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Econometrics and Statistics / Elsevier


0.43

Impact Factor

0.43

5-Years IF

3

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
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.04
19950.2000 (%)0.07
19960.23000 (%)0.09
19970.26000 (%)0.09
19980.28000 (%)0.1
19990.32000 (%)0.13
20000.39000 (%)0.15
20010.39000 (%)0.14
20020.4000 (%)0.17
20030.43000 (%)0.18
20040.48000 (%)0.19
20050.52000 (%)0.2
20060.51000 (%)0.2
20070.44000 (%)0.17
20080.48000 (%)0.2
20090.49000 (%)0.19
20100.47000 (%)0.17
20110.49000 (%)0.19
20120.52000 (%)0.19
20130.58000 (%)0.2
20140.6000 (%)0.2
20150.61000 (%)0.19
20160.680100 (%)0.2
20170.724242130.3131002 (6.5%)70.170.21
20180.430.940.434082270.331042184218 (%)90.230.31
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
12017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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5
22017Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Park, Byeong ; Oja, Hanny . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100.

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4
32017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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3
42017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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3
52018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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3
62018Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148.

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2
72017A distance test of normality for a wide class of stationary processes. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:50-60.

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2
82017Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149.

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2
92017Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200.

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2
102018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, J.. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

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1
112017Change point and trend analyses of annual expectile curves of tropical storms. (2017). Xiong, Q ; Burdejova, P ; Kokoszka, P ; Hardle, W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:101-117.

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1
122017Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98.

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1
132017Generalized empirical likelihood M testing for semiparametric models with time series data. (2017). Jacho-Chávez, David ; Chu, Ba ; Bravo, Francesco ; Chu, Ba M., ; Jacho-Chavez, David T. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:18-30.

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1
142018Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43.

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1
152017High-dimensional adaptive function-on-scalar regression. (2017). Fan, Zhaohu ; Reimherr, Matthew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:167-183.

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1
162017Evolutionary clustering for categorical data using parametric links among multinomial mixture models. (2017). Abul, M D ; Jacques, Julien ; Bonnevay, Stephane ; Velcin, Julien . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:141-159.

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1
172018Designating market maker behaviour in limit order book markets. (2018). Panayi, Efstathios ; Zigrand, Jean-Pierre ; Danielsson, Jon ; Peters, Gareth W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:20-44.

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1
182017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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1
192017Multinomial functional regression with wavelets and LASSO penalization. (2017). Mousavi, Seyed Nourollah ; Sorensen, Helle . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:150-166.

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1
202017A tractable, parsimonious and flexible model for cylindrical data, with applications. (2017). Abe, Toshihiro ; Ley, Christophe. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:91-104.

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1
212017Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data. (2017). Al-Sulami, Dawlah ; Zhu, Jun ; Lu, Zudi ; Jiang, Zhenyu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:22-35.

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1
222017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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1
232017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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1
242017Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22.

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1
252018Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82.

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1
262017On the consistency of bootstrap methods in separable Hilbert spaces. (2017). Gonzalez-Rodriguez, Gil ; Colubi, Ana . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:118-127.

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1
272017Non-identifiability of VMA and VARMA systems in the mixed frequency case. (2017). Koelbl, Lukas ; Brian, ; Deistler, Manfred. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:31-38.

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1
282018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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1
292017A mixture of SDB skew-t factor analyzers. (2017). Murray, Paula M ; McNicholas, Paul D ; Browne, Ryan P. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:160-168.

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1

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


#YearTitleCited
12017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

Full description at Econpapers || Download paper

5
22017Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Park, Byeong ; Oja, Hanny . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100.

Full description at Econpapers || Download paper

4
32017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

Full description at Econpapers || Download paper

3
42018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

Full description at Econpapers || Download paper

3
52017Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200.

Full description at Econpapers || Download paper

2
62018Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148.

Full description at Econpapers || Download paper

2
72017A distance test of normality for a wide class of stationary processes. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:50-60.

Full description at Econpapers || Download paper

2
82017Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 18:


YearTitle
2018The joint projected normal and skew-normal: A distribution for poly-cylindrical data. (2018). Mastrantonio, Gianluca. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:165:y:2018:i:c:p:14-26.

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2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies. (2018). Basturk, Nalan ; Van Dijk, Herman ; Hoogerheide, Lennart ; Grassi, Stefano ; Borowska, Agnieszka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180076.

