper

22
192015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

Full description at Econpapers || Download paper

21
202006Long 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

20
212003Dynamics 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

20
222012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

Full description at Econpapers || Download paper

18
232008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

Full description at Econpapers || Download paper

18
242011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

Full description at Econpapers || Download paper

17
252013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

Full description at Econpapers || Download paper

17
262011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

Full description at Econpapers || Download paper

16
272013Modeling Realized Covariances and Returns. (2013). Maheu, John ; Jin, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369.

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16
282013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

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16
292008Time-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

15
302015Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259..

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14
312013Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Caporin, Massimiliano ; Kasch, Maria . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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14
322004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

Full description at Econpapers || Download paper

13
332008Are 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.

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13
342011A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones. (2011). Robert, Christian Y.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:344-366.

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13
352015Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721..

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13
362011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

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12
372008Using 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.

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12
382010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

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11
392006Structural 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.

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11
402011Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations. (2011). Lubrano, Michel ; Hadri, Kaddour ; Giet, Ludovic ; Bu, Ruijun . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:198-236.

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11
412005Reexamining 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.

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10
422004Modeling 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.

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10
432015A Random Coefficient Approach to the Predictability of Stock Returns in Panels. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:605-664..

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9
442005The Accuracy of Density Forecasts from Foreign Exchange Options. (2005). Mazzotta, Stefano ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:578-605.

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9
452005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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9
462013JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags. (2013). Singleton, Kenneth ; Joslin, Scott . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:581-609.

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9
472013The Price Impact of Order Book Events. (2013). Kukanov, Arseniy ; Stoikov, Sasha ; Cont, Rama . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2013:i:1:p:47-88.

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9
482016Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352..

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9
492008American 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.

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8
502010Price Discovery in Fragmented Markets. (2010). de Jong, Frank ; Schotman, Peter C.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:1-28.

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Citing documents used to compute impact factor 64:

YearTitle
2016Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models. (2016). McCabe, Brendan ; Robert, Christian P ; Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2016-09.

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2016Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models. (2016). Demouche, Nacer ; Al-Eid, Eid ; Aknouche, Abdelhakim . In: MPRA Paper. RePEc:pra:mprapa:75770.

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2016Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016A note on why doesnt the choice of performance measure matter?. (2016). guo, biao ; Xiao, Yugu . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:248-254.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory. (2016). Kuo, Chen-Yin . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:772-789.

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2016Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.

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2016Stock Return Predictability: Evaluation based on Prediction Intervals. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier . In: MPRA Paper. RePEc:pra:mprapa:70143.

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2016Stock Return Predictability: Evaluation based on prediction intervals. (2016). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier . In: Working Papers. RePEc:hal:wpaper:hal-01295037.

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2016Can consumer price index predict gold price returns?. (2016). Sharma, Susan. In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:269-278.

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2016A GARCH model for testing market efficiency. (2016). Narayan, Paresh ; Liu, Ruipeng ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:121-138.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2016Real oil prices and the international sign predictability of stock returns. (2016). Pönkä, Harri ; Ponka, Harri . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:79-87.

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2016International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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2016Intraday return predictability, portfolio maximisation, and hedging. (2016). Sharma, Susan ; Narayan, Paresh Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:105-116.

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2016Panel multi-predictor test procedures with an application to emerging market sovereign risk. (2016). Thuraisamy, Kannan ; Westerlund, Joakim . In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:44-60.

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2016Testing for predictability in panels of any time series dimension. (2016). , Joakimwesterlund ; Narayan, Paresh ; Westerlund, Joakim . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1162-1177.

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2016On the estimation and testing of predictive panel regressions. (2016). , Joakimwesterlund ; Karabiyik, Hande ; Narayan, Paresh ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:115-125.

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2016Are Islamic stock returns predictable? A global perspective. (2016). Sharma, Susan ; Bach, Dinh Hoang ; Westerlund, Joakim ; Narayan, Paresh Kumar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pa:p:210-223.

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2016Price discovery and asset pricing. (2016). , Joakimwesterlund ; Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Thuraisamy, Kannan ; Westerlund, Joakim . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pa:p:224-235.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2016Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model. (2016). Huang, Zhuo ; Wang, Tianyi ; Liu, Hao . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:812-821.

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2016On the statistical properties of multiplicative GARCH models. (2016). Conrad, Christian ; Kleen, Onno . In: Working Papers. RePEc:awi:wpaper:0613.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2016Median Response to Shocks: A Model for VaR Spillovers in East Asia. (2016). Ugolini, Andrea ; Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_01.

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2016Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound. (2016). Krippner, Leo ; Claus, Iris. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2016/08.

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2016Below the zero lower bound: A shadow-rate term structure model for the euro area. (2016). Lemke, Wolfgang ; Vladu, Andreea L. In: Discussion Papers. RePEc:zbw:bubdps:322016.

