Citation analysis for Econometrics / MDPI, Open Access Journal

Econometrics / MDPI, Open Access Journal

1.38

Impact Factor

1.59

5-Years IF

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

	IF	AIF	IF5	DOC	CDO	CCU	CIF	CIT	D2Y	C2Y	D5Y	C5Y	%SC	CiY	II	AII
1990		0.1			0				0		0		(%)			0.04
1991		0.09			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.1			0				0		0		(%)			0.05
1994		0.11			0				0		0		(%)			0.05
1995		0.2			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.27			0				0		0		(%)			0.09
1998		0.29			0				0		0		(%)			0.1
1999		0.32			0				0		0		(%)			0.13
2000		0.4			0				0		0		(%)			0.15
2001		0.4			0				0		0		(%)			0.15
2002		0.42			0				0		0		(%)			0.18
2003		0.44			0				0		0		(%)			0.19
2004		0.49			0				0		0		(%)			0.2
2005		0.53			0				0		0		(%)			0.21
2006		0.51			0				0		0		(%)			0.2
2007		0.45			0				0		0		(%)			0.18
2008		0.48			0				0		0		(%)			0.2
2009		0.47			0				0		0		(%)			0.19
2010		0.45			0				0		0		(%)			0.16
2011		0.52			0				0		0		(%)			0.2
2012		0.55			0				0		0		(%)			0.2
2013		0.62		13	13	2	0.15	96	0		0		2 (2.1%)	2	0.15	0.22
2014	1.77	0.64	1.77	12	25	31	1.24	119	13	23	13	23	9 (7.6%)	8	0.67	0.21
2015	1.68	0.69	1.68	46	71	66	0.93	60	25	42	25	42	10 (16.7%)	12	0.26	0.22
2016	1.38	0.85	1.59	87	158	137	0.87	21	58	80	71	113	3 (14.3%)	7	0.08	0.26

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CCU:	Cumulative number of citations to papers published until year y
CIF:	Cumulative impact factor
CIT:	Number of citations to papers published in year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series:

