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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

  
 

Journal of Financial Econometrics / Oxford University Press

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19900.080000.04
19910.080000.04
19920.080000.04
19930.090000.05
19940.10000.05
19950.190000.07
19960.230000.1
19970.290000.1
19980.290000.11
19990.340000.15
20000.430000.17
20010.450000.17
20020.460000.21
20030.48191530050.260.21
20040.680.552434919130200.830.23
20050.930.572723143400110.410.24
20061.240.542441451630261.080.22
20071.610.4810835182060.60.19
20082.290.520843478020.10.22
20091.330.51228230400130.590.21
20100.690.4630344229050.170.17
20110.90.64223152470100.450.26
 
 
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
II: 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]		124
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]		118
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]		101
2005The Relative Contribution of Jumps to Total Price Variance
RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499 [Citation Analysis]		69
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies
RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89 [Citation Analysis]		58
2009A Simple Approximate Long-Memory Model of Realized Volatility
RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196 [Citation Analysis]		53
2004A New Approach to Markov-Switching GARCH Models
RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530 [Citation Analysis]		52
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]		47
2004Mixed Normal Conditional Heteroskedasticity
RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250 [Citation Analysis]		40
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]		37
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]		33
2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models
RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342 [Citation Analysis]		28
2003Trades and Quotes: A Bivariate Point Process
RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188 [Citation Analysis]		25
2007Why Do Absolute Returns Predict Volatility So Well?
RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67 [Citation Analysis]		25
2006Stochastic Conditional Intensity Processes
RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493 [Citation Analysis]		24
2003Fourth Moment Structure of Multivariate GARCH Models
RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54 [Citation Analysis]		23
2006Leverage and Volatility Feedback Effects in High-Frequency Data
RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384 [Citation Analysis]		23
2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577 [Citation Analysis]		22
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]		21
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25 [Citation Analysis]		21
2008Are There Structural Breaks in Realized Volatility?
RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360 [Citation Analysis]		20
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]		20
2005Autoregressive Conditional Kurtosis
RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421 [Citation Analysis]		17
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]		16
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility
RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470 [Citation Analysis]		16
2006Inequality Constraints in the Fractionally Integrated GARCH Model
RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449 [Citation Analysis]		15
2003The Robustness of the Conditional CAPM with Human Capital
RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289 [Citation Analysis]		14
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]		13
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]		13
2008Time-Varying Arrival Rates of Informed and Uninformed Trades
RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207 [Citation Analysis]		12
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]		11
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]		11
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]		11
2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255 [Citation Analysis]		11
2006Long Memory and the Relation Between Implied and Realized Volatility
RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670 [Citation Analysis]		11
2005Multivariate Lagrange Multiplier Tests for Fractional Integration
RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398 [Citation Analysis]		11
2004Pessimistic Portfolio Allocation and Choquet Expected Utility
RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492 [Citation Analysis]		10
2010Comparison of Volatility Measures: a Risk Management Perspective
RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56 [Citation Analysis]		9
2008Nonparametric Estimation of Expected Shortfall
RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107 [Citation Analysis]		9
2006The Generalized Hyperbolic Skew Students t-Distribution
RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309 [Citation Analysis]		9
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula
RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480 [Citation Analysis]		9
2005The Accuracy of Density Forecasts from Foreign Exchange Options
RePEc:oup:jfinec:v:3:y:2005:i:4:p:578-605 [Citation Analysis]		9
2007Components of Market Risk and Return
RePEc:oup:jfinec:v:5:y:2007:i:4:p:560-590 [Citation Analysis]		8
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411 [Citation Analysis]		8
2004Nonparametric Tests for Positive Quadrant Dependence
RePEc:oup:jfinec:v:2:y:2004:i:3:p:422-450 [Citation Analysis]		8
2004Asset Allocation by Variance Sensitivity Analysis
RePEc:oup:jfinec:v:2:y:2004:i:3:p:370-389 [Citation Analysis]		7
2003Time Inhomogeneous Multiple Volatility Modeling
RePEc:oup:jfinec:v:1:y:2003:i:1:p:55-95 [Citation Analysis]		7
2007Switching VARMA Term Structure Models
RePEc:oup:jfinec:v:5:y:2007:i:1:p:105-153 [Citation Analysis]		7
2008Econometric Asset Pricing Modelling
RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458 [Citation Analysis]		7
2004LARCH, Leverage, and Long Memory
RePEc:oup:jfinec:v:2:y:2004:i:2:p:177-210 [Citation Analysis]		7

