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CREATES Research Papers / Department of Economics and Business Economics, Aarhus University

0.54

Impact Factor

0.49

5-Years IF

19

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12000 (%)0.06
19950.16000 (%)0.1
19960.2000 (%)0.09
19970.210200 (%)0.09
19980.220100 (%)0.13
19990.280200 (%)0.16
20000.37000 (%)0.14
20010.360100 (%)0.17
20020.370300 (%)0.18
20030.4000 (%)0.19
20040.420100 (%)0.19
20050.430100 (%)0.21
20060.450600 (%)0.2
20070.394545210.476770054 (8%)130.290.17
20081.160.391.16651101010.923624552455253 (14.6%)290.450.17
20090.950.370.95601701540.9127211010511010539 (14.3%)220.370.18
20100.580.330.77742441560.641881257317013128 (14.9%)180.240.15
20110.570.410.86563002410.81081347624420912 (11.1%)120.210.2
20120.310.460.64563562310.651721304030019221 (12.2%)160.290.21
20130.610.50.54524082730.671011126831116919 (18.8%)110.210.21
20140.660.540.51634712970.63891087129815316 (18%)190.30.26
20150.540.60.49555263210.61391156230114713 (33.3%)140.250.3
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:

#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

298
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

201
32009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steven . In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

58
42012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Langlois, Hugues ; Errunza, Vihang ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2012-48.

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49
52008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Ornthanalai, Chayawat ; Wang, Yintian ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2008-11.

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46
62008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

28
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

28
82013The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12.

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27
92012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-43.

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26
102008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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22
112008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63.

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22
122007Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27.

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22
132007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

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22
142009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

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22
152008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56.

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21
162010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13.

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21
172008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

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21
182007Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Jacod, Jean ; LI, YINGYING ; Mykland, Per A. ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-43.

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20
192007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

Full description at Econpapers || Download paper

19
202012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

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19
212014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

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17
222007Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann . In: CREATES Research Papers. RePEc:aah:create:2007-21.

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17
232014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

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17
242007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24.

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17
252008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58.

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16
262010Estimation of Stochastic Volatility Models by Nonparametric Filtering. (2010). Kristensen, Dennis ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2010-67.

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16
272007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas. In: CREATES Research Papers. RePEc:aah:create:2007-09.

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16
282011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2011-46.

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16
292008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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14
302009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2009-33.

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14
312009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

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14
322009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav . In: CREATES Research Papers. RePEc:aah:create:2009-52.

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13
332012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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13
342010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders. In: CREATES Research Papers. RePEc:aah:create:2010-01.

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13
352009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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12
362010Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Voev, Valeri ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-74.

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12
372008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

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12
382008Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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12
392013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin. In: CREATES Research Papers. RePEc:aah:create:2013-18.

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11
402008Inference for the jump part of quadratic variation of Itô semimartingales. (2008). Veraart, Almut. In: CREATES Research Papers. RePEc:aah:create:2008-17.

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11
412010Pre-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.

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11
422008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2008-50.

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11
432010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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11
442010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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10
452008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina. In: CREATES Research Papers. RePEc:aah:create:2008-08.

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10
462008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli . In: CREATES Research Papers. RePEc:aah:create:2008-07.

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10
472008Short-run Exchange-Rate Dynamics: Theory and Evidence. (2008). Osler, Carol ; Dahl, Christian ; Carlson, John A. In: CREATES Research Papers. RePEc:aah:create:2008-01.

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10
482010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-08.

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10
492009Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data. (2009). Podolskij, Mark ; Christensen, Kim ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2009-45.

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10
502014Dynamic 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.

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10

50 most relevant documents in this series (papers most cited in the last two years)

#YearTitleCited
12007Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18.

Full description at Econpapers || Download paper

128
22007Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20.

Full description at Econpapers || Download paper

83
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Langlois, Hugues ; Errunza, Vihang ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

41
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Jacobs, Kris ; Heston, Steven . In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

32
52013The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12.

Full description at Econpapers || Download paper

21
62014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

16
72012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-43.

Full description at Econpapers || Download paper

16
82009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

15
92014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

14
102008Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Ornthanalai, Chayawat ; Wang, Yintian ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

13
112013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

11
122014Dynamic 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

10
132008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

10
142007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2007-24.

Full description at Econpapers || Download paper

10
152010Estimation 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

10
162008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

Full description at Econpapers || Download paper

10
172011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2011-46.