#	Year	Title	Cited
1	2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper	48
2	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414. Full description at Econpapers \|\| Download paper	48
3	2013	Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620. Full description at Econpapers \|\| Download paper	37
4	2014	The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830. Full description at Econpapers \|\| Download paper	32
5	2015	Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer ; Pretis, Felix . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers \|\| Download paper	25
6	2013	Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450. Full description at Econpapers \|\| Download paper	22
7	2013	Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522. Full description at Econpapers \|\| Download paper	13
8	2015	On the Interpretation of Instrumental Variables in the Presence of Specification Errors. (2015). Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:55-64:d:45286. Full description at Econpapers \|\| Download paper	9
9	2017	A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545. Full description at Econpapers \|\| Download paper	9
10	2013	Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001. Full description at Econpapers \|\| Download paper	9
11	2014	A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459. Full description at Econpapers \|\| Download paper	8
12	2013	Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659. Full description at Econpapers \|\| Download paper	8
13	2014	Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027. Full description at Econpapers \|\| Download paper	4
14	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Hall, Stephen G ; Mehta, Jatinder S ; Greene, William H ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559. Full description at Econpapers \|\| Download paper	4
15	2015	Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534. Full description at Econpapers \|\| Download paper	4
16	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Greene, William ; Gibson, Heather ; Hall, Stephen G ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559. Full description at Econpapers \|\| Download paper	4
17	2016	Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417. Full description at Econpapers \|\| Download paper	3
18	2017	Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266. Full description at Econpapers \|\| Download paper	3
19	2015	A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676. Full description at Econpapers \|\| Download paper	3
20	2013	Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621. Full description at Econpapers \|\| Download paper	3
21	2014	Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391. Full description at Econpapers \|\| Download paper	3
22	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992. Full description at Econpapers \|\| Download paper	2
23	2015	Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:65-90:d:45287. Full description at Econpapers \|\| Download paper	2
24	2015	Bayesian Approach to Disentangling Technical and Environmental Productivity. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:443-465:d:51249. Full description at Econpapers \|\| Download paper	2
25	2013	Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging. (2013). Sueishi, Naoya . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:141-156:d:26900. Full description at Econpapers \|\| Download paper	2
26	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253. Full description at Econpapers \|\| Download paper	2
27	2015	Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:376-411:d:49974. Full description at Econpapers \|\| Download paper	2
28	2015	A Joint Chow Test for Structural Instability. (2015). Whitby, Andrew ; Nielsen, Bent. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:156-186:d:46757. Full description at Econpapers \|\| Download paper	2
29	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253. Full description at Econpapers \|\| Download paper	2
30	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992. Full description at Econpapers \|\| Download paper	2
31	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492. Full description at Econpapers \|\| Download paper	2
32	2015	New Graphical Methods and Test Statistics for Testing Composite Normality. (2015). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:532-560:d:52631. Full description at Econpapers \|\| Download paper	2
33	2016	Oil Price and Economic Growth: A Long Story?. (2016). MontaÃÂ±ÃÂ©s, Antonio ; GÃÂ³mez-Loscos, Ana ; Gadea, MarÃÂa ; Montaes, Antonio ; Gomez-Loscos, Ana . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:41-:d:81585. Full description at Econpapers \|\| Download paper	2
34	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992. Full description at Econpapers \|\| Download paper	2
35	2015	Entropy Maximization as a Basis for Information Recovery in Dynamic Economic Behavioral Systems. (2015). Judge, George . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:91-100:d:46012. Full description at Econpapers \|\| Download paper	2
36	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492. Full description at Econpapers \|\| Download paper	2
37	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253. Full description at Econpapers \|\| Download paper	2
38	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689. Full description at Econpapers \|\| Download paper	1
39	2016	Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors. (2016). Zhang, Xibin ; King, Maxwell L. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:24:d:68757. Full description at Econpapers \|\| Download paper	1
40	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65689. Full description at Econpapers \|\| Download paper	1
41	2015	Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States. (2015). Mohammadi, Hassan ; Tan, Yuting . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668. Full description at Econpapers \|\| Download paper	1
42	2016	Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231. Full description at Econpapers \|\| Download paper	1
43	2015	On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes Rojas, Gabriel ; Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584. Full description at Econpapers \|\| Download paper	1
44	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689. Full description at Econpapers \|\| Download paper	1
45	2016	Bayesian Bandwidth Selection for a Nonparametric Regression Model with Mixed Types of Regressors. (2016). Shang, Han Lin ; King, Maxwell ; Zhang, Xibin. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:24-:d:68757. Full description at Econpapers \|\| Download paper	1
46	2013	Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments. (2013). Lee, Lung-Fei ; Jin, Fei . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:71-114:d:26028. Full description at Econpapers \|\| Download paper	1
47	2016	Parallelization 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:-:d:65219. Full description at Econpapers \|\| Download paper	1
48	2016	A Conditional Approach to Panel Data Models with Common Shocks. (2016). Forchini, Giovanni ; Peng, Bin. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:4-:d:62057. Full description at Econpapers \|\| Download paper	1
49	2015	Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang ; ChristopherF. Parmeter, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581. Full description at Econpapers \|\| Download paper	1
50	2016	Removing Specification Errors from the Usual Formulation of Binary Choice Models. (2016). Tavlas, George ; Greene, William ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Hall, Stephen G ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:26-:d:71425. Full description at Econpapers \|\| Download paper	1

