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DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística

0.31

Impact Factor

0.2

5-Years IF

8

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.04
19920.133100 (%)0.05
19930.13283110.0312335 (41.7%)10.040.06
19940.030.140.03195020.0443113113 (75%)10.050.06
19950.090.170.08267640.0594745043 (33.3%)0.1
19960.040.220.072510180.08254527654 (16%)30.120.09
19970.060.220.052712880.0645513101511 (24.4%)20.070.09
19980.250.240.1333161200.123452131251610 (29.4%)40.120.12
19990.250.30.1534195210.11286015130192 (7.1%)10.030.15
20000.150.360.0932227150.07136710145133 (23.1%)20.060.14
20010.060.360.1129256240.0955664151177 (12.7%)30.10.16
20020.070.370.061126790.03166141559 (%)0.18
20030.080.390.0417284150.051340313965 (38.5%)20.120.19
20040.210.40.0717301180.062828612388 (28.6%)20.120.18
20050.090.420.1211312170.058343106131 (12.5%)0.2
20060.210.450.1419331180.051628685123 (18.8%)20.110.19
20070.070.380.0818349120.0383027561 (12.5%)20.110.16
20080.080.390.1326375230.06737382111 (14.3%)0.17
20090.020.360.0923398160.04114419181 (9.1%)0.17
20100.020.340.0426424130.03224919741 (4.5%)0.15
20110.080.40.0428452160.042449411253 (12.5%)10.040.19
20120.20.440.1120472260.06155411121135 (33.3%)10.050.2
20130.150.490.1531503290.0624487123194 (16.7%)20.060.2
20140.180.520.1223526270.05751912815 (%)0.23
20150.110.540.1322548270.0516546128164 (25%)0.24
20160.090.60.0614562190.03645412484 (66.7%)0.27
20170.310.640.219581380.0733611110222 (66.7%)0.28
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
11997Threshold unit root models. (1997). Gonzalez-Rozada, Martin ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6214.

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17
22001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

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17
31999On the asymptotic theory of subsampling. (1999). Wolf, Michael ; Politis, Dimitris N ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6334.

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17
42001Multivariate analysis in vector time series. (2001). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws012415.

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10
52010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

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9
62004Econometric modelling for short-term inflation forecasting in the EMU.. (2004). Espasa, Antoni ; Albacete, Rebeca . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws034309.

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9
72015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

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8
82004Variance changes detection in multivariate time series. (2004). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws041305.

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8
92001GMM estimation of a production function with panel data : an application to Spanish manufacturing firms. (2001). Sánchez-Mangas, Rocío ; Alonso-Borrego, César ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws015527.

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8
102001Forecasting inflation in the european monetary union: a disaggregated approach by countries and by sectors. (2001). Espasa, Antoni ; Albacete, R. ; Senra, E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws013723.

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7
111997Nonlinear cointegration with mixing errors. (1997). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6204.

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7
121996Nonlinear cointegration and nonlinear error correction. (1996). Escribano, Alvaro ; Mira, Santiago . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4546.

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7
132006Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws066016.

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6
141998The correlogram of a long memory process plus a simple noise. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:9820.

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6
151996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks. (1996). Ng, Serena ; Gonzalo, Jesus. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6203.

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6
162010A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation. (2010). Galeano, Pedro ; Ausin, Concepcion ; Ghosh, Pulak. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103822.

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6
172002Estimation methods for stochastic volatility models: a survey. (2002). Ruiz, Esther ; Broto, Carmen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws025414.

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6
182002Forecasting monthly us consumer price indexes through a disaggregated I(2) analysis. (2002). Poncela, Pilar ; Espasa, Antoni ; Senra, E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws020301.

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5
192013The Mahalanobis distance for functional data with applications to classification. (2013). Galeano, Pedro ; Joseph, Esdras ; Lillo, Rosa E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131312.

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5
202001Is stochastic volatility more flexible than garch?. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010805.

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5
212002Pseudo-maximum likelihood estimation of a dynamic structural investment model. (2002). Sánchez-Mangas, Rocío ; Sanchez-Mangas, Rocio . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws026218.

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5
221996P-values for non-standard distributions with an application to the DF test. (1996). Gonzalo, Jesus ; Adda, Jerome. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4541.

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5
232008Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws087326.

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4
242013Correlations between oil and stock markets : a wavelet-based approach. (2013). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130504.

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4
252011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

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4
261998Searching for fractional evidence using combined unit root tests. (1998). Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10613.

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4
272004Stochastic volatility models and the Taylor effect. (2004). Ruiz, Esther ; Mora-Galan, Alberto ; Perez, Ana . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws046315.

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4
282016Discovering common trends in a large set of disaggregates: statistical procedures and their properties. (2016). Espasa, Antoni ; Carlomagno, Guillermo. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1519.

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4
291998Subsampling confidence intervals for the autoregressive root. (1998). Wolf, Michael ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6268.

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4
301997ECM tests for cointegration in a single equation framework. (1997). Dolado, Juan ; Banerjee, Anindya ; Mestre, Ricardo. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10607.

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4
312013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

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4
322005Forecasting inflation in the euro area using monthly time series models and quarterly econometric models. (2005). Espasa, Antoni ; Albacete, Rebeca . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws050401.

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4
332000Notes on time serie analysis, ARIMA models and signal extraction. (2000). Maravall, Agustin ; Kaiser, Regina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:10058.

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3
341999Labor contracts and flexibility : evidence from a labor markt reform in Spain. (1999). Alonso-Borrego, César ; Aguirregabiria, Victor. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6302.

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3
352012Bayesian estimation of inefficiency heterogeneity in stochastic frontier models. (2012). Veiga, Helena ; Galan, Jorge ; Wiper, Michael P.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121007.

