Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

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

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
24
Impact Factor
0.59
5 Years IF
0.46
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 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.18 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.21 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.23 0 0 0 0 0 2 0 0 0 0 0.13
1998 0 0.24 0 0 0 0 0 3 0 0 0 0 0.15
1999 0 0.32 0 0 0 0 0 6 0 0 0 0 0.21
2000 0 0.44 0 0 0 0 0 7 0 0 0 0 0.2
2001 0 0.4 0 0 0 0 0 9 0 0 0 0 0.22
2002 0 0.42 0 0 0 0 0 16 0 0 0 0 0.23
2003 0 0.42 0 0 0 0 0 24 0 0 0 0 0.24
2004 0 0.47 0 0 0 0 0 32 0 0 0 0 0.27
2005 0 0.49 0 0 0 0 0 35 0 0 0 0 0.29
2006 0 0.47 0 0 0 0 0 43 0 0 0 0 0.27
2007 0 0.39 0.6 0 45 45 1228 17 70 0 0 12 70.6 17 0.38 0.22
2008 1.22 0.46 0.99 1.22 65 110 509 100 179 45 55 45 55 32 32 34 0.52 0.23
2009 0.91 0.43 0.98 0.91 60 170 495 159 345 110 100 110 100 56 35.2 25 0.42 0.22
2010 0.58 0.37 0.7 0.74 74 244 282 169 516 125 72 170 126 16 9.5 21 0.28 0.19
2011 0.59 0.46 0.86 0.76 56 300 157 255 775 134 79 244 186 27 10.6 15 0.27 0.25
2012 0.32 0.5 0.71 0.59 56 356 394 248 1028 130 42 300 178 36 14.5 22 0.39 0.25
2013 0.61 0.5 0.73 0.52 51 407 195 292 1325 112 68 311 162 26 8.9 14 0.27 0.24
2014 0.75 0.53 0.74 0.57 63 470 226 345 1671 107 80 297 169 39 11.3 25 0.4 0.27
2015 0.54 0.53 0.69 0.51 57 527 140 361 2033 114 61 300 153 33 9.1 16 0.28 0.27
2016 0.69 0.54 0.67 0.59 33 560 71 376 2409 120 83 283 167 32 8.5 7 0.21 0.27
2017 0.47 0.54 0.57 0.57 41 601 99 345 2754 90 42 260 147 9 2.6 4 0.1 0.27
2018 0.43 0.53 0.46 0.38 36 637 60 296 3050 74 32 245 93 13 4.4 2 0.06 0.26
2019 0.62 0.55 0.5 0.39 23 660 44 325 3377 77 48 230 89 7 2.2 17 0.74 0.32
2020 0.59 0.63 0.46 0.46 19 679 16 309 3686 59 35 190 88 7 2.3 5 0.26 0.58
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

619
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

393
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

169
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

164
52008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

88
62009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

78
72012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

Full description at Econpapers || Download paper

60
82010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

Full description at Econpapers || Download paper

56
92013The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12.

Full description at Econpapers || Download paper

50
102008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

46
112017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

44
122013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

41
132007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

Full description at Econpapers || Download paper

40
142014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

39
152008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

34
162014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

33
172007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

Full description at Econpapers || Download paper

29
182018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

Full description at Econpapers || Download paper

28
192008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

Full description at Econpapers || Download paper

28
202015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

Full description at Econpapers || Download paper

26
212009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33.

Full description at Econpapers || Download paper

24
222008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63.

Full description at Econpapers || Download paper

24
232019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

Full description at Econpapers || Download paper

24
242011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

Full description at Econpapers || Download paper

24
252008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

Full description at Econpapers || Download paper

23
262009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

Full description at Econpapers || Download paper

23
272008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56.

Full description at Econpapers || Download paper

23
282007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27.

Full description at Econpapers || Download paper

22
292010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13.

Full description at Econpapers || Download paper

22
302015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15.

Full description at Econpapers || Download paper

21
312014A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23.