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2018A BAYESIAN INFERENCE OF MULTIPLE STRUCTURAL BREAKS IN MEAN AND ERROR VARIANCE IN PANEL AR (1) MODEL. (2018). Kumar, Jitendra ; Shangodoyin, Dahud Kehinde ; Agiwal, Varun. In: Statistics in Transition New Series. RePEc:exl:29stat:v:19:y:2018:i:1:p:7-23.

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2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1729.

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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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2018Multivariate Stochastic Volatility Model with Realized Volatilities and Pairwise Realized Correlations. (2018). Yamauchi, Yuta ; Omori, Yasuhiro. In: Papers. RePEc:arx:papers:1809.09928.

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2018Nonparametric Forecasting of Multivariate Probability Density Functions. (2018). Iacopini, Matteo ; Guegan, Dominique. In: Working Papers. RePEc:ven:wpaper:2018:15.

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2018Optimal weighting schemes for longitudinal and functional data. (2018). Zhang, Xiaoke ; Wang, Jane-Ling. In: Statistics & Probability Letters. RePEc:eee:stapro:v:138:y:2018:i:c:p:165-170.

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2018On dimension reduction models for functional data. (2018). Vieu, Philippe. In: Statistics & Probability Letters. RePEc:eee:stapro:v:136:y:2018:i:c:p:134-138.

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2018A note on variable selection in functional regression via random subspace method. (2018). Smaga, Ukasz ; Matsui, Hidetoshi . In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-018-0421-7.

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2018Density estimation over spatio-temporal data streams. (2018). Amiri, Aboubacar ; Dabo-Niang, Sophie. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:148-170.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Model-based co-clustering for ordinal data. (2018). Jacques, Julien ; Biernacki, Christophe . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:101-115.

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2018Assessing Distributional Properties of Forecast Errors. (2018). Vavra, Marian. In: Working and Discussion Papers. RePEc:svk:wpaper:1056.

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2018Mixed frequency models with MA components. (2018). Marcellino, Massimiliano ; Stevanovi, Dalibor ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhihong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2018Comparative analysis of grey detrended fluctuation analysis methods based on empirical research on China’s interest rate market. (2018). He, Ling-Yun ; Jiang, Min ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:156-169.

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Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018On the Choice of Instruments in Mixed Frequency Specification Tests. (2018). Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:1809.05503.

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2018Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model. (2018). Roventini, Andrea ; Dosi, Giovanni ; Sapio, A ; Napoletano, M ; Lamperti, F. In: Ecological Economics. RePEc:eee:ecolec:v:150:y:2018:i:c:p:315-339.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2018Strike asymptotics for Laplace implied volatilities. (2018). Madan, Dilip B ; Wang, King. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:183-189.

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2018The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns. (2018). Su, Jung-Bin ; Hung, Jui-Cheng . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:133-:d:183478.

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2018Recent advances in financial networks and agent-based model validation. (2018). Napoletano, Mauro ; Hanaki, Nobuyuki ; Guerci, Eric. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-018-0221-z.

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2018Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890.

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2018On the estimation of behavioral macroeconomic models via simulated maximum likelihood. (2018). Kukacka, Jiri ; Sacht, Stephen ; Jang, Tae-Seok . In: Economics Working Papers. RePEc:zbw:cauewp:201811.

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2018Liquidity provider incentives in fragmented securities markets. (2018). Clapham, Benjamin ; Panz, Sven ; Lausen, Jens ; Gomber, Peter. In: SAFE Working Paper Series. RePEc:zbw:safewp:231.

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Recent citations received in 2017

YearCiting document
2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Prediction Bands for Functional Data Based on Depth Measures. (2017). Fernandez, Antonio Elias ; Jimenez, Raul Jose . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24606.

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2017Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Park, Byeong ; Oja, Hanny . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100.

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2017Identification of SVAR Models by Combining Sign Restrictions With External Instruments. (2017). Braun, Robin ; Bruggemann, Ralf . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1707.

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2017Automatic Signal Extraction for Stationary and Non-Stationary Time Series by Circulant SSA. (2017). Poncela, Pilar ; Bogalo, Juan ; Senra, Eva . In: MPRA Paper. RePEc:pra:mprapa:76023.

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

Full description at Econpapers || Download paper

2017Normality Tests for Dependent Data. (2017). Vavra, Marian ; Psaradakis, Zacharias. In: Working and Discussion Papers. RePEc:svk:wpaper:1053.

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10 most frequent citing series


#SeriesCites

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 1st 2019. Contact: CitEc Team