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Journal of Financial Econometrics / Society for Financial Econometrics

1.1

Impact Factor

1.06

5-Years IF

32

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 (%)0.04
19910.09000 (%)0.04
19920.1000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.05
19950.19000 (%)0.07
19960.22000 (%)0.09
19970.27000 (%)0.09
19980.27000 (%)0.1
19990.310300 (%)0.13
20000.40100 (%)0.15
20010.4000 (%)0.15
20020.420800 (%)0.18
20030.441919100.53269002 (%)50.260.18
20040.740.490.742443491.14957191419143 (%)200.830.2
20051.020.531.022770771.152343444344 (%)90.330.21
20061.530.511.5624941461.5511825178701093 (%)251.040.2
20071.820.441.69101041801.731985193941591 (%)70.70.18
20082.850.472.37211252682.1424834971042461 (%)20.10.2
20091.420.472.34241493062.0550231441062481 (%)200.830.19
20101.090.441.92331823001.651894549106204 (%)80.240.16
20111.280.512.21232054342.1222157731122471 (%)160.70.2
20121.130.561.59292344601.971055663111177 (%)80.280.21
20131.210.661.68232575882.291195263130218 (%)130.570.23
20141.020.671.73182756532.37215253132228 (%)40.220.22
20151.10.821.06343096332.05734145126133 (%)240.710.27
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
12006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

394
22009A 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

336
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

331
42006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

261
52005The 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

182
62006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; 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

134
72004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

116
82004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

116
92005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

86
102006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; 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

80
112004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

78
122007Why 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

74
132004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

69
142004Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

Full description at Econpapers || Download paper

69
152009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

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63
162007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104.

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60
172004Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

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54
182003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; 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

54
192006The 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

54
202006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; 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

49
212004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

Full description at Econpapers || Download paper

47
222006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

Full description at Econpapers || Download paper

47
232006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

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45
242009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

Full description at Econpapers || Download paper

43
252010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

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42
262005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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41
272006Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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40
282008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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40
292003Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54.

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39
302003Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188.

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36
312008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

Full description at Econpapers || Download paper

35
322011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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33
332005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). Oomen, Roel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577.

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32
342005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

Full description at Econpapers || Download paper

31
352003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; 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
362010Bayesian 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

29
372011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

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28
382004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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26
392008Using 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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25
402008Estimating 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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25
412005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255.

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24
422008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). Stentoft, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582.

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24
432006Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods. (2006). GAO, Jiti ; Arapis, Manuel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:310-345.

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24
442008Econometric Asset Pricing Modelling. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458.

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23
452005Multivariate Lagrange Multiplier Tests for Fractional Integration. (2005). Nielsen, Morten. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:372-398.

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23
462003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes. (2003). Saikkonen, Pentti ; Lanne, Markku. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125.

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22
472003A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility. (2003). Kirby, Chris ; Fleming, Jeff . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:365-419.

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22
482005A Test for Symmetry with Leptokurtic Financial Data. (2005). Premaratne, Gamini. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187.

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21
492005Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework. (2005). Ferreira, Miguel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:1:p:126-168.

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21
502006Affine Models for Credit Risk Analysis. (2006). POLIMENIS, VASSILIS ; Monfort, Alain ; gourieroux, christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530.

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21

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

#YearTitleCited
12009A 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

180
22006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

174
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

138
42006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

101
52005The 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

75
62006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; 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

41
72004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

39
82004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

38
92006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; 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

36
102004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

31
112009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

29
122006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; 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

28
132006The 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

28
142004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

27
152007Why 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

24
162009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

Full description at Econpapers || Download paper

22
172005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

21
182011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

Full description at Econpapers || Download paper

20
192010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

Full description at Econpapers || Download paper

19
202011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

Full description at Econpapers || Download paper

18
212012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

Full description at Econpapers || Download paper

17
222008Estimating 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

17
232010Bayesian 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
242003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; 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

16
252004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

Full description at Econpapers || Download paper

16
262015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

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15
272013Broker-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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14
282011A 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.

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13
292006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

Full description at Econpapers || Download paper

13
302008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

Full description at Econpapers || Download paper

13
312013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

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13
322006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; 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

13
332005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

Full description at Econpapers || Download paper

12
342011When is a Copula Constant? A Test for Changing Relationships. (2011). Harvey, Andrew ; Busetti, Fabio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131.

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12
352005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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12
362013Modeling Realized Covariances and Returns. (2013). Maheu, John ; Jin, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369.

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12
372008Using 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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11
382008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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11
392011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

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11
402012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

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10
412008American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution. (2008). Stentoft, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:4:p:540-582.

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10
422004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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10
432015Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721..

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9
442013The 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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9
452013Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Caporin, Massimiliano ; Kasch, Maria . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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9
462010Granger 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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9
472011Robust Backtesting Tests for Value-at-risk Models. (2011). Olmo, Jose ; Escanciano, Juan Carlos. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:132-161.

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8
482003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; 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
492006A Mixture Multiplicative Error Model for Realized Volatility. (2006). Lanne, Markku. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:594-616.

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8
502010Does the Open Limit Order Book Matter in Explaining Informational Volatility?. (2010). Veredas, David ; PASCUAL, ROBERTO. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87.

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8

Citing documents used to compute impact factor 45:

YearTitle
2015Market risk of BRIC Eurobonds in the financial crisis period. (2015). VORTELINOS, DIMITRIOS ; Lakshmi, Geeta . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:295-310.

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2015Downside Variance Risk Premium. (2015). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric . In: Staff Working Papers. RePEc:bca:bocawp:15-36.

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2015Power Attrition of Asymmetric Tail Comovement Test. (2015). Deng, Kaihua . In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00494.

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2015Forecasting volatility with empirical similarity and Google Trends. (2015). Hamid, Alain ; Heiden, Moritz . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:117:y:2015:i:c:p:62-81.

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2015Restrictions on Risk Prices in Dynamic Term Structure Models. (2015). Bauer, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5241.

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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:63844.

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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Working Papers. RePEc:gla:glaewp:2015_08.

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2015Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2015). Byrne, Joseph P ; Korobilis, Dimitris ; Cao, Shuo . In: 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN. RePEc:ags:aaea07:679.

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2015Monetary policy, bond risk premia, and the economy. (2015). Ireland, Peter. In: Journal of Monetary Economics. RePEc:eee:moneco:v:76:y:2015:i:c:p:124-140.

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2015Testing for Fundamental Vector Moving Average Representations. (2015). Escanciano, Juan Carlos ; Choi, Jinho ; Chen, Bin . In: Caepr Working Papers. RePEc:inu:caeprp:2015022.

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2015Market sentiment in commodity futures returns. (2015). Gao, Lin ; Suss, Stephan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:33:y:2015:i:c:p:84-103.

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2015Facts and Fantasies about Commodity Futures Ten Years Later. (2015). Rouwenhorst, K. ; Gorton, Gary ; Bhardwaj, Geetesh . In: NBER Working Papers. RePEc:nbr:nberwo:21243.

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2015Balance sheets of financial intermediaries: Do they forecast economic activity?. (2015). Sekkel, Rodrigo M.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:263-275.

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2015Does variance risk have two prices? Evidence from the equity and option markets. (2015). Malkhozov, Aytek . In: BIS Working Papers. RePEc:bis:biswps:521.

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2015The role of the variance premium in Jump-GARCH option pricing models. (2015). Byun, Suk Joon ; Yoon, Sun-Joong ; Min, Byungsun ; Jeon, Byoung Hyun . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:38-56.

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2015Model-free volatility indexes in the financial literature: A review. (2015). Gonzalez-Perez, Maria T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:40:y:2015:i:c:p:141-159.

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2015VIX forecasting and variance risk premium: A new GARCH approach. (2015). Liu, Qiang ; Qiao, Gaoxiu ; Guo, Shuxin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:34:y:2015:i:c:p:314-322.

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2015Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew . In: Papers. RePEc:arx:papers:1506.02074.

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2015Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320.

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2015Apparent impact: the hidden cost of one-shot trades. (2015). Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1409.8497.

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2015Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1502.04592.

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2015Analytical approximation for distorted expectations. (2015). Sun, Xianming ; Vanmaele, Michele ; Gan, Siqing . In: Statistics & Probability Letters. RePEc:eee:stapro:v:107:y:2015:i:c:p:246-252.

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2015Technological Development and Software Piracy. (2015). Romeu, Andres ; Martínez-Sánchez, Francisco ; Martinez-Sanchez, Francisco . In: UMUFAE Economics Working Papers. RePEc:mur:wpaper:43702.

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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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2015DEMOGRAPHICS AND BUSINESS CYCLE VOLATILITY A SPURIOUS RELATIONSHIP?. (2015). Vierke, Hauke ; Everaert, Gerdie. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:15/914.

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2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2015). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: CREATES Research Papers. RePEc:aah:create:2015-11.

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2015Pricing Kernel Modeling. (2015). Härdle, Wolfgang ; Belomestny, Denis ; Hardle, Wolfgang Karl ; Ma, Shujie . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2015-001.

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2015Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette. In: Energy Policy. RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283.

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2015A Quadratic Kalman Filter. (2015). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:187:y:2015:i:1:p:43-56.

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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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2015Cojumps in Chinas spot and stock index futures markets. (2015). Wang, Hao ; Zhao, Hua ; Yue, Mengqi . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557.

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2015Cholesky Realized Stochastic Volatility Model. (2015). Omori, Yasuhiro ; Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F. In: CIRJE F-Series. RePEc:tky:fseres:2015cf979.

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2015MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516.

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2015Debt and Financial Market Contagion. (2015). Morley, James ; Hsiao, Cody Yu-Ling. In: Discussion Papers. RePEc:swe:wpaper:2015-02.

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2015Geographical diversification with a World Volatility Index. (2015). Chevallier, Julien ; Aboura, Sofiane. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:30:y:2015:i:c:p:62-82.

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2015Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets. (2015). Haas, Markus ; Liu, Ji-Chun . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112855.

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2015A Simple Econometric Approach for Modeling Stress Event Intensities. (2015). Scheule, Harald ; Rosch, Daniel ; Jobst, Rainer ; Schmelzle, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:300-320.

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2015Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?. (2015). Wied, Dominik ; Berens, Tobias ; Weiß, Gregor N. F., . In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:135-152.

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2015Measuring Risk in Fixed Income Portfolios using Yield Curve Models. (2015). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo . In: Computational Economics. RePEc:kap:compec:v:46:y:2015:i:1:p:65-82.

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2015Joint inference on market and estimation risks in dynamic portfolios. (2015). Zakoian, Jean-Michel ; Francq, Christian. In: MPRA Paper. RePEc:pra:mprapa:68100.

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2015Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2015). Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2015Limits to arbitrage and the term structure of bond illiquidity premiums. (2015). Schuster, Philipp ; Uhrig-Homburg, Marliese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:57:y:2015:i:c:p:143-159.

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2015On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models. (2015). Chiarella, Carl ; Rothig, Andreea . In: Research Paper Series. RePEc:uts:rpaper:362.

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2015A regime-switching Nelson–Siegel term structure model of the macroeconomy. (2015). RAHMAN, Shahidur . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:44:y:2015:i:c:p:1-17.

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2015Forecasting Interest Rates Using Geostatistical Techniques. (2015). Arbia, Giuseppe ; di Marcantonio, Michele . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:733-760:d:58511.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document
2015Asset Allocation Strategies Based on Penalized Quantile Regression. (2015). Caporin, Massimiliano ; Paterlini, Sandra . In: Papers. RePEc:arx:papers:1507.00250.

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2015Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). di Gangi, Domenico ; Pirino, Davide ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607.

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2015Misspecification Testing in GARCH-MIDAS Models. (2015). Schienle, Melanie ; Conrad, Christian. In: Working Papers. RePEc:awi:wpaper:0597.

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2015Not Just Another Mixed Frequency Paper. (2015). Fasolo, Angelo ; Alves, Sergio ; Lago, Sergio Afonso . In: Working Papers Series. RePEc:bcb:wpaper:400.

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2015Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M. In: Bank of England working papers. RePEc:boe:boeewp:0550.

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2015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1523.

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2015The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts. (2015). Beckers, Benjamin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1496.

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2015Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model. (2015). Ni, Zhong-Xin ; Xue, Wen-Jun ; Wang, Da-Zhong . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:266-274.

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2015A simple new test for slope homogeneity in panel data models with interactive effects. (2015). Bai, Jushan ; Ando, Tomohiro. In: Economics Letters. RePEc:eee:ecolet:v:136:y:2015:i:c:p:112-117.

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2015Testing for stock return predictability in a large Chinese panel. (2015). Narayan, Paresh ; Westerlund, Joakim . In: Emerging Markets Review. RePEc:eee:ememar:v:24:y:2015:i:c:p:81-100.

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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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2015Systemic risk and asymmetric responses in the financial industry. (2015). Rubia, Antonio ; Lopez-Espinosa, German ; Moreno, Antonio ; Valderrama, Laura . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:58:y:2015:i:c:p:471-485.

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2015A probability-based stress test of Federal Reserve assets and income. (2015). Rudebusch, Glenn ; Lopez, Jose. In: Journal of Monetary Economics. RePEc:eee:moneco:v:73:y:2015:i:c:p:26-43.

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2015Forecasting German car sales using Google data and multivariate models. (2015). Fantazzini, Dean ; Toktamysova, Zhamal . In: International Journal of Production Economics. RePEc:eee:proeco:v:170:y:2015:i:pa:p:97-135.

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2015The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling. (2015). Chan, Joshua ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2015-07.

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2015Bayesian model comparison for time-varying parameter VARs with stochastic volatility. (2015). Chan, Joshua ; Eisenstat, Eric . In: CAMA Working Papers. RePEc:een:camaaa:2015-32.

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2015The Effects of the Euro Area Entrance on the Monetary Transmission Mechanism in Slovakia in Light of the Global Economic Recession. (2015). Klacso, Jan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:65:y:2015:i:1:p:55-83.

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2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability. (2015). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2015-06.

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2015Asymptotic Inference for Common Factor Models in the Presence of Jumps. (2015). Yamamoto, Yohei. In: Discussion Papers. RePEc:hit:econdp:2015-05.

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2015The SIML Estimation of Integrated Covariance and Hedging Coefficient Under Round-off Errors, Micro-market Price Adjustments and Random Sampling. (2015). Kunitomo, Naoto ; Sato, Seisho ; Misaki, Hiroumi . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:22:y:2015:i:3:p:333-368.

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2015Asset Allocation Strategies Based On Penalized Quantile Regression. (2015). Caporin, Massimiliano ; Paterlini, Sandra . In: Marco Fanno Working Papers. RePEc:pad:wpaper:0199.

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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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2015The real-time predictive content of asset price bubbles for macro forecasts. (2015). Beckers, Benjamin. In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:112852.

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2015Current account dynamics and the housing boom and bust cycle in Spain. (2015). Mayer, Eric ; Ruth, Sebastian ; Maas, Daniel . In: W.E.P. - Würzburg Economic Papers. RePEc:zbw:wuewep:94.

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Recent citations received in 2014
YearCiting document
2014Bond Return Predictability: Economic Value and Links to the Macroeconomy. (2014). Pettenuzzo, Davide ; Timmermann, Allan ; Gargano, Antonio . In: Working Papers. RePEc:brd:wpaper:75r.

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2014Economic gains of realized volatility in the Brazilian stock market. (2014). Medeiros, Marcelo Cunha ; de Luna, Francisco Eduardo ; Pinto, Marcio Gomes . In: Brazilian Review of Finance. RePEc:brf:journl:v:12:y:2014:i:3:p:319-349.

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

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

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Recent citations received in 2013
YearCiting document
2013The Role of Speculation in Oil Markets: What Have We Learned So Far?. (2013). Mahadeva, Lavan ; Kilian, Lutz ; Bassam Fattouh, Lutz Kilian,, . In: The Energy Journal. RePEc:aen:journl:ej34-3-01.

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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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2013Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction. (2013). Olmo, Jose ; Fuertes, Ana-Maria. In: International Journal of Forecasting. RePEc:eee:intfor:v:29:y:2013:i:1:p:28-42.

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2013Ten Things You Should Know About DCC. (2013). McAleer, Michael ; Caporin, Massimiliano. 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). McAleer, Michael ; Caporin, Massimiliano. 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). McAleer, Michael ; Caporin, Massimiliano. 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). McAleer, Michael ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20130078.

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

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2013Ten Things You Should Know About DCC. (2013). McAleer, Michael ; Caporin, Massimiliano. 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). McAleer, Michael ; Caporin, Massimiliano. 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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Recent citations received in 2012
YearCiting document
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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2012Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns. (2012). Simlai, Pradosh . In: Brazilian Review of Finance. RePEc:brf:journl:v:10:y:2012:i:3:p:291-315.

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2012Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: KIER Working Papers. RePEc:kyo:wpaper:820.

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2012A New Pseudo-Bayesian Model of Investors Behavior in Financial Crises. (2012). Zhu, Lixing ; Wong, Wing-Keung. 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). Omori, Yasuhiro ; Shirota, Shinichiro ; Hizu, Takayuki . In: CIRJE F-Series. RePEc:tky:fseres:2012cf869.

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2012Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2012). Wong, Wing-Keung ; McAleer, Michael ; Bian, Guorui . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1209.

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2012Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1213.

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