Full description at Econpapers || Download paper

9
182007The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03.

Full description at Econpapers || Download paper

9
192012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

Full description at Econpapers || Download paper

9
202008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

Full description at Econpapers || Download paper

9
212015Hybrid scheme for Brownian semistationary processes. (2015). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2015-43.

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8
222013On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico . In: CREATES Research Papers. RePEc:aah:create:2013-44.

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8
232012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

Full description at Econpapers || Download paper

7
242012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

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7
252013It’s all about volatility (of volatility): evidence from a two-factor stochastic volatility model. (2013). Santucci de Magistris, Paolo ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2013-03.

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7
262012Modelling electricity day–ahead prices by multivariate Lévy semistationary processes. (2012). Veraart, Almut ; Almut E. D. Veraart, ; Luitgard A. M. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13.

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6
272009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17.

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6
282009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

Full description at Econpapers || Download paper

5
292010Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13.

Full description at Econpapers || Download paper

5
302010Non-linear DSGE Models and The Central Difference Kalman Filter. (2010). Andreasen, Martin. In: CREATES Research Papers. RePEc:aah:create:2010-30.

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5
312011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

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5
322012Housing price forecastability: A factor analysis. (2012). Møller, Stig ; Bork, Lasse ; Moller, Stig V.. In: CREATES Research Papers. RePEc:aah:create:2012-27.

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5
332014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. (2014). Nyberg, Henri ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-17.

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5
342009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris . In: CREATES Research Papers. RePEc:aah:create:2009-33.

Full description at Econpapers || Download paper

4
352008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli . In: CREATES Research Papers. RePEc:aah:create:2008-07.

Full description at Econpapers || Download paper

4
362010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders. In: CREATES Research Papers. RePEc:aah:create:2010-01.

Full description at Econpapers || Download paper

4
372012Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36.

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4
382015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

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4
392010Ambit processes and stochastic partial differential equations. (2010). Veraart, Almut ; Barndorff-Nielsen, Ole ; Almut E. D. Veraart, ; BarndorffNielsen, Ole E. ; Benth, Fred Espen . In: CREATES Research Papers. RePEc:aah:create:2010-17.

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4
402013Does Realized Skewness Predict the Cross-Section of Equity Returns?. (2013). Christoffersen, Peter ; Vasquez, Aurelio ; Jacobs, Kris ; Amaya, Diego . In: CREATES Research Papers. RePEc:aah:create:2013-41.

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4
412015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence. (2015). Velasco, Carlos ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2015-35.

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4
422011Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX. (2011). Andersen, Torben ; Gonzalez-Perez, Maria T. ; Bondarenko, Oleg . In: CREATES Research Papers. RePEc:aah:create:2011-49.

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4
432016Assessing Gamma kernels and BSS/LSS processes. (2016). Barndorff-Nielsen, Ole E. In: CREATES Research Papers. RePEc:aah:create:2016-09.

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4
442015Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J.. In: CREATES Research Papers. RePEc:aah:create:2015-01.

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4
452012Heterogeneous Computing in Economics: A Simplified Approach. (2012). Grassi, Stefano ; Dziubinski, Matt. In: CREATES Research Papers. RePEc:aah:create:2012-15.

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4
462008Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48.

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4
472014Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-07.

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4
482014A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23.

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4
492013Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets. (2013). Kanaya, Shin ; Dupas, Pascaline ; Bhattacharya, Debopam. In: CREATES Research Papers. RePEc:aah:create:2013-06.

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4
502009Interest rate convergence in the EMS prior to European Monetary Union. (2009). Kruse, Robinson ; Frömmel, Michael ; Frommel, Michael . In: CREATES Research Papers. RePEc:aah:create:2009-23.

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Citing documents used to compute impact factor 62:

YearTitle
2015Learning, confidence, and option prices. (2015). Shaliastovich, Ivan . In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:18-42.

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2015l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations. (2015). Medeiros, Marcelo ; Mendes, Eduardo F.. In: Textos para discussão. RePEc:rio:texdis:636.

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2015Robustness and convergence in the Lee–Carter model with cohort effects. (2015). Hunt, Andrew ; Villegas, Andres M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:64:y:2015:i:c:p:186-202.

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2015Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship. (2015). Hansen, Hans Oluf . In: Discussion Papers. RePEc:kud:kuiedp:1516.

