Most cited documents in this series:

Year	Title	Cited
2007	Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility RePEc:aah:create:2007-18 [Citation Analysis]	44
2007	Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets RePEc:aah:create:2007-20 [Citation Analysis]	25
2007	Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps RePEc:aah:create:2007-27 [Citation Analysis]	18
2007	Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 RePEc:aah:create:2007-43 [Citation Analysis]	17
2007	Expected Stock Returns and Variance Risk Premia RePEc:aah:create:2007-17 [Citation Analysis]	15
2010	Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence RePEc:aah:create:2010-29 [Citation Analysis]	10
2010	Stochastic Volatility RePEc:aah:create:2010-10 [Citation Analysis]	9
2007	The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets RePEc:aah:create:2007-09 [Citation Analysis]	9
2008	Disagreement and Biases in Inflation Expectations RePEc:aah:create:2008-56 [Citation Analysis]	8
2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution RePEc:aah:create:2008-41 [Citation Analysis]	8
2007	Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns RePEc:aah:create:2007-21 [Citation Analysis]	8
2008	Option Valuation with Long-run and Short-run Volatility Components RePEc:aah:create:2008-11 [Citation Analysis]	8
2008	Inference for the jump part of quadratic variation of Itô semimartingales RePEc:aah:create:2008-17 [Citation Analysis]	7
2009	Realised Quantile-Based Estimation of the Integrated Variance RePEc:aah:create:2009-27 [Citation Analysis]	7
2008	Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood RePEc:aah:create:2008-58 [Citation Analysis]	7
2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure RePEc:aah:create:2008-08 [Citation Analysis]	5
2009	Co-integration Rank Testing under Conditional Heteroskedasticity RePEc:aah:create:2009-22 [Citation Analysis]	5
2009	Testing Conditional Factor Models RePEc:aah:create:2009-09 [Citation Analysis]	5
2008	Option Pricing using Realized Volatility RePEc:aah:create:2008-13 [Citation Analysis]	5
2009	Jump-Robust Volatility Estimation using Nearest Neighbor Truncation RePEc:aah:create:2009-52 [Citation Analysis]	5
2008	An analysis of the indicator saturation estimator as a robust regression estimator RePEc:aah:create:2008-09 [Citation Analysis]	4
2010	Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility RePEc:aah:create:2010-13 [Citation Analysis]	4
2007	Risk, Jumps, and Diversification RePEc:aah:create:2007-19 [Citation Analysis]	4
2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well RePEc:aah:create:2009-34 [Citation Analysis]	4
2008	Bipower-type estimation in a noisy diffusion setting RePEc:aah:create:2008-25 [Citation Analysis]	4
2008	Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading RePEc:aah:create:2008-63 [Citation Analysis]	4
2007	Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach RePEc:aah:create:2007-02 [Citation Analysis]	4
2008	Glossary to ARCH (GARCH) RePEc:aah:create:2008-49 [Citation Analysis]	4
2010	Forecast Combinations RePEc:aah:create:2010-21 [Citation Analysis]	4
2008	Maximum likelihood estimation of fractionally cointegrated systems RePEc:aah:create:2008-53 [Citation Analysis]	4
2007	Are Economists More Likely to Hold Stocks? RePEc:aah:create:2007-08 [Citation Analysis]	4
2007	Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates RePEc:aah:create:2007-05 [Citation Analysis]	3
2008	Explaining output volatility: The case of taxation RePEc:aah:create:2008-04 [Citation Analysis]	3
2009	The Taylor Rule and “Opportunistic” Monetary Policy RePEc:aah:create:2010-04 [Citation Analysis]	3
2009	The Time-Varying Systematic Risk of Carry Trade Strategies RePEc:aah:create:2009-15 [Citation Analysis]	3
2008	The limiting behavior of the estimated parameters in a misspecified random field regression model RePEc:aah:create:2008-45 [Citation Analysis]	3
2009	On the Economic Evaluation of Volatility Forecasts RePEc:aah:create:2009-56 [Citation Analysis]	3
2007	The Effect of Long Memory in Volatility on Stock Market Fluctuations RePEc:aah:create:2007-03 [Citation Analysis]	3
2008	Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility RePEc:aah:create:2008-50 [Citation Analysis]	3
2009	Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data RePEc:aah:create:2009-45 [Citation Analysis]	3
2008	Local polynomial Whittle estimation of perturbed fractional processes RePEc:aah:create:2008-29 [Citation Analysis]	3
	repec:aah:create:2009-43 [Citation Analysis]	3
2007	Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices RePEc:aah:create:2007-37 [Citation Analysis]	3
2008	Multivariate GARCH models RePEc:aah:create:2008-06 [Citation Analysis]	3
2008	New tests for jumps: a threshold-based approach RePEc:aah:create:2008-34 [Citation Analysis]	3
2008	Expected Stock Returns and Variance Risk Premia RePEc:aah:create:2008-48 [Citation Analysis]	3
2007	Power variation for Gaussian processes with stationary increments RePEc:aah:create:2007-42 [Citation Analysis]	3
2008	Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data RePEc:aah:create:2008-37 [Citation Analysis]	2
	repec:aah:create:2007-31 [Citation Analysis]	2
2008	Optimal inference in dynamic models with conditional moment restrictions RePEc:aah:create:2008-51 [Citation Analysis]	2

