Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

CREATES Research Papers / School of Economics and Management, University of Aarhus

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.08000000.04
19910.08000000.04
19920.09000000.05
19930.1000000.04
19940.12000000.05
19950.16000000.09
19960.19000000.09
19970.2020000.09
19980.21010000.13
19990.27020000.16
20000.39000000.16
20010.37000000.17
20020.38010000.18
20030.4000000.19
20040.43010000.19
20050.45010000.24
20060.46060000.2
20070.394545190.4235400110.240.17
20081.070.4165110930.85243454818.8290.450.18
20090.910.37601701410.8315411010030170.280.18
20100.50.33742441330.551061256214.5160.220.16
20110.520.45563002080.69371347017.1110.20.23
20120.240.46563561960.55441303122.6140.250.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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

 

Most cited documents in this series:

YearTitleCited
2007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

119
2007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

90
2008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Ornthanalai, Chayawat ; Wang, Yintian ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

25
2009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

Full description at Econpapers || Download paper

22
2007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27.

Full description at Econpapers || Download paper

22
2008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56.

Full description at Econpapers || Download paper

21
2007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-43.

Full description at Econpapers || Download paper

20
2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steven . In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

19
2007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

Full description at Econpapers || Download paper

18
2007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann . In: CREATES Research Papers. RePEc:aah:create:2007-21.

Full description at Econpapers || Download paper

17
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58.

Full description at Econpapers || Download paper

15
2008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

15
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63.

Full description at Econpapers || Download paper

15
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas. In: CREATES Research Papers. RePEc:aah:create:2007-09.

Full description at Econpapers || Download paper

14
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

Full description at Econpapers || Download paper

13
2008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

12
2008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; TERaSVIRTA, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-06.

Full description at Econpapers || Download paper

12
2010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13.

Full description at Econpapers || Download paper

12
2008Inference for the jump part of quadratic variation of Itô semimartingales. (2008). Veraart, Almut. In: CREATES Research Papers. RePEc:aah:create:2008-17.

Full description at Econpapers || Download paper

11
2008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

Full description at Econpapers || Download paper

10
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence. (2010). Podolskij, Mark ; Hautsch, Nikolaus. In: CREATES Research Papers. RePEc:aah:create:2010-29.

Full description at Econpapers || Download paper

10
2012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

Full description at Econpapers || Download paper

10
2009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

10
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav . In: CREATES Research Papers. RePEc:aah:create:2009-52.

Full description at Econpapers || Download paper

10
2009Testing Conditional Factor Models. (2009). Kristensen, Dennis ; Ang, Andrew. In: CREATES Research Papers. RePEc:aah:create:2009-09.

Full description at Econpapers || Download paper

9
2010Stochastic Volatility. (2010). Andersen, Torben ; Benzoni, Luca . In: CREATES Research Papers. RePEc:aah:create:2010-10.

Full description at Econpapers || Download paper

9
2009Co-integration Rank Testing under Conditional Heteroskedasticity. (2009). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2009-22.

Full description at Econpapers || Download paper

8
2008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

Full description at Econpapers || Download paper

8
2008Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A. In: CREATES Research Papers. RePEc:aah:create:2008-01.

Full description at Econpapers || Download paper

8
2010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; TERaSVIRTA, Timo . In: CREATES Research Papers. RePEc:aah:create:2010-01.

Full description at Econpapers || Download paper

8
2009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

Full description at Econpapers || Download paper

8
2009The Taylor Rule and “Opportunistic” Monetary Policy. (2009). Enders, Walter ; Bunzel, Helle. In: CREATES Research Papers. RePEc:aah:create:2010-04.

Full description at Econpapers || Download paper

7
2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; TERaSVIRTA, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-08.

Full description at Econpapers || Download paper

7
2008Explaining Macroeconomic and Term Structure Dynamics Jointly in a Non-linear DSGE Model. (2008). Andreasen, Martin. In: CREATES Research Papers. RePEc:aah:create:2008-43.