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2016The effect of conventional and unconventional euro area monetary policy on macroeconomic variables. (2016). Krippner, Leo ; Halberstadt, Arne . In: Discussion Papers. RePEc:zbw:bubdps:492016.

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2016Short-term risk premiums and policy rate expectations in the United States. (2016). Krippner, Leo ; Callaghan, Michael . In: Reserve Bank of New Zealand Analytical Notes series. RePEc:nzb:nzbans:2016/07.

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2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. (2016). Monostori, Zoltán ; Kocsis, Zalan. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:140-168.

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2016Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2016). Yamamoto, Yohei. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-4.

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2016The shine of precious metals around the global financial crisis. (2016). Figuerola-Ferretti, Isabel ; McCrorie, Roderick J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:717-738.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016Heterogeneous agents, the financial crisis and exchange rate predictability. (2016). Buncic, Daniel ; Piras, Gion Donat . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:313-359.

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2016Exchange Rates Forecasting: Can Jump Models Combined with Macroeconomic Fundamentals Help?. (2016). Bunak, Toma . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2016:y:2016:i:5:id:581:p:527-546.

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2016Estimating jump–diffusions using closed-form likelihood expansions. (2016). Li, Chenxu ; Chen, Dachuan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

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2016Testing for Granger causality with mixed frequency data. (2016). Ghysels, Eric ; Motegi, Kaiji ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:207-230.

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2016Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data.. (2016). Zadrozny, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5884.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016A computationally efficient method for vector autoregression with mixed frequency data. (2016). Qian, Hang. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:433-437.

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2016Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data. (2016). Zadrozny, Peter. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:438-446.

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2016The Beveridge–Nelson decomposition of mixed-frequency series. (2016). Murasawa, Yasutomo. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1061-5.

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2016Uncertainty-driven business cycles: assessing the markup channel. (2016). Pfeifer, Johannes ; Born, Benjamin. In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145608.

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2016Current Account Dynamics and the Housing Cycle in Spain. (2016). Rüth, Sebastian ; Mayer, Eric ; Ruth, Sebastian ; Maas, Daniel . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145824.

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2016Asset price bubbles and economic welfare. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: International Review of Financial Analysis. RePEc:eee:finana:v:44:y:2016:i:c:p:139-148.

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2016Generalized Random Coefficient Estimators of Panel Data Models: Asymptotic and Small Sample Properties. (2016). Abonazel, Mohamed. In: MPRA Paper. RePEc:pra:mprapa:72586.

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2016Testing for Granger causality with mixed frequency data. (2016). Ghysels, Eric ; Motegi, Kaiji ; Hill, Jonathan B. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:207-230.

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2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain ; Götz, Thomas ; Gotz, Thomas B. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

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2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

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2016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Vermeulen, Wessel ; Perego, Erica R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016A test of asymmetric comovement for state-dependent stock returns. (2016). Deng, Kaihua . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:68-85.

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2016A nonparametric approach to test for predictability. (2016). Pan, Zhiyuan ; Wu, Chongfeng ; Wang, Yudong. In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:10-16.

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2016Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2016). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r.

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2016International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?. (2016). Trecroci, Carmine ; Bua, Giovanna. In: MPRA Paper. RePEc:pra:mprapa:74771.

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2016Order Invariant Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Working Papers. RePEc:awi:wpaper:0608.

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2016Robust Evaluation of Multivariate Density Forecasts. (2016). Dovern, Jonas ; Manner, Hans . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145547.

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2016Vulnerable Growth. (2016). Giannone, Domenico ; Boyarchenko, Nina ; Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11583.

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2016Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. (2016). Ghysels, Eric ; Colacito, Riccardo ; Siwasarit, Wasin ; Meng, Jinghan . In: Review of Financial Studies. RePEc:oup:rfinst:v:29:y:2016:i:8:p:2069-2109..

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2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

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Recent citations (cites in year: CiY)

Recent citations received in 2016
YearCiting document
2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein . In: CREATES Research Papers. RePEc:aah:create:2016-29.

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2016Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177.

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2016Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

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2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI. In: Working Papers. RePEc:pre:wpaper:201672.

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2016Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market. (2016). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Working Papers. RePEc:urv:wpaper:2072/261538.

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Recent citations received in 2015
YearCiting document
2015Asset Allocation Strategies Based on Penalized Quantile Regression. (2015). Caporin, Massimiliano ; Bonaccolto, Giovanni ; Paterlini, Sandra. In: Papers. RePEc:arx:papers:1507.00250.

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2015Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607.

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2015Misspecification Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0597.

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2015Not Just Another Mixed Frequency Paper. (2015). Fasolo, Angelo ; Alves, Sergio ; Lago, Sergio Afonso . In: Working Papers Series. RePEc:bcb:wpaper:400.

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2015Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0550.

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2015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1523.

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2015The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts. (2015). Beckers, Benjamin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1496.

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2015Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model. (2015). Ni, Zhong-Xin ; Xue, Wen-Jun ; Wang, Da-Zhong . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:266-274.

