CREATES Research Papers / Department of Economics and Business Economics, Aarhus University
Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
27
Impact Factor (IF)
0.57
5 Years IF
0.6
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
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2007 | 0 | 0.5 | 0.89 | 0 | 45 | 45 | 1553 | 30 | 40 | 0 | 0 | 16 | 53.3 | 30 | 0.67 | 0.29 | ||
| 2008 | 1.47 | 0.58 | 1.25 | 1.47 | 65 | 110 | 664 | 127 | 177 | 45 | 66 | 45 | 66 | 38 | 29.9 | 44 | 0.68 | 0.3 |
| 2009 | 1.05 | 0.56 | 1.17 | 1.05 | 60 | 170 | 575 | 192 | 376 | 110 | 115 | 110 | 115 | 65 | 33.9 | 28 | 0.47 | 0.32 |
| 2010 | 0.7 | 0.51 | 0.87 | 0.91 | 74 | 244 | 334 | 210 | 588 | 125 | 88 | 170 | 155 | 22 | 10.5 | 22 | 0.3 | 0.29 |
| 2011 | 0.72 | 0.6 | 1.11 | 0.97 | 56 | 300 | 205 | 329 | 921 | 134 | 96 | 244 | 236 | 38 | 11.6 | 24 | 0.43 | 0.35 |
| 2012 | 0.45 | 0.65 | 0.92 | 0.74 | 56 | 356 | 474 | 324 | 1249 | 130 | 58 | 300 | 222 | 47 | 14.5 | 32 | 0.57 | 0.34 |
| 2013 | 0.77 | 0.64 | 0.88 | 0.61 | 51 | 407 | 252 | 355 | 1609 | 112 | 86 | 311 | 191 | 33 | 9.3 | 19 | 0.37 | 0.34 |
| 2014 | 0.92 | 0.65 | 0.88 | 0.65 | 63 | 470 | 281 | 412 | 2022 | 107 | 98 | 297 | 193 | 47 | 11.4 | 32 | 0.51 | 0.34 |
| 2015 | 0.7 | 0.63 | 0.81 | 0.59 | 57 | 527 | 170 | 428 | 2451 | 114 | 80 | 300 | 178 | 40 | 9.3 | 17 | 0.3 | 0.35 |
| 2016 | 0.73 | 0.63 | 0.74 | 0.62 | 33 | 560 | 81 | 414 | 2865 | 120 | 87 | 283 | 176 | 39 | 9.4 | 8 | 0.24 | 0.34 |
| 2017 | 0.51 | 0.62 | 0.65 | 0.6 | 41 | 601 | 176 | 391 | 3256 | 90 | 46 | 260 | 156 | 15 | 3.8 | 8 | 0.2 | 0.34 |
| 2018 | 0.57 | 0.62 | 0.55 | 0.44 | 36 | 637 | 105 | 349 | 3605 | 74 | 42 | 245 | 109 | 18 | 5.2 | 6 | 0.17 | 0.35 |
| 2019 | 0.84 | 0.62 | 0.59 | 0.48 | 23 | 660 | 66 | 386 | 3993 | 77 | 65 | 230 | 110 | 11 | 2.8 | 18 | 0.78 | 0.37 |
| 2020 | 0.78 | 0.7 | 0.57 | 0.64 | 19 | 679 | 34 | 390 | 4383 | 59 | 46 | 190 | 121 | 22 | 5.6 | 16 | 0.84 | 0.72 |
| 2021 | 0.57 | 1.01 | 0.56 | 0.6 | 16 | 695 | 16 | 387 | 4770 | 42 | 24 | 152 | 91 | 4 | 1 | 3 | 0.19 | 0.42 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2007 | Roughing 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 | 777 |
| 2 | 2007 | Real-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 | 506 |
| 3 | 2012 | Is 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 | 220 |
| 4 | 2009 | The 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 | 180 |
| 5 | 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 102 |
| 6 | 2008 | Option 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 | 101 |
| 7 | 2017 | Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆäsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers || Download paper | 74 |
| 8 | 2010 | Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers || Download paper | 71 |
| 9 | 2012 | Choice 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 | 71 |
| 10 | 2013 | The 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 | 65 |
| 11 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 64 |
| 12 | 2007 | Construction 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 | 62 |
| 13 | 2008 | Multivariate GARCH models. (2008). TerÃÆäsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers || Download paper | 59 |
| 14 | 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆäsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 58 |
| 15 | 2018 | Fast 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 | 52 |
| 16 | 2007 | The 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 | 49 |
| 17 | 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆäsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | 44 |
| 18 | 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆäsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers || Download paper | 41 |
| 19 | 2019 | Asymptotic 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 | 37 |
| 20 | 2015 | Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆázquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers || Download paper | 36 |
| 21 | 2008 | American 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 | 35 |
| 22 | 2014 | A 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 | 34 |
| 23 | 2008 | Multivariate 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 | 34 |
| 24 | 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆäsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 33 |
| 25 | 2008 | Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers || Download paper | 29 |
| 26 | 2015 | Effects 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 | 29 |
| 27 | 2007 | Expected 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 | 29 |
