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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
22
Impact Factor
0.45
5 Years IF
0.37
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1992 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1994 0 0.14 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.17 0 0 0 0 0 0 0 0 0 0 0.1
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.22 0 0 0 0 0 2 0 0 0 0 0.09
1998 0 0.24 0 0 0 0 0 3 0 0 0 0 0.12
1999 0 0.3 0 0 0 0 0 6 0 0 0 0 0.15
2000 0 0.36 0 0 0 0 0 9 0 0 0 0 0.14
2001 0 0.36 0 0 0 0 0 11 0 0 0 0 0.17
2002 0 0.38 0 0 0 0 0 19 0 0 0 0 0.18
2003 0 0.39 0 0 0 0 0 27 0 0 0 0 0.19
2004 0 0.41 0 0 0 0 0 35 0 0 0 0 0.18
2005 0 0.43 0 0 0 0 0 38 0 0 0 0 0.2
2006 0 0.45 0 0 0 0 0 46 0 0 0 0 0.19
2007 0 0.38 0.62 0 45 45 981 17 74 0 0 13 76.5 17 0.38 0.17
2008 1.22 0.39 0.98 1.22 65 110 446 99 182 45 55 45 55 31 31.3 33 0.51 0.17
2009 0.91 0.36 0.98 0.91 60 170 382 159 348 110 100 110 100 56 35.2 25 0.42 0.17
2010 0.57 0.35 0.7 0.74 74 244 271 168 518 125 71 170 125 16 9.5 21 0.28 0.15
2011 0.6 0.4 0.87 0.77 56 300 138 257 779 134 81 244 188 27 10.5 14 0.25 0.19
2012 0.32 0.44 0.7 0.58 56 356 299 243 1027 130 42 300 175 36 14.8 21 0.38 0.2
2013 0.61 0.49 0.72 0.51 51 407 160 287 1319 112 68 311 159 24 8.4 12 0.24 0.2
2014 0.7 0.52 0.72 0.56 63 470 186 338 1658 107 75 297 165 37 10.9 25 0.4 0.23
2015 0.54 0.52 0.69 0.52 57 527 109 364 2023 114 62 300 156 33 9.1 17 0.3 0.23
2016 0.73 0.58 0.69 0.59 33 560 48 384 2407 120 88 283 167 32 8.3 7 0.21 0.25
2017 0.46 0.6 0.57 0.57 41 601 27 340 2747 90 41 260 148 7 2.1 4 0.1 0.25
2018 0.45 0.68 0.41 0.37 36 637 16 264 3011 74 33 245 90 11 4.2 2 0.06 0.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

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450
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

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328
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

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112
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

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100
52008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11.

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70
62010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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56
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

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54
82013The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12.

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46
92012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

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42
102014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

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36
112008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

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35
122007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

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33
132008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

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32
142008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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27
152010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13.

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27
162007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

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26
172008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63.

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25
182014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

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25
192011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

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23
202009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

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23
212008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56.

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22
222007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27.

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22
232013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

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21
242013On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2013-44.

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21
252007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean. In: CREATES Research Papers. RePEc:aah:create:2007-43.

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20
262012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

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20
272008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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20
282007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

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19
292007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann. In: CREATES Research Papers. RePEc:aah:create:2007-21.

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19
302009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33.

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19
312010Estimation of Stochastic Volatility Models by Nonparametric Filtering. (2010). Kristensen, Dennis ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2010-67.

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17
322015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

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17
332010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2010-01.

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17
342007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas. In: CREATES Research Papers. RePEc:aah:create:2007-09.

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17
352010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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16
362012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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16
372012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36.

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15
382009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

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15
392008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58.

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15
402012Modelling electricity day–ahead prices by multivariate Lévy semistationary processes. (2012). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13.

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14
412015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15.

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14
422009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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14
432008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

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14
442015Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-16.

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13
452009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52.

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13
462010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Voev, Valeri ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-74.

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13
472012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

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13
482008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

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13
492008Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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13
502014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

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13
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

119
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

89
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

49
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

33
52014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

19
62009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

18
72013The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12.

Full description at Econpapers || Download paper

16
82008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

16
92015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

Full description at Econpapers || Download paper

13
102012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

Full description at Econpapers || Download paper

12
112015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15.