Full description at Econpapers || Download paper

20
322012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

Full description at Econpapers || Download paper

20
332007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean. In: CREATES Research Papers. RePEc:aah:create:2007-43.

Full description at Econpapers || Download paper

20
342011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

Full description at Econpapers || Download paper

19
352007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

Full description at Econpapers || Download paper

19
362007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann. In: CREATES Research Papers. RePEc:aah:create:2007-21.

Full description at Econpapers || Download paper

19
372010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

Full description at Econpapers || Download paper

18
382013On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2013-44.

Full description at Econpapers || Download paper

17
392010Estimation of Stochastic Volatility Models by Nonparametric Filtering. (2010). Kristensen, Dennis ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2010-67.

Full description at Econpapers || Download paper

17
402014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

Full description at Econpapers || Download paper

17
412010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2010-01.

Full description at Econpapers || Download paper

17
422008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

Full description at Econpapers || Download paper

17
432012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

Full description at Econpapers || Download paper

16
442009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

Full description at Econpapers || Download paper

16
452012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36.

Full description at Econpapers || Download paper

16
462008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58.

Full description at Econpapers || Download paper

16
472007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas. In: CREATES Research Papers. RePEc:aah:create:2007-09.

Full description at Econpapers || Download paper

16
482009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

Full description at Econpapers || Download paper

16
492009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17.

Full description at Econpapers || Download paper

15
502009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

Full description at Econpapers || Download paper

15
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

167
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

73
32009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

64
42012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

58
52017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

42
62018Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34.

Full description at Econpapers || Download paper

26
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

25
82019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

Full description at Econpapers || Download paper

24
92008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

21
102012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

Full description at Econpapers || Download paper

19
112014A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23.

Full description at Econpapers || Download paper

12
122013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

12
132015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

Full description at Econpapers || Download paper

12
142018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

Full description at Econpapers || Download paper

10
152014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

10
162015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15.

Full description at Econpapers || Download paper

9
172009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

Full description at Econpapers || Download paper

8
182008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

8
192011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

Full description at Econpapers || Download paper

8
202014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

8
212017The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias. In: CREATES Research Papers. RePEc:aah:create:2017-06.

Full description at Econpapers || Download paper

7
222017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Ferreira, Eva ; Casas, Isabel ; Orbe, Susan. In: CREATES Research Papers. RePEc:aah:create:2017-33.

Full description at Econpapers || Download paper

7
232020Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

6
252010The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior. (2010). Christensen, Bent Jesper ; Lamb, Malene Kallestrup ; KallestrupLamb, Malene . In: CREATES Research Papers. RePEc:aah:create:2010-62.

Full description at Econpapers || Download paper

6
262016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04.

Full description at Econpapers || Download paper

6
272016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

Full description at Econpapers || Download paper

6
282008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

Full description at Econpapers || Download paper

6
292017Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2017-02.

Full description at Econpapers || Download paper

5
302013Diffusion Indexes with Sparse Loadings. (2013). Kristensen, Johannes. In: CREATES Research Papers. RePEc:aah:create:2013-22.

Full description at Econpapers || Download paper

5
312009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33.

Full description at Econpapers || Download paper

5
322014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

Full description at Econpapers || Download paper

4
332019Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. (2019). Johansen, Soren ; Berenguer-Rico, Vanessa ; Nielsen, Bent. In: CREATES Research Papers. RePEc:aah:create:2019-12.

Full description at Econpapers || Download paper

4
342012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38.

Full description at Econpapers || Download paper

4
352015Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach. (2015). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2015-50.

Full description at Econpapers || Download paper

4
362018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

Full description at Econpapers || Download paper

4
372019Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07.

Full description at Econpapers || Download paper

4
382018Nonstationary cointegration in the fractionally cointegrated VAR model. (2018). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2018-17.

Full description at Econpapers || Download paper

4
392009Identification of Macroeconomic Factors in Large Panels. (2009). Houssa, Romain ; Dewachter, Hans ; Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-43.

Full description at Econpapers || Download paper

4
402016A New Index of Housing Sentiment. (2016). Pedersen, Thomas ; Bork, Lasse ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-32.

