providing citation data for Economics since 2001
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| 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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 2006 | Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers || Download paper | 226 |
| 2004 | Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers || Download paper | 188 |
| 2009 | A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers || Download paper | 158 |
| 2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers || Download paper | 157 |
| 2005 | The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers || Download paper | 105 |
| 2006 | Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers || Download paper | 97 |
| 2004 | A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers || Download paper | 81 |
| 2004 | On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers || Download paper | 79 |
| 2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers || Download paper | 65 |
| 2004 | Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250. Full description at Econpapers || Download paper | 60 |
| 2007 | Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. Full description at Econpapers || Download paper | 51 |
| 2007 | Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers || Download paper | 42 |
| 2004 | Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers || Download paper | 39 |
| 2003 | Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25. Full description at Econpapers || Download paper | 39 |
| 2006 | Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493. Full description at Econpapers || Download paper | 38 |
| 2006 | Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Bollerslev, Tim ; Tauchen, George ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers || Download paper | 37 |
| 2005 | Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers || Download paper | 36 |
| 2006 | Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449. Full description at Econpapers || Download paper | 35 |
| 2003 | Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54. Full description at Econpapers || Download paper | 33 |
| 2004 | Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers || Download paper | 33 |
| 2003 | Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188. Full description at Econpapers || Download paper | 32 |
| 2004 | How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers || Download paper | 32 |
| 2008 | Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360. Full description at Econpapers || Download paper | 31 |
| 2006 | Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers || Download paper | 31 |
| 2009 | Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers || Download paper | 29 |
| 2005 | Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). Oomen, Roel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577. Full description at Econpapers || Download paper | 29 |
| 2004 | Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564. Full description at Econpapers || Download paper | 28 |
| 2003 | The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470. Full description at Econpapers || Download paper | 23 |
| 2006 | The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers || Download paper | 23 |
| 2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers || Download paper | 22 |
| 2010 | Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers || Download paper | 22 |
| 2006 | Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers || Download paper | 20 |
| 2005 | Multivariate Lagrange Multiplier Tests for Fractional Integration. (2005). Nielsen, Morten. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398. Full description at Econpapers || Download paper | 20 |
| 2006 | Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods. (2006). GAO, Jiti ; Arapis, Manuel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345. Full description at Econpapers || Download paper | 20 |
| 2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411. Full description at Econpapers || Download paper | 19 |
| 2011 | Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343. Full description at Econpapers || Download paper | 18 |
| 2005 | Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers || Download paper | 18 |
| 2005 | Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. Full description at Econpapers || Download paper | 17 |
| 2003 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes. (2003). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125. Full description at Econpapers || Download paper | 17 |
| 2008 | Econometric Asset Pricing Modelling. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458. Full description at Econpapers || Download paper | 17 |
| 2005 | Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel A.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168. Full description at Econpapers || Download paper | 16 |
| 2003 | A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility. (2003). Kirby, Chris ; Fleming, Jeff . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419. Full description at Econpapers || Download paper | 16 |
| 2004 | Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492. Full description at Econpapers || Download paper | 16 |
| 2008 | Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers || Download paper | 15 |
| 2008 | Size and Value Anomalies under Regime Shifts. (2008). Timmermann, Allan ; Guidolin, Massimo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:1-48. Full description at Econpapers || Download paper | 15 |
| 2003 | The Robustness of the Conditional CAPM with Human Capital. (2003). Palacios-Huerta, Ignacio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:272-289. Full description at Econpapers || Download paper | 15 |
| 2010 | Structural Conditional Correlation. (2010). Weber, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:3:p:392-407. Full description at Econpapers || Download paper | 15 |
| 2008 | American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). Stentoft, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582. Full description at Econpapers || Download paper | 15 |
| 2006 | Affine Models for Credit Risk Analysis. (2006). POLIMENIS, VASSILIS ; Monfort, Alain ; gourieroux, christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530. Full description at Econpapers || Download paper | 14 |
| 2005 | A Test for Symmetry with Leptokurtic Financial Data. (2005). Premaratne, Gamini. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187. Full description at Econpapers || Download paper | 14 |
Citing documents used to compute impact factor 25:
| Year | Title | See |
|---|---|---|
