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

Journal of Financial Econometrics / Society for Financial Econometrics

0.94

Impact Factor

1.61

5-Years IF

30

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
19900.09000 (%)0.03
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.19000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.27000 (%)0.1
19990.310300 (%)0.13
20000.390100 (%)0.15
20010.41000 (%)0.16
20020.430900 (%)0.19
20030.451919110.58241002 (%)50.260.19
20040.740.510.742443481.12761191419143 (%)190.790.21
20051.020.541.022770771.142043444344 (%)90.330.22
20061.430.521.4724941391.489445173701033 (%)2410.21
20071.750.451.61101041711.641735189941511 (%)60.60.18
20082.760.482.25211252542.0320534941042341 (%)20.10.2
20091.420.482.25241492931.9736731441062391 (%)200.830.19
20101.040.441.8331822791.531484547106191 (%)70.210.16
20111.230.532.0723205409216757701122321 (%)150.650.21
20121.040.581.51292344191.79655658111168 (%)40.140.22
20131.060.711.49232575392.1715255130194 (%)110.480.25
20140.940.811.61182756052.245249132212 (%)10.060.28
 
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
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

316
2004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

244
2009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

243
2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

202
2005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

134
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Kuester, Keith ; Mittnik, Stefan ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

113
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

99
2004A New Approach to Markov-Switching GARCH Models. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

96
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

71
2004Mixed Normal Conditional Heteroskedasticity. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

Full description at Econpapers || Download paper

67
2007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

63
2006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

56
2004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

54
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104.

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53
2004Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

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51
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

46
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo, Alfonso ; Chollete, Loran ; Heinen, Andreas . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

46
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

Full description at Econpapers || Download paper

45
2006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

Full description at Econpapers || Download paper

41
2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

Full description at Econpapers || Download paper

40
2006Stochastic Conditional Intensity Processes. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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37
2006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

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37
2006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

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37
2005Autoregressive Conditional Kurtosis. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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37
2003Fourth Moment Structure of Multivariate GARCH Models. (2003). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54.

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36
2008Are There Structural Breaks in Realized Volatility?. (2008). Liu, Chun . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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35
2006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670.

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34
2003Trades and Quotes: A Bivariate Point Process. (2003). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188.

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33
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Terasvirta, Timo . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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33
2010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Brownlees, Christian T. ; Gallo, Giampiero M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

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32
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470.

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30
2005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577.

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30
2008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Easley, David ; Engle, Robert F. ; O'Hara, Maureen ; Wu, Liuren . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

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27
2005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

Full description at Econpapers || Download paper

23
2011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

Full description at Econpapers || Download paper

23
2006Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods. (2006). Arapis, Manuel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345.

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23
2008Econometric Asset Pricing Modelling. (2008). Monfort, A. ; Bertholon, H.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458.

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22
2011Risk-Price Dynamics. (2011). Boroviska, Jaroslav ; Hendricks, Mark ; Scheinkman, Jose A.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

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21
2008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

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21
2005Multivariate Lagrange Multiplier Tests for Fractional Integration. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398.

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21
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes. (2003). Saikkonen, Pentti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125.

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19
2005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel A.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168.

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19
2004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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19
2008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582.

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19
2006Affine Models for Credit Risk Analysis. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530.

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19
2010Structural Conditional Correlation. (2010). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:3:p:392-407.

Full description at Econpapers || Download paper

19
2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

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18
2007Switching VARMA Term Structure Models. (2007). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:105-153.

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18
2003A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility. (2003). Fleming, Jeff . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419.

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18
2008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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18

50 most relevant documents in this series:

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

YearTitleCited
2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

156
2009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

140
2004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

79
2006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

76
2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

50
2005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

44
2006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Kuester, Keith ; Mittnik, Stefan ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

41
2009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo, Alfonso ; Chollete, Loran ; Heinen, Andreas . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

30
2004A New Approach to Markov-Switching GARCH Models. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

29
2007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

28
2004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

27
2006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

26
2004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

24
2006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

Full description at Econpapers || Download paper

24
2009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Terasvirta, Timo . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

Full description at Econpapers || Download paper

21
2010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Brownlees, Christian T. ; Gallo, Giampiero M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

Full description at Econpapers || Download paper

19
2005Autoregressive Conditional Kurtosis. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

Full description at Econpapers || Download paper

18
2006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670.

Full description at Econpapers || Download paper

18
2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

16
2010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

Full description at Econpapers || Download paper

16
2011A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones. (2011). Robert, Christian Y.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:344-366.

