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Journal of Financial Econometrics / Society for Financial Econometrics


1.26

Impact Factor

1.27

5-Years IF

38

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
19940.11000 (%)0.04
19950.19000 (%)0.07
19960.22000 (%)0.09
19970.26000 (%)0.09
19980.27000 (%)0.1
19990.310200 (%)0.13
20000.380100 (%)0.15
20010.38000 (%)0.14
20020.40700 (%)0.17
20030.421919100.53321003 (%)50.260.18
20040.740.470.742443471.091317191419146 (%)200.830.19
20051.190.511.192770841.2711435143513 (%)90.330.2
20061.670.51.6724941591.6916595185701177 (%)271.130.19
20071.920.441.77101041851.782365198941662 (%)50.50.17
20082.880.472.5211252822.2634434981042601 (%)20.10.19
20091.520.492.79241493602.4280031471062966 (%)200.830.19
20101.20.462.14331823351.842624554106227 (%)90.270.16
20111.30.482.22232054472.1831857741122492 (%)170.740.19
20121.160.511.65292344822.061785665111183 (%)90.310.19
20131.270.581.76232576352.4724352661302291 (%)150.650.2
20141.290.581.95262837452.63905267132257 (%)40.150.19
20151.120.591.13343177192.272024955134151 (%)230.680.19
20161.220.631.42333508172.331486073135192 (%)160.480.19
20171.420.661.32293797451.97136795145192 (%)0.2
20181.260.91.27244037161.7866278145184 (%)60.250.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

579
22009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

557
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

493
42006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

352
52005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

259
62006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

192
72004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

166
82004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

147
92006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

133
102005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

114
112004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

112
122004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

103
132007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

99
142009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

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89
152004Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

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83
162006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

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82
172003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

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69
182010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

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66
192006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

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66
202007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104.

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63
212004Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

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61
222006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

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60
232004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

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57
242009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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56
252006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670.

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55
262005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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54
272008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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52
282008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

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51
292003Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54.

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43
302011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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43
312005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

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43
322008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

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42
332006Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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42
342003Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188.

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40
352012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

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39
362010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

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39
372003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470.

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39
382004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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38
392013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

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38
402008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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37
412012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

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36
422005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). Oomen, Roel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577.

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35
432011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

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34
442011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

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34
452016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127..

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33
462005A Test for Symmetry with Leptokurtic Financial Data. (2005). Premaratne, Gamini. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187.

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33
472015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

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32
482010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449.

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30
492005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255.

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30
502005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168.

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29

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


#YearTitleCited
12009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

190
22006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

137
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

114
42006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

72
52005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

57
62006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

40
72006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

32
82004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

27
92004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

26
102016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127..

Full description at Econpapers || Download paper

23
112010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

Full description at Econpapers || Download paper

22
122004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

21
132009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

20
142016On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802..

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19
152006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

Full description at Econpapers || Download paper

19
162015Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259..

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19
172005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

18
182007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

18
192004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

17
202016Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352..

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17
212013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

Full description at Econpapers || Download paper

17
222008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

Full description at Econpapers || Download paper

15
232011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

Full description at Econpapers || Download paper

14
242015Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721..

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14
252015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

Full description at Econpapers || Download paper

14
262012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

Full description at Econpapers || Download paper

13
272014The Price Impact of Order Book Events. (2014). Cont, Rama ; Stoikov, Sasha ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88..

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13
282006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

Full description at Econpapers || Download paper

13
292012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

Full description at Econpapers || Download paper

12
302016Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns. (2016). Burnside, Craig. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:295-330..

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12
312006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

Full description at Econpapers || Download paper

11
322015Asset Pricing with a General Multifactor Structure. (2015). Bai, Jushan ; Ando, Tomohiro. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:556-604..

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10
332013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

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10
342008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

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10
352008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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362016Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification. (2016). Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:3:p:617-642..

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9
372004Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

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382012Asymptotic Theory of Range-Based Multipower Variation. (2012). Christensen, Kim ; Podolskij, Mark. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:417-456.

