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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
11
Impact Factor
0.33
5 Years IF
0.64
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 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.04
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.07
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1997 0 0.26 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.1
1999 0 0.31 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.38 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.39 0 0 0 0 0 0 0 0 0 0 0.14
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.17
2003 0 0.42 0 0 0 0 0 0 0 0 0 0 0.18
2004 0 0.47 0 0 0 0 0 0 0 0 0 0 0.19
2005 0 0.51 0 0 0 0 0 0 0 0 0 0 0.2
2006 0 0.5 0 0 0 0 0 0 0 0 0 0 0.2
2007 0 0.44 0 0 0 0 0 0 0 0 0 0 0.17
2008 0 0.47 0 0 0 0 0 0 0 0 0 0 0.19
2009 0 0.49 0 0 0 0 0 0 0 0 0 0 0.19
2010 0 0.46 0 0 0 0 0 0 0 0 0 0 0.16
2011 0 0.48 0 0 0 0 0 0 0 0 0 0 0.19
2012 0 0.51 0 0 0 0 0 0 0 0 0 0 0.19
2013 0 0.58 0.15 0 13 13 141 2 2 0 0 1 50 2 0.15 0.2
2014 1.85 0.58 1.28 1.85 12 25 208 32 34 13 24 13 24 1 3.1 8 0.67 0.19
2015 1.76 0.59 1.01 1.76 46 71 105 71 106 25 44 25 44 5 7 13 0.28 0.19
2016 1.48 0.64 0.96 1.62 87 158 57 150 258 58 86 71 115 17 11.3 18 0.21 0.19
2017 0.34 0.66 0.89 0.77 54 212 74 189 447 133 45 158 121 15 7.9 24 0.44 0.2
2018 0.33 0.89 0.72 0.64 48 260 29 188 635 141 47 212 135 11 5.9 17 0.35 0.29
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
12014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585.

Full description at Econpapers || Download paper

86
22014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414.

Full description at Econpapers || Download paper

72
32014The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830.

Full description at Econpapers || Download paper

68
42013Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620.

Full description at Econpapers || Download paper

54
52013Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450.

Full description at Econpapers || Download paper

38
62015Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166.

Full description at Econpapers || Download paper

38
72017A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545.

Full description at Econpapers || Download paper

23
82013Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001.

Full description at Econpapers || Download paper

15
92013Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522.

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14
102018Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033.

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12
112013Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659.

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11
122015On the Interpretation of Instrumental Variables in the Presence of Specification Errors. (2015). Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:55-64:d:45286.

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10
132014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

Full description at Econpapers || Download paper

10
142015Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534.

Full description at Econpapers || Download paper

8
152015A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676.

Full description at Econpapers || Download paper

7
162014Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391.

Full description at Econpapers || Download paper

7
172017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

Full description at Econpapers || Download paper

6
182017Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610.

Full description at Econpapers || Download paper

6
192016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

Full description at Econpapers || Download paper

6
202016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992.

Full description at Econpapers || Download paper

6
212016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

6
222015On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584.

Full description at Econpapers || Download paper

5
232016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253.

Full description at Econpapers || Download paper

5
242013Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621.

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5
252016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253.

Full description at Econpapers || Download paper

5
262014Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027.

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5
272016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

Full description at Econpapers || Download paper

5
282016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

Full description at Econpapers || Download paper

5
292016Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Peng, Bin ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088.

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5
302015Bayesian Approach to Disentangling Technical and Environmental Productivity. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:443-465:d:51249.

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5
312018Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315.

Full description at Econpapers || Download paper

4
322016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65689.

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4
332016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219.

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4
342016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65219.

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4
352015Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang ; ChristopherF. Parmeter, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581.

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4
362016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219.

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4
372016A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Hall, Stephen G ; Mehta, Jatinder S ; Greene, William H ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559.

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4
382016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689.

Full description at Econpapers || Download paper

4
392016A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559.

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4
402017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

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4
412016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689.

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4
422016Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730.

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4
432017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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4
442015Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:65-90:d:45287.

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3
452015Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:376-411:d:49974.

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3
462015Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States. (2015). Mohammadi, Hassan ; Tan, Yuting . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668.

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3
472017Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266.

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3
482016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492.

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3
492013Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging. (2013). Sueishi, Naoya. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:141-156:d:26900.

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3
502015New Graphical Methods and Test Statistics for Testing Composite Normality. (2015). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:532-560:d:52631.

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3
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585.

Full description at Econpapers || Download paper

50
22014The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830.

Full description at Econpapers || Download paper

48
32014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414.

Full description at Econpapers || Download paper

34
42013Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450.

Full description at Econpapers || Download paper

23
52013Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620.

Full description at Econpapers || Download paper

22
62017A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545.

Full description at Econpapers || Download paper

21
72015Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166.