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

#	Year	Title	Cited
1	2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper	48
2	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414. Full description at Econpapers \|\| Download paper	40
3	2014	The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830. Full description at Econpapers \|\| Download paper	32
4	2013	Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620. Full description at Econpapers \|\| Download paper	26
5	2015	Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer ; Pretis, Felix . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers \|\| Download paper	25
6	2013	Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450. Full description at Econpapers \|\| Download paper	21
7	2015	On the Interpretation of Instrumental Variables in the Presence of Specification Errors. (2015). Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:55-64:d:45286. Full description at Econpapers \|\| Download paper	9
8	2017	A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545. Full description at Econpapers \|\| Download paper	9
9	2013	Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659. Full description at Econpapers \|\| Download paper	8
10	2014	A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459. Full description at Econpapers \|\| Download paper	8
11	2013	Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001. Full description at Econpapers \|\| Download paper	7
12	2014	Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027. Full description at Econpapers \|\| Download paper	4
13	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Hall, Stephen G ; Mehta, Jatinder S ; Greene, William H ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559. Full description at Econpapers \|\| Download paper	4
14	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Greene, William ; Gibson, Heather ; Hall, Stephen G ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559. Full description at Econpapers \|\| Download paper	4
15	2015	Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534. Full description at Econpapers \|\| Download paper	4
16	2013	Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522. Full description at Econpapers \|\| Download paper	3
17	2017	Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266. Full description at Econpapers \|\| Download paper	3
18	2015	A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676. Full description at Econpapers \|\| Download paper	3
19	2013	Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621. Full description at Econpapers \|\| Download paper	3
20	2016	Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417. Full description at Econpapers \|\| Download paper	3
21	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253. Full description at Econpapers \|\| Download paper	2
22	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492. Full description at Econpapers \|\| Download paper	2
23	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253. Full description at Econpapers \|\| Download paper	2
24	2015	Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:65-90:d:45287. Full description at Econpapers \|\| Download paper	2
25	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992. Full description at Econpapers \|\| Download paper	2
26	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992. Full description at Econpapers \|\| Download paper	2
27	2015	Bayesian Approach to Disentangling Technical and Environmental Productivity. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:443-465:d:51249. Full description at Econpapers \|\| Download paper	2
28	2015	Entropy Maximization as a Basis for Information Recovery in Dynamic Economic Behavioral Systems. (2015). Judge, George . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:91-100:d:46012. Full description at Econpapers \|\| Download paper	2
29	2015	New Graphical Methods and Test Statistics for Testing Composite Normality. (2015). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:532-560:d:52631. Full description at Econpapers \|\| Download paper	2
30	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992. Full description at Econpapers \|\| Download paper	2
31	2013	Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging. (2013). Sueishi, Naoya . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:141-156:d:26900. Full description at Econpapers \|\| Download paper	2
32	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492. Full description at Econpapers \|\| Download paper	2
33	2016	Oil Price and Economic Growth: A Long Story?. (2016). MontaÃÂ±ÃÂ©s, Antonio ; GÃÂ³mez-Loscos, Ana ; Gadea, MarÃÂa ; Montaes, Antonio ; Gomez-Loscos, Ana . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:41-:d:81585. Full description at Econpapers \|\| Download paper	2
34	2014	Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391. Full description at Econpapers \|\| Download paper	2
35	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253. Full description at Econpapers \|\| Download paper	2
36	2015	A Joint Chow Test for Structural Instability. (2015). Whitby, Andrew ; Nielsen, Bent. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:156-186:d:46757. Full description at Econpapers \|\| Download paper	2
37	2015	Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:376-411:d:49974. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 80:

