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

Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni G. Parenti

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Impact Factor

0.67

5-Years IF

8

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
19990.27115001 (20%)0.15
20000.36111 (%)0.14
200110.3615610.171711115 (29.4%)0.17
20020.20.370.1761230.25651611 (16.7%)10.170.18
20030.360.390.3321450.36191141241 (5.3%)10.50.18
20040.410.1441860.331181424 (36.4%)410.18
200510.430.4132170.335661772 (40%)0.22
20060.140.450.2562790.3362712057 (11.3%)30.50.19
20070.330.380.2963390.2715932164 (26.7%)10.170.17
20080.330.380.2923580.23161242161 (6.3%)0.17
20090.750.350.76338200.53188621163 (16.7%)0.17
201010.320.6341150.376552012 (%)0.15
20110.170.410.8142200.4813612016 (%)220.2
201210.461.13244310.714415171 (100%)10.50.21
20130.670.490.9144210.48321110 (%)0.22
20140.560.671155190.3532961 (33.3%)10.090.3
 
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
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

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29
2006Vector Multiplicative Error Models: Representation and Inference. (2006). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15.

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19
2007A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16.

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14
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Brownlees, Christian T. ; Gallo, Giampiero M. ; Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01.

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13
2011Multiplicative Error Models. (2011). Brownlees, Christian T. ; Gallo, Giampiero M. ; Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

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13
2003A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_07.

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10
2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). Perez-Amaral, Teodosio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04.

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9
2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09.

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8
2008Comparison of Volatility Measures: a Risk Management Perspective. (2008). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_03.

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8
2001A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_04.

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8
2006Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_04.

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6
2001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

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6
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06.

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6
2009Semiparametric vector MEM. (2009). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03.

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6
Indirect Estimation of Just-Identified Models with Control Variates. (1999). Di Iorio, F. ; Calzolari, Giorgio ; Fiorentini, G.. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno46.

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5
On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.. (2004). Godsill, Simon J.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_05.

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5
2006Exchange Market Pressure: Some Caveats In Empirical Applications. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_17.

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4
2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11.

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4
2006Indirect estimation of alpha-stable stochastic volatility models. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07.

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4
2004Indirect estimation of alpha-stable distributions and processes.. (2004). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_07.

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3
2002GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_06.

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3
2004Bayesian inference for alpha-stable distributions: a random walk MCMC approach.. (2004). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_11.

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2
2001Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets. (2001). Jeon, Yongil . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_01.

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2
2006Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_12.

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2
2002Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_03.

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2
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Brownlees, Christian T. ; Gallo, Giampiero M. ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

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2
2007Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria. (2007). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_02.

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1
2012Volatility Swings in the US Financial Markets. (2012). Otranto, Edoardo ; Gallo, Giampiero M.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_03.

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1
2001Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Lee, Tae-Why ; Hong, Yongmiao . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03.

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1
2002Inflation Differentials before and after the EMU. (2002). Arese-Visconti, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_19.

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1
2014Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09.

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1
Volatility Transmission in Financial Markets: A New Approach. (2005). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_10.

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1
2001Alternative Simulation-Based Estimators of Logit Models with Random Effects. (2001). Rampichini, C. ; Calzolari, Giorgio ; Mealli, F.. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno48.

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1
2009Automated Variable Selection in Vector Multiplicative Error Models. (2009). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_02.

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1
2004A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.. (2004). Perez-Amaral, Teodosio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_12.

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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
2006Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns. (2006). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03.

Full description at Econpapers || Download paper

14
2011Multiplicative Error Models. (2011). Brownlees, Christian T. ; Gallo, Giampiero M. ; Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03.

Full description at Econpapers || Download paper

7
2010Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06.

Full description at Econpapers || Download paper

5
2009Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Brownlees, Christian T. ; Gallo, Giampiero M. ; Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01.

Full description at Econpapers || Download paper

3
2003A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). Perez-Amaral, Teodosio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04.

Full description at Econpapers || Download paper

3
2009Semiparametric vector MEM. (2009). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03.

Full description at Econpapers || Download paper

3
2001Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02.

Full description at Econpapers || Download paper

3
2006Vector Multiplicative Error Models: Representation and Inference. (2006). Cipollini, Fabrizio . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15.

Full description at Econpapers || Download paper

2
2014Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Brownlees, Christian T. ; Gallo, Giampiero M. ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02.

Full description at Econpapers || Download paper

2
2005Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11.

Full description at Econpapers || Download paper

2
2008A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:

[Click on heading to sort table]

YearTitleSee

Cites in year: CiY

Recent citations received in: 2014

[Click on heading to sort table]

YearTitleSee
2014Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Regnier-Loilier, Arnaud ; Vignoli, Daniele . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11.

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[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Volatility models. (2011). Hafner, Christian ; Laurent, Sebastien ; BAUWENS, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2011058.

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[Citation Analysis]
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast. (2011). Liu, Xiaochun . In: MPRA Paper. RePEc:pra:mprapa:41248.

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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.