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Citation Profile [Updated: 2022-11-01 10:22:50]
5 Years H Index
10
Impact Factor (IF)
0.04
5 Years IF
0.02
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
1992 0 0.12 0 0 3 3 0 0 0 0 0 0 0.08
1993 0 0.16 0.03 0 28 31 19 1 1 3 3 1 100 1 0.04 0.1
1994 0.03 0.16 0.04 0.03 19 50 3 2 3 31 1 31 1 2 100 1 0.05 0.08
1995 0.06 0.21 0.05 0.06 26 76 38 4 7 47 3 50 3 4 100 0 0.11
1996 0.04 0.24 0.09 0.08 25 101 28 9 16 45 2 76 6 4 44.4 3 0.12 0.13
1997 0.08 0.27 0.08 0.06 27 128 56 10 26 51 4 101 6 5 50 4 0.15 0.15
1998 0.29 0.3 0.14 0.14 33 161 38 22 48 52 15 125 18 6 27.3 4 0.12 0.18
1999 0.25 0.38 0.13 0.16 34 195 39 25 73 60 15 130 21 12 48 1 0.03 0.25
2000 0.15 0.52 0.07 0.08 32 227 18 15 88 67 10 145 12 7 46.7 2 0.06 0.24
2001 0.08 0.48 0.12 0.11 29 256 68 30 118 66 5 151 17 6 20 4 0.14 0.27
2002 0.08 0.52 0.06 0.08 11 267 17 15 133 61 5 155 12 3 20 0 0.29
2003 0.1 0.51 0.06 0.06 16 283 18 17 151 40 4 139 8 9 52.9 2 0.13 0.29
2004 0.22 0.57 0.08 0.07 17 300 32 23 174 27 6 122 8 7 30.4 2 0.12 0.35
2005 0.09 0.58 0.06 0.12 11 311 9 20 194 33 3 105 13 1 5 0 0.36
2006 0.21 0.58 0.07 0.14 19 330 15 24 218 28 6 84 12 5 20.8 3 0.16 0.34
2007 0.1 0.5 0.04 0.11 18 348 7 15 233 30 3 74 8 3 20 2 0.11 0.29
2008 0.08 0.58 0.08 0.12 26 374 16 30 263 37 3 81 10 6 20 3 0.12 0.3
2009 0.02 0.56 0.06 0.1 23 397 19 22 285 44 1 91 9 3 13.6 1 0.04 0.32
2010 0.04 0.5 0.06 0.07 26 423 41 26 311 49 2 97 7 3 11.5 2 0.08 0.29
2011 0.1 0.6 0.06 0.06 28 451 35 26 338 49 5 112 7 2 7.7 1 0.04 0.35
2012 0.31 0.65 0.08 0.16 20 471 21 37 375 54 17 121 19 1 2.7 1 0.05 0.34
2013 0.17 0.64 0.07 0.2 32 503 32 35 410 48 8 123 25 6 17.1 2 0.06 0.34
2014 0.19 0.65 0.07 0.18 23 526 12 37 447 52 10 129 23 3 8.1 0 0.34
2015 0.15 0.63 0.06 0.14 22 548 24 31 479 55 8 129 18 3 9.7 0 0.34
2016 0.09 0.63 0.04 0.06 14 562 6 23 502 45 4 125 7 4 17.4 1 0.07 0.34
2017 0.25 0.62 0.08 0.2 19 581 5 47 549 36 9 111 22 8 17 0 0.34
2018 0.12 0.61 0.05 0.16 5 586 3 28 577 33 4 110 18 2 7.1 0 0.35
2019 0.13 0.63 0.02 0.07 16 602 0 12 589 24 3 83 6 1 8.3 0 0.37
2020 0.05 0.71 0.03 0.04 10 612 0 16 605 21 1 76 3 1 6.3 0 0.72
2021 0.04 1.01 0.04 0.02 9 621 0 26 632 26 1 64 1 1 3.8 0 0.43
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
12001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

Full description at Econpapers || Download paper

23
21995Investigating the relationship between gold and silver prices. (1995). Escribano, Alvaro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4517.

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22
31997Threshold unit root models. (1997). Gonzalez-Rozada, Martin ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6214.

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18
41999On the asymptotic theory of subsampling. (1999). Wolf, Michael ; Politis, Dimitris N ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6334.

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17
52001Multivariate analysis in vector time series. (2001). Galeano, Pedro ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws012415.

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14
62010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

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13
72015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

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10
81996Nonlinear cointegration and nonlinear error correction. (1996). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4546.

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10
92010Exponential conditional volatility models. (2010). Harvey, Andrew. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103620.

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10
102011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

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10
112001GMM estimation of a production function with panel data : an application to Spanish manufacturing firms. (2001). Sánchez-Mangas, Rocío ; Alonso-Borrego, César ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws015527.

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9
122013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

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9
132004Econometric modelling for short-term inflation forecasting in the EMU.. (2004). Espasa, Antoni ; Albacete, Rebeca . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws034309.

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9
141995Comovements in large systems. (1995). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:5825.

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9
152003Generalized spectral tests for the martingale difference hypothesis. (2003). Velasco, Carlos ; Escanciano, Juan Carlos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws035312.

