0.61
Impact Factor
0.48
5-Years IF
18
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1991 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.15 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1996 | 0.19 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.2 | 0 | 2 | 0 | 0 | (%) | 0.08 | |||||||||
| 1998 | 0.21 | 0 | 1 | 0 | 0 | (%) | 0.12 | |||||||||
| 1999 | 0.27 | 0 | 2 | 0 | 0 | (%) | 0.15 | |||||||||
| 2000 | 0.36 | 0 | 0 | 0 | (%) | 0.14 | ||||||||||
| 2001 | 0.36 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2002 | 0.37 | 0 | 3 | 0 | 0 | (%) | 0.18 | |||||||||
| 2003 | 0.39 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2004 | 0.41 | 0 | 1 | 0 | 0 | (%) | 0.18 | |||||||||
| 2005 | 0.43 | 0 | 1 | 0 | 0 | (%) | 0.22 | |||||||||
| 2006 | 0.45 | 0 | 6 | 0 | 0 | (%) | 0.19 | |||||||||
| 2007 | 0.38 | 45 | 45 | 21 | 0.47 | 545 | 0 | 0 | 52 (9.5%) | 13 | 0.29 | 0.17 | ||||
| 2008 | 1.13 | 0.38 | 1.13 | 65 | 110 | 100 | 0.91 | 318 | 45 | 51 | 45 | 51 | 53 (16.7%) | 29 | 0.45 | 0.17 |
| 2009 | 0.95 | 0.35 | 0.95 | 60 | 170 | 150 | 0.88 | 221 | 110 | 105 | 110 | 105 | 38 (17.2%) | 20 | 0.33 | 0.17 |
| 2010 | 0.54 | 0.32 | 0.72 | 74 | 244 | 147 | 0.6 | 159 | 125 | 67 | 170 | 122 | 23 (14.5%) | 18 | 0.24 | 0.15 |
| 2011 | 0.55 | 0.41 | 0.82 | 56 | 300 | 230 | 0.77 | 87 | 134 | 74 | 244 | 199 | 11 (12.6%) | 12 | 0.21 | 0.2 |
| 2012 | 0.29 | 0.46 | 0.63 | 56 | 356 | 226 | 0.63 | 124 | 130 | 38 | 300 | 188 | 21 (16.9%) | 15 | 0.27 | 0.21 |
| 2013 | 0.54 | 0.49 | 0.48 | 52 | 408 | 248 | 0.61 | 71 | 112 | 60 | 311 | 150 | 16 (22.5%) | 9 | 0.17 | 0.22 |
| 2014 | 0.61 | 0.56 | 0.48 | 63 | 471 | 277 | 0.59 | 45 | 108 | 66 | 298 | 144 | 11 (24.4%) | 17 | 0.27 | 0.3 |
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y 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 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %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 |
|
50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis X.. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers || Download paper | 230 |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Diebold, Francis X.. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers || Download paper | 147 |
| 2008 | Option Valuation with Long-run and Short-run Volatility Components. (2008). Ornthanalai, Chayawat ; Wang, Yintian ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers || Download paper | 40 |
| 2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Jacobs, Kris ; Heston, Steven ; Christoffersen, Peter . In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers || Download paper | 38 |
| 2012 | Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Langlois, Hugues ; Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers || Download paper | 33 |
| 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers || Download paper | 23 |
| 2007 | Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27. Full description at Econpapers || Download paper | 22 |
| 2007 | Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). 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 |
| 2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Shek, Howard Howan ; Huang, Zhuo ; Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2010-13. Full description at Econpapers || Download paper | 20 |
| 2008 | Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers || Download paper | 20 |
| 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 20 |
| 2009 | Realised Quantile-Based Estimation of the Integrated Variance. (2009). Christensen, Kim ; Oomen, Roel ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2009-27. Full description at Econpapers || Download paper | 20 |
| 2012 | Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders Bredahl ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16. Full description at Econpapers || Download paper | 19 |
| 2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Lunde, Asger ; Barndorff-Nielsen, Ole E.. In: CREATES Research Papers. RePEc:aah:create:2008-63. Full description at Econpapers || Download paper | 19 |
| 2007 | The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers || Download paper | 19 |
| 2007 | Expected Stock Returns and Variance Risk Premia. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-17. Full description at Econpapers || Download paper | 18 |
| 2008 | Glossary to ARCH (GARCH). (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 18 |
| 2013 | The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F. ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12. Full description at Econpapers || Download paper | 18 |
| 2008 | Option Pricing using Realized Volatility. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers || Download paper | 17 |
| 2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Frederiksen, Per Houmann . In: CREATES Research Papers. RePEc:aah:create:2007-21. Full description at Econpapers || Download paper | 17 |
