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!!

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
44
Impact Factor
1
5 Years IF
1.35
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 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.27 0 0 0 0 0 2 0 0 0 0 0.13
2000 0 0.32 0 0 0 0 0 4 0 0 0 0 0.14
2001 0 0.35 0 0 0 0 0 4 0 0 0 0 0.15
2002 0 0.37 0 0 0 0 0 9 0 0 0 0 0.19
2003 0 0.4 0.53 0 19 19 375 5 19 0 0 0 5 0.26 0.19
2004 0.74 0.44 1.09 0.74 24 43 1625 36 66 19 14 19 14 0 22 0.92 0.2
2005 1.19 0.45 1.23 1.19 27 70 886 68 152 43 51 43 51 1 1.5 10 0.37 0.21
2006 1.49 0.46 1.78 1.47 24 94 2119 163 319 51 76 70 103 1 0.6 28 1.17 0.2
2007 1.75 0.42 1.83 1.49 10 104 282 188 509 51 89 94 140 0 5 0.5 0.18
2008 2.71 0.44 2.29 1.88 21 125 437 286 795 34 92 104 196 1 0.3 3 0.14 0.2
2009 1.45 0.43 2.39 2.13 24 149 1171 355 1151 31 45 106 226 1 0.3 20 0.83 0.21
2010 1.27 0.43 1.95 1.92 33 182 325 348 1506 45 57 106 203 0 10 0.3 0.18
2011 1.23 0.45 2.17 1.74 23 205 392 440 1951 57 70 112 195 0 17 0.74 0.2
2012 1.09 0.45 2.11 1.47 22 227 210 476 2431 56 61 111 163 5 1.1 7 0.32 0.19
2013 1.47 0.5 2.6 1.66 23 250 331 647 3081 45 66 123 204 4 0.6 12 0.52 0.21
2014 1.44 0.51 2.73 1.88 26 276 171 748 3834 45 65 125 235 3 0.4 4 0.15 0.2
2015 1.14 0.5 2.36 1.13 33 309 351 728 4563 49 56 127 143 0 26 0.79 0.19
2016 1.24 0.5 2.42 1.46 33 342 332 829 5392 59 73 127 185 2 0.2 14 0.42 0.18
2017 1.35 0.5 2.04 1.23 29 371 51 756 6148 66 89 137 169 5 0.7 0 0.18
2018 1.27 0.54 1.98 1.26 24 395 90 779 6929 62 79 144 181 9 1.2 7 0.29 0.21
2019 0.38 0.58 2.04 1.06 17 412 28 839 7768 53 20 145 154 2 0.2 5 0.29 0.21
2020 1 0.75 2.03 1.35 22 434 45 880 8648 41 41 136 184 2 0.2 4 0.18 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
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

855
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

753
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

648
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

468
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

341
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

224
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

203
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

184
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

181
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

146
112007Why 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

134
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

131
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

127
142004How 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

119
152006The 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

103
162004Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

Full description at Econpapers || Download paper

91
172006Structural 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

90
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.

Full description at Econpapers || Download paper

87
192003Dynamics 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.

Full description at Econpapers || Download paper

84
202008Estimating 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

80
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.

Full description at Econpapers || Download paper

78
222016Trans-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

76
232015Testing 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

74
242006Long 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.

Full description at Econpapers || Download paper

69
252006Inequality 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

69
262007Integrated 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.

Full description at Econpapers || Download paper

68
272009Modeling 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.

Full description at Econpapers || Download paper

66
282005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

Full description at Econpapers || Download paper

64
292008Time-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.

Full description at Econpapers || Download paper

64
302013Broker-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

60
312008Are 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.

Full description at Econpapers || Download paper

58
322005Reexamining 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.

Full description at Econpapers || Download paper

54
332004Pessimistic 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.

Full description at Econpapers || Download paper

53
342015Bayesian 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..

Full description at Econpapers || Download paper

53
352004Modeling 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.

Full description at Econpapers || Download paper

52
362014The 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..

Full description at Econpapers || Download paper

51
372010Bayesian 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.

Full description at Econpapers || Download paper

50
382011Merits 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

47
392003Fourth 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.

Full description at Econpapers || Download paper

47
402015Estimating 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..

Full description at Econpapers || Download paper

47
412011Backtesting 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.

Full description at Econpapers || Download paper

46
422006Stochastic 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.

Full description at Econpapers || Download paper

45
432008Using 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.

Full description at Econpapers || Download paper

45
442003The 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.

Full description at Econpapers || Download paper

44
452003Trades 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.

Full description at Econpapers || Download paper

43
462012Asymmetry 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

42
472016Term 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..