Full description at Econpapers || Download paper

11
122013On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2013-44.

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9
132018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

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9
142013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

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9
152014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

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8
162015Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-16.

Full description at Econpapers || Download paper

8
172008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

7
182017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; Teräsvirta, Timo ; Gonzalez, Andres ; van Dijk, Dick ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

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6
192014Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19.

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6
202012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36.

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6
212015Hybrid scheme for Brownian semistationary processes. (2015). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-43.

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6
222016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2016-10.

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6
232014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

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6
242007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

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5
252010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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5
262009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

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5
272016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04.

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5
282016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

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5
292016A New Index of Housing Sentiment. (2016). Pedersen, Thomas ; Bork, Lasse ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-32.

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5
302014Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: CREATES Research Papers. RePEc:aah:create:2014-29.

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5
312010Likelihood inference for a fractionally cointegrated vector autoregressive model. (2010). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2010-24.

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4
322012Modelling electricity day–ahead prices by multivariate Lévy semistationary processes. (2012). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13.

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4
332007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

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4
342008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

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4
352011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

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4
362008Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508. (2008). Kristensen, Johannes ; Dahl, Christian ; Bache, Stefan ; Tang, Johannes. In: CREATES Research Papers. RePEc:aah:create:2008-20.

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4
372011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

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4
382008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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4
392008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

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4
402014Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels. (2014). Christoffersen, Peter ; Babaoglu, Kadir ; Jacobs, Kris ; Heston, Steven L ; Babaoglou, Kadir G. In: CREATES Research Papers. RePEc:aah:create:2015-55.

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4
412009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

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3
422009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17.

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3
432014A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23.

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442016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar. In: CREATES Research Papers. RePEc:aah:create:2016-08.

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452014Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-07.

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462017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2017-26.

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472012Housing price forecastability: A factor analysis. (2012). Møller, Stig ; Bork, Lasse ; Moller, Stig V.. In: CREATES Research Papers. RePEc:aah:create:2012-27.

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482012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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492016Volume, Volatility and Public News Announcements. (2016). Xue, Yuan ; Li, Jia. In: CREATES Research Papers. RePEc:aah:create:2016-19.

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502007Correlation, regression, and cointegration of nonstationary economic time series. (2007). Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2007-35.

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Citing documents used to compute impact factor: 33
YearTitle
2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

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2018Testing for cointegration in I(1) state space systems via a finite order approximation. (2018). Franchi, Massimo. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:73-76.

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2018Issues in the estimation of mis-specified models of fractionally integrated processes. (2018). Poskitt, Donald ; Nadarajah, K ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-18.

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2018The influence of renewables on electricity price forecasting: a robust approach. (2018). Grossi, Luigi ; Nan, Fany . In: Working Papers. RePEc:ieb:wpaper:doc2018-10.

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2018Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36.

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2018Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Testing moment inequalities: Selection versus recentering. (2018). Allen, Roy. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:124-126.

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2018
2018Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201866.

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2018Time-Varying Impact of Uncertainty Shocks on the US Housing Market. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: Working Papers. RePEc:pre:wpaper:201870.

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2018Can Monetary Policy Lean against Housing Bubbles?. (2018). GUPTA, RANGAN ; Caraiani, Petre ; Calin, Adrian Cantemir ; André, Christophe ; Andre, Christophe. In: Working Papers. RePEc:pre:wpaper:201877.

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2018Estimation of the linear fractional stable motion. (2018). Mazur, Stepan ; Podolskij, Mark ; Otryakhin, Dmitry. In: Working Papers. RePEc:hhs:oruesi:2018_003.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2018Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Ranaldo, Angelo ; de Magistris, Paolo Santucci. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23.

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2018Market timing over the business cycle. (2018). Sander, Magnus . In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2018Analyzing the Risks Embedded in Option Prices with rndfittool. (2018). Barletta, Andrea ; de Magistris, Paolo Santucci. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:28-:d:138299.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2018On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Alos, Elisa ; Muguruza, Aitor ; Garc, David. In: Papers. RePEc:arx:papers:1808.03610.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2018Capital Income Risk and the Dynamics of the Wealth Distribution. (2018). Wälde, Klaus ; Walde, Klaus ; Khieu, Hoang. In: IZA Discussion Papers. RePEc:iza:izadps:dp11840.