Citing documents used to compute impact factor 47:
YearTitleSee
2011Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
RePEc:pra:mprapa:30364		[Citation Analysis]
2011The 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]
2011Multivariate High-Frequency-Based Volatility (HEAVY) Models
RePEc:nuf:econwp:1101		[Citation Analysis]
2011The economic value of range-based covariance between stock and bond returns with dynamic copulas
RePEc:eee:empfin:v:18:y:2011:i:4:p:711-727		[Citation Analysis]
2011Shrinkage estimation of semiparametric multiplicative error models
RePEc:eee:intfor:v:27:y::i:2:p:365-378		[Citation Analysis]
2011Credit default swap spreads and variance risk premia
RePEc:fip:fedgfe:2011-02		[Citation Analysis]
2011The Identification of Price Jumps
RePEc:cer:papers:wp434		[Citation Analysis]
2011Properties of Foreign Exchange Risk Premiums
RePEc:pra:mprapa:21302		[Citation Analysis]
2011Adaptive continuous time Markov chain approximation model to general jump-diffusions
RePEc:gla:glaewp:2011_16		[Citation Analysis]
2011Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul
RePEc:fau:fauart:v:61:y:2011:i:3:p:277-304		[Citation Analysis]
2011The Identification of Price Jumps
RePEc:cer:papers:wp434		[Citation Analysis]
2011Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)
RePEc:hal:wpaper:hal-00605965		[Citation Analysis]
2011Modeling interbank relations during the international financial crisis
RePEc:ebl:ecbull:eb-10-00582		[Citation Analysis]
2011Food scare crises and price volatility: The case of the BSE in Spain
RePEc:eee:jfpoli:v:36:y:2011:i:2:p:179-185		[Citation Analysis]
2011Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
RePEc:usg:econwp:2011:36		[Citation Analysis]
2011The Joint Dynamics of Equity Market Factors
RePEc:aah:create:2011-45		[Citation Analysis]
2011A Model of Endogenous Extreme Events
RePEc:hhs:stavef:2012_002		[Citation Analysis]
2011An econometric Study for Vine Copulas
RePEc:hal:cesptp:halshs-00645799		[Citation Analysis]
2011International diversification: A copula approach
RePEc:eee:jbfina:v:35:y:2011:i:2:p:403-417		[Citation Analysis]
2011Dependence structure and extreme comovements in international equity and bond markets
RePEc:eee:jbfina:v:35:y:2011:i:8:p:1954-1970		[Citation Analysis]
2011Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures
RePEc:eee:quaeco:v:51:y:2011:i:2:p:173-188		[Citation Analysis]
2011Financial market spillovers around the globe
RePEc:hlj:hljwrp:20-2011		[Citation Analysis]
2011Forecasting Volatility with Copula-Based Time Series Models
RePEc:dgr:uvatin:20110125		[Citation Analysis]
2011Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors*
RePEc:jns:jbstat:v:231:y:2011:i:1:p:134-152		[Citation Analysis]
2011On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29		[Citation Analysis]
2011Are realized volatility models good candidates for alternative Value at Risk prediction strategies?
RePEc:pra:mprapa:30364		[Citation Analysis]
2011Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
RePEc:ucm:doicae:1113		[Citation Analysis]
2011Probability of Informed Trading and Volatility for an ETF
RePEc:bbk:bbkefp:1101		[Citation Analysis]
2011Conditional jumps in volatility and their economic determinants
RePEc:pad:wpaper:0138		[Citation Analysis]
2011Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
RePEc:usg:econwp:2011:38		[Citation Analysis]
2011Modelling and Forecasting Noisy Realized Volatility
RePEc:ucm:doicae:1109		[Citation Analysis]
2011Can internet search queries help to predict stock market volatility?
RePEc:zbw:cfrwps:1115		[Citation Analysis]
2011Can Internet search queries help to predict stock market volatility?
RePEc:zbw:tuewef:18		[Citation Analysis]
