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]	75
2007	Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets RePEc:aah:create:2007-20 [Citation Analysis]	61
2007	Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps RePEc:aah:create:2007-27 [Citation Analysis]	22
2007	Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 RePEc:aah:create:2007-43 [Citation Analysis]	20
2007	Expected Stock Returns and Variance Risk Premia RePEc:aah:create:2007-17 [Citation Analysis]	18
2008	Option Valuation with Long-run and Short-run Volatility Components RePEc:aah:create:2008-11 [Citation Analysis]	16
2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution RePEc:aah:create:2008-41 [Citation Analysis]	15
2008	Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood RePEc:aah:create:2008-58 [Citation Analysis]	14
2007	Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns RePEc:aah:create:2007-21 [Citation Analysis]	14
2009	Realised Quantile-Based Estimation of the Integrated Variance RePEc:aah:create:2009-27 [Citation Analysis]	14
2008	Disagreement and Biases in Inflation Expectations RePEc:aah:create:2008-56 [Citation Analysis]	12
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]	11
2010	Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility RePEc:aah:create:2010-13 [Citation Analysis]	11
2008	Inference for the jump part of quadratic variation of Itô semimartingales RePEc:aah:create:2008-17 [Citation Analysis]	10
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]	10
2007	The Effect of Long Memory in Volatility on Stock Market Fluctuations RePEc:aah:create:2007-03 [Citation Analysis]	10
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
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]	10
2009	Jump-Robust Volatility Estimation using Nearest Neighbor Truncation RePEc:aah:create:2009-52 [Citation Analysis]	9
2010	Stochastic Volatility RePEc:aah:create:2010-10 [Citation Analysis]	9
2008	Multivariate GARCH models RePEc:aah:create:2008-06 [Citation Analysis]	8
2009	Co-integration Rank Testing under Conditional Heteroskedasticity RePEc:aah:create:2009-22 [Citation Analysis]	8
2009	Testing Conditional Factor Models RePEc:aah:create:2009-09 [Citation Analysis]	8
2007	Risk, Jumps, and Diversification RePEc:aah:create:2007-19 [Citation Analysis]	7
2008	Option Pricing using Realized Volatility RePEc:aah:create:2008-13 [Citation Analysis]	7
2009	The Taylor Rule and “Opportunistic” Monetary Policy RePEc:aah:create:2010-04 [Citation Analysis]	7
2007	Extreme Coexceedances in New EU Member States’ Stock Markets RePEc:aah:create:2007-34 [Citation Analysis]	7
2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure RePEc:aah:create:2008-08 [Citation Analysis]	6
2010	Forecast Combinations RePEc:aah:create:2010-21 [Citation Analysis]	6
2007	Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model RePEc:aah:create:2007-10 [Citation Analysis]	6
2009	On the Economic Evaluation of Volatility Forecasts RePEc:aah:create:2009-56 [Citation Analysis]	6
2008	Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility RePEc:aah:create:2008-50 [Citation Analysis]	6
2008	Maximum likelihood estimation of fractionally cointegrated systems RePEc:aah:create:2008-53 [Citation Analysis]	5
2008	Short-run Exchange-Rate Dynamics: Theory and Evidence RePEc:aah:create:2008-01 [Citation Analysis]	5
2008	Local polynomial Whittle estimation of perturbed fractional processes RePEc:aah:create:2008-29 [Citation Analysis]	5
2007	Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach RePEc:aah:create:2007-02 [Citation Analysis]	5
2007	Are Economists More Likely to Hold Stocks? RePEc:aah:create:2007-08 [Citation Analysis]	5
2008	Glossary to ARCH (GARCH) RePEc:aah:create:2008-49 [Citation Analysis]	5
2009	Quadratic Variation by Markov Chains RePEc:aah:create:2009-13 [Citation Analysis]	4
2007	Power variation for Gaussian processes with stationary increments RePEc:aah:create:2007-42 [Citation Analysis]	4
2008	Expected Stock Returns and Variance Risk Premia RePEc:aah:create:2008-48 [Citation Analysis]	4
