0.36
Impact Factor
0.47
5-Years IF
9
5-Years H index
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni G. Parenti
[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 | |
| 1990 | 0.1 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1992 | 0.11 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1993 | 0.14 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1994 | 0.12 | 0 | 0 | 0 | (%) | 0.06 | ||||||||||
| 1995 | 0.16 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1996 | 0.2 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.21 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.22 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 1999 | 0.28 | 1 | 1 | 5 | 0 | 0 | 1 (20%) | 0.16 | ||||||||
| 2000 | 0.37 | 1 | 1 | 1 | (%) | 0.14 | ||||||||||
| 2001 |  1 | 0.36 | 1 | 5 | 6 | 1 | 0.17 | 23 | 1 | 1 | 1 | 1 | 5 (21.7%) | 0.17 | ||
| 2002 |  0.2 | 0.37 | 0.17 | 6 | 12 | 2 | 0.17 | 7 | 5 | 1 | 6 | 1 | 1 (14.3%) | 1 | 0.17 | 0.18 |
| 2003 | 0.36 | 0.4 | 0.33 | 2 | 14 | 5 | 0.36 | 21 | 11 | 4 | 12 | 4 | 1 (4.8%) | 1 | 0.5 | 0.19 |
| 2004 | 0.42 | 0.14 | 4 | 18 | 6 | 0.33 | 11 | 8 | 14 | 2 | 4 (36.4%) | 4 | 1 | 0.19 | ||
| 2005 | 1 | 0.43 | 0.41 | 3 | 21 | 7 | 0.33 | 5 | 6 | 6 | 17 | 7 | 2 (40%) | 0.21 | ||
| 2006 | 0.14 | 0.45 | 0.25 | 6 | 27 | 9 | 0.33 | 67 | 7 | 1 | 20 | 5 | 8 (11.9%) | 3 | 0.5 | 0.2 |
| 2007 | 0.33 | 0.39 | 0.29 | 6 | 33 | 9 | 0.27 | 19 | 9 | 3 | 21 | 6 | 4 (21.1%) | 1 | 0.17 | 0.17 |
| 2008 | 0.33 | 0.39 | 0.29 | 2 | 35 | 10 | 0.29 | 17 | 12 | 4 | 21 | 6 | 1 (5.9%) | 0.17 | ||
| 2009 | 0.75 | 0.37 | 0.76 | 3 | 38 | 21 | 0.55 | 28 | 8 | 6 | 21 | 16 | 6 (21.4%) | 0.18 | ||
| 2010 | 1 | 0.33 | 0.6 | 3 | 41 | 15 | 0.37 | 8 | 5 | 5 | 20 | 12 | 1 (12.5%) | 0.15 | ||
| 2011 | 0.5 | 0.41 | 0.9 | 1 | 42 | 23 | 0.55 | 18 | 6 | 3 | 20 | 18 | (%) | 2 | 2 | 0.2 |
| 2012 | 1 | 0.46 | 1.2 | 2 | 44 | 32 | 0.73 | 1 | 4 | 4 | 15 | 18 | 1 (100%) | 1 | 0.5 | 0.21 |
| 2013 | 0.67 | 0.5 | 0.91 | 44 | 21 | 0.48 | 3 | 2 | 11 | 10 | (%) | 0.21 | ||||
| 2014 | 0.54 | 0.78 | 11 | 55 | 24 | 0.44 | 9 | 2 | 9 | 7 | 1 (11.1%) | 2 | 0.18 | 0.26 | ||
| 2015 | 0.36 | 0.6 | 0.47 | 6 | 61 | 23 | 0.38 | 11 | 4 | 17 | 8 | (%) | 0.3 |
| IF: | Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for series in RePEc in year y |
| IF5: | Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CCU: | Cumulative number of citations to papers published until year y |
| CIF: | Cumulative impact factor |
| CIT: | Number of citations to papers published in year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
50 most cited documents in this series:
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2006 | Financial Econometric Analysis at UltraâHigh Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03. Full description at Econpapers || Download paper | 35 |
| 2 | 2011 | Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03. Full description at Econpapers || Download paper | 18 |
| 3 | 2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01. Full description at Econpapers || Download paper | 18 |
| 4 | 2006 | Vector Multiplicative Error Models: Representation and Inference. (2006). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_15. Full description at Econpapers || Download paper | 18 |
| 5 | 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16. Full description at Econpapers || Download paper | 18 |
| 6 | 2009 | Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03. Full description at Econpapers || Download paper | 13 |
| 7 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02. Full description at Econpapers || Download paper | 11 |
| 8 | 2003 | A Multiple Indicators Model For Volatility Using Intra-Daily Data.. (2003). Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_07. Full description at Econpapers || Download paper | 11 |
| 9 | 2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04. Full description at Econpapers || Download paper | 10 |
| 10 | 2008 | A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets. (2008). Velucchi, Margherita ; Gallo, Giampiero ; Engle, Robert. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_09. Full description at Econpapers || Download paper | 9 |
| 11 | 2008 | Comparison of Volatility Measures: a Risk Management Perspective. (2008). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2008_03. Full description at Econpapers || Download paper | 8 |