| 28 | 2011 | Forecasting 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 | 26 |
| 29 | 2007 | Microstructure 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 | 24 |
| 30 | 2009 | Option 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 |
| 31 | 2012 | Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers || Download paper | 23 |
| 32 | 2011 | International 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 | 23 |
| 33 | 2008 | Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; CapistrÃÆán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers || Download paper | 23 |
| 34 | 2009 | Realised 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 |
| 35 | 2007 | Estimation 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 |
| 36 | 2010 | Realized 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 |
| 37 | 2012 | Oracle 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 | 21 |
| 38 | 2009 | Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13. Full description at Econpapers || Download paper | 21 |
| 39 | 2008 | Parameterizing unconditional skewness in models for financial time series. (2008). TerÃÆäsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers || Download paper | 20 |
| 40 | 2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52. Full description at Econpapers || Download paper | 19 |
| 41 | 2007 | Continuous-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 |
| 42 | 2009 | Statistical 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 | 19 |
| 43 | 2008 | Estimation 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 | 18 |
| 44 | 2012 | Estimating 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 | 18 |
| 45 | 2018 | State-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 | 18 |
| 46 | 2009 | Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers || Download paper | 18 |
| 47 | 2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-08. Full description at Econpapers || Download paper | 18 |
| 48 | 2010 | Forecast Combinations. (2010). Timmermann, Allan ; CapistrÃÆán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21. Full description at Econpapers || Download paper | 18 |
| 49 | 2008 | Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48. Full description at Econpapers || Download paper | 17 |
| 50 | 2010 | Estimation 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 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2007 | Roughing 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 | 182 |
| 2 | 2007 | Real-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 | 95 |
| 3 | 2012 | Is 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 | 72 |
| 4 | 2017 | Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆäsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers || Download paper | 54 |
| 5 | 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 46 |
| 6 | 2009 | The 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 | 44 |
| 7 | 2019 | Asymptotic 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 | 32 |
| 8 | 2018 | Fast 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 | 27 |
| 9 | 2014 | A 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 | 23 |
| 10 | 2012 | Choice 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 | 18 |
| 11 | 2008 | Option 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 | 17 |
| 12 | 2018 | State-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 | 16 |
| 13 | 2015 | Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆázquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers || Download paper | 15 |
| 14 | 2015 | Effects 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 | 13 |
| 15 | 2011 | International 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 | 12 |
| 16 | 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆäsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 11 |
| 17 | 2008 | Measuring downside risk ââ¬â 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 | 10 |
| 18 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 10 |
| 19 | 2017 | Quasi-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 | 9 |
| 20 | 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆäsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | 9 |
| 21 | 2020 | Targeting 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 | 8 |
| 22 | 2007 | The 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 | 8 |
| 23 | 2017 | Time-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 |
| 24 | 2017 | The TIPS Liquidity Premium. (2017). Riddell, Simon ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-27. Full description at Econpapers || Download paper | 7 |