2011Volatility Transmission in Emerging European Foreign Exchange Markets
RePEc:wdi:papers:2011-1020		[Citation Analysis]
2011Pricing Central Tendency in Volatility
RePEc:cfr:cefirw:w0168		[Citation Analysis]
2011Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
RePEc:eee:econom:v:160:y:2011:i:1:p:145-159		[Citation Analysis]
2011Estimating quadratic variation when quoted prices change by a constant increment
RePEc:eee:econom:v:160:y:2011:i:1:p:2-11		[Citation Analysis]
2011Realized volatility forecasting and market microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:220-234		[Citation Analysis]
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
RePEc:eee:econom:v:160:y:2011:i:1:p:48-57		[Citation Analysis]
2011Do high-frequency measures of volatility improve forecasts of return distributions?
RePEc:eee:econom:v:160:y:2011:i:1:p:69-76		[Citation Analysis]
2011Forecasting multivariate realized stock market volatility
RePEc:eee:econom:v:160:y:2011:i:1:p:93-101		[Citation Analysis]
2011Data-based ranking of realised volatility estimators
RePEc:eee:econom:v:161:y:2011:i:2:p:284-303		[Citation Analysis]
2011Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets
RePEc:eee:finmar:v:14:y:2011:i:1:p:82-108		[Citation Analysis]
2011Forecasting exchange rate volatility using high-frequency data: Is the euro different?
RePEc:eee:intfor:v:27:y:2011:i:4:p:1089-1107		[Citation Analysis]
2011Volatility transmission in emerging European foreign exchange markets
RePEc:eee:jbfina:v:35:y:2011:i:11:p:2829-2841		[Citation Analysis]
2011Extreme value theory for finance: a survey
RePEc:bdi:opques:qef_99_11		[Citation Analysis]
2011Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union
RePEc:eee:jbfina:v:35:y:2011:i:11:p:2916-2930		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011Financial Risk Measurement for Financial Risk Management
RePEc:aah:create:2011-37		[Citation Analysis]
2011Examining Macroeconomic Models Through the Lens of Asset Pricing
RePEc:bfi:wpaper:2011-012		[Citation Analysis]
2011Volatility models
RePEc:cor:louvco:2011058		[Citation Analysis]
2011Properties of Foreign Exchange Risk Premiums
RePEc:cpr:ceprdp:8503		[Citation Analysis]
2011Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
RePEc:ecl:ohidic:2011-11		[Citation Analysis]
2011A simple nonparametric test for structural change in joint tail probabilities
RePEc:eee:ecolet:v:110:y:2011:i:3:p:245-247		[Citation Analysis]
2011Do interest rate options contain information about excess returns?
RePEc:eee:econom:v:164:y:2011:i:1:p:35-44		[Citation Analysis]
2011Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
RePEc:msh:ebswps:2011-9		[Citation Analysis]
2011Financial Risk Measurement for Financial Risk Management
RePEc:pen:papers:11-037		[Citation Analysis]
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast
RePEc:pra:mprapa:41248		[Citation Analysis]

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]
2010Testing a conditional form of exogeneity
RePEc:eee:ecolet:v:109:y:2010:i:2:p:88-90		[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]
2009Range-based multivariate volatility model with double smooth transition in conditional correlation
RePEc:eee:glofin:v:20:y:2009:i:2:p:137-152		[Citation Analysis]
2009Explaining international stock correlations with CPI fluctuations and market volatility
RePEc:eee:jbfina:v:33:y:2009:i:11:p:2026-2035		[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]
2009The Forward Market in Emerging Currencies: Less Biased than in Major Currencies
RePEc:hrv:hksfac:4448888		[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]

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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