Full description at Econpapers || Download paper

42
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.

Full description at Econpapers || Download paper

41
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.

Full description at Econpapers || Download paper

41
502018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; Baruník, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296..

Full description at Econpapers || Download paper

38
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

311
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

171
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

170
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

123
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

86
62016Trans-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

44
72006Leverage 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

44
82015Testing 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

42
92014The 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..

Full description at Econpapers || Download paper

40
102008Estimating 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

39
112009Modeling 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

39
122004A 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

36
132018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; Baruník, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296..

Full description at Econpapers || Download paper

34
142004On 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

33
152007Why 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

32
162006Value-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

27
172006Structural 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

26
182005A 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

25
192015Bayesian 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..

Full description at Econpapers || Download paper

24
202015Estimating 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..

Full description at Econpapers || Download paper

21
212016Term 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..

Full description at Econpapers || Download paper

21
222004Backtesting 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

20
232006The 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

20
242013Broker-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

19
252010Comparison 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

19
262016On 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..

Full description at Econpapers || Download paper

18
272004Persistence 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.

Full description at Econpapers || Download paper

17
282016Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667..

Full description at Econpapers || Download paper

17
292004How 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

15
302003Dynamics 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.

Full description at Econpapers || Download paper

15
312011Merits 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

15
322015Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?. (2015). Tsiakas, Ilias ; Wang, Wei ; Li, Jiahan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:293-341..

Full description at Econpapers || Download paper

14
332013GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. (2013). Hao, Jinji. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:556-580.

Full description at Econpapers || Download paper

14
342020Understanding Cryptocurrencies. (2020). Harvey, Campbellr ; Hrdle, Wolfgang Karl ; Raphael, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208..

Full description at Econpapers || Download paper

13
352013Modeling 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.

Full description at Econpapers || Download paper

13
362006Long 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.

Full description at Econpapers || Download paper

12
372008Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107.

Full description at Econpapers || Download paper

12
382018Downside Variance Risk Premium. (2018). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:341-383..

Full description at Econpapers || Download paper

12
392017Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, René ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:333-376..

Full description at Econpapers || Download paper

11
402010Stock 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.

Full description at Econpapers || Download paper

11
412004Pessimistic 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.

Full description at Econpapers || Download paper

11
422008Time-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.

Full description at Econpapers || Download paper

11
432016Volatility Jumps and Their Economic Determinants. (2016). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:29-80..

Full description at Econpapers || Download paper

11
442009Modeling 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.

Full description at Econpapers || Download paper

10
452017Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, René ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:504-504..

Full description at Econpapers || Download paper

10
462013Comparing 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.

Full description at Econpapers || Download paper

10
472012Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities. (2012). Ruiz, Esther ; Rodriguez, Maria Jose . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:4:p:637-668.

Full description at Econpapers || Download paper

10
482011Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:3:p:489-518.

Full description at Econpapers || Download paper

10
492017Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, René ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:418-426..

Full description at Econpapers || Download paper

10
502012Asymmetry 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

10
Citing documents used to compute impact factor: 41
YearTitle
2020Machine Learning Treasury Yields. (2020). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:2003.05095.

Full description at Econpapers || Download paper

2020Machine Learning Treasury Yields. (2020). Kakushadze, Zura ; Yu, Willie. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:1-65.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2020GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?. (2020). Muteba, John Weirstrass ; Manguzvane, Mathias Mandla. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:4:d:10.1007_s00181-019-01695-4.

Full description at Econpapers || Download paper

2020Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137.

Full description at Econpapers || Download paper

2020Magnitude and persistence of extreme risk spillovers in the global energy market: A high-dimensional left-tail interdependence perspective. (2020). Liu, Jiahao ; Lin, Renda ; Zhu, BO. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301018.

Full description at Econpapers || Download paper

2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

Full description at Econpapers || Download paper

2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section. (2020). Swanson, Norman R ; Mizrach, Bruce ; Yu, BO. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:19-:d:360192.

Full description at Econpapers || Download paper

2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

Full description at Econpapers || Download paper

2020Up- and downside variance risk premia in global equity markets. (2020). Thimme, Julian ; Omachel, Marcel ; Kapraun, Julia ; Held, Matthias . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301412.

Full description at Econpapers || Download paper

2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

Full description at Econpapers || Download paper

2020A study of data-driven momentum and disposition effects in the Chinese stock market by functional data analysis. (2020). Zhao, Yuqian ; Liu, Zhenya ; Horvath, Lajos ; Cao, Ruanmin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-019-00791-x.

Full description at Econpapers || Download paper

2020Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753.

