CREATES Research Papers / Department of Economics and Business Economics, Aarhus University
Citation Profile [Updated: 2024-05-03 12:49:13]
5 Years H Index
27
Impact Factor (IF)
1.11
5 Years IF
0.65
Data available in this
report
[Raw
data] [50 most cited papers]
[50 most relevant papers]
[cites used to compute IF]
[Recent
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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 | 0.52 | 0.89 | 0 | 45 | 45 | 1686 | 30 | 40 | 0 | 0 | 16 | 53.3 | 30 | 0.67 | 0.3 | ||
| 2008 | 1.51 | 0.59 | 1.29 | 1.51 | 65 | 110 | 693 | 132 | 182 | 45 | 68 | 45 | 68 | 40 | 30.3 | 45 | 0.69 | 0.29 |
| 2009 | 1.05 | 0.58 | 1.19 | 1.05 | 60 | 170 | 609 | 195 | 384 | 110 | 115 | 110 | 115 | 66 | 33.8 | 28 | 0.47 | 0.33 |
| 2010 | 0.7 | 0.53 | 0.89 | 0.92 | 74 | 244 | 342 | 214 | 600 | 125 | 88 | 170 | 157 | 22 | 10.3 | 22 | 0.3 | 0.3 |
| 2011 | 0.72 | 0.61 | 1.13 | 0.98 | 56 | 300 | 210 | 334 | 938 | 134 | 96 | 244 | 239 | 39 | 11.7 | 25 | 0.45 | 0.37 |
| 2012 | 0.45 | 0.68 | 0.94 | 0.75 | 56 | 356 | 509 | 330 | 1272 | 130 | 59 | 300 | 226 | 47 | 14.2 | 33 | 0.59 | 0.36 |
| 2013 | 0.78 | 0.67 | 0.9 | 0.62 | 51 | 407 | 268 | 362 | 1639 | 112 | 87 | 311 | 192 | 33 | 9.1 | 19 | 0.37 | 0.35 |
| 2014 | 0.93 | 0.67 | 0.88 | 0.66 | 63 | 470 | 301 | 414 | 2054 | 107 | 99 | 297 | 195 | 48 | 11.6 | 32 | 0.51 | 0.34 |
| 2015 | 0.71 | 0.66 | 0.83 | 0.6 | 57 | 527 | 182 | 437 | 2492 | 114 | 81 | 300 | 179 | 40 | 9.2 | 17 | 0.3 | 0.36 |
| 2016 | 0.71 | 0.65 | 0.74 | 0.62 | 33 | 560 | 82 | 412 | 2904 | 120 | 85 | 283 | 176 | 39 | 9.5 | 8 | 0.24 | 0.35 |
| 2017 | 0.51 | 0.62 | 0.65 | 0.61 | 41 | 601 | 206 | 392 | 3296 | 90 | 46 | 260 | 158 | 15 | 3.8 | 7 | 0.17 | 0.35 |
| 2018 | 0.59 | 0.61 | 0.55 | 0.46 | 36 | 637 | 107 | 353 | 3649 | 74 | 44 | 245 | 112 | 18 | 5.1 | 6 | 0.17 | 0.35 |
| 2019 | 0.87 | 0.62 | 0.6 | 0.49 | 23 | 660 | 98 | 391 | 4042 | 77 | 67 | 230 | 113 | 11 | 2.8 | 17 | 0.74 | 0.36 |
| 2020 | 0.76 | 0.71 | 0.58 | 0.63 | 19 | 679 | 43 | 392 | 4434 | 59 | 45 | 190 | 119 | 22 | 5.6 | 16 | 0.84 | 0.76 |
| 2021 | 0.57 | 0.98 | 0.58 | 0.6 | 16 | 695 | 30 | 403 | 4837 | 42 | 24 | 152 | 91 | 4 | 1 | 3 | 0.19 | 0.4 |
| 2022 | 0.6 | 0.76 | 0.48 | 0.51 | 11 | 706 | 21 | 338 | 5175 | 35 | 21 | 135 | 69 | 15 | 4.4 | 7 | 0.64 | 0.24 |
| 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 | 877 |
| 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 | 537 |
| 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 | 244 |
| 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 | 194 |
| 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 | 114 |
| 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 | 109 |
| 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 | 96 |
| 8 | 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 | 77 |
| 9 | 2010 | Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers || Download paper | 71 |
| 10 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 68 |
| 11 | 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 | 66 |
| 12 | 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 |
| 13 | 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 | 65 |
| 14 | 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 | 61 |
| 15 | 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 | 60 |
| 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 | 54 |
| 17 | 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 | 53 |
| 18 | 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 | 46 |
| 19 | 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 |
| 20 | 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 | 39 |
| 21 | 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 | 39 |
| 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 | 39 |
| 23 | 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 | 39 |
| 24 | 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 | 36 |
| 25 | 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 | 33 |
| 26 | 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 | 30 |
| 27 | 2008 | Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers || Download paper | 30 |
| 28 | 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 | 27 |
| 29 | 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 |
| 30 | 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 | 25 |
| 31 | 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 | 24 |
| 32 | 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 |
