Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 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
19900.09000000.04
19910.09000000.05
19920.09000000.06
19930.1000000.05
19940.12000000.05
19950.16000000.09
19960.2000000.09
19970.2020000.08
19980.22010000.12
19990.27020000.15
20000.37000000.14
20010.38000000.17
20020.39020000.19
20030.42000000.19
20040.43010000.19
20050.45010000.23
20060.46060000.2
20070.44545210.4743200130.290.17
20081.160.465110990.9270455217.3290.450.18
20090.950.37601701470.8617311010528.6170.280.18
20100.50.33742441380.571211256214.5160.220.16
20110.550.45563002260.75481347416.2110.20.22
20120.270.48563562090.59571303520140.250.24
20130.430.54524082290.5619112482570.130.26
20140.170.2319427970.236108185.640.210.17
 
 
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.

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168
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.

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115
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.

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30
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.

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24
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.

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22
2009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

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

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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.

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20
2008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

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

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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.

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18
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.

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

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16
2009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

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14
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.

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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.

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

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13
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.

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13
2008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-06.

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12
2008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

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12
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav . In: CREATES Research Papers. RePEc:aah:create:2009-52.

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11
2008Inference for the jump part of quadratic variation of Itô semimartingales. (2008). Veraart, Almut. In: CREATES Research Papers. RePEc:aah:create:2008-17.

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11
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.

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11
2008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

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11
2009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

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11
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.

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10
2012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-43.

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10
2010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2010-01.

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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.

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

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9
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.

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9
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.

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9
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.

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9
2009Testing Conditional Factor Models. (2009). Kristensen, Dennis ; Ang, Andrew. In: CREATES Research Papers. RePEc:aah:create:2009-09.

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

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8
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.

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8
2008Expected Stock Returns and Variance Risk Premia. (2008). Bollerslev, Tim ; Tauchen, George ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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8
2007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24.

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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.

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8
2010Pitfalls in VAR based return decompositions: A clarification. (2010). Tanggaard, Carsten ; Pedersen, Thomas ; Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2010-09.

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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.

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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.

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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.

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7
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.

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

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7
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.

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6
2009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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6
Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter. (2008). Andreasen, Martin. In: CREATES Research Papers. RePEc:aah:create:2008-33.

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

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

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6

Citing documents used to compute impact factor 18:

YearTitleSee
2014Forecasting the Price of Gold Using Dynamic Model Averaging. (2014). GUPTA, RANGAN ; Aye, Goodness C. ; Kim, Won Joong ; Hammoudeh, Shawkat . In: Working Papers. RePEc:pre:wpaper:201415.

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[Citation Analysis]
2014Forecasting Chinas foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty. (2014). Gupta, Rangan ; Simo-Kengne, Beatrice D. ; Simo -Kengne, Beatrice D. ; Kim, Won Joong ; Hammoudeh, Shawkat . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:170-189.

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[Citation Analysis]
2014[Citation Analysis]
2014Financial sector-output dynamics in the euro area: Non-linearities reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: ZEW Discussion Papers. RePEc:zbw:zewdip:13068r.

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[Citation Analysis]
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. (2014). Hurn, A. S. ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2014-09.

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[Citation Analysis]
2014A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. (2014). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Hurn, A S. In: NCER Working Paper Series. RePEc:qut:auncer:2014_01.

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[Citation Analysis]
2014[Citation Analysis]
2014[Citation Analysis]
2014Reflecting on the VPIN dispute. (2014). Andersen, Torben ; Bondarenko, Oleg . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64.

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[Citation Analysis]
2014Estimating and using GARCH models with VIX data for option valuation. (2014). Lin, Binghuan ; Kanniainen, Juho ; Yang, Hanxue . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:200-211.

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[Citation Analysis]
2014Multivariate rotated ARCH models. (2014). Shephard, Neil ; Noureldin, Diaa ; Sheppard, Kevin . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:16-30.

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[Citation Analysis]
2014Adaptive learning and survey data. (2014). Markiewicz, Agnieszka ; Pick, Andreas. In: DNB Working Papers. RePEc:dnb:dnbwpp:411.

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[Citation Analysis]
2014Predictability of the simple technical trading rules: An out-of-sample test. (2014). Fang, Jiali ; Qin, Yafeng ; Jacobsen, Ben . In: Review of Financial Economics. RePEc:eee:revfin:v:23:y:2014:i:1:p:30-45.

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[Citation Analysis]
2014Value at risk estimation with entropy-based wavelet analysis in exchange markets. (2014). He, Kaijian ; Lai, Kin Keung ; Zou, Yingchao ; Wang, Lijun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:408:y:2014:i:c:p:62-71.

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[Citation Analysis]
2014Asymmetric Increasing Trends in Dependence in International Equity Markets. (2014). Okimoto, Tatsuyoshi . In: CAMA Working Papers. RePEc:een:camaaa:2014-44.

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[Citation Analysis]
2014[Citation Analysis]
2014Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation. (2014). Dufrenot, Gilles ; Khayat, Anwar . In: AMSE Working Papers. RePEc:aim:wpaimx:1408.

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[Citation Analysis]
2014Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation. (2014). Dufrenot, Gilles ; Khayat, Anwar . In: Working Papers. RePEc:hal:wpaper:halshs-00973504.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2014

YearTitleSee
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-04.

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[Citation Analysis]
2014Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition. (2014). Yang, Yukai. In: CREATES Research Papers. RePEc:aah:create:2014-11.

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[Citation Analysis]
2014[Citation Analysis]
2014Financial sector-output dynamics in the euro area: Non-linearities reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: ZEW Discussion Papers. RePEc:zbw:zewdip:13068r.

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[Citation Analysis]

Recent citations received in: 2013

YearTitleSee
2013Policy Risk and the Business Cycle. (2013). Pfeifer, Johannes ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4336.

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[Citation Analysis]
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

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[Citation Analysis]
2013Tractable latent state filtering for non-linear DSGE models using a second-order Approximation. (2013). Kollmann, Robert. In: CAMA Working Papers. RePEc:een:camaaa:2013-29.

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[Citation Analysis]
2013Tractable latent state filtering for non-linear DSGE models using a second-order approximation. (2013). Kollmann, Robert. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:147.

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[Citation Analysis]
2013Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach. (2013). Ajevskis, Viktors. In: Working Papers. RePEc:ltv:wpaper:201303.

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[Citation Analysis]
2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27.

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[Citation Analysis]
2013Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty. (2013). Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo-Kengne, Beatrice D. ; Simo -Kengne, Beatrice D. ; Kim, Won Joong . In: Working Papers. RePEc:pre:wpaper:201338.

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[Citation Analysis]

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.

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[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.

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[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.

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[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.

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

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[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.

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[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.

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[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.

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[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.

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[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.

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[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.

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[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.

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

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[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.

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[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.

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[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.

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

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[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.

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[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.

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

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

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

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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.

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

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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.

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