Journal of Financial Econometrics

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.17 0 0 0 0.08 1997 0.2 0 0 0 0.08 1998 0.23 0 0 0 0.1 1999 0.32 0 0 0 0.16 2000 0.43 0 0 0 0.19 2001 0.39 0 0 0 0.17 2002 0.42 0 0 0 0.2 2003 0.47 19 48 0 0 1 0.05 0.22 2004 0.42 0.51 24 97 19 8 0 22 0.92 0.23 2005 0.6 0.58 27 44 43 26 0 3 0.11 0.27
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:

Most cited documents in this series:

(1) RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37 Power and Bipower Variation with Stochastic Volatility and Jumps (2004).
Cited: 33 times.

(2) RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572 Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006).
Cited: 27 times.

(3) RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30 Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2006).
Cited: 18 times.

(4) RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554 A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data (2005).
Cited: 15 times.

(5) RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250 Mixed Normal Conditional Heteroskedasticity (2004).
Cited: 13 times.

(6) RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530 A New Approach to Markov-Switching GARCH Models (2004).
Cited: 12 times.

(7) RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168 On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004).
Cited: 11 times.

(8) RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104 Integrated Covariance Estimation using High-frequency Data in the Presence of Noise (2007).
Cited: 9 times.

(9) RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108 Backtesting Value-at-Risk: A Duration-Based Approach (2004).
Cited: 8 times.

(10) RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89 Value-at-Risk Prediction: A Comparison of Alternative Strategies (2006).
Cited: 8 times.

(11) RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125 Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (2003).
Cited: 7 times.

(12) RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342 Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004).
Cited: 7 times.

(13) RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499 The Relative Contribution of Jumps to Total Price Variance (2005).
Cited: 7 times.

(14) RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421 Autoregressive Conditional Kurtosis (2005).
Cited: 6 times.

(15) RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54 Fourth Moment Structure of Multivariate GARCH Models (2003).
Cited: 6 times.

(16) RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289 The Robustness of the Conditional CAPM with Human Capital (2003).
Cited: 6 times.

(17) RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188 Trades and Quotes: A Bivariate Point Process (2003).
Cited: 6 times.

(18) RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577 Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes (2005).
Cited: 6 times.

(19) RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492 Pessimistic Portfolio Allocation and Choquet Expected Utility (2004).
Cited: 5 times.

(20) RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493 Stochastic Conditional Intensity Processes (2006).
Cited: 5 times.

(21) RePEc:oup:jfinec:v:1:y:2003:i:1:p:55-95 Time Inhomogeneous Multiple Volatility Modeling (2003).
Cited: 5 times.

(22) RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564 Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach (2004).
Cited: 4 times.

(23) RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25 Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (2003).
Cited: 4 times.

(24) RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470 The Local Whittle Estimator of Long-Memory Stochastic Volatility (2003).
Cited: 4 times.

(25) RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309 The Generalized Hyperbolic Skew Students t-Distribution (2006).
Cited: 3 times.

(26) RePEc:oup:jfinec:v:1:y:2003:i:2:p:189-215 Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities (2003).
Cited: 3 times.

(27) RePEc:oup:jfinec:v:3:y:2005:i:1:p:26-36 New Directions in Risk Management (2005).
Cited: 3 times.

(28) RePEc:oup:jfinec:v:3:y:2005:i:3:p:422-441 The Stability of Factor Models of Interest Rates (2005).
Cited: 3 times.

(29) RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274 Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns (2006).
Cited: 3 times.

(30) RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83 How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes (2004).
Cited: 3 times.

(31) RePEc:oup:jfinec:v:2:y:2004:i:3:p:370-389 Asset Allocation by Variance Sensitivity Analysis (2004).
Cited: 3 times.

(32) RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419 A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility (2003).
Cited: 2 times.

(33) RePEc:oup:jfinec:v:1:y:2003:i:3:p:297-326 Kernel-Based Indirect Inference (2003).
Cited: 2 times.

(34) RePEc:oup:jfinec:v:3:y:2005:i:3:p:315-343 Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights (2005).
Cited: 2 times.

(35) RePEc:oup:jfinec:v:1:y:2003:i:3:p:420-444 Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models (2003).
Cited: 2 times.

(36) RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398 Multivariate Lagrange Multiplier Tests for Fractional Integration (2005).
Cited: 2 times.

(37) RePEc:oup:jfinec:v:4:y:2006:i:4:p:594-616 A Mixture Multiplicative Error Model for Realized Volatility (2006).
Cited: 2 times.

(38) RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449 Inequality Constraints in the Fractionally Integrated GARCH Model (2006).
Cited: 2 times.

(39) RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670 Long Memory and the Relation Between Implied and Realized Volatility (2006).
Cited: 1 times.

(40) RePEc:oup:jfinec:v:4:y:2006:i:4:p:573-593 Stationarity of a Markov-Switching GARCH Model (2006).
Cited: 1 times.

(41) RePEc:oup:jfinec:v:2:y:2004:i:3:p:390-421 Stochastic Conditional Duration Models with Leverage Effect for Financial Transaction Data (2004).
Cited: 1 times.

