Most cited documents in this series:

Year	Title	Cited
2001	GMM ESTIMATION OF A PRODUCTION FUNCTION WITH PANEL DATA: AN APPLICATION TO SPANISH MANUFACTURING FIRMS RePEc:cte:wsrepe:ws015527 [Citation Analysis]	7
2003	GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS RePEc:cte:wsrepe:ws035212 [Citation Analysis]	6
2001	MULTIVARIATE ANALYSIS IN VECTOR TIME SERIES RePEc:cte:wsrepe:ws012415 [Citation Analysis]	6
2002	PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF A DYNAMIC STRUCTURAL INVESTMENT MODEL RePEc:cte:wsrepe:ws026218 [Citation Analysis]	5
2002	ESTIMATION METHODS FOR STOCHASTIC VOLATILITY MODELS: A SURVEY RePEc:cte:wsrepe:ws025414 [Citation Analysis]	5
2001	IS STOCHASTIC VOLATILITY MORE FLEXIBLE THAN GARCH? RePEc:cte:wsrepe:ws010805 [Citation Analysis]	5
2001	OUTLIERS AND CONDITIONAL AUTOREGRESSIVE HETEROSCEDASTICITY IN TIME SERIES RePEc:cte:wsrepe:ws010704 [Citation Analysis]	4
2003	DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY. RePEc:cte:wsrepe:ws036313 [Citation Analysis]	3
2004	VARIANCE CHANGES DETECTION IN MULTIVARIATE TIME SERIES RePEc:cte:wsrepe:ws041305 [Citation Analysis]	3
2006	ON THE CONCEPT OF DEPTH FOR FUNCTIONAL DATA RePEc:cte:wsrepe:ws063012 [Citation Analysis]	3
2010	A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation RePEc:cte:wsrepe:ws103822 [Citation Analysis]	3
2003	ESTIMATION OF INCOME DISTRIBUTION AND DETECTION OF SUBPOPULATIONS: AN EXPLANATORY MODEL RePEc:cte:wsrepe:ws030201 [Citation Analysis]	2
2001	INNOVATION AND JOB CREATION AND DESTRUCTION: EVIDENCE FROM SPAIN RePEc:cte:wsrepe:ws013824 [Citation Analysis]	2
2001	ON THE (INTRADAILY) SEASONALITY AND DYNAMICS OF A FINANCIAL POINT PROCESS: A SEMIPARAMETRIC APPROACH. RePEc:cte:wsrepe:ws013321 [Citation Analysis]	2
2004	ECONOMETRIC MODELLING FOR SHORT-TERM INFLATION FORECASTING IN THE EMU. RePEc:cte:wsrepe:ws034309 [Citation Analysis]	2
2006	MODELLING MONETARY TRANSMISSION IN UK MANUFACTURING INDUSTRY RePEc:cte:wsrepe:ws062911 [Citation Analysis]	2
2003	RANGE UNIT ROOT TESTS RePEc:cte:wsrepe:ws031126 [Citation Analysis]	2
2004	STOCHASTIC VOLATILITY MODELS AND THE TAYLOR EFFECT RePEc:cte:wsrepe:ws046315 [Citation Analysis]	1
2007	The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances RePEc:cte:wsrepe:ws072706 [Citation Analysis]	1
2011	Mixtures of g-priors for bayesian model averaging with economic applications RePEc:cte:wsrepe:ws112116 [Citation Analysis]	1
2006	USING AUXILIARY RESIDUALS TO DETECT CONDITIONAL HETEROSCEDASTICITY IN INFLATION RePEc:cte:wsrepe:ws060402 [Citation Analysis]	1
2009	Comparing univariate and multivariate models to forecast portfolio value-at-risk RePEc:cte:wsrepe:ws097222 [Citation Analysis]	1
2004	OUTLIER DETECTION IN MULTIVARIATE TIME SERIES VIA PROJECTION PURSUIT RePEc:cte:wsrepe:ws044211 [Citation Analysis]	1
2006	MULTIVARIATE RISKS AND DEPTH-TRIMMED REGIONS RePEc:cte:wsrepe:ws063815 [Citation Analysis]	1
2011	Forecasting aggregate and disaggregates with common features RePEc:cte:wsrepe:ws110805 [Citation Analysis]	1
2004	A RANGE UNIT ROOT TEST RePEc:cte:wsrepe:ws041104 [Citation Analysis]	1
2005	MEAN SQUARED ERRORS OF SMALL AREA ESTIMATORS UNDER A UNIT-LEVEL MULTIVARIATE MODEL RePEc:cte:wsrepe:ws054007 [Citation Analysis]	1
2009	GARCH models with leverage effect : differences and similarities RePEc:cte:wsrepe:ws090302 [Citation Analysis]	1
2004	A NOTE ON PREDICTION AND INTERPOLATION ERRORS IN TIME SERIES RePEc:cte:wsrepe:ws042710 [Citation Analysis]	1
2004	DIMENSIONALITY REDUCTION WITH IMAGE DATA RePEc:cte:wsrepe:ws041003 [Citation Analysis]	1
2005	BAYESIAN ESTIMATION OF THE GAUSSIAN MIXTURE GARCH MODEL RePEc:cte:wsrepe:ws053605 [Citation Analysis]	1
2007	Characterization and computation of restless bandit marginal productivity indices RePEc:cte:wsrepe:ws074311 [Citation Analysis]	1
2003	USING WEIBULL MIXTURE DISTRIBUTIONS TO MODEL HETEROGENEOUS SURVIVAL DATA RePEc:cte:wsrepe:ws033208 [Citation Analysis]	1
2004	SPURIOUS AND HIDDEN VOLATILITY RePEc:cte:wsrepe:ws042007 [Citation Analysis]	1
2001	ESTIMATION OF A DYNAMIC DISCRETE CHOICE MODEL OF IRREVERSIBLE INVESTMENT RePEc:cte:wsrepe:ws015628 [Citation Analysis]	1
2010	Exponential conditional volatility models RePEc:cte:wsrepe:ws103620 [Citation Analysis]	1
2003	A POWERFUL TEST FOR CONDITIONAL HETEROSCEDASTICITY FOR FINANCIAL TIME SERIES WITH HIGHLY PERSISTENT VOLATILITIES. RePEc:cte:wsrepe:ws036716 [Citation Analysis]	1
2005	FORECASTING INFLATION IN THE EURO AREA USING MONTHLY TIME SERIES MODELS AND QUARTERLY ECONOMETRIC MODELS RePEc:cte:wsrepe:ws050401 [Citation Analysis]	1
2007	Depth functions based on a number of observations of a random vector RePEc:cte:wsrepe:ws072907 [Citation Analysis]	1
2004	MODEL SELECTION CRITERIA AND QUADRATIC DISCRIMINATION IN ARMA AND SETAR TIME SERIES MODELS RePEc:cte:wsrepe:ws041406 [Citation Analysis]	1
2006	MODELLING THE DISCRETE AND INFREQUENT OFFICIAL INTEREST RATE CHANGE IN THE UK RePEc:cte:wsrepe:ws062007 [Citation Analysis]	1
2010	A semiparametric state space model RePEc:cte:wsrepe:ws103418 [Citation Analysis]	1

Citing documents used to compute impact factor 3:

Year	Title	See
2011	Parametric inference and forecasting in continuously invertible volatility models RePEc:pra:mprapa:31767	[Citation Analysis]
2011	Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models RePEc:msh:ebswps:2011-11	[Citation Analysis]
2011	Parametric inference and forecasting in continuously invertible volatility models RePEc:pra:mprapa:31767	[Citation Analysis]

Cites in year: CiY