Full description at Econpapers || Download paper

7
2010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Voev, Valeri ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-74.

Full description at Econpapers || Download paper

7
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2009-45.

Full description at Econpapers || Download paper

7
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. (2007). Zhu, Jie ; Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-10.

Full description at Econpapers || Download paper

7
2008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2008-50.

Full description at Econpapers || Download paper

7
2007Risk, Jumps, and Diversification. (2007). Law, Tzuo Hann ; Bollerslev, Tim ; Tauchen, George . In: CREATES Research Papers. RePEc:aah:create:2007-19.

Full description at Econpapers || Download paper

7
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-43.

Full description at Econpapers || Download paper

6
2008Expected Stock Returns and Variance Risk Premia. (2008). Bollerslev, Tim ; Tauchen, George ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

Full description at Econpapers || Download paper

6
2010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

Full description at Econpapers || Download paper

6
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach. (2007). Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2007-02.

Full description at Econpapers || Download paper

6
2012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Langlois, Hugues ; Errunza, Vihang ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

6
2007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24.

Full description at Econpapers || Download paper

6
2012Modelling conditional correlations of asset returns: A smooth transition approach. (2012). Teräsvirta, Timo ; Silvennoinen, Annastiina ; TERaSVIRTA, Timo . In: CREATES Research Papers. RePEc:aah:create:2012-09.

Full description at Econpapers || Download paper

6
2010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-08.

Full description at Econpapers || Download paper

5
2012On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions. (2012). Kock, Anders. In: CREATES Research Papers. RePEc:aah:create:2012-05.

Full description at Econpapers || Download paper

5
2009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

Full description at Econpapers || Download paper

5
2008Local polynomial Whittle estimation of perturbed fractional processes. (2008). Nielsen, Morten ; Frederiksen, Per . In: CREATES Research Papers. RePEc:aah:create:2008-29.

Full description at Econpapers || Download paper

5

Citing documents used to compute impact factor 31:

YearTitleSee
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors. (2012). Hillebrand, Eric ; Lee, Tae-Hwy . In: CREATES Research Papers. RePEc:aah:create:2012-18.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Jump-robust volatility estimation using nearest neighbor truncation. (2012). Andersen, Torben ; Dobrev, Dobrislav ; Schaumburg, Ernst . In: Journal of Econometrics. RePEc:eee:econom:v:169:y:2012:i:1:p:75-93.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Conditionally-unitorm Feasible Grid Search Algorithm. (2012). Dziubinski, Matt. In: CREATES Research Papers. RePEc:aah:create:2012-03.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo. In: Banco de España Working Papers. RePEc:bde:wpaper:1230.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A test for the rank of the volatility process: the random perturbation approach. (2012). Jacod, Jean ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2012-57.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A Test for the Rank of the Volatility Process: The Random Perturbation Approach. (2012). Jacod, Jean ; Podolskij, Mark . In: Global COE Hi-Stat Discussion Paper Series. RePEc:hst:ghsdps:gd12-268.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew. In: Journal of Financial Economics. RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Exact local Whittle estimation of fractionally cointegrated systems. (2012). Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:169:y:2012:i:2:p:266-278.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Rational Speculators, Contrarians and Excess Volatility. (2012). Lof, Matthijs. In: MPRA Paper. RePEc:pra:mprapa:43490.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries. (2012). Pedersen, Thomas ; Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2012-58.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Forecast bias in two dimensions. (2012). Croushore, Dean. In: Working Papers. RePEc:fip:fedpwp:12-9.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Short-term forecasting for the portuguese economy: a methodological overview. (2012). Rua, António ; Esteves, Paulo Soares . In: Economic Bulletin and Financial Stability Report Articles. RePEc:ptu:bdpart:b201213.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Combinación de Proyecciones para el Precio del Petróleo: Aplicación y Evaluación de Metodologías. (2012). Ricaurte, Miguel ; Muñoz Saavedra, Ercio ; Siravegna, Mariel ; Muoz, Ercio . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:660.