Full description at Econpapers || Download paper

14
82018Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033.

Full description at Econpapers || Download paper

12
92015A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676.

Full description at Econpapers || Download paper

6
102017Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610.

Full description at Econpapers || Download paper

6
112014Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391.

Full description at Econpapers || Download paper

6
122013Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001.

Full description at Econpapers || Download paper

6
132017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

Full description at Econpapers || Download paper

6
142016Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Peng, Bin ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088.

Full description at Econpapers || Download paper

5
152015On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584.

Full description at Econpapers || Download paper

5
162016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992.

Full description at Econpapers || Download paper

5
172016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

Full description at Econpapers || Download paper

5
182015Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534.

Full description at Econpapers || Download paper

5
192016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

5
202016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

Full description at Econpapers || Download paper

5
212016Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730.

Full description at Econpapers || Download paper

4
222016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253.

Full description at Econpapers || Download paper

4
232017Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597.

Full description at Econpapers || Download paper

4
242016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689.

Full description at Econpapers || Download paper

4
252017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

Full description at Econpapers || Download paper

4
262018Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315.

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4
272016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689.

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4
282013Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659.

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292016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

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4
302016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65689.

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4
312015Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang ; ChristopherF. Parmeter, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581.

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4
322016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253.

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4
332014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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342016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492.

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352016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219.

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3
362015New Graphical Methods and Test Statistics for Testing Composite Normality. (2015). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:532-560:d:52631.

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372016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219.

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382018On the Stock–Yogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher L. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573.

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392016Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492.

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3
402013Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621.

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3
412017Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266.

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422016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65219.

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3
432016A Conditional Approach to Panel Data Models with Common Shocks. (2016). Forchini, Giovanni ; Peng, Bin. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:62057.

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2
442016A Conditional Approach to Panel Data Models with Common Shocks. (2016). Forchini, Giovanni ; Peng, Bin. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:4-:d:62057.

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2
452018Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis. (2018). Zelli, Roberto ; Thomas, Jasmin ; Pittau, M. Grazia ; Anderson, Gordon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:15-:d:137411.

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2
462017Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting. (2017). Schamberger, Benedikt ; Czado, Claudia ; Gruber, Lutz F. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:21-:d:99406.

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2
472015Bayesian Approach to Disentangling Technical and Environmental Productivity. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:443-465:d:51249.

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2
482015Entropy Maximization as a Basis for Information Recovery in Dynamic Economic Behavioral Systems. (2015). Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:91-100:d:46012.

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2
492016A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559.

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2
502016Spatial Econometrics: A Rapidly Evolving Discipline. (2016). Arbia, Giuseppe. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:18-:d:65205.

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Citing documents used to compute impact factor: 47
YearTitle
2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2018Interval Estimation of Value-at-Risk Based on Nonparametric Models. (2018). Khraibani, Hussein ; Strauss, Olivier ; Nehme, Bilal. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:47-:d:189422.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Impact of climate on firm value: Evidence from the electric power industry in Brazil. (2018). Lucas, Edimilson Costa ; Mendes-Da, Wesley. In: Energy. RePEc:eee:energy:v:153:y:2018:i:c:p:359-368.

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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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2018The impact of macroeconomic uncertainty on inequality: An empirical study for the UK. (2018). Theophilopoulou, Angeliki. In: MPRA Paper. RePEc:pra:mprapa:90448.

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2018The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions. (2018). Gómez-Fernández, Nerea ; Fernandez, Nerea Gomez ; Albert, Juan-Francisco. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90402.

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2018A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade. (2018). Patuelli, Roberto ; Metulini, Rodolfo ; Griffith, Daniel A. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:9-:d:132749.

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2018Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. (2018). McAleer, Michael ; Allen, David ; Peiris, Shelton ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1822.

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2018Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Pradhan, Ashis Kumar ; Cekin, Semih Emre. In: Working Papers. RePEc:pre:wpaper:201867.

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2018Econometrics Best Paper Award 2018. (2018). Racine, Jeffrey ; Choi, In ; Paolella, Marc S ; Cook, Steve. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:38-:d:164518.

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2018Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240.

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2018Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems. (2018). Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:46-:d:187923.

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2018
2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2018Spatial panel data models with structural change. (2018). Li, Kunpeng. In: MPRA Paper. RePEc:pra:mprapa:85388.

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2018Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018.

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2018Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180011.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130.

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2018Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. (2018). Toyoshima, Yuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280.

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2018On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets. (2018). Candila, Vincenzo ; Farace, Salvatore . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:116-:d:174522.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499.

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2018Modelling the Relationship between Crude Oil and Agricultural Commodity Prices. (2018). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115608.

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2018Modeling Euro STOXX 50 Volatility with Common and Market–specific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26.

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2018Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105.