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2015Forecasts from Reduced-form Models under the Zero-Lower-Bound Constraint. (2015). Pasaogullari, Mehmet. In: Working Paper. RePEc:fip:fedcwp:1512.

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2015Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0541.

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2015UK Term Structure Decompositions at the Zero Lower Bound. (2015). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, Elisabetta . In: Working Papers. RePEc:qmw:qmwecw:wp755.

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2015Long-run priors for term structure models. (2015). Roberts-Sklar, Matt ; Meldrum, Andrew. In: Bank of England working papers. RePEc:boe:boeewp:0575.

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2015Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium. (2015). Chung, Tsz-Kin ; Li, Ka-Fai . In: Working Papers. RePEc:hkm:wpaper:212015.

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2015A Shadow-Rate Term Structure Model for the Euro Area. (2015). Lemke, Wolfgang ; Vladu, Andreea . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113159.

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2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Boldrini, Lorenzo ; Hillebrand, Eric . In: CREATES Research Papers. RePEc:aah:create:2015-39.

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2015Supervision in Factor Models Using a Large Number of Predictors. (2015). Boldrini, Lorenzo ; Hillebrand, Eric . In: CREATES Research Papers. RePEc:aah:create:2015-38.

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2015Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta. (2015). Novak, Jiri. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:65:y:2015:i:2:p:167-190.

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2015High-Dimensional Copula-Based Distributions with Mixed Frequency Data. (2015). Patton, Andrew. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-50.

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2015Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence. (2015). Velasco, Carlos ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2015-35.

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2015Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15.

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2015Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2015). Shibaev, Sergei ; Nielsen, Morten. In: Working Papers. RePEc:qed:wpaper:1340.

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2015Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:1-18.

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2015A Multivariate Test Against Spurious Long Memory. (2015). Sibbertsen, Philipp ; Leschinski, Christian ; Holzhausen, Marie . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-547.

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2015Global Equity Market Volatility Spillovers: A Broader Role for the United States. (2015). Buncic, Daniel ; Gisler, Katja I. M., . In: Economics Working Paper Series. RePEc:usg:econwp:2015:08.

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2015Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun . In: CREATES Research Papers. RePEc:aah:create:2015-15.

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2015Effects of macroeconomic uncertainty on the stock and bond markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: Finance Research Letters. RePEc:eee:finlet:v:13:y:2015:i:c:p:10-16.

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2015The Financial Econometrics of Price Discovery and Predictability. (2015). Smyth, Russell ; Narayan, Seema . In: Monash Economics Working Papers. RePEc:mos:moswps:2015-06.

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2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema . In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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2015Asymmetries and Markov-switching structural VAR. (2015). Karamé, Frédéric ; Karame, Frederic . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:53:y:2015:i:c:p:85-102.

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2015Nonlinear dynamic interrelationships between real activity and stock returns. (2015). Nyberg, Henri ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-36.

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2015Does Financial Development Induce Economic Growth in UAE? The Role of Foreign Direct Investment and Capitalization. (2015). sbia, rashid ; Al Rousan, Sahel. In: MPRA Paper. RePEc:pra:mprapa:64599.

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2015Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:65-90:d:45287.

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2015Escape routes from sovereign default risk in the euro area. (2015). Semmler, Willi ; Proao, Christian R.. In: ZEW Discussion Papers. RePEc:zbw:zewdip:15020.

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2015Financial sector and output dynamics in the euro area: Non-linearities reconsidered. (2015). Schleer, Frauke ; Semmler, Willi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:235-263.

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2015Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I. (2015). Alj, Abdelkamel ; Melard, Guy ; Ley, Christophe . In: Working Papers ECARES. RePEc:eca:wpaper:2013/200183.

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2015Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test. (2015). Wohar, Mark ; GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement . In: Working Papers. RePEc:pre:wpaper:201599.

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2015Can We Beat the Random-Walk Model for the South African Rand--U.S. Dollar and South African Rand--UK Pound Exchange Rates? Evidence from Dynamic Model Averaging. (2015). GUPTA, RANGAN ; van Eyden, Renee. In: Emerging Markets Finance and Trade. RePEc:taf:emfitr:v:51:y:2015:i:3:p:502-524.

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2015Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J.. In: CREATES Research Papers. RePEc:aah:create:2015-01.

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2015Near unit root small open economies. (2015). Seoane, Hernan D.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:53:y:2015:i:c:p:37-46.

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2015Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation and Pruning. (2015). Kollmann, Robert. In: Computational Economics. RePEc:kap:compec:v:45:y:2015:i:2:p:239-260.