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2015A simple new test for slope homogeneity in panel data models with interactive effects. (2015). Bai, Jushan ; Ando, Tomohiro. In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:112-117.

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2015Testing for stock return predictability in a large Chinese panel. (2015). Narayan, Paresh ; Zheng, Xinwei ; Westerlund, Joakim . In: Emerging Markets Review. RePEc:eee:ememar:v:24:y:2015:i:c:p:81-100.

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2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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2015Systemic risk and asymmetric responses in the financial industry. (2015). Moreno, Antonio ; Rubia, Antonio ; Lopez-Espinosa, German ; Valderrama, Laura . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:471-485.

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2015A probability-based stress test of Federal Reserve assets and income. (2015). Rudebusch, Glenn ; Lopez, Jose. In: Journal of Monetary Economics. RePEc:eee:moneco:v:73:y:2015:i:c:p:26-43.

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2015Forecasting German car sales using Google data and multivariate models. (2015). Fantazzini, Dean ; Toktamysova, Zhamal . In: International Journal of Production Economics. RePEc:eee:proeco:v:170:y:2015:i:pa:p:97-135.

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2015The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-07.

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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility. (2015). Chan, Joshua ; Eisenstat, Eric . In: CAMA Working Papers. RePEc:een:camaaa:2015-32.

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2015The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession. (2015). Klacso, Jan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:65:y:2015:i:1:p:55-83.

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2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability. (2015). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim . In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2015-06.

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2015Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei. In: Discussion Papers. RePEc:hit:econdp:2015-05.

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2015The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Kunitomo, Naoto ; Sato, Seisho ; Misaki, Hiroumi . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:333-368.

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2015Asset Allocation Strategies Based On Penalized Quantile Regression. (2015). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni . In: Marco Fanno Working Papers. RePEc:pad:wpaper:0199.

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2015Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., . In: Economics Working Paper Series. RePEc:usg:econwp:2015:08.

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2015The real-time predictive content of asset price bubbles for macro forecasts. (2015). Beckers, Benjamin. In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112852.

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2015Current account dynamics and the housing boom and bust cycle in Spain. (2015). Rüth, Sebastian ; Mayer, Eric ; Ruth, Sebastian ; Maas, Daniel . In: W.E.P. - Würzburg Economic Papers. RePEc:zbw:wuewep:94.

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Recent citations received in 2014
YearCiting document
2014Economic gains of realized volatility in the Brazilian stock market. (2014). Medeiros, Marcelo ; de Luna, Francisco Eduardo ; Pinto, Marcio Gomes . In: Brazilian Review of Finance. RePEc:brf:journl:v:12:y:2014:i:3:p:319-349.

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2014Forecasting daily return densities from intraday data: A multifractal approach. (2014). Olmo, Jose ; Hallam, Mark. In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:4:p:863-881.

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2014Economic theory and forecasting: lessons from the literature. (2014). Giacomini, Raffaella . In: CeMMAP working papers. RePEc:ifs:cemmap:41/14.

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2014Economic gains of realized volatility in the Brazilian stock market. (2014). Medeiros, Marcelo ; Garcia, Marcio ; Francisco Eduardo de Luna e Almeida Santos, . In: Textos para discussão. RePEc:rio:texdis:624.

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Recent citations received in 2013
YearCiting document
2013The Role of Speculation in Oil Markets: What Have We Learned So Far?. (2013). Mahadeva, Lavan ; Kilian, Lutz ; Bassam Fattouh, Lutz Kilian,, . In: The Energy Journal. RePEc:aen:journl:ej34-3-01.

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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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2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. (2013). Olmo, Jose ; Fuertes, Ana-Maria. In: International Journal of Forecasting. RePEc:eee:intfor:v:29:y:2013:i:1:p:28-42.

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2013Ten Things You Should Know About DCC. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:39599.

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

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2013Reference Dependent Preferences and the EPK Puzzle. (2013). Härdle, Wolfgang ; Grith, Maria ; Hardle, Wolfgang Karl ; Kratschmer, Volker . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2013-023.

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2013Does realized volatility help bond yield density prediction?. (2013). Shin, Minchul ; Zhong, Molin . In: PIER Working Paper Archive. RePEc:pen:papers:13-064.

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2013Discounting Cashflows from Illiquid Assets on Bank Balance Sheets. (2013). Nauta, Bert-Jan . In: MPRA Paper. RePEc:pra:mprapa:54781.

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2013Ten Things you should know about DCC. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130048.

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2013Ten Things you should know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130078.

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2013Predicting Covariance Matrices with Financial Conditions Indexes. (2013). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130113.

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2013Ten Things You Should Know About DCC. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1312.

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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1321.

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2013Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints. (2013). Fengler, Matthias ; Hin, Lin-Yee . In: Economics Working Paper Series. RePEc:usg:econwp:2011:36.

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2013The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter. In: Discussion Papers. RePEc:yor:yorken:13/22.

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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