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

0.69

Impact Factor

0.57

5-Years IF

21

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 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.11
19960.22000 (%)0.1
19970.220200 (%)0.09
19980.240100 (%)0.13
19990.30300 (%)0.16
20000.370100 (%)0.14
20010.370200 (%)0.17
20020.370700 (%)0.18
20030.40600 (%)0.19
20040.410400 (%)0.18
20050.430300 (%)0.21
20060.440800 (%)0.19
20070.374545270.68020056 (7%)140.310.17
20081.20.391.2651101060.963944554455455 (14%)300.460.17
200910.361601701620.9530611011011011039 (12.7%)230.380.17
20100.590.340.81742441640.672341257417013731 (13.2%)190.260.15
20110.60.410.89563002500.831201348124421614 (11.7%)130.230.2
20120.320.450.65563562360.662301304130019522 (9.6%)160.290.21
20130.630.50.57524082870.71261127131117620 (15.9%)120.230.2
20140.680.550.54634713150.671341087329816019 (14.2%)200.320.25
20150.550.570.51555263380.64781156330115315 (19.2%)150.270.26
20160.690.660.57345603410.6119118822821616 (31.6%)60.180.34
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

357
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.

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255
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.

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77
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.

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64
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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55
62013The 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

42
72010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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38
82009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

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36
92012Choice 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

35
102008American 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

30
112010Realized 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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27
122007The 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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26
132008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

26
142014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

26
152008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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24
162008Multivariate 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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23
172007Estimation 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
182008Disagreement 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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22
192007Construction 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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22
202009Realised 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
212014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-08.

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21
222007Microstructure 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
232007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

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19
242007Continuous-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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19
252012Oracle 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
262011Forecasting 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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18
272010Estimation 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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17
282007The 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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17
292009Option 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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17
302008Estimation 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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15
312010Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2010-01.

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15
322009On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56.

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15
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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14
342008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-06.

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14
352013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2013-18.

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13
362012Exponential 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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13
372012Modelling 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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13
382009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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13
392009Jump-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
402010Realized 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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13
412008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-08.

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12
422008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-07.

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12
432010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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12
442008Maximum likelihood estimation of fractionally cointegrated systems. (2008). Łasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53.

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12
452008Expected 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
462008Inference 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
472010Pre-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
482008Testing 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
492010Estimating 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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11
502015Hybrid 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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11

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

133
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

99
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

60
42013The 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

30
52009The 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

27
62014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

19
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

17
82009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag . In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

16
92008Option 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

14
102008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

13
112015Hybrid scheme for Brownian semistationary processes. (2015). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger . In: CREATES Research Papers. RePEc:aah:create:2015-43.

Full description at Econpapers || Download paper

11
122007Construction 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

11
132012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

Full description at Econpapers || Download paper

11
142014Dynamic 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
152014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

10
162007The 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
172015Effects 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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8
182015Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-16.

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8
192008American 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

8
202014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Aijun . In: CREATES Research Papers. RePEc:aah:create:2014-13.

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8
212012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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7
222015Understanding 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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7
232010Realized 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

7
242014Generalized 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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7
252012Modelling 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.

Full description at Econpapers || Download paper

7
262010Estimation 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

7
272011International 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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6
282014Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-07.

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6
292009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

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6
302014A 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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6
312013On 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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6
322008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2008-07.

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6
332015Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints. (2015). Luoto, Jani ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-37.

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5
342008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

Full description at Econpapers || Download paper

5
352009Quadratic 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
362009Option 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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5
372015Estimation 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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5
382012Oracle 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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5
392014Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27.

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5
402016Assessing 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
412014Price discovery in dual-class shares across multiple markets. (2014). Fernandes, Marcelo ; Scherrer, Cristina M.. In: CREATES Research Papers. RePEc:aah:create:2014-10.

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4
422008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

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4
432012Housing 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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4
442010Ambit 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
452014Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2014-29.

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4
462015Explosive 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
472010Non-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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4
482012Oracle 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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4
492013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo . In: CREATES Research Papers. RePEc:aah:create:2013-18.