Citing documents used to compute impact factor 34:

Year	Title	See
2010	Numerical solution of continuous-time DSGE models under Poisson uncertainty RePEc:aah:aarhec:2010-08	[Citation Analysis]
2010	Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection RePEc:arx:papers:1004.4956	[Citation Analysis]
2010	Forecasting with nonlinear time series models RePEc:aah:create:2010-01	[Citation Analysis]
2010	Dividend predictability around the world RePEc:aah:create:2010-03	[Citation Analysis]
2010	Algorithm for Financial Derivatives Evaluation in Generalized Double-Heston Model RePEc:bra:journl:v:1:y:2010:i:1:p:5-10	[Citation Analysis]
2010	Quantitative Breuer-Major Theorems RePEc:aah:create:2010-22	[Citation Analysis]
2010	Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion RePEc:not:notgts:10/04	[Citation Analysis]
2010	Bootstrap Sequential Determination of the Co-integration Rank in VAR Models RePEc:aah:create:2010-07	[Citation Analysis]
2010	Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional RePEc:lrk:eeaart:28_3_2	[Citation Analysis]
2010	Fractionally integrated time varying GARCH model RePEc:spr:stmapp:v:19:y:2010:i:3:p:399-430	[Citation Analysis]
2010	Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks RePEc:icr:wpmath:36-2010	[Citation Analysis]
2010	Disentangling Systematic and idiosyncratic Risk for large Panels of Assets RePEc:eca:wpaper:2013/57645	[Citation Analysis]
2010	An Automatic Test of Super Exogeneity RePEc:oxf:wpaper:476	[Citation Analysis]
2010	Modelling asset correlations during the recent FInancial crisis: A semiparametric approach RePEc:aah:create:2010-71	[Citation Analysis]
2010	Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes RePEc:rjr:wpiecf:100201	[Citation Analysis]
2010	Ambit processes and stochastic partial differential equations RePEc:aah:create:2010-17	[Citation Analysis]
2010	How to Maximize the Likelihood Function for a DSGE Model RePEc:kap:compec:v:35:y:2010:i:2:p:127-154	[Citation Analysis]
2010	New tests for jumps in semimartingale models RePEc:spr:sistpr:v:13:y:2010:i:1:p:15-41	[Citation Analysis]
2010	Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence RePEc:aah:create:2010-29	[Citation Analysis]
2010	Parameter estimation in nonlinear AR–GARCH models RePEc:koc:wpaper:1002	[Citation Analysis]
2010	Firm leverage, household leverage and the business cycle RePEc:pra:mprapa:26504	[Citation Analysis]
2010	Calendar Time Sampling of High Frequency Financial Asset Price and the Verdict on Jumps RePEc:cyb:wpaper:2010-7	[Citation Analysis]
2010	The power log-GARCH model RePEc:cte:werepe:we1013	[Citation Analysis]
2010	Multivariate Option Pricing with Time Varying Volatility and Correlations RePEc:aah:create:2010-19	[Citation Analysis]
2010	Multivariate Option Pricing With Time Varying Volatility and Correlations RePEc:cir:cirwor:2010s-23	[Citation Analysis]
2010	Multivariate Option Pricing with Time Varying Volatility and Correlations RePEc:lvl:lacicr:1020	[Citation Analysis]
2010	Adaptive Forecasting of Exchange Rates with Panel Data RePEc:uts:rpaper:285	[Citation Analysis]
2010	Weighted trimmed likelihood estimator for GARCH models RePEc:pra:mprapa:26536	[Citation Analysis]
2010	A Smooth Transition GARCH-M Model RePEc:ris:apltrx:0085	[Citation Analysis]
2010	The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy RePEc:cpr:ceprdp:7870	[Citation Analysis]
2010	“Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change” RePEc:fea:wpaper:10-2010	[Citation Analysis]
2010	Higher Order Improvements for Approximate Estimators RePEc:clu:wpaper:0910-15	[Citation Analysis]
2010	Higher Order Improvements for Approximate Estimators RePEc:kud:kuieca:2010_04	[Citation Analysis]
2010	Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection RePEc:arx:papers:1004.4956	[Citation Analysis]

Cites in year: CiY