Full description at Econpapers || Download paper

4
412009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

Full description at Econpapers || Download paper

4
422014A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. (2014). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, KE. In: CREATES Research Papers. RePEc:aah:create:2014-24.

Full description at Econpapers || Download paper

4
432008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

3
442017Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles. (2017). Johansen, Soren ; Franchi, Massimo. In: CREATES Research Papers. RePEc:aah:create:2017-17.

Full description at Econpapers || Download paper

3
452020Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06.

Full description at Econpapers || Download paper

3
462008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

Full description at Econpapers || Download paper

3
472010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

Full description at Econpapers || Download paper

3
482019The analysis of marked and weighted empirical processes of estimated residuals. (2019). Johansen, Soren ; Berenguer-Rico, Vanessa ; Nielsen, Bent. In: CREATES Research Papers. RePEc:aah:create:2019-06.

Full description at Econpapers || Download paper

3
492008Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508. (2008). Kristensen, Johannes ; Dahl, Christian ; Bache, Stefan ; Tang, Johannes. In: CREATES Research Papers. RePEc:aah:create:2008-20.

Full description at Econpapers || Download paper

3
502010Likelihood inference for a fractionally cointegrated vector autoregressive model. (2010). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2010-24.

Full description at Econpapers || Download paper

3
Citing documents used to compute impact factor: 35
YearTitle
2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

Full description at Econpapers || Download paper

2020A data-driven P-spline smoother and the P-Spline-GARCH models. (2020). Hardle, Wolfgang Karl ; Feng, Yuanhua. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020016.

Full description at Econpapers || Download paper

2020Truncated sum of squares estimation of fractional time series models with deterministic trends. (2020). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2020-07.

Full description at Econpapers || Download paper

2020How Does the Volatility of Volatility Depend on Volatility?. (2020). Poulsen, Rolf ; Romer, Sigurd Emil. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:59-:d:366678.

Full description at Econpapers || Download paper

2020Optimal Dividends Paid in a Foreign Currency for a L\evy Insurance Risk Model. (2020). Palmowski, Zbigniew ; Eisenberg, Julia. In: Papers. RePEc:arx:papers:2001.03733.

Full description at Econpapers || Download paper

2020Endogenous Liquidity Crises. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:1912.00359.

Full description at Econpapers || Download paper

2020Marked point processes and intensity ratios for limit order book modeling. (2020). Yoshida, Nakahiro ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2001.08442.

Full description at Econpapers || Download paper

2020Extending Deep Reinforcement Learning Frameworks in Cryptocurrency Market Making. (2020). Sadighian, Jonathan. In: Papers. RePEc:arx:papers:2004.06985.

Full description at Econpapers || Download paper

2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730.

Full description at Econpapers || Download paper

2020Endogenous Liquidity Crises. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Working Papers. RePEc:hal:wpaper:hal-02567495.

Full description at Econpapers || Download paper

2020Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion. (2020). Yoshida, Nakahiro ; Tudor, Ciprian A. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:2:d:10.1007_s11203-020-09220-6.

Full description at Econpapers || Download paper

2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

Full description at Econpapers || Download paper

2020Finally a Smoking Gun. (2020). Wissmann, Daniel . In: Discussion Papers in Economics. RePEc:lmu:muenec:73026.

Full description at Econpapers || Download paper

2020The Age-Productivity Profile:Long-Run Evidence from Italian Regions. (2020). Piselli, Paolo ; Gomellini, Matteo ; Barbiellini Amidei, Federico ; Incoronato, Lorenzon. In: CReAM Discussion Paper Series. RePEc:crm:wpaper:2019.

Full description at Econpapers || Download paper

2020Understanding the Response to High-Stakes Incentives in Primary Education. (2020). Bach, Maximilian ; Fischer, Mira. In: IZA Discussion Papers. RePEc:iza:izadps:dp13845.

Full description at Econpapers || Download paper

2020Understanding the response to high-stakes incentives in primary education. (2020). Bach, Maximilian ; Fischer, Mira. In: ZEW Discussion Papers. RePEc:zbw:zewdip:20066.

