Journal of Financial Econometrics

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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 0.22 0 0 0 0.09 1998 0.25 0 0 0 0.1 1999 0.31 0 0 0 0.15 2000 0.42 0 0 0 0.19 2001 0.41 0 0 0 0.16 2002 0.44 0 0 0 0.2 2003 0.46 19 91 0 0 3 0.16 0.21 2004 0.63 0.51 24 176 19 12 0 20 0.83 0.23 2005 0.81 0.54 27 110 43 35 0 10 0.37 0.24 2006 1 0.56 24 198 51 51 0 27 1.13 0.24 2007 1.35 0.45 9 38 51 69 0 6 0.67 0.21 2008 1.67 0.5 20 29 33 55 0 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:oup:jfinec:v:2:y:2004:i:1:p:1-37 Power and Bipower Variation with Stochastic Volatility and Jumps (2004).
Cited: 68 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: 55 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: 48 times.

(4) RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499 The Relative Contribution of Jumps to Total Price Variance (2005).
Cited: 34 times.

(5) 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: 32 times.

(6) RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89 Value-at-Risk Prediction: A Comparison of Alternative Strategies (2006).
Cited: 28 times.

(7) RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530 A New Approach to Markov-Switching GARCH Models (2004).
Cited: 22 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: 21 times.

(9) RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250 Mixed Normal Conditional Heteroskedasticity (2004).
Cited: 20 times.

(10) 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: 20 times.

(11) RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54 Fourth Moment Structure of Multivariate GARCH Models (2003).
Cited: 16 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: 16 times.

(13) RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577 Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes (2005).
Cited: 14 times.

(14) RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25 Dynamics of Trade-by-Trade Price Movements: Decomposition and Models (2003).
Cited: 13 times.

(15) RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493 Stochastic Conditional Intensity Processes (2006).
Cited: 13 times.

(16) RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188 Trades and Quotes: A Bivariate Point Process (2003).
Cited: 13 times.

(17) RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384 Leverage and Volatility Feedback Effects in High-Frequency Data (2006).
Cited: 12 times.

(18) RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67 Why Do Absolute Returns Predict Volatility So Well? (2007).
Cited: 11 times.

(19) RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196 A Simple Approximate Long-Memory Model of Realized Volatility (2009).
Cited: 11 times.

(20) 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: 10 times.

(21) RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421 Autoregressive Conditional Kurtosis (2005).
Cited: 10 times.

(22) RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360 Are There Structural Breaks in Realized Volatility? (2008).
Cited: 9 times.

(23) RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289 The Robustness of the Conditional CAPM with Human Capital (2003).
Cited: 9 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: 9 times.

(25) RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449 Inequality Constraints in the Fractionally Integrated GARCH Model (2006).
Cited: 8 times.

(26) 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: 7 times.

(27) RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309 The Generalized Hyperbolic Skew Students t-Distribution (2006).
Cited: 7 times.

(28) 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: 6 times.

(29) RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492 Pessimistic Portfolio Allocation and Choquet Expected Utility (2004).
Cited: 6 times.

(30) RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582 American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution (2008).
Cited: 6 times.

(31) RePEc:oup:jfinec:v:2:y:2004:i:3:p:370-389 Asset Allocation by Variance Sensitivity Analysis (2004).
Cited: 6 times.

(32) RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345 Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods (2006).
Cited: 5 times.

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

(34) 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: 4 times.

(35) 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: 4 times.

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

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

(38) 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: 4 times.

(39) RePEc:oup:jfinec:v:2:y:2004:i:3:p:422-450 Nonparametric Tests for Positive Quadrant Dependence (2004).
Cited: 4 times.

(40) RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398 Multivariate Lagrange Multiplier Tests for Fractional Integration (2005).
Cited: 4 times.

(41) RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108 Backtesting Value-at-Risk: A Duration-Based Approach (2004).
Cited: 4 times.

(42) RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458 Econometric Asset Pricing Modelling (2008).
Cited: 4 times.

(43) RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530 Affine Models for Credit Risk Analysis (2006).
Cited: 4 times.

(44) RePEc:oup:jfinec:v:1:y:2003:i:2:p:216-249 Using Multiple Imputation in the Analysis of Incomplete Observations in Finance (2003).
Cited: 4 times.

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

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

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

(48) RePEc:oup:jfinec:v:8:y:2010:i:2:p:177-180 Separation in Cointegrated Systems (2010).
Cited: 3 times.

(49) RePEc:oup:jfinec:v:5:y:2007:i:1:p:105-153 Switching VARMA Term Structure Models (2007).
Cited: 3 times.