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2018Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Giannellis, Nikolaos ; Koukouritakis, Minoas. In: Working Papers. RePEc:crt:wpaper:1806.

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2018Stocks and Bonds: Flight-to-Safety for Ever?. (2018). Tokpavi, Sessi ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-39.

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2018Fundamental factors and extrapolation in stock-market expectations: The central role of structural change. (2018). Stillwagon, Josh ; Frydman, Roman . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:148:y:2018:i:c:p:189-198.

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2018Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity. (2018). Lutkepohl, Helmut ; Wo, Tomasz. In: Papers. RePEc:arx:papers:1811.08167.

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2018How do shocks to bank capital affect lending and growth?. (2018). Tolo, Eero ; Miettinen, Paavo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025.

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Recent citations
Recent citations received in 2018

YearCiting document
2018Unintended Impacts from Forest Certification: Evidence from Indigenous Aka Households in Congo. (2018). Doremus, Jacqueline . In: Working Papers. RePEc:cpl:wpaper:1804.

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2018Impact and spill-over effects of an asset transfer program on child undernutrition: Evidence from a randomized control trial in Bangladesh. (2018). Raza, Wameq ; van Ourti, Tom ; van De, Ellen. In: Journal of Health Economics. RePEc:eee:jhecon:v:62:y:2018:i:c:p:105-120.

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Recent citations received in 2017

YearCiting document
2017A Review on efficient thermal management of air- and liquid-cooled data centers: From chip to the cooling system. (2017). Halgamuge, Saman K ; Khalaj, Ali Habibi. In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:1165-1188.

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2017Bonferroni-based size-correction for nonstandard testing problems. (2017). McCloskey, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:17-35.

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2017Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032.

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2017Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach. (2017). Moll, Benjamin ; Lions, Pierre-Louis ; Lasry, Jean-Michel ; Han, Jiequn ; Achdou, Yves. In: NBER Working Papers. RePEc:nbr:nberwo:23732.

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Recent citations received in 2016

YearCiting document
2016The Local Fractional Bootstrap. (2016). Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-15.

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2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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Recent citations received in 2015

YearCiting document
2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Hillebrand, Eric ; Boldrini, Lorenzo . In: CREATES Research Papers. RePEc:aah:create:2015-39.

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2015Rough electricity: a new fractal multi-factor model of electricity spot prices. (2015). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-42.

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2015Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach. (2015). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2015-50.

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2015A weak limit theorem for numerical approximation of Brownian semi-stationary processes. (2015). Thamrongrat, Nopporn ; Podolskij, Mark. In: CREATES Research Papers. RePEc:aah:create:2015-53.

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2015On critical cases in limit theory for stationary increments Lévy driven moving averages. (2015). Podolskij, Mark ; Basse, Andreas . In: CREATES Research Papers. RePEc:aah:create:2015-57.

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2015Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2015-58.

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2015Disaster Risk and Preference Shifts in a New Keynesian Model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: Working Papers. RePEc:cii:cepidt:2015-16.

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2015Economic policy uncertainty and stock market volatility. (2015). Liu, LI ; Zhang, Tao. In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:99-105.

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2015Testing for a housing bubble at the national and regional level: the case of Israel. (2015). Caspi, Itamar. In: Globalization Institute Working Papers. RePEc:fip:feddgw:246.

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2015Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach. (2015). Natvik, Gisle ; Lansing, Kevin ; Gelain, Paolo. In: Working Paper Series. RePEc:fip:fedfwp:2015-02.

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2015Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy. (2015). Joyeux, Roselyne. In: Working Papers. RePEc:hkm:wpaper:222015.

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2015Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15.

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2015Disaster risk and preference shifts in a New Keynesian model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: MPRA Paper. RePEc:pra:mprapa:65643.

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2015Real oil prices and the international sign predictability of stock returns. (2015). Pönkä, Harri. In: MPRA Paper. RePEc:pra:mprapa:68330.

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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150076.

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2015TESTING FOR BUBBLES IN THE HOUSING MARKET: FURTHER EVIDENCE FROM TURKEY. (2015). Zeren, Feyyaz ; ERGuZEL, Oylum ehvez . In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:19:y:2015:i:1:p:40-52.

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