School of Economics and Management, University of Aarhus / CREATES Research Papers

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.08 1997 0.19 0 0 0 0.09 1998 0.2 0 0 0 0.12 1999 0.29 0 0 0 0.19 2000 0.41 0 0 0 0.21 2001 0.37 0 0 0 0.19 2002 0.42 0 0 0 0.2 2003 0.43 0 0 0 0.21 2004 0.49 0 0 0 0.26 2005 0.48 0 0 0 0.29 2006 0.54 0 0 0 0.28
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:aah:create:2007-18 Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility (2007).
Cited: 7 times.

(2) RePEc:aah:create:2007-20 Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2007).
Cited: 6 times.

(3) RePEc:aah:create:2007-17 Expected Stock Returns and Variance Risk Premia (2007).
Cited: 4 times.

(4) RePEc:aah:create:2008-29 Local polynomial Whittle estimation of perturbed fractional processes (2008).
Cited: 3 times.

(5) RePEc:aah:create:2007-14 A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures (2007).
Cited: 2 times.

(6) RePEc:aah:create:2008-48 Expected Stock Returns and Variance Risk Premia (2008).
Cited: 2 times.

(7) RePEc:aah:create:2007-08 Are Economists More Likely to Hold Stocks? (2007).
Cited: 2 times.

(8) RePEc:aah:create:2008-06 Multivariate GARCH models (2008).
Cited: 2 times.

(9) RePEc:aah:create:2008-04 Explaining output volatility: The case of taxation (2008).
Cited: 2 times.

(10) RePEc:aah:create:2007-21 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2007).
Cited: 2 times.

(11) RePEc:aah:create:2008-35 Bias-reduced estimation of long memory stochastic volatility (2008).
Cited: 1 times.

(12) RePEc:aah:create:2007-42 Power variation for Gaussian processes with stationary increments (2007).
Cited: 1 times.

(13) RePEc:aah:create:2008-59 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (2008).
Cited: 1 times.

(14) RePEc:aah:create:2008-27 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model (2008).
Cited: 1 times.

(15) RePEc:aah:create:2007-31 Habit Formation, Surplus Consumption and Return Predictability: International Evidence (2007).
Cited: 1 times.

(16) RePEc:aah:create:2008-09 An analysis of the indicator saturation estimator as a robust regression estimator (2008).
Cited: 1 times.

(17) RePEc:aah:create:2008-45 The limiting behavior of the estimated parameters in a misspecified random field regression model (2008).
Cited: 1 times.

(18) RePEc:aah:create:2007-02 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach (2007).
Cited: 1 times.

(19) RePEc:aah:create:2008-36 A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic (2008).
Cited: 1 times.

(20) RePEc:aah:create:2008-63 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008).
Cited: 1 times.

(21) RePEc:aah:create:2007-16 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (2007).
Cited: 1 times.

(22) RePEc:aah:create:2007-33 Likelihood inference for a nonstationary fractional autoregressive model (2007).
Cited: 1 times.

(23) RePEc:aah:create:2008-58 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (2008).
Cited: 1 times.

(24) RePEc:aah:create:2007-09 The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets (2007).
Cited: 1 times.

(25) RePEc:aah:create:2008-25 Bipower-type estimation in a noisy diffusion setting (2008).
Cited: 1 times.

(26) RePEc:aah:create:2008-46 Semiparametric Inference in a GARCH-in-Mean Model (2008).
Cited: 1 times.

(27) RePEc:aah:create:2007-03 The Effect of Long Memory in Volatility on Stock Market Fluctuations (2007).
Cited: 1 times.

(28) RePEc:aah:create:2008-08 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (2008).
Cited: 1 times.

(29) RePEc:aah:create:2007-19 Risk, Jumps, and Diversification (2007).
Cited: 1 times.

(30) RePEc:aah:create:2008-41 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution (2008).
Cited: 1 times.

(31) RePEc:aah:create:2008-05 Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model (2008).
Cited: 1 times.

Recent citations received in: | 2006 | 2005 | 2004 | 2003

Recent citations received in: 2006

Recent citations received in: 2005

Recent citations received in: 2004

Recent citations received in: 2003

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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