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

Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
29
Impact Factor (IF)
0.45
5 Years IF
0.51
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
2007 0 0.52 0.89 0 45 45 1809 30 87 0 0 16 53.3 30 0.67 0.29
2008 1.51 0.58 1.29 1.51 65 110 738 132 229 45 68 45 68 40 30.3 45 0.69 0.29
2009 1.05 0.59 1.19 1.05 60 170 677 196 432 110 116 110 116 66 33.7 28 0.47 0.33
2010 0.7 0.52 0.89 0.93 74 244 346 215 649 125 88 170 158 22 10.2 22 0.3 0.3
2011 0.72 0.61 1.13 0.99 56 300 215 336 989 134 97 244 241 39 11.6 25 0.45 0.36
2012 0.46 0.67 0.95 0.77 56 356 541 334 1327 130 60 300 230 47 14.1 33 0.59 0.36
2013 0.79 0.64 0.9 0.63 51 407 274 363 1695 112 89 311 195 33 9.1 19 0.37 0.34
2014 0.93 0.67 0.89 0.66 63 470 317 418 2114 107 100 297 196 48 11.5 33 0.52 0.34
2015 0.71 0.65 0.84 0.6 57 527 198 440 2555 114 81 300 180 40 9.1 17 0.3 0.36
2016 0.73 0.63 0.74 0.63 33 560 84 417 2972 120 88 283 179 39 9.4 8 0.24 0.34
2017 0.52 0.61 0.66 0.61 41 601 244 395 3367 90 47 260 159 15 3.8 7 0.17 0.33
2018 0.59 0.6 0.56 0.46 36 637 115 354 3721 74 44 245 112 18 5.1 6 0.17 0.34
2019 0.87 0.6 0.6 0.49 23 660 132 392 4115 77 67 230 113 11 2.8 17 0.74 0.35
2020 0.76 0.68 0.58 0.63 19 679 45 392 4507 59 45 190 119 22 5.6 16 0.84 0.72
2021 0.6 0.91 0.58 0.61 16 695 43 405 4912 42 25 152 93 4 1 3 0.19 0.37
2022 0.63 0.66 0.48 0.53 11 706 31 341 5253 35 22 135 72 15 4.4 7 0.64 0.21
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
#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

955
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

571
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

265
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

234
52008Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat. In: CREATES Research Papers. RePEc:aah:create:2008-11.

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130
62017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

128
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

127
82019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

Full description at Econpapers || Download paper

87
92012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

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85
102013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

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73
112010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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71
122008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

71
132007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

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67
142013The 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.

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65
152007The 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

62
162008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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60
172018Fast 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.

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56
182014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

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51
192015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria. In: CREATES Research Papers. RePEc:aah:create:2015-04.

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45
202008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08.

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44
212014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

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44
222014A 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.

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44
232015Effects 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.

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42
242008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

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41
252008Multivariate 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 E.. In: CREATES Research Papers. RePEc:aah:create:2008-63.

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37
262008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

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35
272009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

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31
282008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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30
292007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

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29
302007Microstructure 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.

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27
312011Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

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26
322012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

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26
332022Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2022-08.

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25
342008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos. In: CREATES Research Papers. RePEc:aah:create:2008-56.

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24
352009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33.

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24
362011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

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23
372009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, GUILLAUME . In: CREATES Research Papers. RePEc:aah:create:2009-13.

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23
382009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

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23
392010Realized 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.

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23
402008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

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22
412007Estimation 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.

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22
422012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

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21
432009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17.

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20
442010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco. In: CREATES Research Papers. RePEc:aah:create:2010-21.

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20
452009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52.

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19
462008Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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19
472018State-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.

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19
482007Continuous-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.

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19
492008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58.

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18
502014A 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.

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

Full description at Econpapers || Download paper

121
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

53
32009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

51
42019Asymptotic 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

50
52017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

48
62012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

37
72008Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat. In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

26
82009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

24
92008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

Full description at Econpapers || Download paper

20
102022Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2022-08.

Full description at Econpapers || Download paper

18
112009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

Full description at Econpapers || Download paper

12
122012Choice 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

12
132015Effects 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

12
142021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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11
152013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

10
162007The 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

9
172014A 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

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

Full description at Econpapers || Download paper

8
192014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

8
202021Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Corrado, Luisa ; Grassi, Stefano ; Paolillo, Aldo. In: CREATES Research Papers. RePEc:aah:create:2021-08.

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8
212014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

7
222015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria. In: CREATES Research Papers. RePEc:aah:create:2015-04.

Full description at Econpapers || Download paper

6
232008American 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

6
242017Quasi-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.

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5
252019Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Ergemen, Yunus Emre ; Kjargaard, Soren ; Lindahl-Jacobsen, Rune ; Kallestrup-Lamb, Malene ; Oeppen, Jim. In: CREATES Research Papers. RePEc:aah:create:2019-07.

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5
262014A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. (2014). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, KE. In: CREATES Research Papers. RePEc:aah:create:2014-24.

Full description at Econpapers || Download paper

4
272018Fast 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.

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4
282021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

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4
292019Demand and Welfare Analysis in Discrete Choice Models with Social Interactions. (2019). Kanaya, Shin ; Dupas, Pascaline ; Bhattacharya, Debopam. In: CREATES Research Papers. RePEc:aah:create:2019-09.

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3
302020A statistical model of the global carbon budget. (2020). Koopman, Siem Jan ; Hillebrand, Eric ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2020-18.

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3
312008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08.

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3
322007Construction 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

3
332020Targeting predictors in random forest regression. (2020). Christensen, Bent Jesper ; Borup, Daniel ; Muhlbach, Nicolaj N ; Nielsen, Mikkel S. In: CREATES Research Papers. RePEc:aah:create:2020-03.

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3
342009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, GUILLAUME . In: CREATES Research Papers. RePEc:aah:create:2009-13.

Full description at Econpapers || Download paper

2
352022Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07.

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2
362017Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles. (2017). Johansen, Soren ; Franchi, Massimo. In: CREATES Research Papers. RePEc:aah:create:2017-17.

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2
372019Bond Risk Premiums at the Zero Lower Bound. (2019). Andreasen, Martin Moller ; Jorgensen, Kasper ; Meldrum, Andrew. In: CREATES Research Papers. RePEc:aah:create:2019-10.

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2
382008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

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2
392008A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. (2008). Podolskij, Mark ; Ziggel, Daniel. In: CREATES Research Papers. RePEc:aah:create:2008-22.

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2
402018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering. (2018). Yang, Yukai ; Bauwens, Luc. In: CREATES Research Papers. RePEc:aah:create:2018-30.

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2
412016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04.

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2
422008Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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2
432009Identification of Macroeconomic Factors in Large Panels. (2009). Houssa, Romain ; Dewachter, Hans ; Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-43.

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2
442011American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison. (2011). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2011-34.

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2
452022Inference on the dimension of the nonstationary subspace in functional time series. (2022). Seong, Dakyung ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2022-04.

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462015Seasonal Changes in Central England Temperatures. (2015). Proietti, Tommaso ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2015-28.

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472012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

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482018State-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.

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Citing documents used to compute impact factor: 5
YearTitle
2024Functional principal component analysis for cointegrated functional time series. (2024). Seo, Wonki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:320-330.

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2024How do strategic pricing approaches influence franchise fee decisions?. (2024). Lee, Seoki ; Kyung-A Sun, . In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:6:p:1508-1530.

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2024Seasonality in U.S. disability applications, labor market, and the pandemic echoes. (2024). Lahiri, Kajal ; Yin, Yimeng. In: Labour Economics. RePEc:eee:labeco:v:87:y:2024:i:c:s092753712400006x.

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2024Working from home is here to stay, but how does it affect workplace learning?. (2024). , Guillaume ; Bolli, Thomas. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:160:y:2024:i:1:d:10.1186_s41937-024-00123-4.

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2024The impact of export controls on international trade: Evidence from the Japan–Korea trade dispute in semiconductor industry. (2024). ZHANG, Hongyong ; Makioka, Ryo. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:74:y:2024:i:c:s0889158324000327.

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Recent citations
Recent citations received in 2022
YearCiting document
2022Recent developments in cluster–robust inference. (2022). Cameron, A.. In: Economics Virtual Symposium 2022. RePEc:boc:econ22:07.

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2022No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759.

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2022More or less unmarried. The impact of legal settings of cohabitation on labour market outcomes. (2022). Leturcq, Marion ; Goussé, Marion ; Gousse, Marion. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001519.

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2022Collusion 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.

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2022A Meta-Regression Analysis of Hunters’ Valuations of Recreational Hunting. (2022). Gren, Ing-Marie ; Kerr, Geoffrey. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:27-:d:1008901.

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2022The Impact of Maternal Education on Child Immunization: Evidence from Bangladesh. (2022). Ayyagari, Padmaja ; Shahjahan, MD ; la Mattina, Giulia. In: IZA Discussion Papers. RePEc:iza:izadps:dp15553.

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2022Quality decreases from introducing patient choice in a National Health Service. (2022). Barros, Pedro. In: Portuguese Economic Journal. RePEc:spr:portec:v:21:y:2022:i:3:d:10.1007_s10258-022-00223-0.

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Recent citations received in 2021
YearCiting document
2021The Euro Areas Pandemic Recession: A DSGE-Based Interpretation. (2021). Vogel, Lukas ; Ratto, Marco ; Pfeiffer, Philipp ; Cardani, Roberta ; Croitorov, Olga ; Giovannini, Massimo. In: European Economy - Discussion Papers. RePEc:euf:dispap:153.

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2021The Euro Areas pandemic recession: A DSGE interpretation. (2021). Vogel, Lukas ; Ratto, Marco ; Pfeiffer, Philipp ; Giovannini, Massimo ; Cardani, Roberta ; Croitorov, Olga. In: JRC Working Papers in Economics and Finance. RePEc:jrs:wpaper:202110.

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2021On the uncertainty of a combined forecast: The critical role of correlation. (2021). Vasnev, Andrey ; Magnus, Jan. In: Working Papers. RePEc:syb:wpbsba:2123/27307.

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