Year	Title
2016	Removing Specification Errors from the Usual Formulation of Binary Choice Models. (2016). Tavlas, George ; Greene, William ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Hall, Stephen G ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:26-:d:71425. Full description at Econpapers \|\| Download paper
2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Greene, William ; Gibson, Heather ; Hall, Stephen G ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559. Full description at Econpapers \|\| Download paper
2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; Mehta, J S ; Chang, I. In: Discussion Papers in Economics. RePEc:lec:leecon:16/02. Full description at Econpapers \|\| Download paper
2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Hall, Stephen G ; Mehta, Jatinder S ; Greene, William H ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559. Full description at Econpapers \|\| Download paper
2016	Removing Specification Errors from the Usual Formulation of Binary Choice Models. (2016). Tavlas, George ; Greene, William ; Hall, Stephen G ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Discussion Papers in Economics. RePEc:lec:leecon:16/11*. Full description at Econpapers \|\| Download paper
2016	Predicting the Evolution of CO 2 Emissions in Bahrain with Automated Forecasting Methods. (2016). Tudor, Cristiana . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:9:p:923-:d:77896. Full description at Econpapers \|\| Download paper
2016	Bias correction and refined inferences for fixed effects spatial panel data models. (2016). Yang, Zhen Lin ; Liu, Shew Fan ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:61:y:2016:i:c:p:52-72. Full description at Econpapers \|\| Download paper
2016	Dynamic spillovers between Nigerian, South African and international equity markets. (2016). Shuaibu, Mohammed ; Fowowe, Babajide . In: International Economics. RePEc:eee:inteco:v:148:y:2016:i:c:p:59-80. Full description at Econpapers \|\| Download paper
2016	Deciding Between Alternative Approaches In Macroeconomics. (2016). Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:778. Full description at Econpapers \|\| Download paper
2016	Improving model-based near-term GDP forecasts by subjective forecasts: A real-time exercise for the G7 countries. (2016). Jansen, W. Jos ; de Winter, Jasper. In: DNB Working Papers. RePEc:dnb:dnbwpp:507. Full description at Econpapers \|\| Download paper
2016	An Overview of Forecasting Facing Breaks. (2016). Hendry, David ; Clements, Michael ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:779. Full description at Econpapers \|\| Download paper
2016	Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation. (2016). Hendry, David ; Smerdon, Jason E ; Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:780. Full description at Econpapers \|\| Download paper
2016	Improving the Teaching of Econometrics. (2016). Mizon, Grayham ; Hendry, David. In: Economics Series Working Papers. RePEc:oxf:wpaper:785. Full description at Econpapers \|\| Download paper
2016	Eliciting GDP forecasts from the FOMCâs minutes around the financial crisis. (2016). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:571-583. Full description at Econpapers \|\| Download paper
2016	Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter. (2016). Stillwagon, Josh ; Frydman, Roman . In: Working Papers Series. RePEc:thk:wpaper:44. Full description at Econpapers \|\| Download paper
2016	Forecasting food prices: The case of corn, soybeans and wheat. (2016). Cornejo, Magdalena ; Ahumada, Hildegart. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:838-848. Full description at Econpapers \|\| Download paper
2016	Non-linear exchange rate relationships: An automated model selection approach with indicator saturation. (2016). Stillwagon, Josh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:84-109. Full description at Econpapers \|\| Download paper
2016	A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate. (2016). Castle, Jennifer ; Ryan-Collins, Josh ; Werner, Richard A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:158-176. Full description at Econpapers \|\| Download paper
2016	Policy Analysis, Forediction, and Forecast Failure. (2016). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Economics Series Working Papers. RePEc:oxf:wpaper:809. Full description at Econpapers \|\| Download paper
2016	Macroeconomics and Consumption. (2016). muellbauer, john. In: Economics Series Working Papers. RePEc:oxf:wpaper:paper-811. Full description at Econpapers \|\| Download paper
2016	Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector. (2016). Ericsson, Neil ; Neil, Ericsson . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:377-398:n:6. Full description at Econpapers \|\| Download paper
2016	Economic Forecasting in Theory and Practice: An Interview with David F. Hendry. (2016). Ericsson, Neil R. In: Working Papers. RePEc:gwc:wpaper:2016-012. Full description at Econpapers \|\| Download paper