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4
502012Heterogeneous 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

Citing documents used to compute impact factor 82:

YearTitle
2016Real oil prices and the international sign predictability of stock returns. (2016). Pönkä, Harri ; Ponka, Harri . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:79-87.

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2016A note on the Wang transform for stochastic volatility pricing models. (2016). Badescu, Alexandru ; Ortega, Juan-Pablo ; Cui, Zhenyu . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:189-196.

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2016Conditional quantile processes based on series or many regressors. (2016). Fernandez-Val, Ivan ; Chernozhukov, Victor ; Chetverikov, Denis ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:46/16.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219.

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2016Parallelization Experience with Four Canonical Econometric Models using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Basturk, Nalan ; Hoogerheide, Lennart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160005.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219.

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2016Parallelization experience with four canonical econometric models using ParMitISEM. (2016). Grassi, Stefano. In: Research Memorandum. RePEc:unm:umagsb:2016013.

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2016Generalized Efficient Inference on Factor Models with Long-Range Dependence. (2016). Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-05.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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2016How to improve the market efficiency of carbon trading: A perspective of China. (2016). Zhao, Xin-Gang ; Chen, Hao ; Nie, Dan ; Jiang, Gui-Wu . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:59:y:2016:i:c:p:1229-1245.

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2016The impact of emission trading scheme and the ratio of free quota: A dynamic recursive CGE model in China. (2016). Jia, Zhijie ; Li, Wei . In: Applied Energy. RePEc:eee:appene:v:174:y:2016:i:c:p:1-14.

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2016Variance risk premia in CO2 markets: A political perspective. (2016). Reckling, Dennis . In: Energy Policy. RePEc:eee:enepol:v:94:y:2016:i:c:p:345-354.

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2016Trader types and volatility of emission allowance prices. Evidence from EU ETS Phase I. (2016). Balietti, Anca Claudia . In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:607-620.

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2016When Bubble Meets Bubble: Contagion in OECD Countries. (2016). Pinchao-Rosero, Andres ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: Borradores de Economia. RePEc:bdr:borrec:942.

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2016Disaster Risk and Preference Shifts in a New Keynesian Model.. (2016). Szczerbowicz, Urszula ; Isoré, Marlène. In: Working papers. RePEc:bfr:banfra:614.

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2016Impact of US Uncertainties on Emerging and Mature Markets: Evidence from a Quantile-Vector Autoregressive Approach. (2016). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena . In: Working Papers. RePEc:pre:wpaper:201656.

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2016Macroeconomic expectations and the time-varying stock-bond correlation: international evidence. (2016). Conrad, Christian ; Loch, Karin . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145530.

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2016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani . In: CREATES Research Papers. RePEc:aah:create:2016-04.

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2016Crimea and Punishment: The Impact of Sanctions on Russian and European Economies. (2016). Netšunajev, Aleksei ; Kholodilin, Konstantin ; Netsunajev, Aleksei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1569.

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2016A narrative approach to a fiscal DSGE model. (2016). Drautzburg, Thorsten. In: Working Papers. RePEc:fip:fedpwp:16-11.

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2016Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure. (2016). Moneta, Alessio ; Capasso, Marco. In: LEM Papers Series. RePEc:ssa:lemwps:2016/36.

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2016Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models. (2016). Uhrin, Gábor ; Herwartz, Helmut . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:295.

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2016Markov-Switching Three-Pass Regression Filter. (2016). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:igi:igierp:591.

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2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21.

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

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2016The Local Fractional Bootstrap. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-15.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1609.02108.

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2016Testing for heteroscedasticity in jumpy and noisy high-frequency data: A resampling approach. (2016). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-27.

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2016Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: Discussion Paper Series. RePEc:hit:hituec:646.

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2016Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2016-24.

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2016Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes. (2016). Kanaya, Shin. In: KIER Working Papers. RePEc:kyo:wpaper:947.