Full description at Econpapers || Download paper

2020A functional index model for dynamically evaluating Chinas energy security. (2020). Xu, Yan ; Fang, Lei ; Tian, Sihua ; Wang, Deqing. In: Energy Policy. RePEc:eee:enepol:v:147:y:2020:i:c:s030142152030433x.

Full description at Econpapers || Download paper

2020Freight rates in downside and upside markets: pricing of own and spillover risks from other shipping segments. (2020). Savva, Christos ; Tsouknidis, Dimitris ; Theodossiou, Panayiotis. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:1097-1119.

Full description at Econpapers || Download paper

2020A Coronavirus Asset Pricing Model: The Role of Skewness. (2020). Savva, Christos ; Delis, Manthos ; Theodossiou, Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:100877.

Full description at Econpapers || Download paper

2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

Full description at Econpapers || Download paper

2020A Multivariate Realized GARCH Model. (2020). Hansen, Peter Reinhard ; Archakov, Ilya ; Lunde, Asger. In: Papers. RePEc:arx:papers:2012.02708.

Full description at Econpapers || Download paper

2020Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006.

Full description at Econpapers || Download paper

2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models. (2020). Otranto, Edoardo ; Bauwens, Luc. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2020034.

Full description at Econpapers || Download paper

2020Variational inference for high dimensional structured factor copulas. (2020). Nguyen, Hoang ; Galeano, Pedro ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320301031.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2020Forecasting Stock Returns with Large Dimensional Factor Models. (2020). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Working Papers. RePEc:lan:wpaper:305661169.

Full description at Econpapers || Download paper

2020Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Ronchetti, Diego ; Gagliardini, Patrick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394..

Full description at Econpapers || Download paper

2020Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment. (2020). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Vladimir C. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:37-:d:414685.

Full description at Econpapers || Download paper

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

2020How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe. (2020). Hamori, Shigeyuki ; Nakajima, Tadahiro ; He, Xie ; Zhang, Wenting. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:3:p:727-:d:317715.

Full description at Econpapers || Download paper

2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

Full description at Econpapers || Download paper

2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

Full description at Econpapers || Download paper

2020Time-frequency dynamics of exchange rates in East Asia. (2020). Kinkyo, Takuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919310049.

Full description at Econpapers || Download paper

2020La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico. (2020). Laborda, Ricardo ; Losada, Ramiro. In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_71es.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2020Are cryptocurrencies becoming more interconnected?. (2020). Perez-Laborda, Alejandro ; Fernandez Bariviera, Aurelio ; Aslanidis, Nektarios. In: Papers. RePEc:arx:papers:2009.14561.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2020The impact of US economic policy uncertainty on WTI crude oil returns in different time and frequency domains. (2020). Yan, Xing-Xing ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:750-768.

Full description at Econpapers || Download paper

2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

Full description at Econpapers || Download paper

2020Frequency volatility connectedness across different industries in China. (2020). Tiwari, Aviral ; Aijo, Janne ; Piljak, Vanja ; Jiang, Junhua. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319302910.

Full description at Econpapers || Download paper

2020How the supply and demand of steam coal affect the investment in clean energy industry? Evidence from China. (2020). Fan, Ying ; Guo, Jianfeng ; Wang, Jiqiang. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420719303344.

Full description at Econpapers || Download paper

2020Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives. (2020). Huiwen, Zou ; Jinxin, Cui. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:5:p:401-433:n:2.

Full description at Econpapers || Download paper

2020Bayesian state space models in macroeconometrics. (2020). Strachan, Rodney. In: CAMA Working Papers. RePEc:een:camaaa:2020-90.

Full description at Econpapers || Download paper

2020On an integer-valued stochastic intensity model for time series of counts. (2020). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:105406.

Full description at Econpapers || Download paper

Recent citations
Recent citations received in 2020

YearCiting document
2020Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814.

Full description at Econpapers || Download paper

2020Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037.

Full description at Econpapers || Download paper

2020Alternative Assets and Cryptocurrencies. (2020). Hafner, Christian M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:7-:d:304783.

Full description at Econpapers || Download paper

2020Blockchain mechanism and distributional characteristics of cryptos. (2020). Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lin, Min-Bin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020027.

Full description at Econpapers || Download paper

Recent citations received in 2019

YearCiting document
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024.

Full description at Econpapers || Download paper

2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

Full description at Econpapers || Download paper

2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

Full description at Econpapers || Download paper

2019Bivariate Volatility Modeling with High-Frequency Data. (2019). Agell, Nuria ; Rovira, Xari ; Matei, Marius. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100386.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Recent citations received in 2017

YearCiting document