Full description at Econpapers

[Citation Analysis]
2012EMU and intra-European trade. Long-run evidence using gravity equations.. (2012). Tamarit, Cecilio ; Gómez-Herrera, Estrella ; Camarero, Mariam. In: ThE Papers. RePEc:gra:wpaper:10/25.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks. (2012). Dechert, Andreas. In: MPRA Paper. RePEc:pra:mprapa:41044.

Full description at Econpapers || Download paper

[Citation Analysis]
2012The market impact of a limit order. (2012). Hautsch, Nikolaus ; Huang, Ruihong . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:4:p:501-522.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates. (2012). Kristensen, Dennis ; Han, Heejoon. In: CREATES Research Papers. RePEc:aah:create:2012-25.

Full description at Econpapers || Download paper

[Citation Analysis]
2012GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study. (2012). Xu, Dinghai ; Chausse, Pierre. In: Working Papers. RePEc:wat:wpaper:1203.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Realized Volatility and Change of Regimes. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_02.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Forecasting Covariance Matrices: A Mixed Frequency Approach. (2012). Halbleib, Roxana ; Voev, Valeri . In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1230.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A semiparametric stochastic volatility model. (2012). Yu, Jun ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:167:y:2012:i:2:p:473-482.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle.. (2012). Yazgan, Ege ; Stengos, Thanasis ; Pinar, Mehmet. In: Working Papers. RePEc:gue:guelph:2012-06..

Full description at Econpapers || Download paper

[Citation Analysis]
2012Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle. (2012). Yazgan, Ege ; Stengos, Thanasis ; Pinar, Mehmet. In: Working Paper Series. RePEc:rim:rimwps:17_12.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Government bond market dynamics and sovereign risk: systemic or idiosyncratic?. (2012). Candelon, Bertrand ; Andreea, Bicu ; Bertrand, Candelon . In: Research Memoranda. RePEc:dgr:umamet:2012032.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-034.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Modelling world investment markets using threshold conditional correlation models. (2012). Aslanidis, Nektarios ; Ibaez, oscar Martinez . In: Working Papers. RePEc:urv:wpaper:2072/203167.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Testing conditional factor models. (2012). Kristensen, Dennis ; Ang, Andrew. In: Journal of Financial Economics. RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156.

Full description at Econpapers || Download paper

[Citation Analysis]
2012On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions. (2012). Kock, Anders. In: CREATES Research Papers. RePEc:aah:create:2012-05.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Household portfolio choices, health status and health care systems: A cross-country analysis based on SHARE. (2012). Brunetti, Marianna ; Atella, Vincenzo ; Maestas, Nicole . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:5:p:1320-1335.

Full description at Econpapers || Download paper

[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

YearTitleSee
2012Unit roots, nonlinearities and structural breaks. (2012). Teräsvirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; TERaSVIRTA, Timo ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14.

Full description at Econpapers || Download paper

[Citation Analysis]
2012The impact of financial crises on the risk-return tradeoff and the leverage effect. (2012). Nielsen, Morten ; Christensen, Bent Jesper ; Zhu, Jie. In: CREATES Research Papers. RePEc:aah:create:2012-19.

Full description at Econpapers || Download paper

[Citation Analysis]
2012On tests for linearity against STAR models with deterministic trends. (2012). Sibbertsen, Philipp ; Kruse, Robinson ; Kaufmann, Hendrik . In: CREATES Research Papers. RePEc:aah:create:2012-20.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates. (2012). Kristensen, Dennis ; Han, Heejoon. In: CREATES Research Papers. RePEc:aah:create:2012-25.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; MENDES, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-45.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). van den Akker, Ramon ; Hallin, Marc ; Werker, B. J. M., . In: Discussion Paper. RePEc:dgr:kubcen:2012089.