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8
162004Variance changes detection in multivariate time series. (2004). Galeano, Pedro ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws041305.

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8
171993Cointegration and common factors. (1993). Escribano, Alvaro ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:3680.

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7
182002Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws025414.

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7
191999Subsampling intervals in autoregressive models with linear time trend. (1999). Wolf, Michael ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6400.

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7
202001Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors. (2001). Espasa, Antoni ; Albacete, R. ; Senra, E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws013723.

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7
212010A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. (2010). Galeano, Pedro ; Ausin, Concepcion ; Ghosh, Pulak. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103822.

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7
222006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws066016.

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7
231997Nonlinear cointegration with mixing errors. (1997). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6204.

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7
242009Small area estimation on poverty indicators. (2009). Molina, Isabel ; J. N. K. Rao, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws091505.

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6
251996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. (1996). Ng, Serena ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6203.

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6
262008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws087326.

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6
272002Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis. (2002). Poncela, Pilar ; Espasa, Antoni ; Senra, E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws020301.

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6
281998The correlogram of a long memory process plus a simple noise. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:9820.

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6
291997On the properties of the Dickey-Pantula test against fractional alternatives. (1997). Dolado, Juan ; Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4549.

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5
302012More is not always better : back to the Kalman filter in dynamic factor models. (2012). Ruiz, Esther ; Poncela, Pilar. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws122317.

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5
312002Pseudo-maximum likelihood estimation of a dynamic structural investment model. (2002). Sánchez-Mangas, Rocío ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws026218.

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5
322009Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Santos, Andre ; Ruiz, Esther ; Andre A. P., ; Nogales, Francisco J.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws097222.

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5
331997Estimating Binary choice models from cohort data. (1997). Collado, Dolores M. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6225.

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5
342012Portfolio selection through and extremality stochastic order. (2012). Pellerey, Franco ; Lillo, Rosa E. ; Romo, Juan ; Laniado, Henry. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121812.

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5
351997Improved testing and specification of smooth transition regression models. (1997). Jorda, Oscar ; Escribano, Alvaro. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6218.

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5
362004Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws046315.

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5
372010Multivariate extremality measure. (2010). Laniado, Henry ; Lillo, Rosa E. ; Romo, Juan. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws101908.

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5
381998Searching for fractional evidence using combined unit root tests. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10613.

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5
391996P-values for non-standard distributions with an application to the DF test. (1996). Gonzalo, Jesus ; Adda, Jerome. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4541.

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5
402001Is stochastic volatility more flexible than garch?. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010805.

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5
412005Forecasting inflation in the euro area using monthly time series models and quarterly econometric models. (2005). Espasa, Antoni ; Albacete, Rebeca . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws050401.

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4
422008The effect of short-selling of the aggregation of information in an experimental asset market. (2008). Vorsatz, Marc ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws083808.

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4
431999Short-term and long-term trends, seasonal and the business cycle. (1999). Kaiser, Regina ; Maravall, Agustin . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6291.

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4
442011Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems. (2011). Breto, Carles ; Ionides, Edward L.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws111914.

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4
452011Bootstrap forecast of multivariate VAR models without using the backward representation. (2011). Ruiz, Esther ; Fresoli, Diego ; Pascual, Lorenzo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws113426.

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4
462013Lasso variable selection in functional regression. (2013). Romo, Juan ; Lillo, Rosa E. ; Mingotti, Nicola . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131413.

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4
472013Correlations between oil and stock markets : a wavelet-based approach. (2013). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130504.

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4
482012National minimum wage and labour market outcomes of young workers. (2012). Tena, Juan de Dios ; Fidrmuc, Jan ; Juan de Dios Tena, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121209.

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4
492013The Mahalanobis distance for functional data with applications to classification. (2013). Galeano, Pedro ; Joseph, Esdras ; Lillo, Rosa E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131312.

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4
501998Subsampling confidence intervals for the autoregressive root. (1998). Wolf, Michael ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6268.

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4
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

Full description at Econpapers || Download paper

5
21995Comovements in large systems. (1995). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:5825.

Full description at Econpapers || Download paper

4
32008The effect of short-selling of the aggregation of information in an experimental asset market. (2008). Vorsatz, Marc ; Veiga, Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws083808.

Full description at Econpapers || Download paper

3
42009Small area estimation on poverty indicators. (2009). Molina, Isabel ; J. N. K. Rao, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws091505.

Full description at Econpapers || Download paper

3
52013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

Full description at Econpapers || Download paper

3
62001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

Full description at Econpapers || Download paper

2
72015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

Full description at Econpapers || Download paper

2
82010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

Full description at Econpapers || Download paper

2
92022Contagion in sequential financial markets: an experimental analysis. (2020). Veiga, Helena ; Vorstaz, Marc ; Peeters, Ronald ; Lopes, Maria Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31230.

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2
102000A well conditioned estimator for large dimensional covariance matrices. (2000). Wolf, Michael ; Ledoit, Olivier. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10087.

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2
Citing documents used to compute impact factor: 1
YearTitle
2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. (2021). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534.

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Recent citations
Recent citations received in 2018

YearCiting document