2016	Macroeconomics and Consumption. (2016). muellbauer, john. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11588. Full description at Econpapers \|\| Download paper
2016	An Overview of Forecasting Facing Breaks. (2016). Hendry, David ; Clements, Michael ; Castle, Jennifer L. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0005-2. Full description at Econpapers \|\| Download paper
2016	Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth. (2016). Sun, Yiguo ; Koroglu, Mustafa . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:6-:d:63356. Full description at Econpapers \|\| Download paper
2016	Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth. (2016). Koroglu, Mustafa ; Sun, Yiguo . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:6:d:63356. Full description at Econpapers \|\| Download paper
2016	Functional-coefficient spatial autoregressive models with nonparametric spatial weights. (2016). Sun, Yiguo. In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:134-153. Full description at Econpapers \|\| Download paper
2016	ESTIMATION 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. Full description at Econpapers \|\| Download paper
2016	A Hedonic Output Index based Approach to Modeling Polluting Technologies. (2016). Malikov, Emir ; Kumbhakar, Subal ; Bokusheva, Raushan. In: MPRA Paper. RePEc:pra:mprapa:73186. Full description at Econpapers \|\| Download paper
2016	Local composite quantile regression smoothing for Harris recurrent Markov processes. (2016). Li, Degui. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:44-56. Full description at Econpapers \|\| Download paper
2016	Econometric Information Recovery in Behavioral Networks. (2016). Judge, George . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:38-:d:78167. Full description at Econpapers \|\| Download paper
2016	Jackknife Bias Reduction in the Presence of a Near-Unit Root. (2016). Kyriacou, Maria ; Chambers, Marcus. In: Economics Discussion Papers. RePEc:esx:essedp:17623. Full description at Econpapers \|\| Download paper
2016	Estimating a Falsified Model. (2016). Buck, Andrew ; Lady, George M. In: DETU Working Papers. RePEc:tem:wpaper:1601. Full description at Econpapers \|\| Download paper
2016	Regional Competition, Heterogeneous Factors and Pollution Intensity in China: A Spatial Econometric Analysis. (2016). Huang, Jianhuan ; Xia, Jiejin . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:2:p:171-:d:63873. Full description at Econpapers \|\| Download paper
2016	Patterns and determinants of inventors mobility across European urban areas. (2016). Gorin, Clement . In: Working Papers. RePEc:hal:wpaper:halshs-01313086. Full description at Econpapers \|\| Download paper
2016	Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; BillÃÂ©, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers \|\| Download paper
2016	Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth. (2016). Sun, Yiguo ; Koroglu, Mustafa . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:6-:d:63356. Full description at Econpapers \|\| Download paper
2016	Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth. (2016). Koroglu, Mustafa ; Sun, Yiguo . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:6:d:63356. Full description at Econpapers \|\| Download paper
2016	Regional Competition, Heterogeneous Factors and Pollution Intensity in China: A Spatial Econometric Analysis. (2016). Huang, Jianhuan ; Xia, Jiejin . In: Sustainability. RePEc:gam:jsusta:v:8:y:2016:i:2:p:171:d:63873. Full description at Econpapers \|\| Download paper
2016	Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; BillÃÂ©, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375. Full description at Econpapers \|\| Download paper
2016	Patterns and determinants of inventorsâ mobility across European urban areas. (2016). Gorin, Clement . In: Working Papers. RePEc:gat:wpaper:1615. Full description at Econpapers \|\| Download paper
2016	A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry. (2016). LeSage, James ; Chih, Yao-Yu ; Vance, Colin. In: Ruhr Economic Papers. RePEc:zbw:rwirep:617. Full description at Econpapers \|\| Download paper
2016	Interregional migration within the European Union in the aftermath of the Eastern enlargements: a spatial approach. (2016). Rocha-Akis, Silvia ; Sardadvar, Sascha . In: Review of Regional Research: Jahrbuch fÃ¼r Regionalwissenschaft. RePEc:spr:jahrfr:v:36:y:2016:i:1:d:10.1007_s10037-015-0100-1. Full description at Econpapers \|\| Download paper
2016	A spatial difference-in-differences analysis of the impact of sugarcane production on respiratory diseases. (2016). Chagas, AndrÃÂ© ; Azzoni, Carlos ; Almeida, Alexandre. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:59:y:2016:i:c:p:24-36. Full description at Econpapers \|\| Download paper