| 25 | 2017 | The 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 | 6 |
| 26 | 2009 | Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers || Download paper | 6 |
| 27 | 2012 | Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers || Download paper | 6 |
| 28 | 2014 | A 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 | 6 |
| 29 | 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆäsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 6 |
| 30 | 2013 | Diffusion Indexes with Sparse Loadings. (2013). Kristensen, Johannes. In: CREATES Research Papers. RePEc:aah:create:2013-22. Full description at Econpapers || Download paper | 6 |
| 31 | 2022 | Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08. Full description at Econpapers || Download paper | 5 |
| 32 | 2018 | The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21. Full description at Econpapers || Download paper | 5 |
| 33 | 2008 | Multivariate GARCH models. (2008). TerÃÆäsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers || Download paper | 5 |
| 34 | 2018 | Forecasting 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 | 5 |
| 35 | 2012 | Oracle 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 | 5 |
| 36 | 2020 | Truncated 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 | 5 |
| 37 | 2017 | Bootstrap-Based Inference for Cube Root Consistent Estimators. (2017). Jansson, Michael ; Cattaneo, Matias ; Nagasawa, Kenichi. In: CREATES Research Papers. RePEc:aah:create:2017-18. Full description at Econpapers || Download paper | 5 |
| 38 | 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆäsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers || Download paper | 5 |
| 39 | 2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | 5 |
| 40 | 2009 | Stochastic volatility of volatility in continuous time. (2009). Veraart, Almut ; Barndorff-Nielsen, Ole ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2009-25. Full description at Econpapers || Download paper | 5 |
| 41 | 2020 | Designing a sequential testing procedure for verifying global CO2 emissions. (2020). Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2020-01. Full description at Econpapers || Download paper | 4 |
| 42 | 2017 | Identification and estimation of heterogeneous agent models: A likelihood approach. (2017). Wang, Mu-Chun ; Posch, Olaf ; Parra-Alvarez, Juan Carlos. In: CREATES Research Papers. RePEc:aah:create:2017-35. Full description at Econpapers || Download paper | 4 |
| 43 | 2008 | Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. (2008). TerÃÆäsvirta, Timo ; Strikholm, Birgit ; PEGUIN-FEISSOLLE, Anne ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-19. Full description at Econpapers || Download paper | 4 |
| 44 | 2017 | Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Andreasen, Martin M. In: CREATES Research Papers. RePEc:aah:create:2017-31. Full description at Econpapers || Download paper | 4 |
| 45 | 2020 | Estimation of heterogeneous agent models: A likelihood approach. (2020). Posch, Olaf ; Parra-Alvarez, Juan ; Wang, Mu-Chun. In: CREATES Research Papers. RePEc:aah:create:2020-05. Full description at Econpapers || Download paper | 4 |
| 46 | 2020 | Wild 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 | 4 |
| 47 | 2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | 4 |
| 48 | 2007 | Construction 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 | 4 |
| 49 | 2021 | Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08. Full description at Econpapers || Download paper | 4 |
| 50 | 2016 | Forecasting 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 | 4 |
Citing documents used to
compute impact factor: 24
| Year | Title | |
|---|---|---|
| 2021 | Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962. Full description at Econpapers || Download paper | |
| 2021 | Deep Hedging under Rough Volatility. (2021). Nuri, A ; Teichmann, Josef ; Horvath, Blanka. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:7:p:138-:d:597662. Full description at Econpapers || Download paper | |
| 2021 | Identifying urbanârural differences in social vulnerability to natural hazards: a case study of China. (2021). Chen, YI ; Wang, Xiaotao ; Dou, Wen ; Ge, YI ; Zhang, Ziyuan. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:108:y:2021:i:3:d:10.1007_s11069-021-04792-9. Full description at Econpapers || Download paper | |
| 2021 | Wild Bootstrap for Instrumental Variables Regression with Weak Instruments and Few Clusters. (2021). Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:106227. Full description at Econpapers || Download paper | |
