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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

  
 

Journal of Financial Econometrics / Oxford University Press

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.090000.05
19920.080000.04
19930.090000.05
19940.10000.05
19950.120000.06
19960.160000.08
19970.210000.08
19980.220000.09
19990.280000.13
20000.370000.16
20010.380000.16
20020.410000.2
20030.43191090030.160.2
20040.680.492424419130200.830.22
20050.790.522714943340110.410.24
20061.120.52426251570261.080.23
20071.410.4210535172060.60.19
20081.620.4320563455020.10.21
20091.10.43224130330100.450.19
20100.330.3630194214040.130.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
2004Power and Bipower Variation with Stochastic Volatility and Jumps
RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37 [Citation Analysis]		86
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572 [Citation Analysis]		75
2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30 [Citation Analysis]		62
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies
RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89 [Citation Analysis]		40
2005The Relative Contribution of Jumps to Total Price Variance
RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499 [Citation Analysis]		39
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554 [Citation Analysis]		36
2004A New Approach to Markov-Switching GARCH Models
RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530 [Citation Analysis]		35
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168 [Citation Analysis]		35
2009A Simple Approximate Long-Memory Model of Realized Volatility
RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196 [Citation Analysis]		31
2004Mixed Normal Conditional Heteroskedasticity
RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250 [Citation Analysis]		26
2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models
RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342 [Citation Analysis]		21
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104 [Citation Analysis]		21
2007Why Do Absolute Returns Predict Volatility So Well?
RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67 [Citation Analysis]		18
2003Trades and Quotes: A Bivariate Point Process
RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188 [Citation Analysis]		18
2003Fourth Moment Structure of Multivariate GARCH Models
RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54 [Citation Analysis]		16
2006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274 [Citation Analysis]		16
2006Leverage and Volatility Feedback Effects in High-Frequency Data
RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384 [Citation Analysis]		16
2008Are There Structural Breaks in Realized Volatility?
RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360 [Citation Analysis]		15
2006Stochastic Conditional Intensity Processes
RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493 [Citation Analysis]		14
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25 [Citation Analysis]		14
2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577 [Citation Analysis]		14
2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach
RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564 [Citation Analysis]		13
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125 [Citation Analysis]		13
2005Autoregressive Conditional Kurtosis
RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421 [Citation Analysis]		11
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility
RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470 [Citation Analysis]		11
2003The Robustness of the Conditional CAPM with Human Capital
RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289 [Citation Analysis]		11
2006Inequality Constraints in the Fractionally Integrated GARCH Model
RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449 [Citation Analysis]		9
2008Time-Varying Arrival Rates of Informed and Uninformed Trades
RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207 [Citation Analysis]		9
2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255 [Citation Analysis]		9
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83 [Citation Analysis]		9
2005Multivariate Lagrange Multiplier Tests for Fractional Integration
RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398 [Citation Analysis]		9
2006The Generalized Hyperbolic Skew Students t-Distribution
RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309 [Citation Analysis]		8
2005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework
RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168 [Citation Analysis]		8
2003Time Inhomogeneous Multiple Volatility Modeling
RePEc:oup:jfinec:v:1:y:2003:i:1:p:55-95 [Citation Analysis]		7
2006Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345 [Citation Analysis]		7
2008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582 [Citation Analysis]		6
2006Long Memory and the Relation Between Implied and Realized Volatility
RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670 [Citation Analysis]		6
2004Asset Allocation by Variance Sensitivity Analysis
RePEc:oup:jfinec:v:2:y:2004:i:3:p:370-389 [Citation Analysis]		6
2003A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility
RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419 [Citation Analysis]		6
2004Pessimistic Portfolio Allocation and Choquet Expected Utility
RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492 [Citation Analysis]		6
2008Econometric Asset Pricing Modelling
RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458 [Citation Analysis]		6
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula
RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480 [Citation Analysis]		5
2007Switching VARMA Term Structure Models
RePEc:oup:jfinec:v:5:y:2007:i:1:p:105-153 [Citation Analysis]		5
2008Nonparametric Estimation of Expected Shortfall
RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107 [Citation Analysis]		5
2005New Directions in Risk Management
RePEc:oup:jfinec:v:3:y:2005:i:1:p:26-36 [Citation Analysis]		5
2003Using Multiple Imputation in the Analysis of Incomplete Observations in Finance
RePEc:oup:jfinec:v:1:y:2003:i:2:p:216-249 [Citation Analysis]		5
2010Comparison of Volatility Measures: a Risk Management Perspective
RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56 [Citation Analysis]		4
2005The Accuracy of Density Forecasts from Foreign Exchange Options
RePEc:oup:jfinec:v:3:y:2005:i:4:p:578-605 [Citation Analysis]		4
2006A Mixture Multiplicative Error Model for Realized Volatility
RePEc:oup:jfinec:v:4:y:2006:i:4:p:594-616 [Citation Analysis]		4
0000Outlyingness Weighted Covariation
RePEc:oup:jfinec:v:9:y::i:4:p:657-684 [Citation Analysis]		4

