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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Statistics and Econometrics Working Papers / Universidad Carlos III, Departamento de Estadística y Econometría

0.15

Impact Factor

0.08

5-Years IF

6

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.08000 (%)0.05
19910.08000 (%)0.05
19920.09000 (%)0.05
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.15000 (%)0.1
19960.19000 (%)0.09
19970.2000 (%)0.08
19980.21000 (%)0.12
19990.27000 (%)0.15
20000.36000 (%)0.14
20010.36292940.1436007 (19.4%)40.140.17
20020.070.370.07114020.0512292292 (%)0.18
20030.050.390.05165640.07154024024 (26.7%)10.060.18
20040.190.410.09177370.1162755655 (31.3%)20.120.18
20050.090.430.141184100.12533373101 (20%)0.22
20060.180.450.1219103120.121428584103 (21.4%)20.110.19
20070.070.380.081812180.075302746 (%)10.060.17
20080.080.380.125146110.084373818 (%)0.17
20090.350.0824170120.077439071 (14.3%)0.17
20100.020.320.022619660.0314491972 (%)0.15
20110.080.410.0427223110.051350411251 (7.7%)20.070.2
20120.150.460.0818241160.07953812093 (33.3%)10.060.21
20130.130.490.1330271190.077456120164 (57.1%)20.070.22
20140.150.560.0820291180.06148712510 (%)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]

YearTitleCited
2001OUTLIERS AND CONDITIONAL AUTOREGRESSIVE HETEROSCEDASTICITY IN TIME SERIES. (2001). Pea, Daniel . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws010704.

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12
2001GMM ESTIMATION OF A PRODUCTION FUNCTION WITH PANEL DATA: AN APPLICATION TO SPANISH MANUFACTURING FIRMS. (2001). SaNCHEZ-MANGAS, ROCiO . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws015527.

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7
2001MULTIVARIATE ANALYSIS IN VECTOR TIME SERIES. (2001). Pea, Daniel ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws012415.

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6
2006MODELLING LONG-MEMORY VOLATILITIES WITH LEVERAGE EFFECT: ALMSV VERSUS FIEGARCH. (2006). Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws066016.

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6
2003GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS. (2003). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws035212.

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6
2002ESTIMATION METHODS FOR STOCHASTIC VOLATILITY MODELS: A SURVEY. (2002). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws025414.

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6
2010A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. (2010). Ausin, Concepcion ; Ghosh, Pulak ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103822.

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5
2001IS STOCHASTIC VOLATILITY MORE FLEXIBLE THAN GARCH?. (2001). Pea, Daniel . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws010805.

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5
2002PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF A DYNAMIC STRUCTURAL INVESTMENT MODEL. (2002). SaNCHEZ-MANGAS, ROCiO . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws026218.

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5
2004STOCHASTIC VOLATILITY MODELS AND THE TAYLOR EFFECT. (2004). Mora-Galan, Alberto ; Ruiz, Esther ; Perez, Ana . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws046315.

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4
2004VARIANCE CHANGES DETECTION IN MULTIVARIATE TIME SERIES. (2004). Pea, Daniel ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws041305.

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4
2010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103923.

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4
2011Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems. (2011). Breto, Carles ; Ionides, Edward L.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws111914.

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3
2012National minimum wage and labour market outcomes of young workers. (2012). Juan de Dios Tena, . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws121209.

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3
2003DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY.. (2003). Pea, Daniel . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws036313.

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3
2011Bootstrap forecast of multivariate VAR models without using the backward representation. (2011). Fresoli, Diego ; Pascual, Lorenzo ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws113426.

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3
2011Interacting multiple -- Try algorithms with different proposal distributions. (2011). Leisen, Fabrizio ; Casarin, Roberto ; Craiu, Radu . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws110402.

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3
2007The effect of realised volatility on stock returns risk estimates. (2007). Grane, Aurea . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws076316.

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3
2006ON THE CONCEPT OF DEPTH FOR FUNCTIONAL DATA. (2006). Romo, Juan ; Lopez-Pintado, Sara . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws063012.

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3
2006MODELLING MONETARY TRANSMISSION IN UK MANUFACTURING INDUSTRY. (2006). Tremayne, A. R.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws062911.

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2
2008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws087326.

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2
2005FORECASTING INFLATION IN THE EURO AREA USING MONTHLY TIME SERIES MODELS AND QUARTERLY ECONOMETRIC MODELS. (2005). Espasa, Antoni ; Albacete, Rebeca . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws050401.