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2015Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences. (2015). Kollmann, Robert. In: Open Economies Review. RePEc:kap:openec:v:26:y:2015:i:2:p:175-196.

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2015Dealing with the Dutch disease: Fiscal rules and macro-prudential policies. (2015). Kawamura, Enrique ; Garcia Cicco, Javier ; Garcia-Cicco, Javier . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:55:y:2015:i:c:p:205-239.

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2015Dealing with the Dutch Disease: Fiscal Rules and Macro-Prudential Policies. (2015). Kawamura, Enrique ; Garcia Cicco, Javier ; Garcia-Cicco, Javier . In: IDB Publications (Working Papers). RePEc:idb:brikps:90216.

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2015Risk sharing in a world economy with uncertainty shocks. (2015). Kollmann, Robert. In: CAMA Working Papers. RePEc:een:camaaa:2015-44.

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2015Exchange Rate and Current Account Dynamics: the Role of Asset Market Structure, Long-Run Risk and Risk Appetite. (2015). Kollmann, Robert. In: 2015 Meeting Papers. RePEc:red:sed015:1397.

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2015Likelihood Ratio Based Tests for Markov Regime Switching. (2015). Qu, Zhongjun. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2015-003.

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2015Risk Sharing in a World Economy with Uncertainty Shocks. (2015). Kollmann, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10940.

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2015Risk sharing in a world economy with uncertainty shocks. (2015). Kollmann, Robert. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:258.

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2015Risk Sharing in a World Economy with Uncertainty Shocks. (2015). Kollmann, Robert. In: Working Papers ECARES. RePEc:eca:wpaper:2013/220899.

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2015Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia. (2015). Pestova, Anna. In: HSE Working papers. RePEc:hig:wpaper:94/ec/2015.

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2015Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression. (2015). Li, Johnny Siu-Hang ; Chan, Wai-Sum . In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:217-230.

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2015Financial sector and output dynamics in the euro area: Non-linearities reconsidered. (2015). Schleer, Frauke ; Semmler, Willi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:235-263.

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2015Validity of Edgeworth expansions for realized volatility estimators. (2015). Veliyev, Bezirgen ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2015-21.

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2015Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15.

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2015Uniform Convergence Rates over Maximal Domains in Structural Nonparametric Cointegrating Regression. (2015). Duffy, James A.. In: Economics Papers. RePEc:nuf:econwp:1503.

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2015Using nonlinear model predictive control for dynamic decision problems in economics. (2015). Grune, Lars ; Stieler, Marleen ; Semmler, Willi . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:60:y:2015:i:c:p:112-133.

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2015Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (2015). Gonzalez, Alfredo L. ; Sebastian. E. Ferrando, ; Rahsepar, Massoome ; Degano, Ivan L.. In: Papers. RePEc:arx:papers:1407.1769.

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2015Edgeworth expansion for the pre-averaging estimator. (2015). Veliyev, Bezirgen ; Podolskij, Mark ; Yoshida, Nakahiro . In: CREATES Research Papers. RePEc:aah:create:2015-60.

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2015Edgeworth expansion for the pre-averaging estimator. (2015). Veliyev, Bezirgen ; Podolskij, Mark ; Yoshida, Nakahiro . In: Papers. RePEc:arx:papers:1512.04716.

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2015A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2015). Nielsen, Morten ; Xu, Ke ; Dolatabadi, Sepideh . In: Working Papers. RePEc:qed:wpaper:1327.

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2015Unbalanced Regressions and the Predictive Equation. (2015). Ventosa-Santaulària, Daniel ; Vera-Valdés, J ; Osterrieder, Daniela ; Vera-Valdes, Eduardo J. ; Ventosa-Santaularia, Daniel . In: CREATES Research Papers. RePEc:aah:create:2015-09.

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2015A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. (2015). Nielsen, Morten ; Xu, Ke ; Dolatabadi, Sepideh . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:339-356.

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2015Dynamic Factor Models for the Volatility Surface. (2015). van der Wel, Michel ; van Dijk, Dick ; Ozturk, Sait. In: CREATES Research Papers. RePEc:aah:create:2015-13.

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2015Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2015-20.

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2015The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, Qi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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2015Volatility-of-volatility and tail risk hedging returns. (2015). Park, Yang-Ho . In: Journal of Financial Markets. RePEc:eee:finmar:v:26:y:2015:i:c:p:38-63.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document
2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Boldrini, Lorenzo ; Hillebrand, Eric . In: CREATES Research Papers. RePEc:aah:create:2015-39.

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2015Rough electricity: a new fractal multi-factor model of electricity spot prices. (2015). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-42.

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2015A weak limit theorem for numerical approximation of Brownian semi-stationary processes. (2015). Podolskij, Mark ; Thamrongrat, Nopporn . In: CREATES Research Papers. RePEc:aah:create:2015-53.

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2015On critical cases in limit theory for stationary increments Lévy driven moving averages. (2015). Basse, Andreas ; Podolskij, Mark . In: CREATES Research Papers. RePEc:aah:create:2015-57.

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2015Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir ; Haldrup, Niels . In: CREATES Research Papers. RePEc:aah:create:2015-58.

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2015Disaster Risk and Preference Shifts in a New Keynesian Model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: Working Papers. RePEc:cii:cepidt:2015-16.

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2015Economic policy uncertainty and stock market volatility. (2015). Liu, LI ; Zhang, Tao . In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:99-105.

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2015Testing for a housing bubble at the national and regional level: the case of Israel. (2015). Caspi, Itamar. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:246.

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2015Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach. (2015). Natvik, Gisle ; Lansing, Kevin ; Gelain, Paolo. In: Working Paper Series. RePEc:fip:fedfwp:2015-02.

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2015Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy. (2015). girardin, eric ; Deng, Yongheng ; Joyeux, Roselyne . In: Working Papers. RePEc:hkm:wpaper:222015.

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2015Disaster risk and preference shifts in a New Keynesian model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: MPRA Paper. RePEc:pra:mprapa:65643.

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2015Real oil prices and the international sign predictability of stock returns. (2015). Pönkä, Harri. In: MPRA Paper. RePEc:pra:mprapa:68330.

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2015Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, André ; Koopman, Siem Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150076.

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2015TESTING FOR BUBBLES IN THE HOUSING MARKET: FURTHER EVIDENCE FROM TURKEY. (2015). Zeren, Feyyaz ; ERGuZEL, Oylum ehvez . In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:19:y:2015:i:1:p:40-52.

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Recent citations received in 2014
YearCiting document
2014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

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2014Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition. (2014). Yang, Yukai. In: CREATES Research Papers. RePEc:aah:create:2014-11.

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2014Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-29.

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2014Inference in High-dimensional Dynamic Panel Data Models. (2014). Kock, Anders ; Tang, Haihan . In: CREATES Research Papers. RePEc:aah:create:2014-58.

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2014Equity Portfolio Management Using Option Price Information. (2014). Christoffersen, Peter ; Pan, Xuhui . In: CREATES Research Papers. RePEc:aah:create:2015-05.

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2014Evaluating 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.

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2014Testing 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.

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2014Linearity and misspecification tests for vector smooth transition regression models. (2014). Yang, Yukai ; Teräsvirta, Timo. In: CORE Discussion Papers. RePEc:cor:louvco:2014061.

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2014Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market. (2014). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netsunajev, Aleksei ; Lutkepohl, Helmut . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1388.

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2014Persistence and cycles in historical oil price data. (2014). GUPTA, RANGAN ; Gil-Alana, Luis. In: Energy Economics. RePEc:eee:eneeco:v:45:y:2014:i:c:p:511-516.

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2014Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Semmler, Willi ; Schleer, Frauke. In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.. RePEc:epa:cepawp:2014-5.

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2014Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market. (2014). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netsunajev, Aleksei ; Lutkepohl, Helmut . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2014-031.

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2014Approximate Bayesian Computation in State Space Models. (2014). McCabe, Brendan ; Martin, Gael ; Brendan P. M. McCabe, ; Maneesoonthorn, Worapree ; Robert, Christian P.. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2014-20.

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2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0186.

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2014Uncertainty and Monetary Policy in Good and Bad Times. (2014). Nodari, Gabriela ; Caggiano, Giovanni ; Castelnuovo, Efrem . In: Marco Fanno Working Papers. RePEc:pad:wpaper:0188.

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2014International Wheat Price Responses to ENSO Shocks: Modelling Transmissions Using Smooth Transitions. (2014). Ubilava, David. In: Working Papers. RePEc:syd:wpaper:2014-06.

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2014On an Estimation Method for an Alternative Fractionally Cointegrated Model. (2014). Łasak, Katarzyna ; Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140052.