Full description at Econpapers || Download paper

15
2006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

Full description at Econpapers || Download paper

15
2011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

Full description at Econpapers || Download paper

14
2008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

Full description at Econpapers || Download paper

14
2003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

Full description at Econpapers || Download paper

14
2011Risk-Price Dynamics. (2011). Boroviska, Jaroslav ; Hendricks, Mark ; Scheinkman, Jose A.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

Full description at Econpapers || Download paper

14
2010Structural Conditional Correlation. (2010). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:3:p:392-407.

Full description at Econpapers || Download paper

13
2013Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Kasch, Maria ; Caporin, Massimiliano . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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13
2012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Koopman, Siem Jan . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

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12
2010Granger Causality and Dynamic Structural Systems. (2010). White, Halbert ; Lu, Xun . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:2:p:193-243.

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12
2008Are There Structural Breaks in Realized Volatility?. (2008). Liu, Chun . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

Full description at Econpapers || Download paper

12
2004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

Full description at Econpapers || Download paper

11
2011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Francq, Christian ; Horvath, Lajos . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

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11
2004Mixed Normal Conditional Heteroskedasticity. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

Full description at Econpapers || Download paper

11
2011When is a Copula Constant? A Test for Changing Relationships. (2011). Busetti, Fabio . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131.

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11
2008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Easley, David ; Engle, Robert F. ; O'Hara, Maureen ; Wu, Liuren . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

Full description at Econpapers || Download paper

11
2012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo C.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

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11
2005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

Full description at Econpapers || Download paper

10
2005A Test for Symmetry with Leptokurtic Financial Data. (2005). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187.

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10
2010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449.

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10
2013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

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9
2008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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9
2008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582.

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9
2007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104.

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9
2006Stochastic Conditional Intensity Processes. (2006). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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9
2006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

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8
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470.

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8
2004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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8
2007Components of Market Risk and Return. (2007). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:4:p:560-590.

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8
2013The Price Impact of Order Book Events. (2013). Kukanov, Arseniy ; Stoikov, Sasha ; Cont, Rama . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2013:i:1:p:47-88.

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8

Citing documents used to compute impact factor 49:

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YearTitleSee
2014Discrete stochastic autoregressive volatility. (2014). Cordis, Adriana S. ; Kirby, Chris . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:160-178.

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2014Pricing default events: Surprise, exogeneity and contagion. (2014). Monfort, A. ; Gourieroux, C.. In: Journal of Econometrics. RePEc:eee:econom:v:182:y:2014:i:2:p:397-411.

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2014Flight-to-liquidity flows in the euro area sovereign debt crisis. (2014). Garcia, Juan Angel ; Gimeno, Ricardo . In: Banco de España Working Papers. RePEc:bde:wpaper:1429.

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2014Nonparametric kernel density estimation near the boundary. (2014). Schienle, Melanie ; Malec, Peter . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:72:y:2014:i:c:p:57-76.

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2014Maximum likelihood estimates for positive valued dynamic score models; The DySco package. (2014). Andres, Philipp . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:34-42.

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2014Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts. (2014). Trojan, Sebastian . In: Economics Working Paper Series. RePEc:usg:econwp:2014:25.

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2014Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model. (2014). Hevia, Constantino ; Sola, Martin ; Gonzalez-Rozada, Martin ; Spagnolo, Fabio . In: BCAM Working Papers. RePEc:bbk:bbkcam:1403.

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2014A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil. (2014). . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10162.

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2014Are there common factors in individual commodity futures returns?. (2014). Kostakis, Alexandros ; Skiadopoulos, George ; Daskalaki, Charoula . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:346-363.

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2014Risk premia in crude oil futures prices. (2014). Hamilton, James D. ; Wu, Jing Cynthia . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:42:y:2014:i:c:p:9-37.

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2014A general approach to recovering market expectations from futures prices with an application to crude oil. (2014). Baumeister, Christiane ; Kilian, Lutz . In: CFS Working Paper Series. RePEc:zbw:cfswop:466.

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2014Tail events: A new approach to understanding extreme energy commodity prices. (2014). Koch, Nicolas . In: Energy Economics. RePEc:eee:eneeco:v:43:y:2014:i:c:p:195-205.

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2014Estimating 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.

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2014A robust algorithm and convergence analysis for static replications of nonlinear payoffs. (2014). Deng, Dongya ; Ma, Jingtang ; Zheng, Harry . In: Papers. RePEc:arx:papers:1406.5430.

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2014Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618.

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2014Hydrodynamic limit of order book dynamics. (2014). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502.

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2014Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096.

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2014Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295.

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2014Matrix Box-Cox Models for Multivariate Realized Volatility. (2014). Weigand, Roland . In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:29687.