| 33 | 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 |
| 34 | 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 | 23 |
| 35 | 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 | 23 |
| 36 | 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 |
| 37 | 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 |
| 38 | 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 | 21 |
| 39 | 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 |
| 40 | 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 | 21 |
| 41 | 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 |
| 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 | 20 |
| 43 | 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 | 19 |
| 44 | 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 |
| 45 | 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 | 19 |
| 46 | 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 |
| 47 | 2011 | Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX. (2011). Andersen, Torben ; Bondarenko, Oleg ; Gonzalez-Perez, Maria T.. In: CREATES Research Papers. RePEc:aah:create:2011-49. Full description at Econpapers || Download paper | 18 |
| 48 | 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 |
| 49 | 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 |
| 50 | 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 |
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 | 111 |
| 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 | 51 |
| 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 | 49 |
| 4 | 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 | 41 |
| 5 | 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 | 35 |
| 6 | 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 | 28 |
| 7 | 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 | 20 |
| 8 | 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 | 19 |
| 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 | 13 |
| 10 | 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 | 11 |
| 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 | 11 |
| 12 | 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 | 10 |
| 13 | 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 | 9 |
| 14 | 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 | 9 |
| 15 | 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 |
| 16 | 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 | 8 |
| 17 | 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 | 7 |
| 18 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 7 |
| 19 | 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 | 7 |
| 20 | 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 | 6 |
| 21 | 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 |
| 22 | 2019 | Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07. Full description at Econpapers || Download paper | 6 |
| 23 | 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 | 5 |
| 24 | 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 | 5 |
| 25 | 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 | 5 |
| 26 | 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 |
| 27 | 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 | 5 |
| 28 | 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 |
| 29 | 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 | 4 |
| 30 | 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 | 3 |
| 31 | 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 | 3 |
| 32 | 2021 | Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14. Full description at Econpapers || Download paper | 3 |
| 33 | 2020 | Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08. Full description at Econpapers || Download paper | 3 |
| 34 | 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 | 3 |
| 35 | 2021 | Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Taylor, Robert ; Nielsen, Morten ; Iacone, Fabrizio. In: CREATES Research Papers. RePEc:aah:create:2021-04. Full description at Econpapers || Download paper | 3 |
| 36 | 2020 | A statistical model of the global carbon budget. (2020). Koopman, Siem Jan ; Bennedsen, Mikkel ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2020-18. Full description at Econpapers || Download paper | 3 |
| 37 | 2021 | Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers || Download paper | 2 |
| 38 | 2011 | The Properties of Model Selection when Retaining Theory Variables. (2011). Johansen, Soren ; Hendry, David. In: CREATES Research Papers. RePEc:aah:create:2011-36. Full description at Econpapers || Download paper | 2 |