| 2008 | Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok . In: CREATES Research Papers. RePEc:aah:create:2008-58. Full description at Econpapers || Download paper | 16 |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Timmermann, Allan ; Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers || Download paper | 15 |
| 2007 | The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-09. Full description at Econpapers || Download paper | 15 |
| 2007 | Construction and Interpretation of Model-Free Implied Volatility. (2007). Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers || Download paper | 15 |
| 2011 | Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers || Download paper | 14 |
| 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers || Download paper | 13 |
| 2009 | On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri . In: CREATES Research Papers. RePEc:aah:create:2009-56. Full description at Econpapers || Download paper | 13 |
| 2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Dobrev, Dobrislav ; Andersen, Torben G. ; Schaumburg, Ernst . In: CREATES Research Papers. RePEc:aah:create:2009-52. Full description at Econpapers || Download paper | 12 |
| 2010 | Forecasting with nonlinear time series models. (2010). Kock, Anders Bredahl ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2010-01. Full description at Econpapers || Download paper | 12 |
| 2008 | Multivariate GARCH models. (2008). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers || Download paper | 12 |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 12 |
| 2008 | Inference for the jump part of quadratic variation of Itô semimartingales. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-17. Full description at Econpapers || Download paper | 11 |
| 2012 | Estimating High-Dimensional Time Series Models. (2012). Mendes, Eduardo F. ; Medeiros, Marcelo C.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers || Download paper | 11 |
| 2008 | Maximum likelihood estimation of fractionally cointegrated systems. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-53. Full description at Econpapers || Download paper | 11 |
| 2010 | Pre-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 |
| 2009 | Quadratic Variation by Markov Chains. (2009). HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13. Full description at Econpapers || Download paper | 10 |
| 2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Lunde, Asger ; Voev, Valeri ; Hansen, Peter R.. In: CREATES Research Papers. RePEc:aah:create:2010-74. Full description at Econpapers || Download paper | 10 |
| 2009 | Pre-averaging estimators of the ex-post covariance matrix
in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2009-45. Full description at Econpapers || Download paper | 10 |
| 2010 | Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben G.. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers || Download paper | 10 |
| 2008 | Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48. Full description at Econpapers || Download paper | 10 |
| 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers || Download paper | 9 |
| 2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter R.. In: CREATES Research Papers. RePEc:aah:create:2010-08. Full description at Econpapers || Download paper | 9 |
| 2008 | Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Rahbek, Anders . In: CREATES Research Papers. RePEc:aah:create:2008-50. Full description at Econpapers || Download paper | 9 |
| 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Hubrich, Kirstin ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 9 |
| 2007 | Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann . In: CREATES Research Papers. RePEc:aah:create:2007-19. Full description at Econpapers || Download paper | 9 |
| 2010 | Pitfalls in VAR based return decompositions: A clarification. (2010). Tanggaard, Carsten ; Engsted, Tom . In: CREATES Research Papers. RePEc:aah:create:2010-09. Full description at Econpapers || Download paper | 9 |
| 2010 | Estimation of Stochastic Volatility Models by Nonparametric Filtering. (2010). Kristensen, Dennis ; Kanaya, Shin . In: CREATES Research Papers. RePEc:aah:create:2010-67. Full description at Econpapers || Download paper | 8 |
| 2008 | Parameterizing unconditional skewness in models for financial time series. (2008). He, Changli ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers || Download paper | 8 |
| 2007 | Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-10. Full description at Econpapers || Download paper | 8 |
| 2008 | Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol L. ; Carlson, John A. In: CREATES Research Papers. RePEc:aah:create:2008-01. Full description at Econpapers || Download paper | 8 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis X.. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers || Download paper | 105 |