Full description at Econpapers || Download paper

[Citation Analysis]
2012A Forty Year Assessment of Forecasting the Boat Race. (2012). Mesters, Geert ; Koopman, Siem Jan . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2012110.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Hansen, Peter ; Timmermann, Allan . In: Economics Working Papers. RePEc:eui:euiwps:eco2012/24.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Can Tightness in the Housing Market Help Predict Subsequent Home Price Appreciation? Evidence from the U.S. and the Netherlands. (2012). Larson, William ; Carrillo, Paul ; De Wit, Erik Robert . In: Working Papers. RePEc:gwi:wpaper:2012-11.

Full description at Econpapers || Download paper

[Citation Analysis]
2012On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process. (2012). Pipień, Mateusz ; Mazur, Bazej . In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:4:y:2012:i:2:p:95-116.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Estimating High-Dimensional Time Series Models.. (2012). Medeiros, Marcelo ; MENDES, Eduardo F.. In: Textos para discussão. RePEc:rio:texdis:602.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. (2012). Audrino, Francesco ; Knaus, Simon . In: Economics Working Paper Series. RePEc:usg:econwp:2012:24.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise. (2011). Varneskov, Rasmus Tangsgaard . In: CREATES Research Papers. RePEc:aah:create:2011-31.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Flexicurity, Wage Dynamics and Inequality over the Life-Cycle. (2011). Westergård-Nielsen, Niels ; Cappellari, Lorenzo ; Bingley, Paul ; Westergrd-Nielsen, Niels . In: CESifo Working Paper Series. RePEc:ces:ceswps:_3561.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2011058.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Flexicurity, wage dynamics and inequality over the life-cycle. (2011). Cappellari, Lorenzo. In: DISCE - Quaderni dell'Istituto di Economia dell'Impresa e del Lavoro. RePEc:ctc:serie4:ieil0064.

Full description at Econpapers || Download paper

[Citation Analysis]
2011The Merit of High-Frequency Data in Portfolio Allocation. (2011). Malec, Peter ; Hautsch, Nikolaus ; Kyj, Lada M.. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-059.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Semiparametric Estimation with Generated Covariates. (2011). Schienle, Melanie ; Rothe, Christoph ; Mammen, Enno . In: IZA Discussion Papers. RePEc:iza:izadps:dp6084.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Testing Conditional Factor Models. (2011). Kristensen, Dennis ; Ang, Andrew. In: NBER Working Papers. RePEc:nbr:nberwo:17561.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Are foreign currency markets interdependent? evidence from data mining technologies. (2011). Malliaris, Anastasios. In: MPRA Paper. RePEc:pra:mprapa:35261.

Full description at Econpapers || Download paper

[Citation Analysis]
2011How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?. (2011). Veraart, Almut. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Efficient high-dimensional importance sampling in mixture frameworks. (2011). Kleppe, Tore ; Liesenfeld, Roman . In: Economics Working Papers. RePEc:zbw:cauewp:201111.

Full description at Econpapers || Download paper

[Citation Analysis]
2011The merit of high-frequency data in portfolio allocation. (2011). Malec, Peter ; Hautsch, Nikolaus ; Kyj, Lada M.. In: CFS Working Paper Series. RePEc:zbw:cfswop:201124.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2010

YearTitleSee
2010Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos. (2010). Sarmiento, Miguel ; León, Carlos ; Leon, Carlos ; Chipatecua, Orlando ; Machado, Clara Lia . In: BORRADORES DE ECONOMIA. RePEc:col:000094:007669.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Parametric estimation of risk neutral density functions. (2010). Grith, Maria ; Kratschmer, Volker . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-045.