(42) RePEc:oup:jfinec:v:3:y:2005:i:1:p:37-55 Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk (2005).
Cited: 1 times.

(43) RePEc:oup:jfinec:v:4:y:2006:i:3:p:385-412 Dynamic Asymmetric GARCH (2006).
Cited: 1 times.

(44) RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67 Why Do Absolute Returns Predict Volatility So Well? (2007).
Cited: 1 times.

(45) RePEc:oup:jfinec:v:1:y:2003:i:3:p:327-364 A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options (2003).
Cited: 1 times.

(46) RePEc:oup:jfinec:v:2:y:2004:i:3:p:451-471 Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters (2004).
Cited: 1 times.

(47) RePEc:oup:jfinec:v:4:y:2006:i:1:p:136-160 Incomplete Information, Heterogeneity, and Asset Pricing (2006).
Cited: 1 times.

(48) RePEc:oup:jfinec:v:2:y:2004:i:1:p:109-129 Circuit Breakers and the Tail Index of Equity Returns (2004).
Cited: 1 times.

(49) RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255 Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005).
Cited: 1 times.

(50) RePEc:oup:jfinec:v:3:y:2005:i:1:p:3-25 The Present and Future of Financial Risk Management (2005).
Cited: 1 times.

Latest citations received in: | 2005 | 2004 | 2003 | 2002

Latest citations received in: 2005

(1) RePEc:crt:wpaper:0521 Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets (2005). University of Crete, Department of Economics / Working Papers

(2) RePEc:dgr:uvatin:20050002 Model-based Measurement of Actual Volatility in High-Frequency Data (2005). Tinbergen Institute / Tinbergen Institute Discussion Papers

(3) RePEc:fip:fedgfe:2005-63 Explaining credit default swap spreads with the equity volatility and jump risks of individual firms (2005). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

Latest citations received in: 2004

(1) RePEc:cir:cirwor:2004s-19 Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies (2004). CIRANO / CIRANO Working Papers

(2) RePEc:cir:cirwor:2004s-26 Monitoring for Disruptions in Financial Markets (2004). CIRANO / CIRANO Working Papers

(3) RePEc:cte:wsrepe:ws046315 STOCHASTIC VOLATILITY MODELS AND THE TAYLOR EFFECT (2004). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(4) RePEc:dgr:eureri:30001977 Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models (2004). Erasmus Research Institute of Management (ERIM), RSM Erasmus University / Research Paper

(5) RePEc:dgr:uvatin:20040067 Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity (2004). Tinbergen Institute / Tinbergen Institute Discussion Papers

(6) RePEc:dnb:dnbwpp:022 A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets (2004). Netherlands Central Bank, Research Department / DNB Working Papers

(7) RePEc:ecm:ausm04:273 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average (2004). Econometric Society / Econometric Society 2004 Australasian Meetings

(8) RePEc:ecm:feam04:559 Estimation of Copula-Based Semiparametric Time Series Models (2004). Econometric Society / Econometric Society 2004 Far Eastern Meetings

(9) RePEc:ecm:nasm04:487 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average (2004). Econometric Society / Econometric Society 2004 North American Summer Meetings

(10) RePEc:hhs:hastef:0563 Stylized Facts of Financial Time Series and Three Popular Models of Volatility (2004). Stockholm School of Economics / Working Paper Series in Economics and Finance

(11) RePEc:iea:carech:0405 Dynamic Optimal Portfolio Selection in a VaR Framework (2004). HEC Montréal, Institut d'économie appliquée / Cahiers de recherche

(12) RePEc:iea:carech:0414 Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (2004). HEC Montréal, Institut d'économie appliquée / Cahiers de recherche

(13) RePEc:nbr:nberte:0300 Volatility Comovement: A Multifrequency Approach (2004). National Bureau of Economic Research, Inc / NBER Technical Working Papers

(14) RePEc:nbr:nberwo:10914 Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(15) RePEc:nuf:econwp:0429 A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004). Economics Group, Nuffield College, University of Oxford / Economics Papers

(16) RePEc:nuf:econwp:0430 Multipower Variation and Stochastic Volatility (2004). Economics Group, Nuffield College, University of Oxford / Economics Papers

(17) RePEc:rut:rutres:200424 Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts (2004). Rutgers University, Department of Economics / Departmental Working Papers

(18) RePEc:sbs:wpsefe:2004fe21 A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(19) RePEc:sbs:wpsefe:2004fe22 Multipower Variation and Stochastic Volatility (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(20) RePEc:van:wpaper:0226 Estimation of Copula-Based Semiparametric Time Series Models (2004). Department of Economics, Vanderbilt University / Working Papers

(21) RePEc:van:wpaper:0419 Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification (2004). Department of Economics, Vanderbilt University / Working Papers

(22) RePEc:van:wpaper:0420 Efficient Estimation of Semiparametric Multivariate Copula Models (2004). Department of Economics, Vanderbilt University / Working Papers

Latest citations received in: 2003

(1) RePEc:nuf:econwp:0303 Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models (2003). Economics Group, Nuffield College, University of Oxford / Economics Papers

Latest citations received in: 2002

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Source data used to compute the impact factor of RePEc series.