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| 2003 | A Multiple Indicators Model For Volatility Using Intra-Daily Data.
RePEc:fir:econom:wp2003_07 [Citation Analysis] | 9 |
| 2001 | A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models
RePEc:fir:econom:wp2001_04 [Citation Analysis] | 9 |
| 2006 | Financial Econometric Analysis at UltraHigh Frequency: Data Handling Concerns
RePEc:fir:econom:wp2006_03 [Citation Analysis] | 8 |
| 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
RePEc:fir:econom:wp2007_16 [Citation Analysis] | 6 |
| 2008 | A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets
RePEc:fir:econom:wp2008_09 [Citation Analysis] | 5 |
| 2006 | Vector Multiplicative Error Models:
Representation and Inference
RePEc:fir:econom:wp2006_15 [Citation Analysis] | 5 |
| 2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).
RePEc:fir:econom:wp2003_04 [Citation Analysis] | 5 |
| 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Volatility
RePEc:fir:econom:wp2001_02 [Citation Analysis] | 3 |
| 2002 | GARCH-based Volatility Forecasts for Market Volatility Indices
RePEc:fir:econom:wp2002_06 [Citation Analysis] | 3 |
| 2008 | Comparison of Volatility Measures: a Risk Management Perspective
RePEc:fir:econom:wp2008_03 [Citation Analysis] | 3 |
| 2004 | On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.
RePEc:fir:econom:wp2004_05 [Citation Analysis] | 3 |
| 2006 | Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model
RePEc:fir:econom:wp2006_04 [Citation Analysis] | 3 |
| 2004 | Bayesian inference for alpha-stable distributions: a random walk MCMC approach.
RePEc:fir:econom:wp2004_11 [Citation Analysis] | 2 |
| 2006 | Exchange Market Pressure: Some Caveats In Empirical Applications
RePEc:fir:econom:wp2006_17 [Citation Analysis] | 2 |
| 2001 | Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets
RePEc:fir:econom:wp2001_01 [Citation Analysis] | 2 |
| 2004 | Indirect estimation of alpha-stable distributions and processes.
RePEc:fir:econom:wp2004_07 [Citation Analysis] | 2 |
|
repec:fir:econom:quaderno46 [Citation Analysis] | 2 |
| 2006 | Time-varying Mixing Weights in Mixture
Autoregressive Conditional Duration Models
RePEc:fir:econom:wp2006_12 [Citation Analysis] | 2 |
| 2006 | Indirect estimation of alpha-stable stochastic volatility models
RePEc:fir:econom:wp2006_07 [Citation Analysis] | 2 |
| 2002 | Inflation Differentials before and after the EMU
RePEc:fir:econom:wp2002_19 [Citation Analysis] | 1 |
| 2005 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
RePEc:fir:econom:wp2005_11 [Citation Analysis] | 1 |
| 2002 | Analytic Hessian Matrices and the Computation of FIGARCH Estimates
RePEc:fir:econom:wp2002_03 [Citation Analysis] | 1 |
|
repec:fir:econom:wp2005_10 [Citation Analysis] | 1 |
| 2010 | A Time-varying Mixing Multiplicative Error Model for Realized Volatility
RePEc:fir:econom:wp2010_03 [Citation Analysis] | 1 |
| 2004 | A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.
RePEc:fir:econom:wp2004_12 [Citation Analysis] | 1 |
| 2007 | Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
RePEc:fir:econom:wp2007_02 [Citation Analysis] | 1 |
| 2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading
RePEc:fir:econom:wp2009_01 [Citation Analysis] | 1 |
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.