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2014Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered. (2014). Semmler, Willi ; Schleer, Frauke. In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100578.

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2014Financial sector-output dynamics in the euro area: Non-linearities reconsidered. (2014). Semmler, Willi ; Schleer, Frauke. In: ZEW Discussion Papers. RePEc:zbw:zewdip:13068r.

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Recent citations received in 2013
YearCiting document
2013Policy Risk and the Business Cycle. (2013). Pfeifer, Johannes ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_4336.

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2013Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation. (2013). Kollmann, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:9469.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:1929.

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2013Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation. (2013). Kollmann, Robert. In: Working Papers ECARES. RePEc:eca:wpaper:2013/143755.

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2013Tractable 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.

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2013Using Nonlinear Model Predictive Control for Dynamic Decision Problems in Economics. (2013). Semmler, Willi ; Grune, Lars ; Stieler, Marleen . In: EcoMod2013. RePEc:ekd:004912:5782.

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2013Tractable 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.

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2013Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach. (2013). Ajevskis, Viktors. In: Working Papers. RePEc:ltv:wpaper:201303.

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2013Forecasting Exchange Rate from Combination Taylor Rule Fundamental. (2013). Ryu, Doojin ; Kim, Hyeyoen . In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:49:y:2013:i:s4:p:81-92.

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2013Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression. (2013). Phillips, Peter ; GAO, Jiti ; Peter C. B. Phillips, . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2013-27.

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2013Forecasting China’s Foreign Exchange Reserves Using Dynamic Model Averaging: The Role of Macroeconomic Fundamentals, Financial Stress and Economic Uncertainty. (2013). Simo-Kengne, Beatrice Desiree ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo -Kengne, Beatrice D.. In: Working Papers. RePEc:pre:wpaper:201338.

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Recent citations received in 2012
YearCiting document
2012Unit roots, nonlinearities and structural breaks. (2012). Teräsvirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; Varneskov, Rasmus T.. In: CREATES Research Papers. RePEc:aah:create:2012-14.

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2012The impact of financial crises on the risk-return tradeoff and the leverage effect. (2012). Nielsen, Morten ; Christensen, Bent Jesper ; Zhu, Jie. In: CREATES Research Papers. RePEc:aah:create:2012-19.

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2012On tests for linearity against STAR models with deterministic trends. (2012). Sibbertsen, Philipp ; Kruse, Robinson ; Kaufmann, Hendrik . In: CREATES Research Papers. RePEc:aah:create:2012-20.

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2012Asymptotic 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.

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2012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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2012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38.

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2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Hansen, Peter ; Timmermann, Allan . In: CREATES Research Papers. RePEc:aah:create:2012-45.

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2012Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). van den Akker, Ramon ; Hallin, Marc ; Werker, Bas . In: Working Papers ECARES. RePEc:eca:wpaper:2013/132503.

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2012Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics. (2012). Hansen, Peter ; Timmermann, Allan . In: Economics Working Papers. RePEc:eui:euiwps:eco2012/24.

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2012Can Tightness in the Housing Market Help Predict Subsequent Home Price Appreciation? Evidence from the U.S. and the Netherlands. (2012). Larson, William ; Carrillo, Paul ; De Wit, Erik Robert . In: Working Papers. RePEc:gwi:wpaper:2012-11.

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2012On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process. (2012). Pipień, Mateusz ; Mazur, Błażej. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:4:y:2012:i:2:p:95-116.

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2012Estimating High-Dimensional Time Series Models.. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: Textos para discussão. RePEc:rio:texdis:602.

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2012Asymmetric Dependence between Aggregate Consumption and Financial Risk. (2012). Ning, Cathy ; Chollete, Loran . In: Working Papers. RePEc:rye:wpaper:wp046.

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2012Rank-based Tests of the Cointegrating Rank in Semiparametric Error Correction Models. (2012). Werker, Bas ; Hallin, Marc ; van den Akker, R. ; Werker, B. J. M., . In: Discussion Paper. RePEc:tiu:tiucen:bc68a2f2-3ca3-443c-b3ac-f8ef56841037.

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2012Money-Income Granger-Causality in Quantiles. (2012). Lee, Tae Hwy ; Yang, Weiping . In: Working Papers. RePEc:ucr:wpaper:201423.

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2012Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics. (2012). Audrino, Francesco ; Knaus, Simon . In: Economics Working Paper Series. RePEc:usg:econwp:2012:24.

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