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392009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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402013Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Caporin, Massimiliano ; Kasch, Maria . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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9
412005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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9
422012Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test. (2012). Wong, Wing-Keung ; Zitikis, Ricardas ; Bai, Zhidong ; Hui, Yongchang. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:4:p:703-732.

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432016Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667..

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9
442003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

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452009CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation. (2009). Broda, Simon ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:412-436.

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8
462010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449.

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8
472008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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8
482013Modeling Realized Covariances and Returns. (2013). Maheu, John ; Jin, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369.

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8
492011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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8
502004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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7

Citing documents used to compute impact factor 78:


YearTitle
2018Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186.

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2018Pythagorean generalization of testing the equality of two symmetric positive definite matrices. (2018). Phillips, Peter ; Cho, Jin Seo ; PEter, . In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:45-56.

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2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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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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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2018-02.

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2018Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors. (2018). Jensen, Mark ; Fisher, Mark . In: Working Paper series. RePEc:rim:rimwps:18-12.

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2018Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (2018). Gallant, Ronald A ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:140-155.

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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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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2018Change Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models. (2018). Barassi, Marco ; Zhao, Yuqian ; Horvath, Lajos. In: MPRA Paper. RePEc:pra:mprapa:87837.

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2018A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125.

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2018Networks in risk spillovers: A multivariate GARCH perspective. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Frattarolo, Lorenzo. In: SAFE Working Paper Series. RePEc:zbw:safewp:225.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018Global Factors in the Term Structure of Interest Rates. (2018). Moreno, Antonio ; Abbritti, Mirko ; Sola, Sergio ; DellErba, Salvatore . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2018:q:1:a:7.

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2018Volatility Spillovers in a Long-Memory VAR: an Application to Energy Futures Returns. (2018). Lovcha, Yuliya ; Laborda, alex Perez . In: Working Papers. RePEc:urv:wpaper:2072/307362.

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2018Monetary policy shocks, inflation persistence, and long memory. (2018). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:117-127.

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2018How do Stocks in BRICS co-move with REITs?. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis. In: MPRA Paper. RePEc:pra:mprapa:88753.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2018Market efficiency of Baltic stock markets: A fractional integration approach. (2018). YAYA, OLAOLUWA ; GUPTA, RANGAN ; Gil-Alana, Luis ; Shittu, Olanrewaju I. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:251-262.

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2018Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90516.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Suleman, Tahir ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Pierdzioch, Christian. In: Working Papers. RePEc:pre:wpaper:201879.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2018Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models. (2018). Windmeijer, Frank. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:18/696.

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2018Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?. (2018). Fletcher, Jonathan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:114-129.

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2018Testing the fractionally integrated hypothesis using M estimation: With an application to stock market volatility. (2018). Rodrigues, Paulo ; Demetrescu, Matei ; Rubia, Antonio. In: Working Papers. RePEc:ptu:wpaper:w201817.

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2018Macroeconomics determinants of the correlation between stocks and bonds. (2018). Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1198_18.

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2018Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach. (2018). Xu, Qifa ; Yuan, Jing ; Jiang, Cuixia ; Chen, LU. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:51:y:2018:i:c:p:13-31.

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2018The role of investor sentiment in the long-term correlation between U.S. stock and bond markets. (2018). Fang, Libing ; Huang, Yingbo ; Yu, Honghai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:127-139.

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2018Integrated Deviance Information Criterion for Latent Variable Models. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_006.

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2018High-frequency Cash Flow Dynamics. (2018). Pettenuzzo, Davide ; Timmermann, Allan ; Sabbatucci, Riccardo. In: Working Papers. RePEc:brd:wpaper:120.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2018THE TIME-VARYING ASYMMETRY OF EXCHANGE RATE RETURNS: A STOCHASTIC VOLATILITY – STOCHASTIC SKEWNESS MODEL. (2018). Iseringhausen, Martin. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:18/944.

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2018Large Shocks and the Business Cycle: The Effect of Outlier Adjustments. (2018). Ohtsuka, Yoshihiro. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:14:y:2018:i:1:d:10.1007_s41549-018-0027-z.