| 2021 | Simple and trustworthy cluster-robust GMM inference. (2021). Hwang, Jungbin. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:2:p:993-1023. Full description at Econpapers || Download paper | |
| 2021 | The Long-Run Effects of Consequential School Accountability. (2021). Slichter, David ; Mansfield, Jonathan. In: IZA Discussion Papers. RePEc:iza:izadps:dp14503. Full description at Econpapers || Download paper | |
| 2021 | Healthy, nudged, and wise: Experimental evidence on the role of cost reminders in healthy decision-making. (2021). Bharati, Tushar. In: Economics Discussion / Working Papers. RePEc:uwa:wpaper:21-13. Full description at Econpapers || Download paper | |
| 2021 | Fast cluster bootstrap methods for linear regression models. (2021). MacKinnon, James. In: Working Paper. RePEc:qed:wpaper:1465. Full description at Econpapers || Download paper | |
| 2021 | Inference in time series models using smoothed-clustered standard errors. (2021). Vogelsang, Timothy J ; Rho, Seunghwa. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:113-133. Full description at Econpapers || Download paper | |
| 2021 | Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data. (2021). Doko Tchatoka, Firmin ; Wang, Wenjie. In: MPRA Paper. RePEc:pra:mprapa:110899. Full description at Econpapers || Download paper | |
| 2021 | Killing off cohorts: Forecasting mortality of non-extinct cohorts with the penalized composite link model. (2021). Vaupel, James W ; Lindahl-Jacobsen, Rune ; Camarda, Carlo Giovanni ; Boucher, Marie-Pier Bergeron ; Kjargaard, Soren ; Rizzi, Silvia. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:95-104. Full description at Econpapers || Download paper | |
| 2021 | Policy Targeting under Network Interference. (2019). Viviano, Davide. In: Papers. RePEc:arx:papers:1906.10258. Full description at Econpapers || Download paper | |
| 2021 | What Moves Treasury Yields?. (2021). Moench, Emanuel ; Soofi-Siavash, Soroosh. In: Bank of Lithuania Working Paper Series. RePEc:lie:wpaper:88. Full description at Econpapers || Download paper | |
| 2021 | What Moves Treasury Yields?. (2021). Moench, Emanuel ; Siavash, Soroosh Soofi. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15978. Full description at Econpapers || Download paper | |
| 2021 | Recent Developments of the Autoregressive Distributed Lag Modelling Framework. (2021). Cho, Jin Seo ; Greenwood-Nimmo, Matthew ; Shin, Yongcheol. In: Working papers. RePEc:yon:wpaper:2021rwp-186. Full description at Econpapers || Download paper | |
| 2021 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2021). Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000761. Full description at Econpapers || Download paper | |
| 2021 | Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714. Full description at Econpapers || Download paper | |
| 2021 | Active labour market policies for the long-term unemployed: New evidence from causal machine learning. (2021). Goller, Daniel ; Wolff, Joachim ; Lechner, Michael ; Harrer, Tamara. In: Papers. RePEc:arx:papers:2106.10141. Full description at Econpapers || Download paper | |
| 2021 | Active Labour Market Policies for the Long-Term Unemployed: New Evidence from Causal Machine Learning. (2021). Goller, Daniel ; Wolff, Joachim ; Lechner, Michael ; Harrer, Tamara. In: IZA Discussion Papers. RePEc:iza:izadps:dp14486. Full description at Econpapers || Download paper | |
| 2021 | Active labour market policies for the long-term unemployed: New evidence from causal machine learning. (2021). Goller, Daniel ; Wolff, Joachim ; Lechner, Michael ; Harrer, Tamara. In: Economics Working Paper Series. RePEc:usg:econwp:2021:08. Full description at Econpapers || Download paper | |
| 2021 | Macroeconomic data transformations matter. (2021). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1338-1354. Full description at Econpapers || Download paper | |
| 2021 | The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:39-:d:660147. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2021
| Year | Citing document | |
|---|---|---|
| 2021 | The Euro Areas Pandemic Recession: A DSGE-Based Interpretation. (2021). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco ; Giovannini, Massimo ; Croitorov, Olga. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:153. Full description at Econpapers || Download paper | |
| 2021 | The Euro Areaââ¬â¢s pandemic recession: A DSGE interpretation. (2021). Vogel, Lukas ; Giovannini, Massimo ; Cardani, Roberta ; Ratto, Marco ; Pfeiffer, Philipp ; Croitorov, Olga. In: Working Papers. RePEc:jrs:wpaper:202110. Full description at Econpapers || Download paper | |