Full description at Econpapers || Download paper

2020Supermarket contracts and smallholder farmers: Implications for income and multidimensional poverty. (2020). Qaim, Matin ; Ochieng, Dennis O ; Ogutu, Sylvester Ochieng. In: Food Policy. RePEc:eee:jfpoli:v:95:y:2020:i:c:s0306919220301445.

Full description at Econpapers || Download paper

2020The Mental Health Cost of Terrorism: A Replication of Kim and Albert Kim (Health Economics, 2018). (2020). Coupe, Tom ; Smith, Tyler. In: Working Papers in Economics. RePEc:cbt:econwp:20/21.

Full description at Econpapers || Download paper

2020The effect of immigration on natives’ well-being in the European Union. (2020). O'Connor, Kelsey. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:257-274.

Full description at Econpapers || Download paper

2020Parental labour supply responses to the abolition of day care fees. (2020). Huebener, Mathias ; Spiess, Katharina C ; Pape, Astrid. In: EconStor Open Access Articles. RePEc:zbw:espost:233854.

Full description at Econpapers || Download paper

2020The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models. (2020). Mutschler, Willi ; Ivashchenko, Sergey. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:280-292.

Full description at Econpapers || Download paper

2020Spatial Differencing for Sample Selection Models with Unobserved Heterogeneity. (2020). Tchuente, Guy ; Klein, Alexander. In: Papers. RePEc:arx:papers:2009.06570.

Full description at Econpapers || Download paper

2020Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06.

Full description at Econpapers || Download paper

2020Insurance Design and Pharmaceutical Innovation. (2020). Agha, Leila ; Li, Danielle ; Kim, Soomi. In: NBER Working Papers. RePEc:nbr:nberwo:27563.

Full description at Econpapers || Download paper

2020Natural resource access and local economic growth. (2020). Klemp, Marc ; Gradstein, Mark. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120300738.

Full description at Econpapers || Download paper

2020Inference with a single treated cluster. (2020). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2010.04076.

Full description at Econpapers || Download paper

2020Testing for the appropriate level of clustering in linear regression models. (2020). Webb, Matthew ; Nielsen, Morten ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1428.

Full description at Econpapers || Download paper

2020Randomization inference for difference-in-differences with few treated clusters. (2020). Webb, Matthew ; MacKinnon, James. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:435-450.

Full description at Econpapers || Download paper

2020Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference. (2020). Xu, Haifeng ; Ullah, Aman ; Amanullah, ; Lee, Tae-Hwy ; Chu, Jianghao. In: Working Papers. RePEc:ucr:wpaper:202027.

Full description at Econpapers || Download paper

2020The Relationship Between Nominal Wage and Price Flexibility: New Evidence. (2020). Huw, Dixon ; Diego, Solorzano. In: Working Papers. RePEc:bdm:wpaper:2020-20.

Full description at Econpapers || Download paper

2020Dynamic Asymmetry and Fiscal Policy. (2020). Zanetti Chini, Emilio. In: MPRA Paper. RePEc:pra:mprapa:98499.

Full description at Econpapers || Download paper

2020Global Cities and Local Challenges: Booms and Busts in the London Real Estate Market.. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202011.

Full description at Econpapers || Download paper

2020Global Cities and Local Housing Market Cycles. (2020). Zanetti Chini, Emilio ; Canepa, Alessandra ; Alqaralleh, Huthaifa. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:61:y:2020:i:4:d:10.1007_s11146-019-09734-8.

Full description at Econpapers || Download paper

2020Longevity forecasting by socio‐economic groups using compositional data analysis. (2020). Kallestruplamb, Malene ; Oeppen, Jim ; Bergeronboucher, Mariepier ; Ergemen, Yunus Emre ; Kjargaard, Sren. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1167-1187.