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]	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]	4
2008	Bipower-type estimation in a noisy diffusion setting RePEc:aah:create:2008-25 [Citation Analysis]	4
2010	Forecasting with nonlinear time series models RePEc:aah:create:2010-01 [Citation Analysis]	4
2008	An analysis of the indicator saturation estimator as a robust regression estimator RePEc:aah:create:2008-09 [Citation Analysis]	4
2009	Multipower Variation for Brownian Semistationary Processes RePEc:aah:create:2009-21 [Citation Analysis]	4
2008	Explaining output volatility: The case of taxation RePEc:aah:create:2008-04 [Citation Analysis]	4
2008	Local polynomial Whittle estimation covering non-stationary fractional processes RePEc:aah:create:2008-28 [Citation Analysis]	3
2008	New tests for jumps: a threshold-based approach RePEc:aah:create:2008-34 [Citation Analysis]	3

Citing documents used to compute impact factor 62:

Year	Title	See
2011	Non-linear DSGE models and the optimized central difference particle filter RePEc:eee:dyncon:v:35:y:2011:i:10:p:1671-1695	[Citation Analysis]
2011	Combining Survey Forecasts and Time Series Models: The Case of the Euribor RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81	[Citation Analysis]
2011	Disagreement, Uncertainty and the True Predictive Density RePEc:knz:dpteco:1143	[Citation Analysis]
2011	What we can learn from pricing 139,879 Individual Stock Options RePEc:aah:create:2011-52	[Citation Analysis]
2011	Pricing Nikkei 225 Options Using Realized Volatility RePEc:ime:imedps:11-e-18	[Citation Analysis]
2011	The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures RePEc:dgr:uvatin:20110132	[Citation Analysis]
2011	The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting RePEc:pra:mprapa:35252	[Citation Analysis]
2011	An Empirical Test of Pricing Kernel Monotonicity RePEc:cdl:ucsdec:qt5572n8pc	[Citation Analysis]
2011	Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques RePEc:aah:create:2011-27	[Citation Analysis]
2011	Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 RePEc:aah:create:2011-28	[Citation Analysis]
2011	The Australian Phillips curve and more RePEc:pra:mprapa:28762	[Citation Analysis]
2011	Anthropogenic Influences on Atmospheric CO2 RePEc:oxf:wpaper:584	[Citation Analysis]
2011	Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order RePEc:eee:csdana:v:55:y:2011:i:2:p:1008-1017	[Citation Analysis]
2011	Asymptotic theory for iterated one-step Huber-skip estimators RePEc:kud:kuiedp:1129	[Citation Analysis]
2011	Asymptotic theory for iterated one-step Huber-skip estimators RePEc:aah:create:2011-40	[Citation Analysis]
2011	The effect of round-off error on long memory processes RePEc:arx:papers:1107.4476	[Citation Analysis]
2011	Data-based ranking of realised volatility estimators RePEc:eee:econom:v:161:y:2011:i:2:p:284-303	[Citation Analysis]
2011	Multivariate High-Frequency-Based Volatility (HEAVY) Models RePEc:nuf:econwp:1101	[Citation Analysis]
2011	Testing Conditional Factor Models RePEc:nbr:nberwo:17561	[Citation Analysis]
2011	The Role of the Spouse in Early Retirement Decisions for Older Workers RePEc:aah:create:2011-38	[Citation Analysis]
2011	Can Internet search queries help to predict stock market volatility? RePEc:zbw:tuewef:18	[Citation Analysis]
2011	Can internet search queries help to predict stock market volatility? RePEc:zbw:cfrwps:1115	[Citation Analysis]
2011	Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns RePEc:aah:create:2011-26	[Citation Analysis]
2011	Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns RePEc:bos:wpaper:wp2011-050	[Citation Analysis]
2011	Multivariate option pricing with time varying volatility and correlations RePEc:eee:jbfina:v:35:y:2011:i:9:p:2267-2281	[Citation Analysis]
2011	Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all? RePEc:eee:ecmode:v:28:y:2011:i:3:p:1279-1290	[Citation Analysis]
2011	The ECB Monetary Policy and the Current Financial Crisis RePEc:cyb:wpaper:2011-1	[Citation Analysis]