| 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Diebold, Francis X.. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers || Download paper | 60 |
| 2012 | Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Langlois, Hugues ; Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers || Download paper | 32 |
| 2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Jacobs, Kris ; Heston, Steven ; Christoffersen, Peter . In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers || Download paper | 23 |
| 2013 | The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F. ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12. Full description at Econpapers || Download paper | 18 |
| 2008 | Option Valuation with Long-run and Short-run Volatility Components. (2008). Ornthanalai, Chayawat ; Wang, Yintian ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers || Download paper | 18 |
| 2012 | Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders Bredahl ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16. Full description at Econpapers || Download paper | 14 |
| 2011 | Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers || Download paper | 13 |
| 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 13 |
| 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 11 |
| 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Timmermann, Allan ; Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers || Download paper | 11 |
| 2012 | Estimating High-Dimensional Time Series Models. (2012). Mendes, Eduardo F. ; Medeiros, Marcelo C.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers || Download paper | 11 |
| 2007 | Construction and Interpretation of Model-Free Implied Volatility. (2007). Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers || Download paper | 11 |
| 2008 | Glossary to ARCH (GARCH). (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 10 |
| 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers || Download paper | 9 |
| 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Hubrich, Kirstin ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 9 |
| 2008 | Option Pricing using Realized Volatility. (2008). . In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers || Download paper | 8 |
| 2012 | Modelling electricity dayâahead prices by multivariate Lévy
semistationary processes. (2012). Almut E. D. Veraart, ; Luitgard A. M. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13. Full description at Econpapers || Download paper | 8 |
| 2007 | The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers || Download paper | 8 |
| 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | 8 |
| 2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Shek, Howard Howan ; Huang, Zhuo ; Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2010-13. Full description at Econpapers || Download paper | 7 |
| 2010 | Forecasting with nonlinear time series models. (2010). Kock, Anders Bredahl ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2010-01. Full description at Econpapers || Download paper | 7 |
| 2008 | Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers || Download paper | 6 |
| 2012 | On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions. (2012). Kock, Anders Bredahl . In: CREATES Research Papers. RePEc:aah:create:2012-05. Full description at Econpapers || Download paper | 6 |
| 2013 | Itâs all about volatility (of volatility): evidence from a two-factor stochastic volatility model. (2013). de Magistris, Paolo Santucci ; Grassi, Stefano . In: CREATES Research Papers. RePEc:aah:create:2013-03. Full description at Econpapers || Download paper | 6 |
| 2007 | The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-09. Full description at Econpapers || Download paper | 5 |
| 2012 | Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers || Download paper | 5 |
| 2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Lunde, Asger ; Barndorff-Nielsen, Ole E.. In: CREATES Research Papers. RePEc:aah:create:2008-63. Full description at Econpapers || Download paper | 5 |
| 2011 | On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes. (2011). Christensen, Kim ; Vetter, Mathias ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2011-53. Full description at Econpapers || Download paper | 5 |
| 2012 | Housing price forecastability: A factor analysis. (2012). Moller, Stig V.. In: CREATES Research Papers. RePEc:aah:create:2012-27. Full description at Econpapers || Download paper | 4 |
| 2010 | Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter R.. In: CREATES Research Papers. RePEc:aah:create:2010-08. Full description at Econpapers || Download paper | 4 |
| 2014 | Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2014-47. Full description at Econpapers || Download paper | 4 |