Citing documents used to compute impact factor 14:
YearTitleSee
2010Long memory and nonlinearities in realized volatility: a Markov switching approach.
RePEc:bol:bodewp:694		[Citation Analysis]
2010Forecasting Realized Volatility with Linear and Nonlinear Models
RePEc:rio:texdis:568		[Citation Analysis]
2010Modelling and Forecasting Noisy Realized Volatility
RePEc:cbt:econwp:10/21		[Citation Analysis]
2010Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
RePEc:dgr:eureir:1765018331		[Citation Analysis]
2010Marginal likelihood calculation for gelfand-dey and Chib Method
RePEc:pra:mprapa:34928		[Citation Analysis]
2010Multivariate Option Pricing with Time Varying Volatility and Correlations
RePEc:aah:create:2010-19		[Citation Analysis]
2010Multivariate Option Pricing With Time Varying Volatility and Correlations
RePEc:cir:cirwor:2010s-23		[Citation Analysis]
2010Multivariate Option Pricing with Time Varying Volatility and Correlations
RePEc:lvl:lacicr:1020		[Citation Analysis]
2010Demographics and the Econometrics of the Term Structure of Stock Market Risk
RePEc:igi:igierp:367		[Citation Analysis]
2010Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective
RePEc:fip:fedlwp:2010-002		[Citation Analysis]
20101/N and long run optimal portfolios: results for mixed asset menus
RePEc:fip:fedlwp:2010-003		[Citation Analysis]
2010 The Validity of Models on the Information Content of Trades
RePEc:iso:wpaper:0120		[Citation Analysis]
2010With or without you: market quality of floor trading when screen trading closes early
RePEc:kap:rqfnac:v:34:y:2010:i:2:p:179-197		[Citation Analysis]
2010Marginal likelihood calculation for gelfand-dey and Chib Method
RePEc:pra:mprapa:34928		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility
RePEc:aah:create:2010-13		[Citation Analysis]
2010Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis
RePEc:brd:wpaper:36		[Citation Analysis]
2010Disentangling Systematic and idiosyncratic Risk for large Panels of Assets
RePEc:eca:wpaper:2013/57645		[Citation Analysis]
2010Volatility and the role of order book structure
RePEc:qut:auncer:2010_11		[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Tails, Fears and Risk Premia
RePEc:aah:create:2009-26		[Citation Analysis]
2009Long Memory and Tail dependence in Trading Volume and Volatility
RePEc:aah:create:2009-30		[Citation Analysis]
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
RePEc:aah:create:2009-31		[Citation Analysis]
2009On the Economic Evaluation of Volatility Forecasts
RePEc:aah:create:2009-56		[Citation Analysis]
2009Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data
RePEc:fau:fauart:v:59:y:2009:i:4:p:334-359		[Citation Analysis]
2009On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting
RePEc:fem:femwpa:2009.113		[Citation Analysis]
2009On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
RePEc:hal:wpaper:halshs-00387286		[Citation Analysis]
2009International Diversification: An Extreme Value Approach
RePEc:hhs:stavef:2009_026		[Citation Analysis]
2009The Dependence Structure of Macroeconomic Variables in the US
RePEc:hhs:stavef:2009_031		[Citation Analysis]
2009On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
RePEc:mop:credwp:09.05.84		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
RePEc:hum:wpaper:sfb649dp2008-038		[Citation Analysis]
2008Improved small sample inference for efficient method of moments and indirect inference estimators
RePEc:udb:wpaper:uwec-2008-04		[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007Multi-Lag Term Structure Models with Stochastic Risk Premia.
RePEc:bfr:banfra:189		[Citation Analysis]
2007Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
RePEc:fir:econom:wp2007_04		[Citation Analysis]
2007Dynamic Modeling of Large Dimensional Covariance Matrices
RePEc:knz:cofedp:0701		[Citation Analysis]
2007Estimating High-Frequency Based (Co-) Variances: A Unified Approach
RePEc:knz:cofedp:0707		[Citation Analysis]
2007Finite Sample Analysis of Weighted Realized Covariance with Noisy Asynchronous Observations
RePEc:kyo:wpaper:634		[Citation Analysis]
2007Test of Unbiasedness of the Integrated Covariance Estimation in the Presence of Noise
RePEc:osk:wpaper:0703		[Citation Analysis]

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.
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