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

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

Recent citations received in: 2008

Recent citations received in: 2007

(1) RePEc:bfr:banfra:189 Multi-Lag Term Structure Models with Stochastic Risk Premia. (2007). Banque de France / Documents de Travail

(2) RePEc:fir:econom:wp2007_04 Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria (2007). Universita' degli Studi di Firenze, Dipartimento di Statistica G. Parenti / Econometrics Working Papers Archive

(3) RePEc:knz:cofedp:0701 Dynamic Modeling of Large Dimensional Covariance Matrices (2007). Center of Finance and Econometrics, University of Konstanz / CoFE Discussion Paper

(4) RePEc:knz:cofedp:0707 Estimating High-Frequency Based (Co-) Variances: A Unified Approach (2007). Center of Finance and Econometrics, University of Konstanz / CoFE Discussion Paper

(5) RePEc:kyo:wpaper:634 Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations (2007). Kyoto University, Institute of Economic Research / Working Papers

(6) RePEc:osk:wpaper:0703 Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise (2007). Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP) / Discussion Papers in Economics and Business

Recent citations received in: 2006

(1) RePEc:cam:camdae:0649 Time-Varying Quantiles (2006). Faculty of Economics (formerly DAE), University of Cambridge / Cambridge Working Papers in Economics

(2) RePEc:cfr:cefirw:w0092 Dynamic modeling under linear-exponential loss (2006). Center for Economic and Financial Research / CEFIR Working Papers

(3) RePEc:cor:louvco:2006080 Modelling financial high frequency data using point processes (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers

(4) RePEc:cor:louvco:2006089 The information content of the Bond-Equity Yield Ratio: better than a random walk? (2006). Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) / Discussion Papers

(5) RePEc:cpr:ceprdp:5734 Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar (2006). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(6) RePEc:ctl:louvec:2006039 Modelling Financial High Frequency Data Using Point Processes (2006). Université catholique de Louvain, Département des Sciences Economiques / Université catholique de Louvain, Département des Sciences Economiques Workin

(7) RePEc:dgr:uvatin:20050044 The Euro Introduction and Non-Euro Currencies (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers

(8) RePEc:dul:wpaper:06-07rs Sector diversification during crises: a European perspective (2006). Université libre de Bruxelles, Department of Applied Economics (DULBEA) / Working Papers DULBEA

(9) RePEc:eab:microe:1143 Multivariate Stochastic Volatility (2006). East Asian Bureau of Economic Research / Microeconomics Working Papers

(10) RePEc:ebl:ecbull:v:3:y:2006:i:15:p:1-14 A new proxy of the average volatility of a basket of returns: A Monte Carlo study (2006). Economics Bulletin

(11) RePEc:ecb:ecbwps:20060683 Financial integration of new EU Member States (2006). European Central Bank / Working Paper Series

(12) RePEc:ecb:ecbwps:20060694 Optimal currency shares in international reserves - the impact of the euro and the prospects for the dollar (2006). European Central Bank / Working Paper Series

(13) RePEc:ecl:ohidic:2007-2 Affine Term Structure Models (2006). Ohio State University, Charles A. Dice Center for Research in Financial Economics / Working Paper Series

(14) RePEc:fip:fedgfe:2006-35 Realized jumps on financial markets and predicting credit spreads (2006). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(15) RePEc:hhs:hastef:0646 An introduction to univariate GARCH models (2006). Stockholm School of Economics / Working Paper Series in Economics and Finance

(16) RePEc:iis:dispap:iiisdp132 Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area (2006). IIIS / The Institute for International Integration Studies Discussion Paper Series

(17) RePEc:iis:dispap:iiisdp139 The Euro and Financial Integration (2006). IIIS / The Institute for International Integration Studies Discussion Paper Series

(18) RePEc:man:cgbcrp:77 Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US (2006). The School of Economic Studies, The Univeristy of Manchester / Centre for Growth and Business Cycle Research Discussion Paper Series

(19) RePEc:man:sespap:0629 Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US (2006). School of Economics, The University of Manchester / The School of Economics Discussion Paper Series

(20) RePEc:nbr:nberwo:12333 Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar (2006). National Bureau of Economic Research, Inc / NBER Working Papers

(21) RePEc:nuf:econwp:0506 Limit theorems for bipower variation in financial econometrics (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(22) RePEc:nuf:econwp:0603 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(23) RePEc:nus:nusewp:wp0603 The Persistence and Predictive Power of the Dividend-Price Ratio (2006). National University of Singapore, Department of Economics / Departmental Working Papers

(24) RePEc:oxf:wpaper:264 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006). University of Oxford, Department of Economics / Economics Series Working Papers

(25) RePEc:pra:mprapa:189 An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model (2006). University Library of Munich, Germany / MPRA Paper

(26) RePEc:rut:rutres:200620 Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures (2006). Rutgers University, Department of Economics / Departmental Working Papers

(27) RePEc:ven:wpaper:2006_53 A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation (2006). University of Venice Ca' Foscari, Department of Economics / Working Papers

Recent citations received in: 2005

(1) RePEc:cfs:cfswop:wp200502 Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005). Center for Financial Studies / CFS Working Paper Series

(2) 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

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

(4) 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

(5) RePEc:nbr:nberwo:11069 Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005). National Bureau of Economic Research, Inc / NBER Working Papers

(6) RePEc:nuf:econwp:0516 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). Economics Group, Nuffield College, University of Oxford / Economics Papers

(7) RePEc:oxf:wpaper:240 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). University of Oxford, Department of Economics / Economics Series Working Papers

(8) RePEc:pen:papers:05-007 Practical Volatility and Correlation Modeling for Financial Market Risk Management (2005). Penn Institute for Economic Research, Department of Economics, University of Pennsylvania / PIER Working Paper Archive

(9) RePEc:qed:wpaper:1186 The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices (2005). Queen's University, Department of Economics / Working Papers

(10) RePEc:qed:wpaper:1187 Forecasting Exchange Rate Volatility in the Presence of Jumps (2005). Queen's University, Department of Economics / Working Papers

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