| 2021 | On the uncertainty of a combined forecast: The critical role of correlation. (2021). Vasnev, Andrey ; Magnus, Jan. In: Working Papers. RePEc:syb:wpbsba:2123/27307. Full description at Econpapers || Download paper |
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Wild 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 | |
| 2020 | Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers || Download paper | |
| 2020 | To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13. Full description at Econpapers || Download paper | |
| 2020 | Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?. (2020). Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Carlos Vladimir. In: CREATES Research Papers. RePEc:aah:create:2020-15. Full description at Econpapers || Download paper | |
| 2020 | Temperature 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 | |
| 2020 | Multiway 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 | |
| 2020 | Macroeconomic 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 | |
| 2020 | LM tests for joint breaks in the dynamics and level of a long-memory time series. (2020). Velasco, Carlos ; Dolado, Juan ; Rachinger, Heiko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15435. Full description at Econpapers || Download paper | |
| 2020 | Labor 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 | |
| 2020 | Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk. (2020). WoÃ
ºny, Ã
Âukasz ; Dziewulski, Pawel ; Reffett, Kevin ; Balbus, Lukasz . In: Working Papers. RePEc:sgh:kaewps:2020052. Full description at Econpapers || Download paper | |
| 2020 | Vocational Training for Demobilized Ex-combatants with Disabilities in Rwanda. (2020). Takasaki, Yoshito ; Igei, Kengo ; Aoyagi, Keitaro ; Takio, Kana. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1155. Full description at Econpapers || Download paper |
Recent citations received in 2019
| Year | Citing document | |
|---|---|---|
| 2019 | Longevity 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 | |
| 2019 | Uniform 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 | |
| 2019 | Models 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 | |
| 2019 | Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2019). TerÃÆäsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2019-19. Full description at Econpapers || Download paper | |
| 2019 | Permutation inference with a finite number of heterogeneous clusters. (2019). Hagemann, Andreas. In: Papers. RePEc:arx:papers:1907.01049. Full description at Econpapers || Download paper | |
| 2019 | Multivariate 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 | |
| 2019 | The 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 | Examining Social Vulnerability and Inequality: A Joint Analysis through a Connectivity Lens in the Urban Agglomerations of China. (2019). Chen, YI ; Yang, Guangfei ; Ge, YI ; Dou, Wen. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:4:p:1042-:d:206650. Full description at Econpapers || Download paper | |
| 2019 | The 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 | |
| 2019 | Models 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 | |
| 2019 | Uniform 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 | |
| 2019 | Models 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 | |
| 2019 | Uniform 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 | |
| 2019 | Models 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 | |
| 2019 | Yield 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 | |
| 2019 | When 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 | |
| 2019 | How clusterââ¬Ârobust 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 | |
| 2019 | The 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
| Year | Citing document | |
|---|---|---|
| 2018 | Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach. (2018). Varneskov, Rasmus T ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2018-16. Full description at Econpapers || Download paper | |
| 2018 | The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19. Full description at Econpapers || Download paper | |
| 2018 | Repo market functioning: the role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: Bank of England working papers. RePEc:boe:boeewp:0746. Full description at Econpapers || Download paper | |
| 2018 | Unintended 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 | |
| 2018 | Repo market functioning: The role of capital regulation. (2018). Van Horen, Neeltje ; Kotidis, Antonis. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13090. Full description at Econpapers || Download paper | |
| 2018 | Impact 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 |
10 most frequent citing series