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3
362011Interacting multiple -- Try algorithms with different proposal distributions. (2011). Casarin, Roberto ; Leisen, Fabrizio ; Craiu, Radu . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws110402.

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3
371997On the properties of the Dickey-Pantula test against fractional alternatives. (1997). Dolado, Juan ; Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4549.

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3
382011Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems. (2011). Breto, Carles ; Ionides, Edward L.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws111914.

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3
392009Small area estimation on poverty indicators. (2009). Molina, Isabel ; J. N. K. Rao, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws091505.

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3
402003Detecting level shifts in the presence of conditional heteroscedasticity.. (2003). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws036313.

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3
411998Asymptotic and bootstrap specification tests of nonlinear in variable econometric models. (1998). Lavergne, Pascal ; Dominguez, Manuel A ; Delgado, Miguel A. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4674.

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3
422011Bootstrap forecast of multivariate VAR models without using the backward representation. (2011). Ruiz, Esther ; Fresoli, Diego ; Pascual, Lorenzo . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws113426.

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3
431996Automatic modelling of daily series of economic activity. (1996). Espasa, Antoni ; Cancelo, Jose Ramon ; Revuelta, Manuel J. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:3356.

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3
442006On the concept of depth for functional data. (2006). Romo, Juan ; Lopez-Pintado, Sara . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws063012.

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3
452012Portfolio selection through and extremality stochastic order. (2012). Pellerey, Franco ; Lillo, Rosa E. ; Romo, Juan ; Laniado, Henry. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121812.

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3
462009Wavelet-based detection of outliers in volatility models. (2009). Veiga, Helena ; Grane, Aurea . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws090403.

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3
472003Generalized spectral tests for the martingale difference hypothesis. (2003). Velasco, Carlos ; Escanciano, Juan Carlos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws035312.

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3
481998FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes. (1998). Dolado, Juan ; Marmol, Francesc . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:4672.

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3
492006Modelling monetary transmission in UK manufacturing industry. (2006). Tremayne, Andrew ; Tena, Juan de Dios. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws062911.

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3
502012National minimum wage and labour market outcomes of young workers. (2012). Tena, Juan de Dios ; Fidrmuc, Jan ; Juan de Dios Tena, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws121209.

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3

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

#YearTitleCited
11999On the asymptotic theory of subsampling. (1999). Wolf, Michael ; Politis, Dimitris N ; Romano, Joseph P. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:6334.

Full description at Econpapers || Download paper

10
22015A Directional Multivariate Value at Risk. (2015). Laniado, Henry ; Lillo, Rosa E. ; Torres, Raul. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1501.

Full description at Econpapers || Download paper

8
32013The Mahalanobis distance for functional data with applications to classification. (2013). Galeano, Pedro ; Joseph, Esdras ; Lillo, Rosa E.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131312.

Full description at Econpapers || Download paper

4
42016Discovering common trends in a large set of disaggregates: statistical procedures and their properties. (2016). Espasa, Antoni ; Carlomagno, Guillermo. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1519.

Full description at Econpapers || Download paper

3
52013Correlations between oil and stock markets : a wavelet-based approach. (2013). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130504.

Full description at Econpapers || Download paper

3
62009Small area estimation on poverty indicators. (2009). Molina, Isabel ; J. N. K. Rao, . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws091505.

Full description at Econpapers || Download paper

2
72001Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws010704.

Full description at Econpapers || Download paper

2
82001Multivariate analysis in vector time series. (2001). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws012415.

Full description at Econpapers || Download paper

2
92013Lasso variable selection in functional regression. (2013). Romo, Juan ; Lillo, Rosa E. ; Mingotti, Nicola . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws131413.

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2
102004Variance changes detection in multivariate time series. (2004). Galeano, Pedro ; Pea, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws041305.

Full description at Econpapers || Download paper

2
112015MGARCH models: tradeoff between feasibility and flexibility. (2015). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1516.

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2
122013A multivariate extension of a vector of Poisson- Dirichlet processes. (2013). Leisen, Frabrizio ; Zhu, W.. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws132220.

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2
132010First passage of a Markov additive process and generalized Jordan chains. (2010). D'Auria, Bernardo ; Kella, Offer ; Mandjes, Michel ; Ivanovs, Jevgenijs . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws103923.

Full description at Econpapers || Download paper

2
142013Predictability of stock market activity using Google search queries. (2013). Veiga, Helena ; Ramos, Sofia ; Latoeiro, Pedro . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws130605.

Full description at Econpapers || Download paper

2
152015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws1523.

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2
162012More is not always better : back to the Kalman filter in dynamic factor models. (2012). Ruiz, Esther ; Poncela, Pilar. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws122317.

Full description at Econpapers || Download paper

2
172011Improving quality assessment of composite indicators in university rankings: a case study of French and German universities of excellence. (2011). Benito, Monica ; Romera, Rosario . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:ws112015.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 11:

YearTitle
2017Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis. (2017). Espasa, Antoni ; Senra, Eva . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:44-:d:114224.

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2017Discovering pervasive and non-pervasive common cycles. (2017). Terrades, Antoni Espasa ; Real, Guillermo Carlomagno. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:25392.

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201722 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis. (2017). Espasa, Antoni ; Terrades, Antoni Espasa ; Senra, Eva . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24678.

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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2017Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas . In: Papers. RePEc:arx:papers:1610.07694.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Merakli, Merve ; Kucukyavuz, Simge . In: Papers. RePEc:arx:papers:1708.01324.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:958-969.

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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2017Evaluating significant effects from alternative seeding systems : a Bayesian approach, with an application to the UEFA Champions League. (2017). Tena, Juan de Dios ; Corona, Francisco ; Forrest, David ; de Dios, Juan ; Wiper, Michael Peter. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24521.

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

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

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team