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.

Create citation feed for this series

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.18 0 0 0 0.09 1998 0.21 0 0 0 0.13 1999 0.29 0 0 0 0.17 2000 0.39 0 0 0 0.2 2001 0.37 0 0 0 0.18 2002 0.42 0 0 0 0.2 2003 0.43 0 0 0 0.21 2004 0.49 0 0 0 0.24 2005 0.5 0 0 0 0.29 2006 0.53 0 0 0 0.28 2007 0.44 45 86 0 0 10 0.22 0.24
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: 23 times.

(2) RePEc:aah:create:2007-27 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2007).
Cited: 14 times.

(3) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007).
Cited: 13 times.

(4) RePEc:aah:create:2007-20 Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2007).
Cited: 12 times.

(5) RePEc:aah:create:2007-17 Expected Stock Returns and Variance Risk Premia (2007).
Cited: 11 times.

(6) RePEc:aah:create:2008-11 Option Valuation with Long-run and Short-run Volatility Components (2008).
Cited: 7 times.

(7) RePEc:aah:create:2009-27 Realised Quantile-Based Estimation of the Integrated Variance (2009).
Cited: 6 times.

(8) 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: 5 times.

(9) RePEc:aah:create:2008-41 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution (2008).
Cited: 4 times.

(10) 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: 4 times.

(11) RePEc:aah:create:2007-05 Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates (2007).
Cited: 3 times.

(12) RePEc:aah:create:2008-06 Multivariate GARCH models (2008).
Cited: 3 times.

(13) RePEc:aah:create:2008-04 Explaining output volatility: The case of taxation (2008).
Cited: 3 times.

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

(15) RePEc:aah:create:2008-48 Expected Stock Returns and Variance Risk Premia (2008).
Cited: 3 times.

(16) RePEc:aah:create:2007-21 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2007).
Cited: 3 times.

(17) RePEc:aah:create:2008-56 Disagreement and Biases in Inflation Expectations (2008).
Cited: 3 times.

(18) RePEc:aah:create:2007-19 Risk, Jumps, and Diversification (2007).
Cited: 3 times.

(19) RePEc:aah:create:2008-13 Option Pricing using Realized Volatility (2008).
Cited: 3 times.

(20) RePEc:aah:create:2007-42 Power variation for Gaussian processes with stationary increments (2007).
Cited: 2 times.

(21) RePEc:aah:create:2008-58 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (2008).
Cited: 2 times.

(22) RePEc:aah:create:2008-08 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (2008).
Cited: 2 times.

(23) RePEc:aah:create:2007-33 Likelihood inference for a nonstationary fractional autoregressive model (2007).
Cited: 2 times.

(24) RePEc:aah:create:2007-02 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach (2007).
Cited: 2 times.

(25) RePEc:aah:create:2008-09 An analysis of the indicator saturation estimator as a robust regression estimator (2008).
Cited: 2 times.

(26) RePEc:aah:create:2009-43 Identification of Macroeconomic Factors in Large Panels (2009).
Cited: 2 times.

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

(28) RePEc:aah:create:2008-24 Small Bandwidth Asymptotics for Density-Weighted Average Derivatives (2008).
Cited: 2 times.

(29) RePEc:aah:create:2008-07 Parameterizing unconditional skewness in models for financial time series (2008).
Cited: 2 times.

(30) RePEc:aah:create:2007-03 The Effect of Long Memory in Volatility on Stock Market Fluctuations (2007).
Cited: 2 times.

(31) RePEc:aah:create:2008-53 Maximum likelihood estimation of fractionally cointegrated systems (2008).
Cited: 2 times.

(32) RePEc:aah:create:2008-51 Optimal inference in dynamic models with conditional moment restrictions (2008).
Cited: 2 times.

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

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

(35) RePEc:aah:create:2008-21 Bipower variation for Gaussian processes with stationary increments (2008).
Cited: 1 times.

(36) RePEc:aah:create:2008-54 The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast (2008).
Cited: 1 times.

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

(38) RePEc:aah:create:2009-20 Stochastic volatility and stochastic leverage (2009).
Cited: 1 times.

(39) RePEc:aah:create:2007-28 The Pearson diffusions: A class of statistically tractable diffusion processes (2007).
Cited: 1 times.

(40) RePEc:aah:create:2008-17 Inference for the jump part of quadratic variation of Itô semimartingales (2008).
Cited: 1 times.

(41) RePEc:aah:create:2008-52 Likelihood based testing for no fractional cointegration (2008).
Cited: 1 times.

(42) 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.

(43) RePEc:aah:create:2009-10 Skewness Premium with Lévy Processes (2009).
Cited: 1 times.

(44) RePEc:aah:create:2007-23 Structural estimation of jump-diffusion processes in macroeconomics (2007).
Cited: 1 times.

(45) RePEc:aah:create:2007-12 Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis (2007).
Cited: 1 times.

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

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

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

(49) RePEc:aah:create:2007-38 Likelihood-Based Inference in Nonlinear Error-Correction Models (2007).
Cited: 1 times.

(50) 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.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:aah:create:2007-11 Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:aah:create:2007-14 A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(3) RePEc:aah:create:2007-15 Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(4) RePEc:aah:create:2007-19 Risk, Jumps, and Diversification (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(5) RePEc:aah:create:2007-24 Construction and Interpretation of Model-Free Implied Volatility (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(6) RePEc:aah:create:2007-39 Forward-Looking Betas (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(7) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(8) RePEc:nbr:nberwo:13658 How Sovereign is Sovereign Credit Risk? (2007). National Bureau of Economic Research, Inc / NBER Working Papers

(9) RePEc:sbs:wpsefe:2007fe03 A Note on the Central Limit Theorem for Bipower Variation of General Functions (2007). Oxford Financial Research Centre / OFRC Working Papers Series

(10) RePEc:tor:tecipa:tecipa-304 Are there Structural Breaks in Realized Volatility? (2007). University of Toronto, Department of Economics / Working Papers

Recent citations received in: 2006

Recent citations received in: 2005

Recent citations received in: 2004

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.