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2018The time delay restraining the herd behavior with Bayesian approach. (2018). Zhong, Guang-Yan ; Tao, Hui-Ming ; Li, Hai-Feng ; Jiang, George J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:335-346.

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2018Variational Inference for high dimensional structured factor copulas. (2018). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27652.

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2018Banking net income and macroeconomics, from multicollinearity to Granger causality using US data. (2018). Szybisz, Martin Andres . In: MPRA Paper. RePEc:pra:mprapa:90473.

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2018Forecasting banking crises with dynamic panel probit models. (2018). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, António ; Monteiro, Nuno . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:249-275.

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2018Econometric Analysis of Productivity: Theory and Implementation in R. (2018). Zelenyuk, Valentin ; Song, Wonho ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:18-008.

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2018Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence. (2018). Kim, Jae H ; Ji, Philip Inyeob ; Ahmed, Kamran. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:4:p:524-546.

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2018Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach. (2018). Cobb, Marcus. In: MPRA Paper. RePEc:pra:mprapa:88593.

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2018Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?. (2018). Rajaguru, Gulasekaran ; Abeysinghe, Tilak ; ONeill, Michael. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:31-:d:152860.

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2018A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles. (2018). Higgins, Matthew L ; Ofori-Acheampong, Frank. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:4:p:1-14.

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2018Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430.

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2018The Augmented Synthetic Control Method. (2018). Ben-Michael, Eli ; Rothstein, Jesse ; Feller, Avi. In: Papers. RePEc:arx:papers:1811.04170.

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2018
2018Environmental Regulation Stringency and U.S. Agriculture. (2018). Galinato, Gregmar ; Skolrud, T ; Abayateye, F. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277138.

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2018The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach. (2018). Shahbaz, Muhammad ; Kumar, Mantu ; Syed, Jawad ; Zakaria, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:84920.

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2018The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Mahalik, Mantu ; Hussain, Syed Jawad ; Zakaria, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:282-301.

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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 Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Juodis, Arturas ; Reese, Simon. In: Papers. RePEc:arx:papers:1810.03715.

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2018Growth of industrial CO2 emissions in Shanghai city: Evidence from a dynamic vector autoregression analysis. (2018). Lin, Boqiang ; Xu, Bin. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:167-177.

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2018China’s Contributions to Global Green Energy and Low-Carbon Development: Empirical Evidence under the Belt and Road Framework. (2018). Li, Hongze ; Yu, Xinhua. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1527-:d:152099.

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2018Do high-speed railways lead to urban economic growth in China? A panel data study of China’s cities. (2018). Li, Hongchang ; Lui, LU ; Shunxiang, HU ; Strauss, Jack. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:70-89.

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Recent citations
Recent citations received in 2018

YearCiting document
2018The distortion principle for insurance pricing: properties, identification and robustness. (2018). Escobar, Daniela ; Pflug, Georg. In: Papers. RePEc:arx:papers:1809.06592.

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2018Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models. (2018). Rossi, Barbara ; Ganics, Gergely ; Inoue, Atsushi. In: Working Papers. RePEc:bge:wpaper:1077.

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2018Does Early Child Care Affect Childrens Development?. (2018). Felfe, Christina ; Lalive, Rafael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12675.

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2018The Effect of Self-Employment on Income Inequality. (2018). Schneck, Stefan. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp999.

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2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

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2018Decomposition of changes in the consumption of macronutrients in Vietnam between 2004 and 2014. (2018). Thi, Huong Trinh ; Thomas-Agnan, Christine ; Simioni, Michel. In: Economics & Human Biology. RePEc:eee:ehbiol:v:31:y:2018:i:c:p:259-275.

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2018Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model. (2018). Yan, Karen X ; Li, QI. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:44-:d:161849.

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2018Evaluating the Interconnectedness of the Sustainable Development Goals Based on the Causality Analysis of Sustainability Indicators. (2018). Dorg, Gyula ; Abonyi, Janos ; Sebestyen, Viktor. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3766-:d:176658.

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2018The network of migrants and international trade. (2018). Sgrignoli, Paolo ; Schiavo, Stefano ; Riccaboni, Massimo ; Metulini, Rodolfo. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:35:y:2018:i:3:d:10.1007_s40888-018-0106-6.

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2018The role of employment interruptions and part-time work for the rise in wage inequality. (2018). Biewen, Martin ; de Lazzer, Jakob ; Fitzenberger, Bernd. In: IZA Journal of Labor Economics. RePEc:spr:izalbr:v:7:y:2018:i:1:d:10.1186_s40172-018-0070-y.

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2018The anatomy of job polarisation in the UK. (2018). Salvatori, Andrea. In: Journal for Labour Market Research. RePEc:spr:jlabrs:v:52:y:2018:i:1:d:10.1186_s12651-018-0242-z.