Full description at Econpapers || Download paper

[Citation Analysis]
2010FX Smile in the Heston Model. (2010). Weron, Rafał ; Janek, Agnieszka ; Wystup, Uwe ; Kluge, Tino . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-047.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Models for Heavy-tailed Asset Returns. (2010). Weron, Rafał ; Misiorek, Adam ; Borak, Szymon . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-049.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Estimation of the signal subspace without estimation of the inverse covariance matrix. (2010). Panov, Vladimir . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-050.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Executive Compensation Regulation and the Dynamics of the Pay-Performance Sensitivity. (2010). Sabiwalsky, Ralf . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-051.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Spatial Dependencies in German Matching Functions. (2010). Schulze, Franziska . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-054.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes. (2010). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-055.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Context Effects as Customer Reaction on Delisting of Brands. (2010). Hildebrandt, Lutz ; Wiebach, Nicole . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-056.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Nonparametric Regression with Nonparametrically Generated Covariates. (2010). Schienle, Melanie ; Rothe, Christoph ; Mammen, Enno. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-059.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Every Symmetric 3 x 3 Global Game of Strategic Complementarities Is Noise Independent. (2010). Daniëls, Tijmen ; Basteck, Christian ; Daniels, Tijmen R.. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2010-061.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Hard Times. (2010). Polk, Christopher ; Giglio, Stefano ; Campbell, John. In: NBER Working Papers. RePEc:nbr:nberwo:16222.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Revealing the arcane: an introduction to the art of stochastic volatility models. (2010). Tsyplakov, Alexander. In: MPRA Paper. RePEc:pra:mprapa:25511.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio. (2010). Racicot, François-Éric ; Theoret, Raymond . In: MPRA Paper. RePEc:pra:mprapa:35911.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Tom ; Maheu, John. In: Working Papers. RePEc:tor:tecipa:tecipa-402.

Full description at Econpapers || Download paper

[Citation Analysis]
2010Cash flow and discount rate risk in up and down markets: What is actually priced?. (2010). Lucas, André ; Kräussl, Roman ; Botshekan, Mahmoud ; Kraussl, Roman . In: CFS Working Paper Series. RePEc:zbw:cfswop:201020.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Stochastic volatility and stochastic leverage. (2009). Veraart, Almut. In: CREATES Research Papers. RePEc:aah:create:2009-20.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Stochastic volatility of volatility in continuous time. (2009). Veraart, Almut ; Barndorff-Nielsen, Ole ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2009-25.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Semiparametric Modelling and Estimation: A Selective Overview. (2009). Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2009-44.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2009-45.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav . In: CREATES Research Papers. RePEc:aah:create:2009-52.

Full description at Econpapers || Download paper

[Citation Analysis]
2009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. (2009). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel . In: CREATES Research Papers. RePEc:aah:create:2009-60.

Full description at Econpapers || Download paper

[Citation Analysis]
2009The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios . In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:0914.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: Finance Research Group Working Papers. RePEc:hhb:aarbfi:2009-03.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Crash Risk in Currency Markets. (2009). Verdelhan, Adrien ; Ranciere, Romain ; Gabaix, Xavier ; Farhi, Emmanuel ; Fraiberger, Samuel Paul . In: NBER Working Papers. RePEc:nbr:nberwo:15062.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav . In: NBER Working Papers. RePEc:nbr:nberwo:15533.

Full description at Econpapers || Download paper

[Citation Analysis]
2009A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version). (2009). Mezgebo, Taddese. In: MPRA Paper. RePEc:pra:mprapa:17960.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. (2009). Frehen, Rik ; Bauer, R. M. M. J., ; Schotman, P. C. ; Cosemans, M. ; Frehen, R. G. P., . In: MPRA Paper. RePEc:pra:mprapa:23557.

Full description at Econpapers || Download paper

[Citation Analysis]
2009Interventions in ingarch processes. (2009). Fokianos, Konstantions ; Fried, Roland . In: Technical Reports. RePEc:zbw:sfb475:200911.

Full description at Econpapers || Download paper

[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.