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2018Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility. (2018). Chan, Joshua ; Koop, Gary ; Hou, Chenghan ; Eisenstat, Eric. In: Working Paper Series. RePEc:uts:ecowps:44.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0062.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Bertsche, Dominik ; Braun, Robin. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631.

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2018Comments on: Some recent work on multivariate Gaussian Markov random fields. (2018). Greco, Fedele ; Trivisano, Carlo. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:3:d:10.1007_s11749-018-0607-1.

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2018Identifying shocks via time-varying volatility. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:871.

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2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

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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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2018
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana. In: Working Papers. RePEc:mib:wpaper:382.

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2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly. (2018). Wolf, Michael ; Ledoit, Olivier ; de Nard, Gianluca. In: ECON - Working Papers. RePEc:zur:econwp:290.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2018Weak comonotonicity. (2018). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1812.04827.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2018Risk Factor Exposure Variation and Mutual Fund Performance. (2018). Ammann, Manuel ; Weigert, Florian ; Fischer, Sebastian. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:17.

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2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

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2018Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1802.

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2018Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20937.

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2018Cross-category spillovers of economic policy uncertainty. (2018). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:744.

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2018Connectedness network and dependence structure mechanism in green investments. (2018). Lundgren, Amanda Ivarsson ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Milicevic, Adriana. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:145-153.

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2018Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets. (2018). Mensi, Walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed ; Boubaker, Ferihane Zaraa. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:230-238.

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2018The Double-Edged Sword of Global Integration: Robustness, Fragility \& Contagion in the International Firm Network. (2018). Grant, Everett. In: 2018 Meeting Papers. RePEc:red:sed018:506.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2018Fear connectedness among asset classes. (2018). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:39:p:4234-4249.

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2018Dynamic Connectedness of International Crude Oil Prices: The Diebold–Yilmaz Approach. (2018). Xiao, Xiaoyong ; Huang, Jing. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3298-:d:169990.

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2018Cross-category, trans-Pacific spillovers of policy uncertainty and financial market volatility. (2018). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:782.

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2018Volatility spillover in seafood markets. (2018). Jonsson, Erlendur ; Dahl, Roy Endre . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:44-59.

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2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030.

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2018Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202.

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2018An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052.

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Recent citations (cites in year: CiY)


Recent citations received in 2018

YearCiting document
2018Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76.

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2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20.

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2018Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202.

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2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030.

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2018Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. (2018). Trapin, Luca ; Bee, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:45-:d:142858.

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2018The role of supervised learning in the decision process to fair trade US municipal debt. (2018). Dash, Gordon H ; Vonella, Domenic ; Kajiji, Nina . In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0079-2.

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Recent citations received in 2017

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Recent citations received in 2016

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

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2016Comovements and Volatility Spillover in Commodity Markets. (2016). Wu, Ximing ; Chen, Sihong . In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts. RePEc:ags:aaea16:235686.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1612.08488.

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

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

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

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Nucera, Federico ; Lucas, Andre ; Koopman, Siem Jan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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

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2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices. (2016). Awartani, Basel ; Aktham, Maghyereh ; Cherif, Guermat . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:56-69.

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

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2016Credit Constraints, Growth and Inequality Dynamics. (2016). GUPTA, RANGAN ; Getachew, Yoseph ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI. In: Working Papers. RePEc:pre:wpaper:201672.

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2016Does final energy demand in Portugal exhibit long memory? A fractional integration analysis. (2016). Pereira, Alfredo ; Belbute, José. In: Portuguese Economic Journal. RePEc:spr:portec:v:15:y:2016:i:2:d:10.1007_s10258-016-0118-5.

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

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2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR). (2016). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2016:20.

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Recent citations received in 2015

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

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

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

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2015Approximate Bayesian Computation for a Class of Time Series Models. (2015). Jasra, Ajay. In: International Statistical Review. RePEc:bla:istatr:v:83:y:2015:i:3:p:405-435.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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