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2
2003RANGE UNIT ROOT TESTS. (2003). Garcia, Ana ; Aparicio, Felipe M.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws031126.

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2
2010Exponential conditional volatility models. (2010). Harvey, Andrew . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103620.

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2
2003ESTIMATION OF INCOME DISTRIBUTION AND DETECTION OF SUBPOPULATIONS: AN EXPLANATORY MODEL. (2003). Nuez, Olivier G.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws030201.

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2
2010A semiparametric state space model. (2010). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103418.

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2
2009Wavelet-based detection of outliers in volatility models. (2009). Grane, Aurea . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws090403.

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2
2012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models. (2012). Wiper, Michael P.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws121007.

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2
2001INNOVATION AND JOB CREATION AND DESTRUCTION: EVIDENCE FROM SPAIN. (2001). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws013824.

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2
2004ECONOMETRIC MODELLING FOR SHORT-TERM INFLATION FORECASTING IN THE EMU.. (2004). Espasa, Antoni ; Albacete, Rebeca . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws034309.

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2
2013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia B. ; Latoeiro, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws130605.

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2
2005BAYESIAN ESTIMATION OF THE GAUSSIAN MIXTURE GARCH MODEL. (2005). Ausin, Maria Concepcion ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws053605.

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2
2001ON THE (INTRADAILY) SEASONALITY AND DYNAMICS OF A FINANCIAL POINT PROCESS: A SEMIPARAMETRIC APPROACH.. (2001). Espasa, Antoni ; Rodriguez-Poo, Juan M.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws013321.

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2
2009Comparing univariate and multivariate models to forecast portfolio value-at-risk. (2009). Andre A. P., ; Nogales, Francisco J. ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws097222.

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2
2004SPURIOUS AND HIDDEN VOLATILITY. (2004). Pea, Daniel ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws042007.

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1
2014Disentangled jump-robust realized covariances and correlations with non-synchronous prices. (2014). Veredas, David ; Elst, Harry Vander . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:es142416.

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1
2012Portfolio selection through and extremality stochastic order. (2012). Pellerey, Franco ; Lillo, Rosa E. ; Romo, Juan ; Laniado, Henry . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws121812.

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1
2002FORECASTING MONTHLY US CONSUMER PRICE INDEXES THROUGH A DISAGGREGATED I(2) ANALYSIS. (2002). Espasa, A. ; Poncela, P ; Senra, E.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws020301.

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1
2003A POWERFUL TEST FOR CONDITIONAL HETEROSCEDASTICITY FOR FINANCIAL TIME SERIES WITH HIGHLY PERSISTENT VOLATILITIES.. (2003). Rodriguez, Julio . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws036716.

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1
2012Discriminant analysis of multivariate time series using wavelets. (2012). Alonso, Andres M. ; Maharaj, Ann Elizabeth . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws120603.

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1
2007The relationship between ARIMA-GARCH and unobserved component models with GARCH disturbances. (2007). Espasa, Antoni ; Pellegrini, Santiago ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws072706.

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1
2013Bayesian analysis of dynamic effects in inefficiency : evidence from the Colombian banking sector. (2013). Veiga, Helena ; Wiper, Michael P. ; Galan, Jorge E.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws131918.

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1
2009Risk factors in oil and gas industry returns: international evidence. (2009). Veiga, Helena ; Ramos, Sofia B.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws096920.

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1
2004MODEL SELECTION CRITERIA AND QUADRATIC DISCRIMINATION IN ARMA AND SETAR TIME SERIES MODELS. (2004). Pea, Daniel ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws041406.

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1
2011Exploring ICA for time series decomposition. (2011). Ferrer, Antonio Garcia ; Prieto, Ester Gonzalez ; Pea, Daniel ; GarciaFerrer, Antonio . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws111611.

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1
2006MODELLING THE DISCRETE AND INFREQUENT OFFICIAL INTEREST RATE CHANGE IN THE UK. (2006). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws062007.

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1
2001ESTIMATION OF A DYNAMIC DISCRETE CHOICE MODEL OF IRREVERSIBLE INVESTMENT. (2001). SaNCHEZ-MANGAS, ROCiO . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws015628.

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1
2008The effect of short-selling of the aggregation of information in an experimental asset market. (2008). . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws083808.