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2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. (2016). Kock, Anders Bredahl . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:71-85.

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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1664.

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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian ; Tang, Haihan . In: CORE Discussion Papers. RePEc:cor:louvco:2016044.

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2016Disentangling the Effect of Private and Public Cash Flows on Firm Value. (2016). Fernandes, Marcelo ; Scherrer, Cristina Mabel . In: Working Papers. RePEc:qmw:qmwecw:wp800.

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2016A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets. (2016). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:623-639.

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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

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2016UK term structure decompositions at the zero lower bound.. (2016). Mouabbi, Sarah ; Carriero, Andrea ; Vangelista, E. In: Working papers. RePEc:bfr:banfra:589.

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2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia. (2016). Engsted, Tom ; Andreasen, Martin M ; Sander, Magnus ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-26.

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2016The response of euro area sovereign spreads to the ECB unconventional monetary policies. (2016). Dewachter, Hans ; Wijnandts, Jean-Charles ; Iania, Leonardo . In: Working Paper Research. RePEc:nbb:reswpp:201610-309.

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2016Below the zero lower bound: A shadow-rate term structure model for the euro area. (2016). Lemke, Wolfgang ; Vladu, Andreea L. In: Discussion Papers. RePEc:zbw:bubdps:322016.

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2016Particularitǎţi ale evoluţiei variabilelor financiare. (2016). Stefanescu, Razvan ; Dumitriu, Ramona . In: MPRA Paper. RePEc:pra:mprapa:73481.

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2016High-dimensional copula-based distributions with mixed frequency data. (2016). Patton, Andrew ; Oh, Donghwan . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:349-366.

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2016System Estimation of Panel Data Models under Long-Range Dependence. (2016). Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-02.

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2016Commodities common factor: An empirical assessment of the markets drivers. (2016). Posch, Peter N ; Lubbers, Johannes . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:28-40.

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2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM. (2016). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_02.

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2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

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2016Shluková analýza skoků na kapitálových trzích. (2016). Kočenda, Evžen ; Hanousek, Jan ; Novotn, Jan ; Koenda, Even . In: Politická ekonomie. RePEc:prg:jnlpol:v:2016:y:2016:i:2:id:1059:p:127-144.

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2016Locally robust semiparametric estimation. (2016). Escanciano, Juan Carlos ; Chernozhukov, Victor ; Newey, Whitney K ; Ichimura, Hidehiko. In: CeMMAP working papers. RePEc:ifs:cemmap:31/16.

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2016Business cycles in the economy and in economics: an econometric analysis. (2016). Kufenko, Vadim ; Geiger, Niels. In: Scientometrics. RePEc:spr:scient:v:107:y:2016:i:1:d:10.1007_s11192-016-1866-9.

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2016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

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2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach. (2016). Violante, Francesco ; Barletta, Andrea ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2016-20.

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2016Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein . In: CREATES Research Papers. RePEc:aah:create:2016-29.

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2016Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur. In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

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2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Vermeulen, Wessel ; Perego, Erica R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

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2016Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI. In: Working Papers. RePEc:pre:wpaper:201672.

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2016Price discovery in a continuous-time setting. (2016). Fernandes, Marcelo ; Scherrer, Cristina M ; Dias, Gustavo Fruet . In: CREATES Research Papers. RePEc:aah:create:2016-25.

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2016The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach. (2016). Smith, Donal . In: Discussion Papers. RePEc:yor:yorken:16/07.

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2016The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability. (2016). Ubilava, David. In: Working Papers. RePEc:syd:wpaper:2016-10.

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2016What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries. (2016). Ozturk, Ilhan ; Ahmed, Khalid . In: MPRA Paper. RePEc:pra:mprapa:75420.

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2016ESTIMATION OF STAR-GARCH MODELS WITH ITERATIVELY WEIGHTED LEAST SQUARES. (2016). Midilic, Murat . In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:16/918.

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2016The Asymmetric Effects of Oil Price Shocks on the Canadian Economy. (2016). Wilmot, Neil ; Donayre, Luiggi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2016-02-4.