| 2012 | Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries. (2012). Pedersen, Thomas Q. ; Engsted, Tom . In: CREATES Research Papers. RePEc:aah:create:2012-58. Full description at Econpapers || Download paper | 4 |
| 2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Carlini, Federico ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2013-44. Full description at Econpapers || Download paper | 4 |
| 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers || Download paper | 4 |
| 2010 | Non-linear DSGE Models and The Central Difference Kalman Filter. (2010). Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2010-30. Full description at Econpapers || Download paper | 4 |
| 2009 | Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom . In: CREATES Research Papers. RePEc:aah:create:2009-17. Full description at Econpapers || Download paper | 4 |
| 2010 | The log-linear return approximation, bubbles, and predictability. (2010). Tanggaard, Carsten ; Engsted, Tom ; Pedersen, Thomas Q.. In: CREATES Research Papers. RePEc:aah:create:2010-37. Full description at Econpapers || Download paper | 4 |
| 2008 | Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers || Download paper | 4 |
| 2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Lunde, Asger ; Voev, Valeri ; Hansen, Peter R.. In: CREATES Research Papers. RePEc:aah:create:2010-74. Full description at Econpapers || Download paper | 4 |
| 2013 | Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series. (2013). Tjostheim, Dag ; Kanaya, Shin ; Gao, Jiti . In: CREATES Research Papers. RePEc:aah:create:2013-29. Full description at Econpapers || Download paper | 4 |
| 2009 | On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri . In: CREATES Research Papers. RePEc:aah:create:2009-56. Full description at Econpapers || Download paper | 4 |
| 2010 | Pitfalls in VAR based return decompositions: A clarification. (2010). Tanggaard, Carsten ; Engsted, Tom . In: CREATES Research Papers. RePEc:aah:create:2010-09. Full description at Econpapers || Download paper | 4 |
| 2008 | Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter. (2008). Andreasen, Martin Moller. In: CREATES Research Papers. RePEc:aah:create:2008-33. Full description at Econpapers || Download paper | 4 |
| 2011 | Fact or friction: Jumps at ultra high frequency. (2011). Christensen, Kim ; Oomen, Roel ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2011-19. Full description at Econpapers || Download paper | 4 |
| 2011 | Bias-correction in vector autoregressive models: A simulation study. (2011). Pedersen, Thomas Q. ; Engsted, Tom . In: CREATES Research Papers. RePEc:aah:create:2011-18. Full description at Econpapers || Download paper | 3 |
| 2011 | Forecasting Covariance Matrices: A Mixed Frequency Approach. (2011). Halbleib, Roxana ; Voev, Valeri . In: CREATES Research Papers. RePEc:aah:create:2011-03. Full description at Econpapers || Download paper | 3 |
| 2010 | Modelling electricity forward markets by ambit fields. (2010). Almut E. D. Veraart, ; BarndorffNielsen, Ole E. ; Benth, Fred Espen . In: CREATES Research Papers. RePEc:aah:create:2010-41. Full description at Econpapers || Download paper | 3 |
| 2007 | Correlation, regression, and cointegration of nonstationary economic time series. (2007). . In: CREATES Research Papers. RePEc:aah:create:2007-35. Full description at Econpapers || Download paper | 3 |
| 2012 | Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM. (2012). Schrimpf, Andreas ; Posch, Olaf . In: CREATES Research Papers. RePEc:aah:create:2012-32. Full description at Econpapers || Download paper | 3 |
Citing documents used to compute impact factor 66:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Forecasting the Price of Gold Using Dynamic Model Averaging. (2014). Aye, Goodness C. ; Kim, Won Joong ; Hammoudeh, Shawkat ; Gupta, Rangan . In: Working Papers. RePEc:pre:wpaper:201415. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Forecasting Chinas foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty. (2014). Simo -Kengne, Beatrice D. ; Kim, Won Joong ; Hammoudeh, Shawkat ; Gupta, Rangan ; Simo-Kengne, Beatrice D.. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:28:y:2014:i:c:p:170-189. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Forecasting the Price of Gold Using Dynamic Model Averaging. (2014). Aye, Goodness ; Kim, Won Joong ; Hammoudeh, Shawkat . In: Working Papers. RePEc:ipg:wpaper:2014-470. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Real Estate Returns Predictability Revisited: Novel Evidence from the US REITs Market. (2014). Economou, Fotini ; Babalos, Vassilios ; Gupta, Rangan ; Akinsomi, Kola ; Aye, Goodness C.. In: Working Papers. RePEc:pre:wpaper:201454. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Indirect inference with time series observed with error. (2014). de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-57. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Accounting for Peer Effects in Treatment Response. (2014). Barrera-Osorio, Felipe ; Dieye, Rokhaya ; Djebbari, Habiba . In: AMSE Working Papers. RePEc:aim:wpaimx:1435. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Accounting for Peer Effects in Treatment Response. (2014). Barrera-Osorio, Felipe ; Dieye, Rokhaya ; Djebbari, Habiba . In: Working Papers. RePEc:hal:wpaper:halshs-01025680. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Accounting for Peer Effects in Treatment Response. (2014). Barrera-Osorio, Felipe ; Dieye, Rokhaya ; Djebbari, Habiba . In: IZA Discussion Papers. RePEc:iza:izadps:dp8340. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the identification of fractionally cointegrated VAR models with the F(d) condition. (2014). Carlini, Federico ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-43. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Timmermann, Allan G ; Pettenuzzo, Davide ; Gargano, Antonio . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10104. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Timmermann, Allan ; Pettenuzzo, Davide ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Nominal Rigidities and Asset Pricing. (2014). Weber, Michael . In: 2014 Meeting Papers. RePEc:red:sed014:53. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences. (2014). Kollmann, Robert . In: CAMA Working Papers. RePEc:een:camaaa:2014-70. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Perturbation methods for Markov-switching DSGE models. (2014). . In: FRB Atlanta Working Paper No.. RePEc:fip:fedawp:2014-16. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exchange rates dynamics with long-run risk and recursive preferences. (2014). . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:212. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences. (2014). . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10232. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Discretization of Lévy semistationary processes with application to estimation. (2014). Lunde, Asger ; Pakkanen, Mikko S. ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2014-21. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial sector-output dynamics in the euro area: Non-linearities reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: ZEW Discussion Papers. RePEc:zbw:zewdip:13068r. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. (2014). Silvennoinen, Annastiina ; Terasvirta, Timo ; Hurn, A S. In: NCER Working Paper Series. RePEc:qut:auncer:2014_01. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market. (2014). Netsunajev, Aleksei ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-031. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market. (2014). Netsunajev, Aleksei ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1388. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Multivariate Self-Exciting Threshold Autoregressive Models with
eXogenous Input. (2014). . In: Papers. RePEc:arx:papers:1407.7738. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.. RePEc:epa:cepawp:2014-5. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Regional recessions and recoveries in theory and practice: a resilience-based overview. (2014). Di Caro, Paolo . In: MPRA Paper. RePEc:pra:mprapa:60300. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100578. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Inference in High-dimensional Dynamic Panel Data Models. (2014). Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Inference in high dimensional panel models with an application to gun control. (2014). Belloni, Alexandre ; Kozbur, Damian ; Hansen, Christian . In: CeMMAP working papers. RePEc:ifs:cemmap:50/14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The wild tapered block bootstrap. (2014). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2014-32. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2014-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On an Estimation Method for an Alternative Fractionally Cointegrated Model. (2014). Carlini, Federico ; Lasak, Katarzyna . In: CREATES Research Papers. RePEc:aah:create:2014-15. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On an Estimation Method for an Alternative Fractionally Cointegrated Model. (2014). Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140052. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Chinaâs Promoting Energy-Efficient Products for the Benefit of the People Program in 2012: Results and analysis of the consumer impact study. (2014). Li, Jiayang ; Yu, Yang ; Zeng, Lei . In: Applied Energy. RePEc:eee:appene:v:133:y:2014:i:c:p:22-32. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Option-implied term structures. (2014). . In: Staff Reports. RePEc:fip:fednsr:706. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors. (2014). Ben Aissia, Dorsaf . In: Review of Financial Economics. RePEc:eee:revfin:v:23:y:2014:i:3:p:148-154. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Reflecting on the VPIN dispute. (2014). Bondarenko, Oleg ; Andersen, Torben G.. In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:53-64. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Estimating and using GARCH models with VIX data for option valuation. (2014). Yang, Hanxue ; Kanniainen, Juho . 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 | Multivariate rotated ARCH models. (2014). Noureldin, Diaa ; Shephard, Neil ; Sheppard, Kevin . In: Journal of Econometrics. RePEc:eee:econom:v:179:y:2014:i:1:p:16-30. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Approximation of eigenvalues of spot cross volatility matrix with a view
toward principal component analysis. (2014). Ngo, Hoang-Long ; Liu, Nien-Lin . In: Papers. RePEc:arx:papers:1409.2214. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Adaptive learning and survey data. (2014). Pick, Andreas. In: DNB Working Papers. RePEc:dnb:dnbwpp:411. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Predictability of the simple technical trading rules: An out-of-sample test. (2014). Jacobsen, Ben ; Qin, Yafeng ; Fang, Jiali . In: Review of Financial Economics. RePEc:eee:revfin:v:23:y:2014:i:1:p:30-45. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Value at risk estimation with entropy-based wavelet analysis in exchange markets. (2014). He, Kaijian ; Zou, Yingchao ; Wang, Lijun ; Lai, Kin Keung . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:408:y:2014:i:c:p:62-71. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Predicting the direction of US stock markets using industry returns. (2014). . In: MPRA Paper. RePEc:pra:mprapa:62942. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Volatility and Quantile Forecasts by Realized Stochastic Volatility
Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki . In: CIRJE F-Series. RePEc:tky:fseres:2014cf949. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling the daily electricity price volatility with realized measures. (2014). Frommel, Michael ; Han, Xing ; Kratochvil, Stepan . In: Energy Economics. RePEc:eee:eneeco:v:44:y:2014:i:c:p:492-502. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymmetric Increasing Trends in Dependence in International Equity Markets. (2014). Okimoto, Tatsuyoshi . In: CAMA Working Papers. RePEc:een:camaaa:2014-44. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymmetric Increasing Trends in Dependence in International Equity Markets. (2014). Okimoto, Tatsuyoshi . In: AJRC Working Papers. RePEc:csg:ajrcwp:1405. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymmetric increasing trends in dependence in international equity markets. (2014). . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:219-232. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A dark side of international capital market integration: Domestic investors view. (2014). In Joon Kim, ; Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:238-256. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas. (2014). Crosby, John ; Zhao, Yang ; Kim, Minjoo ; Cerrato, Mario . In: Working Papers. RePEc:gla:glaewp:2014_17. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas. (2014). Kim, Minjoo ; Crosby, John ; Cerrato, Mario ; Zhao, Yang . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:613. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Returns, Volatilities, and Correlations Across Mature, Regional, and Frontier Markets: Evidence from South Asia. (2014). Amin, Abu S. ; Orlowski, Lucjan T.. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:50:y:2014:i:3:p:5-27. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy. (2014). Kristensen, Johannes Tang . In: CREATES Research Papers. RePEc:aah:create:2014-41. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. (2014). Laurent A. F. Callot, ; Medeiros, Marcelo C.. In: CREATES Research Papers. RePEc:aah:create:2014-42. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. (2014). Kock, Anders B. ; Medeiros, Marcelo C. ; Callot, Laurent . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140147. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Discretization of Lévy semistationary processes with application to estimation. (2014). Lunde, Asger ; Pakkanen, Mikko S. ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2014-21. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Lunde, Asger ; Olesen, Kasper V.. In: CREATES Research Papers. RePEc:aah:create:2013-19. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Component estimation for electricity prices: Procedures and comparisons. (2014). Nan, Fany ; Lisi, Francesco . In: Energy Economics. RePEc:eee:eneeco:v:44:y:2014:i:c:p:143-159. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Consumption-based asset pricing with rare disaster risk. (2014). Sonksen, Jantje ; Grammig, Joachim . In: CFR Working Papers. RePEc:zbw:cfrwps:1406. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Consumption-based asset pricing with rare disaster risk. (2014). Sonksen, Jantje ; Grammig, Joachim . In: CFS Working Paper Series. RePEc:zbw:cfswop:480. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach. (2014). Sonksen, Jantje ; Grammig, Joachim . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100614. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation. (2014). Khayat, Anwar ; Dufrenot, Gilles . In: AMSE Working Papers. RePEc:aim:wpaimx:1408. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation. (2014). Khayat, Anwar ; Dufrenot, Gilles . In: Working Papers. RePEc:hal:wpaper:halshs-00973504. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes. (2014). Jentsch, Carsten ; Paparoditis, Efstathios ; Politis, Dimitris N.. In: Working Papers. RePEc:mnh:wpaper:36668. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models. (2014). Majumdar, Anandamayee ; Gupta, Rangan . In: Working Papers. RePEc:ipg:wpaper:2014-585. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition. (2014). . In: CREATES Research Papers. RePEc:aah:create:2014-11. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-29. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Inference in High-dimensional Dynamic Panel Data Models. (2014). Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Equity Portfolio Management Using Option Price Information. (2014). Christoffersen, Peter ; Pan, Xuhui . In: CREATES Research Papers. RePEc:aah:create:2015-05. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Evaluating the robustness of UK term structure decompositions using linear regression methods. (2014). Meldrum, Andrew ; Malik, Sheheryar . In: Bank of England working papers. RePEc:boe:boeewp:0518. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Testing constancy of the error covariance matrix in vector models against parametric alternatives using a spectral decomposition. (2014). YANG, Yukai . In: CORE Discussion Papers. RePEc:cor:louvco:2014017. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Linearity and misspecification tests for vector smooth transition regression models. (2014). Terasvirta, Timo ; YANG, Yukai . In: CORE Discussion Papers. RePEc:cor:louvco:2014061. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market. (2014). Netsunajev, Aleksei ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1388. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Persistence and cycles in historical oil price data. (2014). Gil-Alana, Luis A. ; Gupta, Rangan . In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:511-516. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.. RePEc:epa:cepawp:2014-5. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market. (2014). Netsunajev, Aleksei ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-031. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Approximate Bayesian Computation in State Space Models. (2014). Brendan P. M. McCabe, ; Maneesoonthorn, Worapree ; Martin, Gael M. ; Robert, Christian P.. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-20. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions. (2014). . In: Working Papers. RePEc:syd:wpaper:2014-06. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On an Estimation Method for an Alternative Fractionally Cointegrated Model. (2014). Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140052. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100578. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial sector-output dynamics in the euro area: Non-linearities reconsidered. (2014). Schleer, Frauke ; Semmler, Willi . In: ZEW Discussion Papers. RePEc:zbw:zewdip:13068r. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | Policy Risk and the Business Cycle. (2013). Pfeifer, Johannes . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4336. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation. (2013). Kollmann, Robert . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9469. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Uniform Consistency of Nonstationary Kernel-Weighted Sample