2016	Job search and hiring in local labor markets: Spillovers in regional matching functions. (2016). Heuermann, Daniel ; Haller, Peter . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:60:y:2016:i:c:p:125-138. Full description at Econpapers \|\| Download paper
2016	How Spatial Pricing Affects Cooperative Membersâ Switching Decisions. (2016). Viergutz, Tim ; Schulze-Ehlers, Birgit ; Zubek, Nana . In: 149th Seminar, October 27-28, 2016, Rennes, France. RePEc:ags:eaa149:244772. Full description at Econpapers \|\| Download paper
2016	Bias correction and refined inferences for fixed effects spatial panel data models. (2016). Yang, Zhen Lin ; Liu, Shew Fan ; Yu, Jihai . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:61:y:2016:i:c:p:52-72. Full description at Econpapers \|\| Download paper
2016	Explosive bubbles in house prices? Evidence from the OECD countries. (2016). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:14-25. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1601. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Econometric Institute Research Papers. RePEc:ems:eureir:79731. Full description at Econpapers \|\| Download paper
2016	Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160006. Full description at Econpapers \|\| Download paper
2016	Modelling volatility spillovers for bio-ethanol, sugarcane and corn. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1603. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1602. Full description at Econpapers \|\| Download paper
2016	How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79923. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160047. Full description at Econpapers \|\| Download paper
2016	Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yanghuiting . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1610. Full description at Econpapers \|\| Download paper
2016	Testing Co-Volatility Spillovers for Natural Gas Spot, Futures and ETF Spot using Dynamic Conditional Covariances. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Y. In: Econometric Institute Research Papers. RePEc:ems:eureir:93116. Full description at Econpapers \|\| Download paper
2016	A Simple Test for Causality in Volatility. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160094. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, Neophytos ; Zopiatis, Anastasios . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160104. Full description at Econpapers \|\| Download paper
2016	Tourism stocks in times of crises: An econometric investigation of non-macro factors. (2016). Savva, Christos ; McAleer, Michael ; Zopiatis, Anastasios ; Lambertides, Neophytos . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1618. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1704. Full description at Econpapers \|\| Download paper
2016	A Simple Test for Causality in Volatility. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98603. Full description at Econpapers \|\| Download paper
2016	Modelling Volatility Spillovers for Bio-ethanol, Sugarcane and Corn Spot and Futures Prices. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:98657. Full description at Econpapers \|\| Download paper
2016	Tourism Stocks in Times of Crises: an Econometric Investigation of Non-macro Factors. (2016). Savva, Christos ; McAleer, Michael ; Lambertides, N ; Zopiatis, A. In: Econometric Institute Research Papers. RePEc:ems:eureir:99512. Full description at Econpapers \|\| Download paper
2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492. Full description at Econpapers \|\| Download paper
2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992. Full description at Econpapers \|\| Download paper
2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992. Full description at Econpapers \|\| Download paper
2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492. Full description at Econpapers \|\| Download paper
2016	Moments of standardized FernandezâSteel skewed distributions: Applications to the estimation of GARCH-type models. (2016). Ardia, David ; Trottier, Denis-Alexandre . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:311-316. Full description at Econpapers \|\| Download paper
2016	Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1609. Full description at Econpapers \|\| Download paper
2016	An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1612. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93117. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93118. Full description at Econpapers \|\| Download paper
2016	Modelling and Testing Volatility Spillovers in Oil and Financial Markets for USA, UK and China. (2016). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160053. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160071. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076. Full description at Econpapers \|\| Download paper
2016	Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93334. Full description at Econpapers \|\| Download paper
2016	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors. (2016). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160052. Full description at Econpapers \|\| Download paper