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2016State-dependent exchange rate pass-through behavior. (2016). Donayre, Luiggi ; Panovska, Irina . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:64:y:2016:i:c:p:170-195.

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2016Macroeconomic variables and the sovereign risk premia in EMU, non-EMU EU, and developed countries. (2016). Gevorkyan, Arkady ; Semmler, Willi . In: Empirica. RePEc:kap:empiri:v:43:y:2016:i:1:d:10.1007_s10663-015-9286-2.

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2016Testing the asymmetric effects of financial conditions in South Africa: A nonlinear vector autoregression approach. (2016). GUPTA, RANGAN ; van Eyden, Renee ; Balcilar, Mehmet ; Thompson, Kirsten . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:30-43.

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2016Fiscal Multipliers and Institutions in Peru; Getting the Largest Bang for the Sol. (2016). Vtyurina, Svetlana ; Leal, Zulima . In: IMF Working Papers. RePEc:imf:imfwpa:16/144.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Non-Linearities in the Relationship between House Prices and Interest Rates: Implications for Monetary Policy. (2016). Lim, Guay ; Tsiaplias, Sarantis . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n2.

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2016Non-Linearities in the Relationship between House Prices and Interest Rates: Implications for Monetary Policy. (2016). Tsiaplias, Sarantis ; Lim, Guay. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n02.

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2016Debt deflation, financial market stress and regime change: Evidence from Europe using MRVAR. (2016). Ernst, Ekkehard ; Semmler, Willi ; Haider, Alexander . In: ZEW Discussion Papers. RePEc:zbw:zewdip:16030.

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2016Nonlinearities in the U.S. wage Phillips curve. (2016). Donayre, Luiggi ; Panovska, Irina . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:19-43.

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2016Nonlinearities of mortgage spreads over the business cycles. (2016). Cheng, Chak Hung Jack ; Chiu, Ching-Wai (Jeremy) ; Jack, Chak Hung . In: Bank of England working papers. RePEc:boe:boeewp:0634.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219.

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2016Parallelization Experience with Four Canonical Econometric Models using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Basturk, Nalan ; Hoogerheide, Lennart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160005.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219.

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2016Parallelization experience with four canonical econometric models using ParMitISEM. (2016). Grassi, Stefano. In: Research Memorandum. RePEc:unm:umagsb:2016013.

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2016Wild bootstrap Ljung–Box test for cross correlations of multivariate time series. (2016). Lee, Taewook . In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:59-62.

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Recent citations (cites in year: CiY)

Recent citations received in 2016
YearCiting document
2016The Local Fractional Bootstrap. (2016). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2016-15.

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2016Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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Recent citations received in 2015
YearCiting document
2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Hillebrand, Eric ; Boldrini, Lorenzo . 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 ; Haldrup, Niels ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . 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). Joyeux, Roselyne . In: Working Papers. RePEc:hkm:wpaper:222015.

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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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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, Andre ; Koopman, Siem Jan ; Lit, Rutger . 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 ; Terasvirta, 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 ; de Magistris, Paolo Santucci . 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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2014Fiscal policy in the BRICs. (2014). Sousa, Ricardo ; Mallick, Sushanta ; JAWADI, Fredj ; Fredj, Jawadi ; Sousa Ricardo M., ; Mallick Sushanta K., . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:18:y:2014:i:2:p:15:n:6.

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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 ; Terasvirta, 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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2014Predicting volatility and correlations with Financial Conditions Indexes. (2014). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne . In: Journal of Empirical Finance. RePEc:eee:empfin:v:29:y:2014:i:c:p:435-447.

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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). Santucci de Magistris, Paolo ; 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 ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0188.

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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
2013Bootstrapping pre-averaged realized volatility under market microstructure noise. (2013). Meddahi, Nour ; Goncalves, Silvia ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2013-28.

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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. ; Kim, Won Joong . In: Working Papers. RePEc:pre:wpaper:201338.

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