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

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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 0.18 0 0 0 0.09 1998 0.2 0 0 0 0.12 1999 0.27 0 0 0 0.16 2000 0.37 0 0 0 0.19 2001 0.37 0 0 0 0.18 2002 0.4 0 0 0 0.19 2003 0.41 0 0 0 0.2 2004 0.46 0 0 0 0.22 2005 0.47 0 0 0 0.27 2006 0.5 0 0 0 0.27 2007 0.43 45 98 0 0 9 0.2 0.22 2008 0.76 0.41 65 81 45 34 23.5 24 0.37 0.22
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: 26 times.

(2) RePEc:aah:create:2007-20 Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (2007).
Cited: 16 times.

(3) RePEc:aah:create:2007-27 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2007).
Cited: 13 times.

(4) RePEc:aah:create:2007-43 Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007).
Cited: 12 times.

(5) RePEc:aah:create:2007-17 Expected Stock Returns and Variance Risk Premia (2007).
Cited: 12 times.

(6) RePEc:aah:create:2008-41 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution (2008).
Cited: 7 times.

(7) RePEc:aah:create:2008-17 Inference for the jump part of quadratic variation of Itô semimartingales (2008).
Cited: 7 times.

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

(9) 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: 6 times.

(10) RePEc:aah:create:2009-27 Realised Quantile-Based Estimation of the Integrated Variance (2009).
Cited: 5 times.

(11) RePEc:aah:create:2008-13 Option Pricing using Realized Volatility (2008).
Cited: 4 times.

(12) RePEc:aah:create:2007-21 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2007).
Cited: 4 times.

(13) RePEc:aah:create:2008-08 Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure (2008).
Cited: 4 times.

(14) 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.

(15) RePEc:aah:create:2007-19 Risk, Jumps, and Diversification (2007).
Cited: 4 times.

(16) RePEc:aah:create:2008-58 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (2008).
Cited: 4 times.

(17) RePEc:aah:create:2008-09 An analysis of the indicator saturation estimator as a robust regression estimator (2008).
Cited: 3 times.

(18) 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.

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

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

(21) repec:aah:create:2009-43 ().
Cited: 3 times.

(22) RePEc:aah:create:2007-02 Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach (2007).
Cited: 3 times.

(23) RePEc:aah:create:2008-45 The limiting behavior of the estimated parameters in a misspecified random field regression model (2008).
Cited: 3 times.

(24) RePEc:aah:create:2007-42 Power variation for Gaussian processes with stationary increments (2007).
Cited: 3 times.

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

(26) RePEc:aah:create:2009-45 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (2009).
Cited: 3 times.

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

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

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

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

(31) RePEc:aah:create:2009-09 Testing Conditional Factor Models (2009).
Cited: 2 times.

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

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

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

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

(36) RePEc:aah:create:2008-38 The limiting properties of the QMLE in a general class of asymmetric volatility models (2008).
Cited: 2 times.

(37) repec:aah:create:2009-48 ().
Cited: 2 times.

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

(39) RePEc:aah:create:2008-21 Bipower variation for Gaussian processes with stationary increments (2008).
Cited: 2 times.

(40) RePEc:aah:create:2008-50 Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2008).
Cited: 2 times.

(41) RePEc:aah:create:2009-22 Co-integration Rank Testing under Conditional Heteroskedasticity (2009).
Cited: 2 times.

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

(43) RePEc:aah:create:2008-28 Local polynomial Whittle estimation covering non-stationary fractional processes (2008).
Cited: 2 times.

(44) RePEc:aah:create:2007-01 Nonparametric Estimation and Misspecification Testing of Diffusion Models (2007).
Cited: 1 times.

(45) RePEc:aah:create:2009-15 The Time-Varying Systematic Risk of Carry Trade Strategies (2009).
Cited: 1 times.

(46) RePEc:aah:create:2008-26 Ensuring the Validity of the Micro Foundation in DSGE Models (2008).
Cited: 1 times.

(47) RePEc:aah:create:2007-22 A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects (2007).
Cited: 1 times.

(48) 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.

(49) RePEc:aah:create:2009-58 Risk premia in general equilibrium (2009).
Cited: 1 times.

(50) RePEc:aah:create:2007-39 Forward-Looking Betas (2007).
Cited: 1 times.

Recent citations received in: | 2008 | 2007 | 2006 | 2005

Recent citations received in: 2008

(1) RePEc:aah:create:2007-46 Efficient estimation for ergodic diffusions sampled at high frequency (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:aah:create:2008-13 Option Pricing using Realized Volatility (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(3) RePEc:aah:create:2008-28 Local polynomial Whittle estimation covering non-stationary fractional processes (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(4) RePEc:aah:create:2008-29 Local polynomial Whittle estimation of perturbed fractional processes (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(5) RePEc:aah:create:2008-35 Bias-reduced estimation of long memory stochastic volatility (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(6) RePEc:aah:create:2008-37 Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(7) RePEc:aah:create:2008-52 Likelihood based testing for no fractional cointegration (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(8) RePEc:aah:create:2008-53 Maximum likelihood estimation of fractionally cointegrated systems (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(9) RePEc:aah:create:2008-57 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(10) RePEc:aah:create:2008-59 Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(11) RePEc:aah:create:2008-60 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(12) RePEc:aah:create:2008-61 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution (2008). School of Economics and Management, University of Aarhus / CREATES Research Papers

(13) 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). School of Economics and Management, University of Aarhus / CREATES Research Papers

(14) RePEc:awi:wpaper:0473 Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models (2008). University of Heidelberg, Department of Economics / Working Papers

(15) RePEc:fip:fedgif:943 Constructive data mining: modeling Argentine broad money demand (2008). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(16) RePEc:fip:fedgif:959 The fragility of sensitivity analysis: an encompassing perspective (2008). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(17) RePEc:fip:fednsr:359 Rethinking the measurement of household inflation expectations: preliminary findings (2008). Federal Reserve Bank of New York / Staff Reports

(18) RePEc:ivi:wpasec:2008-09 Wage, price and unemployment dynamics in the Spanish transition to EMU membership (2008). Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) / Working Papers. Serie EC

(19) RePEc:kap:apfinm:v:15:y:2008:i:3:p:175-184 A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions (2008). Asia-Pacific Financial Markets

(20) RePEc:kof:wpskof:08-189 Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model (2008). Swiss Institute for Business Cycle Research (KOF), Swiss Federal Institute of Technology Zurich (ETH), / Working papers

(21) RePEc:nip:nipewp:16/2008 Admission conditions and graduates employability (2008). NIPE - Universidade do Minho / NIPE Working Papers

(22) RePEc:nuf:econwp:0810 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008). Economics Group, Nuffield College, University of Oxford / Economics Papers

(23) RePEc:oxf:wpaper:403 Fitting vast dimensional time-varying covariance models (2008). University of Oxford, Department of Economics / Economics Series Working Papers

(24) RePEc:qed:wpaper:1174 Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders (2008). Queen's University, Department of Economics / Working Papers

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: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

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