Full description at Econpapers || Download paper

2020The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries. (2020). Brůna, Karel ; van Tran, Quang ; Bruna, Karel . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:384-402.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2020
YearCiting document
2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

Full description at Econpapers || Download paper

2020Multiway Cluster Robust Double/Debiased Machine Learning. (2019). Sasaki, Yuya ; Ma, Yukun ; Kato, Kengo ; Chiang, Harold D. In: Papers. RePEc:arx:papers:1909.03489.

Full description at Econpapers || Download paper

2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

Full description at Econpapers || Download paper

2020Labor market reforms and allocative efficiency in Italy. (2020). Modena, Francesca ; Gnocato, Nicolò ; Tomasi, Chiara. In: Labour Economics. RePEc:eee:labeco:v:67:y:2020:i:c:s0927537120301421.

Full description at Econpapers || Download paper

2020Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk. (2020). Woźny, Łukasz ; Dziewulski, Pawel ; Reffett, Kevin ; Balbus, Lukasz . In: Working Papers. RePEc:sgh:kaewps:2020052.

Full description at Econpapers || Download paper

Recent citations received in 2019
YearCiting document
2019Longevity forecasting by socio-economic groups using compositional data analysis. (2019). Kallestrup-Lamb, Malene ; Oeppen, Jim ; Boucher, Marie-Pier Bergeron ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-08.

Full description at Econpapers || Download paper

2019Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. (2019). Johansen, Soren ; Berenguer-Rico, Vanessa ; Nielsen, Bent. In: CREATES Research Papers. RePEc:aah:create:2019-12.

Full description at Econpapers || Download paper

2019Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Berenguer-Rico, Vanessa. In: CREATES Research Papers. RePEc:aah:create:2019-15.

Full description at Econpapers || Download paper

2019Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

Full description at Econpapers || Download paper

2019The impact of the choice of life table statistics when forecasting mortality. (2019). Vaupel, James W ; Oeppen, Jim ; Kjargaard, Soren ; Bergeron-Boucher, Marie-Pier. In: Demographic Research. RePEc:dem:demres:v:41:y:2019:i:43.

Full description at Econpapers || Download paper

2019
2019The Wild Bootstrap with a Small Number of Large Clusters. (2019). Shaikh, Azeem ; Santos, Andres ; Canay, Ivan A. In: CeMMAP working papers. RePEc:ifs:cemmap:40/19.

Full description at Econpapers || Download paper

2019Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Berenguer-Rico, Vanessa. In: Discussion Papers. RePEc:kud:kuiedp:1911.

Full description at Econpapers || Download paper

2019Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. (2019). Nielsen, Bent ; Johansen, Soren ; Berenguer-Rico, Vanessa. In: Economics Papers. RePEc:nuf:econwp:1904.

Full description at Econpapers || Download paper

2019Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Nielsen, Bent ; Johansen, Soren ; Berenguer-Rico, Vanessa. In: Economics Papers. RePEc:nuf:econwp:1905.

Full description at Econpapers || Download paper

2019Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. (2019). Johansen, Soren ; Nielsen, Bent ; Rico, Vanessa Berenguer ; BerenguerRico, Vanessa . In: Economics Series Working Papers. RePEc:oxf:wpaper:871.

Full description at Econpapers || Download paper

2019Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Rico, Vanessa Berenguer ; BerenguerRico, Vanessa . In: Economics Series Working Papers. RePEc:oxf:wpaper:879.

Full description at Econpapers || Download paper

2019Yield Curve and Financial Uncertainty: Evidence Based on US Data. (2019). Castelnuovo, Efrem. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0234.

Full description at Econpapers || Download paper

2019When and How to Deal with Clustered Errors in Regression Models. (2019). Webb, Matthew ; MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1421.

Full description at Econpapers || Download paper

2019How cluster‐robust inference is changing applied econometrics. (2019). MacKinnon, James. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:52:y:2019:i:3:p:851-881.

Full description at Econpapers || Download paper

2019The impact of election information shocks on populist party preferences: Evidence from Germany. (2019). Kellermann, Kim Leonie ; Gerling, Lena. In: CIW Discussion Papers. RePEc:zbw:ciwdps:32019.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper