Eric Eisenstat : Citation Profile

University of Queensland

8

H index

8

i10 index

352

Citations

RESEARCH PRODUCTION:

14

Articles

21

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 29
   Journals where Eric Eisenstat has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 15 (4.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pei47
   Updated: 2025-05-10    RAS profile: 2022-04-14    
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Relations with other researchers

Works with:

Chan, Joshua (4)

Koop, Gary (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Eisenstat.

Is cited by:

Chan, Joshua (42)

Rodríguez, Gabriel (26)

Huber, Florian (25)

Ricco, Giovanni (20)

Miranda-Agrippino, Silvia (19)

Karlsson, Sune (18)

Koop, Gary (17)

Österholm, Pär (16)

Grant, Angelia (11)

Korobilis, Dimitris (10)

Poon, Aubrey (9)

Cites to:

Koop, Gary (44)

Chan, Joshua (42)

Korobilis, Dimitris (23)

Strachan, Rodney (22)

Giannone, Domenico (16)

Leon-Gonzalez, Roberto (14)

Reichlin, Lucrezia (9)

Sargent, Thomas (9)

Banbura, Marta (8)

Clark, Todd (8)

Grant, Angelia (8)

Main data

Where Eric Eisenstat has published?

Journals with more than one article published# docs
Journal of Applied Econometrics4
Annals of Spiru Haret University, Economic Series2
Econometric Reviews2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis5
Working Paper Series / Economics Discipline Group, UTS Business School, University of Technology, Sydney3

Recent works citing Eric Eisenstat (2025 and 2024)

YearTitle of citing document
2024Time-Varying Parameters as Ridge Regressions. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2009.00401.

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2024A Quantile Nelson-Siegel model. (2024). Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo ; Zhu, Dan. In: Papers. RePEc:arx:papers:2401.09874.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2024Hybrid SV‐GARCH, t‐GARCH and Markov‐switching covariance structures in VEC models—Which is better from a predictive perspective?. (2024). Pajor, Anna ; Kwiatkowski, Ukasz ; Wroblewska, Justyna ; Osiewalski, Jacek. In: International Statistical Review. RePEc:bla:istatr:v:92:y:2024:i:1:p:62-86.

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2024Dynamic Shrinkage Priors for Large Time-Varying Parameter Regressions Using Scalable Markov Chain Monte Carlo Methods. (2024). Koop, Gary ; Huber, Florian ; Gary, Koop ; Florian, Huber ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:201-225:n:2.

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2024Improving the robustness of Markov-switching dynamic factor models with time-varying volatility. (2024). Aumond, Romain ; Royer, Julien. In: Working Papers. RePEc:crs:wpaper:2024-04.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2024The dynamic impact of monetary policy on stock market liquidity. (2024). Lyu, Xiaoyi ; Hu, Hao. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:388-405.

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2024Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Lai, Yongzeng ; Yang, Xite ; Tao, Qiufan ; Zhang, Qin ; Huang, Linya ; Liu, Haiyue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails. (2024). Petrella, Ivan ; Drechsel, Thomas ; Antolin-Diaz, Juan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003500.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR. (2024). Li, Xixi ; Yuan, Jingsong. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1123-1133.

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2024Evolution of the exchange rate pass-through into prices in Peru: An empirical application using TVP-VAR-SV models. (2024). Rodríguez, Gabriel ; Ataurima, Miguel ; Calero, Roberto ; Castillo, Paul ; Arellano, Miguel Ataurima ; Rodriguez, Gabriel ; Cisneros, Rodrigo Salcedo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s026156062400010x.

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2024The ability of energy commodities to hedge the dynamic risk of epidemic black swans. (2024). Lin, Che-Chun ; Tsai, I-Chun ; Chen, Han-Bo. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420723013338.

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2024Return connectedness of green bonds and financial investment channels in China: Implications for hedging and regulation. (2024). HU, YANG ; Corbet, Shaen ; Xu, Danyang ; Lang, Chunlin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001223.

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2025On the Use of the Harmonic Mean Estimator for Selecting the Hypothetical Income Distribution from Grouped Data. (2025). Kakamu, Kazuhiko. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:2:p:72-:d:1582008.

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2025Monetary Policy Under Global and Spillover Uncertainty Shocks: What Do the Bayesian Time-Varying Coefficient VAR, Local Projections, and Vector Error Correction Model Tell Us in Tunisia?. (2025). trabelsi, emna. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:129-:d:1603391.

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2024The Path to Sustainable Stability: Can ESG Investing Mitigate the Spillover Effects of Risk in China’s Financial Markets?. (2024). Chen, Feng ; Wei, Jiangying ; Hu, Ridong. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:23:p:10316-:d:1529130.

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2024US Interest Rates: Are Relations Stable?. (2024). Österholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2024_003.

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2024From Multidimensional Ornstein - Uhlenbeck Process to Bayesian Vector Autoregressive Process. (2024). , Lewis. In: Journal of Mathematics Research. RePEc:ibn:jmrjnl:v:15:y:2024:i:1:p:32.