Covariances for Nonparametric Regression. (2013). Gao, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Tractable 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Using Nonlinear Model Predictive Control for Dynamic Decision Problems in Economics. (2013). Grune, Lars ; Semmler, Willi ; Stieler, Marleen . In: EcoMod2013. RePEc:ekd:004912:5782. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Tractable 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach. (2013). Ajevskis, Viktors . In: Working Papers. RePEc:ltv:wpaper:201303. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Gao, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Forecasting Chinaâs Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty. (2013). Simo -Kengne, Beatrice D. ; Kim, Won Joong ; Hammoudeh, Shawkat ; Simo-Kengne, Beatrice D.. In: Working Papers. RePEc:pre:wpaper:201338. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2012 | Unit roots, nonlinearities and structural breaks. (2012). Haldrup, Niels ; Terasvirta, Timo ; Kruse, Robinson ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | The impact of financial crises on the risk-return tradeoff and the leverage effect. (2012). Christensen, Bent Jesper ; Nielsen, Morten orregaard ; Zhu, Jie. In: CREATES Research Papers. RePEc:aah:create:2012-19. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On tests for linearity against STAR models with deterministic trends. (2012). Kaufmann, Hendrik ; Kruse, Robinson ; Sibbertsen, Philipp . In: CREATES Research Papers. RePEc:aah:create:2012-20. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Asymptotic 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] |
| 2012 | Estimating High-Dimensional Time Series Models. (2012). Mendes, Eduardo F. ; Medeiros, Marcelo C.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders Bredahl ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Timmermann, Allan ; Hansen, Peter Reinhard . In: CREATES Research Papers. RePEc:aah:create:2012-45. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Timmermann, Allan . In: Economics Working Papers. RePEc:eui:euiwps:eco2012/24. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Can Tightness in the Housing Market Help Predict Subsequent Home Price Appreciation? Evidence from the U.S. and the Netherlands. (2012). De Wit, Erik Robert ; Larson, William D.. In: Working Papers. RePEc:gwi:wpaper:2012-11. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process. (2012). 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] |
| 2012 | Estimating High-Dimensional Time Series Models.. (2012). Mendes, Eduardo F. ; Medeiros, Marcelo C.. In: Textos para discussão. RePEc:rio:texdis:602. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Asymmetric Dependence between Aggregate Consumption and Financial Risk. (2012). Ning, Cathy ; Chollete, Loran . In: Working Papers. RePEc:rye:wpaper:wp046. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). van den Akker, R. ; Werker, B. J. M., . In: Discussion Paper. RePEc:tiu:tiucen:bc68a2f2-3ca3-443c-b3ac-f8ef56841037. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Money-Income Granger-Causality in Quantiles. (2012). Lee, Tae-Hwy ; Yang, Weiping . In: Working Papers. RePEc:ucr:wpaper:201423. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. (2012). 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
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| Year | Title | See |
|---|---|---|
| 2011 | Generalized 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] |
| 2011 | Asset pricing with concentrated ownership of capital. (2011). KevinJ. Lansing, . In: Working Paper. RePEc:bno:worpap:2011_18. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Flexicurity, Wage Dynamics and Inequality over the Life-Cycle. (2011). Cappellari, Lorenzo ; Bingley, Paul ; Westergrd-Nielsen, Niels . In: CESifo Working Paper Series. RePEc:ces:ceswps:_3561. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Volatility models. (2011). Hafner, Christian ; Laurent, Sebastien ; BAUWENS, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2011058. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Flexicurity, 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] |
| 2011 | The Merit of High-Frequency Data in Portfolio Allocation. (2011). Kyj, Lada M.. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2011-059. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Semiparametric Estimation with Generated Covariates. (2011). Rothe, Christoph ; Schienle, Melanie ; Mammen, Enno . In: IZA Discussion Papers. RePEc:iza:izadps:dp6084. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Testing Conditional Factor Models. (2011). Ang, Andrew . In: NBER Working Papers. RePEc:nbr:nberwo:17561. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Are foreign currency markets interdependent? evidence from data mining technologies. (2011). Malliaris, A. G.. In: MPRA Paper. RePEc:pra:mprapa:35261. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | How 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] |
| 2011 | Efficient high-dimensional importance sampling in mixture frameworks. (2011). Liesenfeld, Roman ; Kleppe, Tore Selland . In: Economics Working Papers. RePEc:zbw:cauewp:201111. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The merit of high-frequency data in portfolio allocation. (2011). Kyj, Lada M. ; Malec, Peter ; Hautsch, Nikolaus . In: CFS Working Paper Series. RePEc:zbw:cfswop:201124. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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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.