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1
2011Why using a general model in Solvency II is not a good idea : an explanation from a Bayesian point of view. (2011). Albarran, Irene ; Alonso, Pablo J. ; Marin, Miguel J.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws113729.

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1
2013The Mahalanobis distance for functional data with applications to classification. (2013). Joseph, Esdras ; Lillo, Rosa E. ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws131312.

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1

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2001OUTLIERS AND CONDITIONAL AUTOREGRESSIVE HETEROSCEDASTICITY IN TIME SERIES. (2001). Pea, Daniel . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws010704.

Full description at Econpapers || Download paper

6
2010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103923.

Full description at Econpapers || Download paper

3
2011Bootstrap forecast of multivariate VAR models without using the backward representation. (2011). Fresoli, Diego ; Pascual, Lorenzo ; Ruiz, Esther . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws113426.

Full description at Econpapers || Download paper

3
2008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws087326.

Full description at Econpapers || Download paper

2
2007The effect of realised volatility on stock returns risk estimates. (2007). Grane, Aurea . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws076316.

Full description at Econpapers || Download paper

2
2012National minimum wage and labour market outcomes of young workers. (2012). Juan de Dios Tena, . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws121209.

Full description at Econpapers || Download paper

2
2009Wavelet-based detection of outliers in volatility models. (2009). Grane, Aurea . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws090403.

Full description at Econpapers || Download paper

2
2010A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. (2010). Ausin, Concepcion ; Ghosh, Pulak ; Galeano, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws103822.

Full description at Econpapers || Download paper

2
2013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia B. ; Latoeiro, Pedro . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws130605.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 7:

[Click on heading to sort table]

YearTitleSee
2014Score driven asymmetric stochastic volatility models. (2014). Ruiz, Esther ; Mao, Xiuping . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws142618.

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[Citation Analysis]
2014Inefficiency persistence and heterogeneity in Colombian electricity distribution utilities. (2014). Pollitt, Michael G.. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1423.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Investor attention and stock market activity: Evidence from France. (2014). Aouadi, Amal ; Arouri, Mohamed . In: Working Papers. RePEc:ipg:wpaper:2014-405.

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[Citation Analysis]
2014A game theoretic approach to group centrality. (2014). Ferragut, Elisenda Molina ; Ramon Jesus Flores Diaz, ; Tejada, Juan . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws142215.

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[Citation Analysis]
2014Der flächendeckende Mindestlohn. (2014). Knabe, Andreas ; Schob, Ronnie ; Ronnie Schöb, ; Thum, Marcel . In: Discussion Papers. RePEc:zbw:fubsbe:20144.

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[Citation Analysis]
2014Bayesian estimation of a Dynamic Conditional Correlation model with multivariate Skew-Slash innovations. (2014). de la Fuente, Cristina Garcia ; Galeano, Pedro ; Wiper, Michael P.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws141711.

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[Citation Analysis]
2014Discriminant analysis of multivariate time series: Application to diagnosis based on ECG signals. (2014). Alonso, Andres M. ; Maharaj, Elizabeth Ann . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:70:y:2014:i:c:p:67-87.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

[Click on heading to sort table]

YearTitleSee
2013How to boost the PhD labour market? : facts from the R&D and innovation policies side. (2013). Benito, Monica ; Romera, Rosario . In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws133127.

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[Citation Analysis]
2013Investor attention and stock market activity: Evidence from France. (2013). Aouadi, Amal ; Arouri, Mohamed ; Teulon, Frederic . In: Economic Modelling. RePEc:eee:ecmode:v:35:y:2013:i:c:p:674-681.

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[Citation Analysis]

Recent citations received in: 2012

[Click on heading to sort table]

YearTitleSee
2012The impact of minimum wage on employment in Poland. (2012). Majchrowska, Aleksandra ; Zokiewski, Zbigniew . In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH. RePEc:ris:invreg:0010.

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[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Combining benchmarking and chain-linking for short-term regional forecasting. (2011). Espasa, Antoni ; Cuevas, ngel ; Quilis, Enrique M.. In: Statistics and Econometrics Working Papers. RePEc:cte:wsrepe:ws114130.

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[Citation Analysis]
2011Forecasting the European Carbon Market. (2011). Koop, Gary ; Tole, Lise . In: Working Papers. RePEc:str:wpaper:1110.

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[Citation Analysis]

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.