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2018Confidence intervals for bias and size distortion in IV and local projections–IV models. (2018). Rossi, Barbara ; Ganics, Gergely ; Inoue, Atsushi. In: Economics Working Papers. RePEc:upf:upfgen:1640.

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2018The Effect of Self-Employment on Income Inequality. (2018). Schneck, Stefan. In: GLO Discussion Paper Series. RePEc:zbw:glodps:281.

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2018The effect of self-employment on income inequality. (2018). Schneck, Stefan. In: Working Papers. RePEc:zbw:ifmwps:0518.

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Recent citations received in 2017

YearCiting document
2017Bank Size, Returns to Scale and Cost Efficiency. (2017). Sapci, Ayse ; Miles, Bradley . In: Working Papers. RePEc:cgt:wpaper:2017-02.

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2017CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS. (2017). Jaworski, Piotr ; LIBERADZKI, MARCIN . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68.

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2017The Economic Consequences of the Brexit Vote. (2017). Sedlacek, Petr ; Müller, Gernot ; Born, Benjamin ; Schularick, Moritz ; Muller, Gernot. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12454.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2017Fiscal sustainability in EMU countries: A continued fiscal commitment?. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:85-97.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331.

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2017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761.

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2017Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. (2017). Paruolo, Paolo ; Boswijk, H. Peter. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006.

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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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2017Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536.

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2017An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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2017Synthetic data: an endogeneity simulation. (2017). Carbajal De Nova, Carolina. In: MPRA Paper. RePEc:pra:mprapa:79067.

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2017Synthetic data: an endogeneity simulation. (2017). Carbajal De Nova, Carolina. In: MPRA Paper. RePEc:pra:mprapa:79158.

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2017Two Criteria for Good Measurements in Research: Validity and Reliability. (2017). Mohajan, Haradhan. In: MPRA Paper. RePEc:pra:mprapa:83458.

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2017TWO CRITERIA FOR GOOD MEASUREMENTS IN RESEARCH: VALIDITY AND RELIABILITY. (2017). Mohajan, Haradhan. In: Annals of Spiru Haret University, Economic Series. RePEc:ris:sphecs:0276.

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2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038.

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2017Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051.

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2017Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170082.

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2017Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1715.

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2017RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE. (2017). Malik, Muhammad Irfan ; Rashid, Abdul. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500075.

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Recent citations received in 2016

YearCiting document
2016Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2016). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Working Papers. RePEc:bog:wpaper:214.

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2016Accounting for Urban-Rural Real Food Expenditure Differentials in Cameroon: A Quantile Regression-Based Decomposition. (2016). Wirba, Ebenezer Lemven ; Baye, Francis Menjo. In: EuroEconomica. RePEc:dug:journl:y:2016:i:2:p:61-77.

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2016The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36.

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2016Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231.

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2016Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160.

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2016Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis*. (2016). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Discussion Papers in Economics. RePEc:lec:leecon:16/18.

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2016Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data. (2016). Degiannakis, Stavros ; Potamia, Artemis . In: MPRA Paper. RePEc:pra:mprapa:74670.

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2016Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160099.

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Recent citations received in 2015

YearCiting document
2015Financial sector and output dynamics in the euro area: Non-linearities reconsidered. (2015). Semmler, Willi ; Schleer, Frauke. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:235-263.

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2015Improved inferences for spatial regression models. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:55:y:2015:i:c:p:55-67.

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2015Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1152.

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2015Is Benford’s Law a Universal Behavioral Theory?. (2015). Villas-Boas, Sofia ; Judge, George ; Fu, Qiuzi. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:698-708:d:57619.

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2015How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). van Huellen, Sophie ; Qin, Duo ; Wang, Qing-Chao . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1-:d:61313.

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2015How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). Qin, Duo ; Wang, Qing-Chao ; van Huellen, Sophie. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1:d:61313.

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2015Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2015-003.

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2015Exploring the gender wage gap in the managerial labour market:a counterfactual decomposition analysis. (2015). scicchitano, sergio. In: Working Papers. RePEc:itt:wpaper:2015-2.

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2015Causal transmission in reduced-form models. (2015). Nielsen, Bent ; Bazinas, Vassili. In: Economics Papers. RePEc:nuf:econwp:1507.

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2015Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs. (2015). Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:750.

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2015A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of U.S. Banks in 2001-2010. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: MPRA Paper. RePEc:pra:mprapa:66490.

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2015Letís Take the Bias Out of Econometrics. (2015). Qin, Duo. In: Working Papers. RePEc:soa:wpaper:192.

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2015Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection. (2015). Pretis, Felix ; Kaufmann, Robert. In: Climatic Change. RePEc:spr:climat:v:131:y:2015:i:4:p:705-718.

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