2016	Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2016). Tavlas, George ; Gibson, Heather D ; Hall, Stephen G. In: Working Papers. RePEc:bog:wpaper:214. Full description at Econpapers \|\| Download paper
2016	The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36. Full description at Econpapers \|\| Download paper
2016	Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231. Full description at Econpapers \|\| Download paper
2016	Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160. Full description at Econpapers \|\| Download paper
2016	Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2016). Tavlas, George ; Gibson, Heather ; Hall, Stephen G. In: Discussion Papers in Economics. RePEc:lec:leecon:16/18*. Full description at Econpapers \|\| Download paper
2016	Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data. (2016). Degiannakis, Stavros ; Potamia, Artemis . In: MPRA Paper. RePEc:pra:mprapa:74670. Full description at Econpapers \|\| Download paper
2016	Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160099. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Financial sector and output dynamics in the euro area: Non-linearities reconsidered. (2015). Schleer, Frauke ; Semmler, Willi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:235-263. Full description at Econpapers \|\| Download paper
2015	Improved inferences for spatial regression models. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:55:y:2015:i:c:p:55-67. Full description at Econpapers \|\| Download paper
2015	Is Benfordâs Law a Universal Behavioral Theory?. (2015). Villas-Boas, Sofia ; Judge, George ; Fu, Qiuzi . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:698-708:d:57619. Full description at Econpapers \|\| Download paper
2015	How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). Qin, Duo ; van Huellen, Sophie ; Wang, Qing-Chao . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1-:d:61313. Full description at Econpapers \|\| Download paper
2015	How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). Qin, Duo ; Wang, Qing-Chao ; van Huellen, Sophie . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1:d:61313. Full description at Econpapers \|\| Download paper
2015	Eliciting GDP Forecasts from the FOMCâs Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2015-003. Full description at Econpapers \|\| Download paper
2015	Exploring the gender wage gap in the managerial labour market:a counterfactual decomposition analysis. (2015). scicchitano, sergio. In: Working Papers. RePEc:itt:wpaper:2015-2. Full description at Econpapers \|\| Download paper
2015	Causal transmission in reduced-form models. (2015). Nielsen, Bent ; Bazinas, Vassili. In: Economics Papers. RePEc:nuf:econwp:1507. Full description at Econpapers \|\| Download paper
2015	Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs. (2015). Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:750. Full description at Econpapers \|\| Download paper
2015	A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of U.S. Banks in 2001-2010. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: MPRA Paper. RePEc:pra:mprapa:66490. Full description at Econpapers \|\| Download paper
2015	LetÃÂs Take the Bias Out of Econometrics. (2015). Qin, Duo. In: Working Papers. RePEc:soa:wpaper:192. Full description at Econpapers \|\| Download paper
2015	Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection. (2015). Kaufmann, Robert ; Pretis, Felix . In: Climatic Change. RePEc:spr:climat:v:131:y:2015:i:4:p:705-718. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Working Papers in Economics. RePEc:cbt:econwp:14/21. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Working Papers in Economics. RePEc:cbt:econwp:14/24. Full description at Econpapers \|\| Download paper
2014	The impact of China on stock returns and volatility in the Taiwan tourism industry. (2014). McAleer, Michael ; Chang, Chia-Lin ; Hsu, Hui-Kuang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:381-401. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, G. G.. In: Econometric Institute Research Papers. RePEc:ems:eureir:51750. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140096. Full description at Econpapers \|\| Download paper
2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20140125. Full description at Econpapers \|\| Download paper
2014	On the Invertibility of EGARCH. (2014). McAleer, Michael ; Martinet, Guillaume Gaetan . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1428. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	On the Stationarity of Dynamic Conditional Correlation Models. (2013). Malongo, Hassan ; Fermanian, Jean-David . In: Working Papers. RePEc:crs:wpaper:2013-26. Full description at Econpapers \|\| Download paper
2013	Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#		Series	Cites

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.