| 2014 | Discrete stochastic autoregressive volatility. (2014). Cordis, Adriana S. ; Kirby, Chris . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:160-178. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Nonparametric kernel density estimation near the boundary. (2014). Schienle, Melanie ; Malec, Peter. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:57-76. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Maximum likelihood estimates for positive valued dynamic score models; The DySco package. (2014). Andres, Philipp . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:34-42. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | Are there common factors in individual commodity futures returns?. (2014). Skiadopoulos, George ; KOSTAKIS, ALEXANDROS ; Daskalaki, Charoula . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Risk premia in crude oil futures prices. (2014). Wu, Jing Cynthia ; Hamilton, James D.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:9-37. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Estimating 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Factor High-Frequency Based Volatility (HEAVY) Models. (2014). Sheppard, Kevin . In: Economics Series Working Papers. RePEc:oxf:wpaper:710. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the stationarity of Dynamic Conditional Correlation models. (2014). Fermanian, Jean-David ; Malongo, Hassan . In: Papers. RePEc:arx:papers:1405.6905. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2014-05. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | [Citation Analysis] | |
| 2014 | Facilitation and Internalization Optimal Strategy in a Multilateral
Trading Context. (2014). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal Execution in Lit and Dark Pools. (2014). Crisafi, Alessandra M. ; Macrina, Andrea . In: Papers. RePEc:arx:papers:1405.2023. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimally sampled realized range-based volatility estimators. (2014). VORTELINOS, DIMITRIOS. In: Research in International Business and Finance. RePEc:eee:riibaf:v:30:y:2014:i:c:p:34-50. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. (2014). Audrino, Francesco . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:43-60. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On OrnsteinâUhlenbeck driven by OrnsteinâUhlenbeck processes. (2014). Bercu, Bernard ; Savy, Nicolas ; Proia, Frederic . In: Statistics & Probability Letters. RePEc:eee:stapro:v:85:y:2014:i:c:p:36-44. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On bank credit risk: systemic or bank-specific? Evidence from the US and UK. (2014). Li, Junye ; Zinna, Gabriele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_951_14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. (2014). Rockafellar, R. T. ; Miranda, S. I. ; Royset, J. O.. In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:1:p:140-154. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). Boudt, Kris ; PETITJEAN, Mikael . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Quaedvlieg, Rogier ; Laurent, Sébastien ; Boudt, Kris ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2014-05. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the performance of the tick test. (2014). Perlin, Marcelo ; Dufour, Alfonso ; Brooks, Chris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:54:y:2014:i:1:p:42-50. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
| Year | Title | See |
|---|---|---|
| 2013 | On the Stationarity of Dynamic Conditional Correlation Models. (2013). Fermanian, Jean-David ; Malongo, Hassan . In: Working Papers. RePEc:crs:wpaper:2013-26. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Predicting Covariance Matrices with Financial Conditions Indexes. (2013). Opschoor, Anne ; van der Wel, Michel ; van Dijk, Dick . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20130113. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Does realized volatility help bond yield density prediction?. (2013). Shin, Minchul ; Zhong, Molin . In: PIER Working Paper Archive. RePEc:pen:papers:13-064. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Discounting Cashflows from Illiquid Assets on Bank Balance Sheets. (2013). Nauta, Bert-Jan . In: MPRA Paper. RePEc:pra:mprapa:54781. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | Determination the Parameters of Markowitz Portfolio Optimization Model. (2012). Bilge, Ayse Humeyra ; Bayraktar, Ertugrul . In: Papers. RePEc:arx:papers:1210.5859. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A New Pseudo-Bayesian Model of Investors Behavior in Financial Crises. (2012). Zhu, Lixing ; Wong, Wing-Keung. In: MPRA Paper. RePEc:pra:mprapa:42535. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Systemic Risk Analysis using Forward-Looking Distance-to-Default Series. (2012). Saldias, Martin. In: Working Papers. RePEc:ptu:wpaper:w201216. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2011-37. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Examining Macroeconomic Models Through the Lens of Asset Pricing. (2011). Hansen, Lars ; BoroviÄka, Jaroslav ; Borovicka, Jaroslav . In: Working Papers. RePEc:bfi:wpaper:2011-012. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Volatility models. (2011). Laurent, Sébastien ; Hafner, Christian ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2011058. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8503. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip . In: Working Paper Series. RePEc:ecl:ohidic:2011-11. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | A simple nonparametric test for structural change in joint tail probabilities. (2011). Krämer, Walter ; van Kampen, Maarten ; Kramer, Walter . In: Economics Letters. RePEc:eee:ecolet:v:110:y:2011:i:3:p:245-247. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; Graveline, Jeremy J.. In: Journal of Econometrics. RePEc:eee:econom:v:164:y:2011:i:1:p:35-44. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Testing interval forecasts: a GMM-based approach. (2011). Dumitrescu, Elena Ivona ; Hurlin, Christophe ; Madkour, Jaouad . In: Working Papers. RePEc:hal:wpaper:halshs-00618467. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). Liao, Yin ; Anderson, Heather. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2011-9. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: PIER Working Paper Archive. RePEc:pen:papers:11-037. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Modeling the time-varying skewness via decomposition for out-of-sample forecast. (2011). Liu, Xiaochun. In: MPRA Paper. RePEc:pra:mprapa:41248. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Asymmetry and Long Memory in Volatility Modelling. (2011). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Documentos del Instituto Complutense de Análisis Económico. RePEc:ucm:doicae:1129. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Schienle, Melanie ; Malec, Peter ; Hautsch, Nikolaus. In: CFS Working Paper Series. RePEc:zbw:cfswop:201125. Full description at Econpapers || Download paper | [Citation Analysis] |
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Source data used to compute the impact factor of RePEc series.