| 39 | 2019 | Demand and Welfare Analysis in Discrete Choice Models with Social Interactions. (2019). Dupas, Pascaline ; Bhattacharya, Debopam ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2019-09. Full description at Econpapers || Download paper | 2 |
| 40 | 2008 | Bias-reduced estimation of long memory stochastic volatility. (2008). Nielsen, Morten ; Frederiksen, Per . In: CREATES Research Papers. RePEc:aah:create:2008-35. Full description at Econpapers || Download paper | 2 |
| 41 | 2010 | The Model Confidence Set. (2010). Nason, James ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-76. Full description at Econpapers || Download paper | 2 |
| 42 | 2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: CREATES Research Papers. RePEc:aah:create:2013-09. Full description at Econpapers || Download paper | 2 |
| 43 | 2007 | Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Christoffersen, Peter ; Jacobs, Kris ; Mimouni, Karim. In: CREATES Research Papers. RePEc:aah:create:2007-37. Full description at Econpapers || Download paper | 2 |
| 44 | 2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | 2 |
| 45 | 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 | 2 |
| 46 | 2014 | Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition. (2014). Yang, Yukai. In: CREATES Research Papers. RePEc:aah:create:2014-11. Full description at Econpapers || Download paper | 2 |
| 47 | 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 | 2 |
| 48 | 2015 | A Martingale Decomposition of Discrete Markov Chains. (2015). Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2015-18. Full description at Econpapers || Download paper | 2 |
| 49 | 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 | 2 |
| 50 | 2015 | Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models. (2015). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2015-61. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 30
| Year | Title | |
|---|---|---|
| 2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
| 2023 | From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256. Full description at Econpapers || Download paper | |
| 2023 | Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data. (2023). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1122-1144. Full description at Econpapers || Download paper | |
| 2023 | Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers || Download paper | |
| 2023 | ||
| 2023 | Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719. Full description at Econpapers || Download paper | |
| 2023 | Drivers of Large Recessions and Monetary Policy Responses. (2023). Villa, Stefania ; Melina, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10590. Full description at Econpapers || Download paper | |
| 2023 | Drivers of large recessions and monetary policy responses. (2023). Villa, Stefania ; Melina, Giovanni. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000955. Full description at Econpapers || Download paper | |
| 2023 | Drivers of large recessions and monetary policy responses. (2023). Villa, Stefania ; Melina, Giovanni. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1425_23. Full description at Econpapers || Download paper | |
| 2023 | The COVID-19 recession on both sides of the Atlantic: A model-based comparison. (2023). Vogel, Lukas ; Ratto, Marco ; Pfeiffer, Philipp ; Cardani, Roberta. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2023014. Full description at Econpapers || Download paper | |
| 2023 | The COVID-19 recession on both sides of the Atlantic: A model-based comparison. (2023). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s0014292123001848. Full description at Econpapers || Download paper | |
| 2023 | The COVID-19 Recession on Both Sides of the Atlantic: A Model-Based Comparison. (2023). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco. In: European Economy - Discussion Papers. RePEc:euf:dispap:191. Full description at Econpapers || Download paper | |
| 2023 | Bootstrap inference in the presence of bias. (2022). Cavaliere, Giuseppe ; Nielsen, Morten Orregaard ; Gonccalves, S'Ilvia. In: Papers. RePEc:arx:papers:2208.02028. Full description at Econpapers || Download paper | |
| 2023 | Are Some Forecasters Really Better than Others? A Note*. (2023). Lahiri, Kajal ; Hounyo, Ulrich. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:577-593. Full description at Econpapers || Download paper | |