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2014Factor High-Frequency Based Volatility (HEAVY) Models. (2014). Sheppard, Kevin . In: Economics Series Working Papers. RePEc:oxf:wpaper:710.

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2014Bayesian Semiparametric Modeling of Realized Covariance Matrices. (2014). Maheu, John M ; Jin, Xin . In: MPRA Paper. RePEc:pra:mprapa:60102.

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2014On the stationarity of Dynamic Conditional Correlation models. (2014). Malongo, Hassan ; Fermanian, Jean-David . In: Papers. RePEc:arx:papers:1405.6905.

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2014Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes. (2014). Tang, Chrismin ; Fry-McKibbin, Renee ; Hsiao, Cody . In: Open Economies Review. RePEc:kap:openec:v:25:y:2014:i:3:p:521-570.

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2014Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets. (2014). Zhang, Longmei ; Ananchotikul, Nasha . In: IMF Working Papers. RePEc:imf:imfwpa:14/156.

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2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Lunde, Asger ; Laurent, Sebastien ; Quaedvlieg, Rogier ; Boudt, Kris . In: CREATES Research Papers. RePEc:aah:create:2014-05.

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2014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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2014The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Franceso ; Stentoft, Lars ; Rombouts, Jeroen . In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:1:p:78-98.

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2014Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models. (2014). Jin, Sainan ; Zhang, Yonghui . In: Working Papers. RePEc:siu:wpaper:09-2014.

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2014Realized stochastic volatility with leverage and long memory. (2014). Shirota, Shinichiro ; Omori, Yasuhiro ; Hizu, Takayuki . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:618-641.

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2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models. (2014). Kristensen, Dennis ; Creel, Michael . In: CREATES Research Papers. RePEc:aah:create:2014-30.

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2014Volatility and Quantile Forecasts by Realized Stochastic Volatility Models with Generalized Hyperbolic Distribution. (2014). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki ; Shoji, Masahiro . In: CIRJE F-Series. RePEc:tky:fseres:2014cf921.

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2014Volatility 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.

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2014Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2014). Forbes, Catherine S. ; Maneesoonthorn, Worapree ; Martin, Gael M.. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-30.

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2014Fast Efficient Importance Sampling by State Space Methods. (2014). Lit, Rutger ; Nguyen, Thuy Minh ; Koopman, Siem Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20120008.

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2014Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks. (2014). Audrino, Francesco . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:76:y:2014:i:c:p:43-60.

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2014Economic gains of realized volatility in the Brazilian stock market. (2014). Francisco Eduardo de Luna e Almeida Santos, ; Garcia, Marcio ; Medeiros, Marcelo . In: Textos para discussão. RePEc:rio:texdis:624.

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2014Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. (2014). Royset, J. O. ; Miranda, S. I. ; Rockafellar, R. T.. In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:1:p:140-154.

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2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks. (2014). Boudt, Kris ; Petitjean, Mikael . In: Journal of Financial Markets. RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149.

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2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity. (2014). Lunde, Asger ; Laurent, Sebastien ; Quaedvlieg, Rogier ; Boudt, Kris . In: CREATES Research Papers. RePEc:aah:create:2014-05.

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2014Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV. (2014). LAHAYE, Jerome ; Shaw, Philip . In: Economics Letters. RePEc:eee:ecolet:v:125:y:2014:i:1:p:43-46.

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2014A new set of improved Value-at-Risk backtests. (2014). Ziggel, Daniel ; Weiß, Gregor N. F., ; Berens, Tobias ; Wied, Dominik . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:48:y:2014:i:c:p:29-41.

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2014On the performance of the tick test. (2014). Dufour, Alfonso ; Perlin, Marcelo . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:54:y:2014:i:1:p:42-50.

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2014Trade classification accuracy for the BIST. (2014). Kryzanowski, Lawrence ; Aktas, Osman Ulas . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:33:y:2014:i:c:p:259-282.

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2014Optimally sampled realized range-based volatility estimators. (2014). Vortelinos, Dimitrios I.. In: Research in International Business and Finance. RePEc:eee:riibaf:v:30:y:2014:i:c:p:34-50.

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2014Volatility jumps and their economic determinants. (2014). Rossi, Eduardo ; de Magistris, Paolo Santucci ; Caporin, Massimiliano . In: CREATES Research Papers. RePEc:aah:create:2014-27.

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2014On bank credit risk: systemic or bank-specific? Evidence from the US and UK. (2014). Zinna, Gabriele ; Li, Junye . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_951_14.

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2014Price pressures in the UK index-linked market: an empirical investigation. (2014). Zinna, Gabriele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_968_14.

