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CREATES Research Papers / Department of Economics and Business Economics, Aarhus University


0.45

Impact Factor

0.38

5-Years IF

22

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.05
19920.11000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.1
19960.22000 (%)0.1
19970.220200 (%)0.09
19980.240100 (%)0.13
19990.30300 (%)0.15
20000.360100 (%)0.14
20010.360200 (%)0.17
20020.370800 (%)0.18
20030.390800 (%)0.19
20040.40800 (%)0.18
20050.430300 (%)0.2
20060.450800 (%)0.19
20070.384545280.629680056 (5.8%)140.310.17
20081.220.391.22651101080.984454555455556 (12.6%)300.460.17
20091.030.361.03601701660.9837811011311011340 (10.6%)240.40.17
20100.620.350.84742441710.72711257817014332 (11.8%)200.270.15
20110.630.40.92563002600.871381348524422414 (10.1%)130.230.19
20120.340.440.69563562480.72921304430020722 (7.5%)160.290.2
20130.630.490.58514072920.721611127031118022 (13.7%)120.240.2
20140.70.520.57634703370.721841077529716920 (10.9%)200.320.23
20150.570.520.55575273640.691061146530016416 (15.1%)150.260.23
20160.770.580.63335603840.6945120922831797 (15.6%)60.180.25
20170.510.610.62416013400.572690462601624 (15.4%)40.10.26
20180.450.690.38366372620.4114743324594 (%)20.060.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
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

442
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

321
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

105
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

97
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.

Full description at Econpapers || Download paper

42
102008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

34
112014Linearity 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

34
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.

Full description at Econpapers || Download paper

32
142010Realized 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
152008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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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
212007Estimation 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
222008Disagreement 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
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
252008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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20
262007Microstructure 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
272012Oracle 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
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
312010Forecasting 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
322007The 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
332010Estimation 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
342010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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16
352012Estimating 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
362015Understanding 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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15
372009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

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15
382008Estimation 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
392012Bootstrap 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
402009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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14
412008Parameterizing 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
422012Exponential 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
432008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

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13
442014Volatility 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
452008Expected 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
462015Identification 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
472012Modelling 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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13
482015Effects 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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13
492009Jump-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
502010Realized 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

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

111
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

85
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

44
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

30
52009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

18
62014Linearity 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

17
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
92013On 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.

Full description at Econpapers || Download paper

12
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
112015Understanding 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

11
122015Effects 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

10
132013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

9
142015Identification 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
152014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

Full description at Econpapers || Download paper

8
162018Fast 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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7
172015Hybrid 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
182014Discriminating 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
192014Specification, 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.

Full description at Econpapers || Download paper

6
202008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

6
212016Modeling 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
222012Bootstrap 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.

Full description at Econpapers || Download paper

6
232014Chasing 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
242009Estimating 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
252010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

Full description at Econpapers || Download paper

5
262016Forecasting 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
272007The 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.

Full description at Econpapers || Download paper

5
282017Panel 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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4
292011Forecasting 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
302014Option 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
312008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

Full description at Econpapers || Download paper

4
322007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

Full description at Econpapers || Download paper

4
332016A 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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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.

Full description at Econpapers || Download paper

4
352008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

4
362011International 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
372016Volume, Volatility and Public News Announcements. (2016). Xue, Yuan ; Li, Jia. In: CREATES Research Papers. RePEc:aah:create:2016-19.

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3
382016Data-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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3
392017Decoupling 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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3
402014A 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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3
412014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2014-13.

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3
422014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. (2014). Nyberg, Henri ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-17.

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3
432012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38.

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3
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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3
452007Correlation, regression, and cointegration of nonstationary economic time series. (2007). Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2007-35.

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3
462009Option 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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3
472016Inference in partially identified models with many moment inequalities using Lasso. (2016). Kock, Anders ; Caner, Mehmet ; Bugni, Federico ; Lahiri, Soumendra . In: CREATES Research Papers. RePEc:aah:create:2016-12.

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3
482010Likelihood 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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3
492016Semiparametric 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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3
502009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

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3

Citing documents used to compute impact factor 33:


YearTitle
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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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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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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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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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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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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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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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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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: 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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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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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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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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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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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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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
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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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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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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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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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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Recent citations (cites in year: CiY)


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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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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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 June, 4 2019. Contact: CitEc Team