| 2023 | On the uncertainty of a combined forecast: The critical role of correlation. (2023). Vasnev, Andrey ; Magnus, Jan R. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1895-1908. Full description at Econpapers || Download paper | |
| 2023 | Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers || Download paper | |
| 2023 | Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust. (2022). Webb, Matthew D ; Nielsen, Morten Orregaard ; MacKinnon, James G. In: Papers. RePEc:arx:papers:2205.03288. Full description at Econpapers || Download paper | |
| 2023 | Inference on quantile processes with a finite number of clusters. (2023). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2301.04687. Full description at Econpapers || Download paper | |
| 2023 | The Impact of Export Controls on International Trade: Evidence from the Japanââ¬âKorea trade dispute in the semiconductor industry. (2023). Hongyong, Zhang ; Ryo, Makioka. In: Discussion papers. RePEc:eti:dpaper:23017. Full description at Econpapers || Download paper | |
| 2023 | How Does Immigration Affect Housing Costs in Switzerland?. (2023). Osikominu, Aderonke ; Grossmann, Volker ; Helfer, Fabienne. In: IZA Discussion Papers. RePEc:iza:izadps:dp15958. Full description at Econpapers || Download paper | |
| 2023 | The housing market impacts of bicycle-sharing systems. (2023). Chen, Yi-Syun ; Yang, Feng-An ; Shr, Yau-Huo. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:98:y:2023:i:c:s0166046222000874. Full description at Econpapers || Download paper | |
| 2023 | How does immigration affect housing costs in Switzerland?. (2023). Grossmann, Volker ; Osikominu, Aderonke ; Helfer, Fabienne. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00110-1. Full description at Econpapers || Download paper | |
| 2023 | Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363. Full description at Econpapers || Download paper | |
| 2023 | Biased Beliefs and Stigma as Barriers to Treatment and Innovation Adoption. (2023). Lasio, Laura ; Grigolon, Laura. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_277v2. Full description at Econpapers || Download paper | |
| 2023 | How price-gouging regulation undermined COVID-19 mitigation: county-level evidence of unintended consequences. (2023). Roberts, Gavin ; Chakraborti, Rik. In: Public Choice. RePEc:kap:pubcho:v:196:y:2023:i:1:d:10.1007_s11127-023-01054-z. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Prospect theory and mutual fund flows: Evidence from China. (2023). Han, Jing ; Wang, Cheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001336. Full description at Econpapers || Download paper | |
| 2023 |
Recent citations
Recent citations received in 2022
| Year | Citing document | |
|---|---|---|
| 2022 | Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method. (2022). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2210.16991. Full description at Econpapers || Download paper | |
| 2022 | No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759. Full description at Econpapers || Download paper | |
| 2022 | More or less unmarried. The impact of legal settings of cohabitation on labour market outcomes. (2022). Leturcq, Marion ; Gousse, Marion. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001519. Full description at Econpapers || Download paper | |
| 2022 | Collusion in the US generic drug industry. (2022). Lasio, Laura ; Clark, Robert ; Fabiilli, Christopher. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:85:y:2022:i:c:s0167718722000546. Full description at Econpapers || Download paper | |
| 2022 | A Meta-Regression Analysis of Huntersâ Valuations of Recreational Hunting. (2022). Kerr, Geoffrey ; Gren, Ing-Marie. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:27-:d:1008901. Full description at Econpapers || Download paper | |
| 2022 | The Impact of Maternal Education on Child Immunization: Evidence from Bangladesh. (2022). Ayyagari, Padmaja ; la Mattina, Giulia ; Lamattina, Giulia ; Shahjahan, MD. In: IZA Discussion Papers. RePEc:iza:izadps:dp15553. Full description at Econpapers || Download paper | |
| 2022 | Quality decreases from introducing patient choice in a National Health Service. (2022). Barros, Pedro Pita ; PitaBarros, Pedro . In: Portuguese Economic Journal. RePEc:spr:portec:v:21:y:2022:i:3:d:10.1007_s10258-022-00223-0. Full description at Econpapers || Download paper |
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 |
10 most frequent citing series