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2014How much of bank credit risk is sovereign risk? Evidence from the eurozone. (2014). Li, Junye . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_990_14.

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2014Credit Default Swaps: A Survey. (2014). Tang, Dragon Yongjun ; Wang, Sarah Qian ; Augustin, Patrick ; Subrahmanyam, Marti G.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000040.

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Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014Economic theory and forecasting: lessons from the literature. (2014). Giacomini, Raffaella . In: CeMMAP working papers. RePEc:ifs:cemmap:41/14.

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Recent citations received in: 2013

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YearTitleSee
2013On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David . In: Working Papers. RePEc:crs:wpaper:2013-26.

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2013Ten Things You Should Know About DCC. (2013). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:39599.

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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). Caporin, M. ; McAleer, M. J.. In: Econometric Institute Research Papers. RePEc:ems:eureir:40377.

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2013Does realized volatility help bond yield density prediction?. (2013). Shin, Minchul ; Zhong, Molin . In: PIER Working Paper Archive. RePEc:pen:papers:13-064.

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2013Discounting Cashflows from Illiquid Assets on Bank Balance Sheets. (2013). Nauta, Bert-Jan . In: MPRA Paper. RePEc:pra:mprapa:54781.

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2013Ten Things you should know about DCC. (2013). Caporin, Massimiliano ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130048.

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2013Ten Things you should know about the Dynamic Conditional Correlation Representation. (2013). Caporin, Massimiliano ; McAleer, Michael . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130078.

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2013Predicting Covariance Matrices with Financial Conditions Indexes. (2013). Opschoor, Anne ; van der Wel, Michel ; van Dijk, Dick . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130113.

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2013Ten Things You Should Know About DCC. (2013). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1312.

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2013Ten Things You Should Know About the Dynamic Conditional Correlation Representation. (2013). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1321.

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2013The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter . In: Discussion Papers. RePEc:yor:yorken:13/22.

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[Citation Analysis]

Recent citations received in: 2012

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YearTitleSee
2012Determination the Parameters of Markowitz Portfolio Optimization Model. (2012). Bilge, Ayse Humeyra ; Bayraktar, Ertugrul . In: Papers. RePEc:arx:papers:1210.5859.

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2012A New Pseudo-Bayesian Model of Investors Behavior in Financial Crises. (2012). . In: MPRA Paper. RePEc:pra:mprapa:42535.

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2012Systemic Risk Analysis using Forward-Looking Distance-to-Default Series. (2012). Saldias, Martin . In: Working Papers. RePEc:ptu:wpaper:w201216.

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2012Realized stochastic volatility with leverage and long memory. (2012). Shirota, Shinichiro ; Hizu, Takayuki . In: CIRJE F-Series. RePEc:tky:fseres:2012cf869.

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[Citation Analysis]

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee
2011Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F.. In: CREATES Research Papers. RePEc:aah:create:2011-37.

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2011Examining Macroeconomic Models Through the Lens of Asset Pricing. (2011). Borovicka, Jaroslav ; Hansen, Lars Peter . In: Working Papers. RePEc:bfi:wpaper:2011-012.

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

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2011Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8503.

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[Citation Analysis]
2011Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors. (2011). Chabi-Yo, Fousseni ; Bakshi, Gurdip . In: Working Paper Series. RePEc:ecl:ohidic:2011-11.

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2011A simple nonparametric test for structural change in joint tail probabilities. (2011). van Kampen, Maarten ; Kramer, Walter . In: Economics Letters. RePEc:eee:ecolet:v:110:y:2011:i:3:p:245-247.

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2011Do interest rate options contain information about excess returns?. (2011). Almeida, Caio ; Joslin, Scott ; Graveline, Jeremy J.. In: Journal of Econometrics. RePEc:eee:econom:v:164:y:2011:i:1:p:35-44.

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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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2011Testing interval forecasts: a GMM-based approach. (2011). Hurlin, Christophe ; Madkour, Jaouad ; Dumitrescu, Elena-Ivona . In: Working Papers. RePEc:hal:wpaper:halshs-00618467.

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2011Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices. (2011). . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2011-9.

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2011Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F.. In: PIER Working Paper Archive. RePEc:pen:papers:11-037.

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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]
2011Asymmetry and Long Memory in Volatility Modelling. (2011). . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1129.

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[Citation Analysis]
2011Common intraday periodicity. (2011). . In: Research Memorandum. RePEc:unm:umamet:2011010.

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2011Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes. (2011). Hautsch, Nikolaus ; Malec, Peter . In: CFS Working Paper Series. RePEc:zbw:cfswop:201125.

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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.