2011	The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures RePEc:dgr:uvatin:20110132	[Citation Analysis]
2011	Financial Risk Measurement for Financial Risk Management RePEc:aah:create:2011-37	[Citation Analysis]
2011	Monitoring a change in persistence of a long range dependent time series RePEc:han:dpaper:dp-479	[Citation Analysis]
2011	Testing for a rational bubble under long memory RePEc:rug:rugwps:11/722	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:ucm:doicae:1120	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:dgr:eureir:1765023582	[Citation Analysis]
2011	RATIONAL IGNORANCE IN LONG-RUN RISK MODELS RePEc:rcr:wpaper:08_11	[Citation Analysis]
2011	Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495	[Citation Analysis]
2011	A martingale approach for testing diffusion models based on infinitesimal operator RePEc:eee:econom:v:162:y:2011:i:2:p:189-212	[Citation Analysis]
2011	Analytical approximation of the transition density in a local volatility model RePEc:pra:mprapa:31107	[Citation Analysis]
2011	Getting beyond carry trade: what makes a safe haven currency? RePEc:ecb:ecbwps:20111288	[Citation Analysis]
2011	FX strategies in periods of distress RePEc:bis:bisqtr:1112e	[Citation Analysis]
2011	Exchangeability type properties of asset prices RePEc:arx:papers:0901.4914	[Citation Analysis]
2011	Useful models for time series of counts or simply wrong ones? RePEc:spr:alstar:v:95:y:2011:i:1:p:59-91	[Citation Analysis]
2011	Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading RePEc:eee:econom:v:162:y:2011:i:2:p:149-169	[Citation Analysis]
2011	A Long Memory Model with Normal Mixture GARCH RePEc:kap:compec:v:38:y:2011:i:4:p:517-539	[Citation Analysis]
2011	Volatility models RePEc:cor:louvco:2011058	[Citation Analysis]
2011	Does Monetary Policy Affect Stock Market Uncertainty? – Empirical Evidence from the United States RePEc:rwi:repape:0240	[Citation Analysis]
2011	Combining Survey Forecasts and Time Series Models: The Case of the Euribor RePEc:jns:jbstat:v:231:y:2011:i:1:p:63-81	[Citation Analysis]
2011	Testing Conditional Factor Models RePEc:nbr:nberwo:17561	[Citation Analysis]
2011	Essays on asset pricing. RePEc:ner:tilbur:urn:nbn:nl:ui:12-5146522	[Citation Analysis]
2011	Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas RePEc:eee:jfinec:v:102:y:2011:i:2:p:363-389	[Citation Analysis]
2011	Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:557-567	[Citation Analysis]
2011	On the Predictability of Stock Prices: A Case for High and Low Prices. RePEc:pad:wpaper:0136	[Citation Analysis]
2011	Forecasting with Option Implied Information RePEc:aah:create:2011-46	[Citation Analysis]
2011	Parametric Inference and Dynamic State Recovery from Option Panels RePEc:aah:create:2012-11	[Citation Analysis]
2011	The effect of infrequent trading on detecting price jumps RePEc:spr:alstar:v:95:y:2011:i:1:p:27-58	[Citation Analysis]
2011	Subsampling high frequency data RePEc:eee:econom:v:161:y:2011:i:2:p:262-283	[Citation Analysis]
2011	Extreme value theory for finance: a survey RePEc:bdi:opques:qef_99_11	[Citation Analysis]
2011	Cointegrated VARMA models and forecasting US interest rates RePEc:zur:econwp:033	[Citation Analysis]
2011	Monetary Policy Rules in the BRICS: How Important is Nonlinearity? RePEc:nip:nipewp:18/2011	[Citation Analysis]
2011	Threshold effects in the monetary policy reaction function of the Deutsche Bundesbank RePEc:pra:mprapa:32430	[Citation Analysis]
2011	Political Business Cycles and Monetary Policy Revisited – An Application of a Two-Dimensional Asymmetric Taylor Reaction Function RePEc:rwi:repape:0286	[Citation Analysis]
2011	Sources of the great moderation: A time-series analysis of GDP subsectors RePEc:eee:dyncon:v:35:y:2011:i:1:p:67-79	[Citation Analysis]
2011	Asymmetric Taylor reaction functions of the ECB: An approach depending on the state of the economy RePEc:eee:ecofin:v:22:y:2011:i:2:p:149-163	[Citation Analysis]

Cites in year: CiY