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2024Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models. (2024). Rodríguez, Gabriel ; Castillo, Paul ; Ojeda, Junior A. In: Open Economies Review. RePEc:kap:openec:v:35:y:2024:i:5:d:10.1007_s11079-023-09742-5.

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2024Exact Likelihood for Inverse Gamma Stochastic Volatility Models. (2024). Leon-Gonzalez, Roberto ; Majon, Blessings. In: GRIPS Discussion Papers. RePEc:ngi:dpaper:24-03.

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2024Time-Varying Effects of Financial Uncertainty Shocks on Macroeconomic Fluctuations in Peru. (2024). Rodríguez, Gabriel ; Alvarado, Mauricio ; Rodriguez, Gabriel. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00531.

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2024The Time-Varying Multivariate Autoregressive Index Model. (2024). Guardabascio, Barbara ; Cubadda, Gianluca ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:571.

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2025Introducing shrinkage in heavy-tailed state space models to predict equity excess returns. (2025). Pfarrhofer, Michael ; Kastner, Gregor ; Huber, Florian. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-023-02437-3.

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2024Bayesian collapsed Gibbs sampling for a stochastic volatility model with a Dirichlet process mixture. (2024). , Frank. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:4:p:697-704.

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2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian vector autoregressions?. (2024). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin ; Gruber, Luis. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2126-2145.

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2024Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features. (2024). Fernandes, Mario Correia ; Dias, Jose Carlos ; Vidal, Joo Pedro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:3:p:343-383.

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Works by Eric Eisenstat:

YearTitleTypeCited
2013Gibbs Samplers for VARMA and Its Extensions In: ANU Working Papers in Economics and Econometrics.
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2022Choosing between identification schemes in noisy-news models In: Studies in Nonlinear Dynamics & Econometrics.
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2014Large Bayesian VARMAs In: SIRE Discussion Papers.
[Full Text][Citation analysis]		paper26
2016Large Bayesian VARMAs.(2016) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 26		article
2015Large Bayesian VARMAs.(2015) In: Working Paper series.
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This paper has nother version. Agregated cites: 26		paper
2014Large Bayesian VARMAs.(2014) In: Working Paper series.
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2014Large Bayesian VARMAs.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 26		paper
2020Identifying noise shocks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2018Identifying Noise Shocks.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2018Comparing hybrid time-varying parameter VARs In: Economics Letters.
[Full Text][Citation analysis]		article12
2018Comparing hybrid time-varying parameter VARs.(2018) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2020Reducing the state space dimension in a large TVP-VAR In: Journal of Econometrics.
[Full Text][Citation analysis]		article51
2012Marginal Likelihood Estimation with the Cross-Entropy Method In: CAMA Working Papers.
[Full Text][Citation analysis]		paper54
2012Marginal Likelihood Estimation with the Cross-Entropy Method.(2012) In: MPRA Paper.
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This paper has nother version. Agregated cites: 54		paper
2015Marginal Likelihood Estimation with the Cross-Entropy Method.(2015) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 54		article
2014Modelling Inflation Volatility In: CAMA Working Papers.
[Full Text][Citation analysis]		paper20
2014Modelling Inflation Volatility.(2014) In: CAMA Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2014Modelling Inflation Volatility.(2014) In: Working Paper series.
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2016Modelling Inflation Volatility.(2016) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 20		article
2014Stochastic Model Specification Search for Time-Varying Parameter VARs In: CAMA Working Papers.
[Full Text][Citation analysis]		paper52
2014Stochastic Model Specification Search for Time-Varying Parameter VARs.(2014) In: Working Paper series.
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This paper has nother version. Agregated cites: 52		paper
2016Stochastic Model Specification Search for Time-Varying Parameter VARs.(2016) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 52		article
2015Efficient estimation of Bayesian VARMAs with time-varying coefficients In: CAMA Working Papers.
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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility In: CAMA Working Papers.
[Full Text][Citation analysis]		paper102
2018Bayesian model comparison for time‐varying parameter VARs with stochastic volatility.(2018) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 102		article
2018Composite likelihood methods for large Bayesian VARs with stochastic volatility In: CAMA Working Papers.
[Full Text][Citation analysis]		paper19
2018Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 19		paper
2020Composite likelihood methods for large Bayesian VARs with stochastic volatility.(2020) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 19		article
2018Reducing dimensions in a large TVP-VAR In: CAMA Working Papers.
[Full Text][Citation analysis]		paper7
2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper series.
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This paper has nother version. Agregated cites: 7		paper
2018Reducing Dimensions in a Large TVP-VAR.(2018) In: Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2010BAYESIAN ANALYSIS OF CARTEL STABILITY AND REGIME SWITCHING In: Annals of Spiru Haret University, Economic Series.
[Full Text][Citation analysis]		article0
2011THE ECONOMICS OF MEASURING QUALITY OF LIFE BY THE STANDARD GAMBLE METHOD In: Annals of Spiru Haret University, Economic Series.
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2010A Comment on “A Review of Student Test Properties in Condition of Multifactorial Linear Regression” In: Journal for Economic Forecasting.
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2017Efficient estimation of Bayesian VARMAs with time€ varying coefficients In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team