Most cited documents in this series:

Year	Title	Cited
2009	Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models RePEc:ucm:doicae:0904 [Citation Analysis]	26
2009	The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges RePEc:ucm:doicae:0910 [Citation Analysis]	23
2009	A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk RePEc:ucm:doicae:0907 [Citation Analysis]	19
2011	Great Expectatrics: Great Papers, Great Journals, Great Econometrics RePEc:ucm:doicae:1114 [Citation Analysis]	13
2009	Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? RePEc:ucm:doicae:0918 [Citation Analysis]	12
2003	Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) RePEc:ucm:doicae:0309 [Citation Analysis]	10
2009	GFC-Robust Risk Management Strategies under the Basel Accord RePEc:ucm:doicae:1001 [Citation Analysis]	9
2011	International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord RePEc:ucm:doicae:1101 [Citation Analysis]	6
2002	A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) RePEc:ucm:doicae:0201 [Citation Analysis]	5
2011	Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures RePEc:ucm:doicae:1102 [Citation Analysis]	5
2002	A Note on the Pseudo-Spectra and the Pseudo-Covariance Generating Functions of ARMA Processes RePEc:ucm:doicae:0203 [Citation Analysis]	4
2012	Robust Ranking of Journal Quality: An Application to Economics RePEc:ucm:doicae:1205 [Citation Analysis]	4
2009	Modelling International Tourist Arrivals and Volatility: An Application to Taiwan RePEc:ucm:doicae:0906 [Citation Analysis]	4
2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures RePEc:ucm:doicae:1132 [Citation Analysis]	4
2002	A Dynamic Model of Final Service Competition in fixed Electronic Communications under a Capacity Interconnection Regime RePEc:ucm:doicae:0202 [Citation Analysis]	2
2011	Risk Management of Precious Metals RePEc:ucm:doicae:1104 [Citation Analysis]	2
2004	The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets RePEc:ucm:doicae:0403 [Citation Analysis]	2
2002	A factor model of term structure slopes in eurocurrency markets RePEc:ucm:doicae:0224 [Citation Analysis]	2
2002	Dynamic Laffer Curve in an Endogenous Growth Model with Pollution RePEc:ucm:doicae:0216 [Citation Analysis]	2
2009	Modelling the Growth and Volatility in Daily International Mass Tourism to Peru RePEc:ucm:doicae:0915 [Citation Analysis]	2
2002	Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market RePEc:ucm:doicae:0223 [Citation Analysis]	2
2005	Fast estimation methods for time series models in state-space form RePEc:ucm:doicae:0504 [Citation Analysis]	2
2002	An ARMA Representation of Unobserved Component Models under Generalized Random Walk Specifications: New Algorithms and Examples RePEc:ucm:doicae:0204 [Citation Analysis]	2
	repec:ucm:doicae:0308 [Citation Analysis]	1
	repec:ucm:doicae:0102 [Citation Analysis]	1
2002	An Error Correction Factor Model of Term Structure Slopes in International Swaps Markets RePEc:ucm:doicae:0222 [Citation Analysis]	1
2004	Characterizing the Optimal Composition of Government Expenditures RePEc:ucm:doicae:0409 [Citation Analysis]	1
2010	From general State-Space to VARMAX models RePEc:ucm:doicae:1002 [Citation Analysis]	1
2003	Trade Shoks and Aggregate Fluctuations in an Oil-Exporting Economy RePEc:ucm:doicae:0301 [Citation Analysis]	1
2011	Why do variance swaps exist? RePEc:ucm:doicae:1106 [Citation Analysis]	1
2002	Risk Premia in the Term Structure of Swaps in Pesetas RePEc:ucm:doicae:0219 [Citation Analysis]	1
2004	Global and local indeterminacy and optimal environmental public policies in an economy with public abatement activities. RePEc:ucm:doicae:0408 [Citation Analysis]	1
2011	Currency Hedging Strategies Using Dynamic Multivariate GARCH RePEc:ucm:doicae:1133 [Citation Analysis]	1
2002	Dynamic correlations and forecasting of term structure slopes in eurocurrency market RePEc:ucm:doicae:0226 [Citation Analysis]	1
2002	Analysis and Comparisons of some Solution Concepts for Stochastic Programming Problems RePEc:ucm:doicae:0218 [Citation Analysis]	1
2001	Structural Breaks and interest rates forecast: a sequential approach RePEc:ucm:doicae:0110 [Citation Analysis]	1
2011	The Dynamics of Energy-Grain Prices with Open Interest RePEc:ucm:doicae:1118 [Citation Analysis]	1
2012	Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments RePEc:ucm:doicae:1214 [Citation Analysis]	1

Citing documents used to compute impact factor 22:

Year	Title	See
2011	What Drives Aggregate Credit Risk? RePEc:onb:oenbfs:y:2011:i:22:b:2	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:ucm:doicae:1120	[Citation Analysis]
2011	Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates RePEc:ucm:doicae:1113	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:dgr:eureir:1765023582	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:dgr:eureir:1765026880	[Citation Analysis]
2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures RePEc:cbt:econwp:11/26	[Citation Analysis]
2011	GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies RePEc:cbt:econwp:11/28	[Citation Analysis]
2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures RePEc:ucm:doicae:1132	[Citation Analysis]
2011	GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies RePEc:ucm:doicae:1127	[Citation Analysis]
2011	An impure public good model with lotteries in large grou RePEc:ucm:doicae:1105	[Citation Analysis]
2011	Risk Management of Precious Metals RePEc:ucm:doicae:1104	[Citation Analysis]
2011	Currency Hedging Strategies Using Dynamic Multivariate GARCH RePEc:ucm:doicae:1133	[Citation Analysis]
2011	Risk management of precious metals RePEc:eee:quaeco:v:51:y:2011:i:4:p:435-441	[Citation Analysis]
2011	Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures RePEc:dgr:eureir:1765022807	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:kyo:wpaper:795	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:cbt:econwp:11/32	[Citation Analysis]
2011	International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord RePEc:cbt:econwp:11/05	[Citation Analysis]
2011	Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range RePEc:dgr:eureir:1765023795	[Citation Analysis]
2011	International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord RePEc:ucm:doicae:1101	[Citation Analysis]
2011	Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan RePEc:ucm:doicae:1131	[Citation Analysis]
2011	Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan RePEc:ucm:doicae:1128	[Citation Analysis]
2011	Liquidity risk, credit risk, market risk and bank capital RePEc:eme:ijmfpp:v:7:y:2011:i:2:p:134-152	[Citation Analysis]

Cites in year: CiY