| 12 | 2001 | A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_04. Full description at Econpapers || Download paper | 8 |
| 13 | 2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06. Full description at Econpapers || Download paper | 7 |
| 14 | 2006 | Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model. (2006). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_04. Full description at Econpapers || Download paper | 6 |
| 15 | 2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02. Full description at Econpapers || Download paper | 6 |
| 16 | Indirect Estimation of Just-Identified Models with Control Variates. (1999). Fiorentini, Gabriele ; Di Iorio, Francesca ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno46. Full description at Econpapers || Download paper | 5 | |
| 17 | On-line Bayesian estimation of AR signals in symmetric alpha-stable noise.. (2004). Lombardi, Marco ; Godsill, Simon J.. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_05. Full description at Econpapers || Download paper | 5 | |
| 18 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Gallo, Giampiero ; Lee, Tae-Why ; Hong, Yongmiao . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03. Full description at Econpapers || Download paper | 4 |
| 19 | 2006 | Exchange Market Pressure: Some Caveats In Empirical Applications. (2006). Ricchiuti, Giorgio ; Gallo, Giampiero ; Bertoli, Simone. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_17. Full description at Econpapers || Download paper | 4 |
| 20 | 2005 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2005). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_11. Full description at Econpapers || Download paper | 4 |
| 21 | 2006 | Indirect estimation of alpha-stable stochastic volatility models. (2006). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_07. Full description at Econpapers || Download paper | 4 |
| 22 | 2004 | Indirect estimation of alpha-stable distributions and processes.. (2004). Lombardi, Marco ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_07. Full description at Econpapers || Download paper | 3 |
| 23 | 2002 | GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_06. Full description at Econpapers || Download paper | 3 |
| 24 | 2002 | Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_03. Full description at Econpapers || Download paper | 3 |
| 25 | 2004 | Bayesian inference for alpha-stable distributions: a random walk MCMC approach.. (2004). Lombardi, Marco. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_11. Full description at Econpapers || Download paper | 2 |
| 26 | 2014 | Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09. Full description at Econpapers || Download paper | 2 |
| 27 | 2001 | Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets. (2001). Granger, Clive ; Gallo, Giampiero ; Jeon, Yongil . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_01. Full description at Econpapers || Download paper | 2 |
| 28 | 2006 | Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models. (2006). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_12. Full description at Econpapers || Download paper | 2 |
| 29 | 2007 | Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria. (2007). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_02. Full description at Econpapers || Download paper | 1 |
| 30 | 2014 | Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11. Full description at Econpapers || Download paper | 1 |
| 31 | 2002 | Inflation Differentials before and after the EMU. (2002). Arese-Visconti, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2002_19. Full description at Econpapers || Download paper | 1 |
| 32 | 2010 | A Time-varying Mixing Multiplicative Error Model for Realized Volatility. (2010). Gallo, Giampiero ; De Luca, Giovanni. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_03. Full description at Econpapers || Download paper | 1 |
| 33 | Volatility Transmission in Financial Markets: A New Approach. (2005). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2005_10. Full description at Econpapers || Download paper | 1 | |
| 34 | 2001 | Alternative Simulation-Based Estimators of Logit Models with Random Effects. (2001). Rampichini, Carla ; Mealli, Fabrizia ; Calzolari, Giorgio. In: Econometrics Working Papers Archive. RePEc:fir:econom:quaderno48. Full description at Econpapers || Download paper | 1 |
| 35 | 2012 | Volatility Swings in the US Financial Markets. (2012). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2012_03. Full description at Econpapers || Download paper | 1 |
| 36 | 2009 | Automated Variable Selection in Vector Multiplicative Error Models. (2009). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_02. Full description at Econpapers || Download paper | 1 |
| 37 | 2004 | A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.. (2004). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2004_12. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2006 | Financial Econometric Analysis at UltraâHigh Frequency: Data Handling Concerns. (2006). Gallo, Giampiero ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2006_03. Full description at Econpapers || Download paper | 16 |
| 2 | 2011 | Multiplicative Error Models. (2011). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2011_03. Full description at Econpapers || Download paper | 9 |
| 3 | 2009 | Semiparametric vector MEM. (2009). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_03. Full description at Econpapers || Download paper | 8 |
| 4 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Volatility. (2001). Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_02. Full description at Econpapers || Download paper | 7 |
| 5 | 2014 | Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures. (2014). Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo ; Veredas, David . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_02. Full description at Econpapers || Download paper | 6 |
| 6 | 2009 | Intra-daily Volume Modeling and Prediction for Algorithmic Trading. (2009). Gallo, Giampiero ; Cipollini, Fabrizio ; Brownlees, Christian. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2009_01. Full description at Econpapers || Download paper | 4 |
| 7 | 2007 | A Model for Multivariate Non-negative Valued Processes in Financial Econometrics. (2007). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2007_16. Full description at Econpapers || Download paper | 3 |
| 8 | 2001 | Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Gallo, Giampiero ; Lee, Tae-Why ; Hong, Yongmiao . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2001_03. Full description at Econpapers || Download paper | 3 |
| 9 | 2010 | Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2010_06. Full description at Econpapers || Download paper | 2 |
| 10 | 2014 | Are spouses more satisfied than cohabitors? A survey over the last twenty years in Italy. (2014). Vignoli, Daniele ; Pirani, Elena . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_09. Full description at Econpapers || Download paper | 2 |
| 11 | 2003 | A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).. (2003). White, Halbert ; perez-amaral, teodosio ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2003_04. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 4:
| Year | Title | |
|---|---|---|
| 2015 | DO CONSENSUAL UNIONS DIFFER FROM MARRIAGES? A STUDY OF FAMILY CHARACTERISTICS AND RECEIVED HELPS IN ITALY. (2015). Fraboni, Romina ; Meli, Eleonora . In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics. RePEc:ite:iteeco:150202. Full description at Econpapers || Download paper | |
| 2015 | FloGARCH : Realizing long memory and asymmetries in returns volatility. (2015). Vander Elst, Harry. In: Working Paper Research. RePEc:nbb:reswpp:201504-280. Full description at Econpapers || Download paper | |
| 2015 | Quantile Cross-Spectral Measures of Dependence between Economic Variables. (2015). BarunÃÂk, Jozef ; Kley, Tobias . In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers || Download paper | |
| 2015 | Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting. (2015). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/200436. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2014
| Year | Citing document | |
|---|---|---|
| 2014 | Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks. (2014). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/177444. Full description at Econpapers || Download paper | |
| 2014 | Similar incidence, different nature? Characteristics of Living Apart Together relationships in France and Italy. (2014). Vignoli, Daniele ; Regnier-Loilier, Arnaud . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2014_11. Full description at Econpapers || Download paper |
10 most frequent citing series
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.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team