0.33
Impact Factor
0.82
5-Years IF
10
5-Years H index
Econometrics / MDPI, Open Access Journal
[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 | 0.1 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.12 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.26 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.28 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.32 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2001 | 0.39 | 0 | 0 | 0 | (%) | 0.14 | ||||||||||
| 2002 | 0.4 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2003 | 0.43 | 0 | 0 | 0 | (%) | 0.18 | ||||||||||
| 2004 | 0.48 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2005 | 0.52 | 0 | 0 | 0 | (%) | 0.2 | ||||||||||
| 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 | 0.49 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2010 | 0.46 | 0 | 0 | 0 | (%) | 0.17 | ||||||||||
| 2011 | 0.49 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2012 | 0.52 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2013 | 0.58 | 13 | 13 | 2 | 0.15 | 129 | 0 | 0 | 2 (1.6%) | 2 | 0.15 | 0.2 | ||||
| 2014 |  1.85 | 0.6 | 1.85 | 12 | 25 | 32 | 1.28 | 190 | 13 | 24 | 13 | 24 | 10 (5.3%) | 8 | 0.67 | 0.2 |
| 2015 | 1.84 | 0.61 | 1.84 | 46 | 71 | 71 | 1 | 93 | 25 | 46 | 25 | 46 | 15 (16.1%) | 13 | 0.28 | 0.19 |
| 2016 | 1.53 | 0.68 | 1.75 | 87 | 158 | 151 | 0.96 | 38 | 58 | 89 | 71 | 124 | 5 (13.2%) | 8 | 0.09 | 0.2 |
| 2017 |  0.33 | 0.73 | 0.82 | 54 | 212 | 183 | 0.86 | 51 | 133 | 44 | 158 | 130 | 5 (9.8%) | 22 | 0.41 | 0.22 |
| 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 | 77 |
| 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 | 66 |
| 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 | 62 |
| 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 | 50 |
| 5 | 2015 | Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers || Download paper | 38 |
| 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 | 32 |
| 7 | 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 | 20 |
| 8 | 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 | 14 |
| 9 | 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 | 14 |
| 10 | 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 | 10 |
| 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 | 10 |
| 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 | 10 |
| 13 | 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 | 6 |
| 14 | 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 | 6 |
| 15 | 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 | 5 |
| 16 | 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 | 5 |
| 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 | 5 |
| 18 | 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 | 5 |
| 19 | 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 | 5 |
| 20 | 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 | 5 |
| 21 | 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 |
| 22 | 2016 | A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; 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 |
| 23 | 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 | 4 |
| 24 | 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 | 4 |
| 25 | 2017 | Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597. Full description at Econpapers || Download paper | 4 |
| 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 | 3 |
| 27 | 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 | 3 |
| 28 | 2017 | Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537. Full description at Econpapers || Download paper | 3 |
| 29 | 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 | 3 |
| 30 | 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 | 3 |
| 31 | 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 | 3 |
| 32 | 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 |
| 33 | 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 | 3 |
| 34 | 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 | 3 |
| 35 | 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 | 3 |
| 36 | 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 | 2 |
| 37 | 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 |
| 38 | 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 | 2 |
| 39 | 2016 | Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730. Full description at Econpapers || Download paper | 2 |
| 40 | 2018 | Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033. Full description at Econpapers || Download paper | 2 |
| 41 | 2015 | A Jackknife Correction to a Test for Cointegration Rank. (2015). Chambers, Marcus. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:355-375:d:49830. Full description at Econpapers || Download paper | 2 |
| 42 | 2017 | On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply. (2017). von zur Muehlen, Peter ; Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:32-:d:105097. Full description at Econpapers || Download paper | 2 |
| 43 | 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 |
| 44 | 2016 | Oil Price and Economic Growth: A Long Story?. (2016). Montañés, Antonio ; Gómez-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 |
| 45 | 2015 | The SAR Model for Very Large Datasets: A Reduced Rank Approach. (2015). Steel, David G. ; Burden, Sandy ; Cressie, Noel. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:317-338:d:49389. Full description at Econpapers || Download paper | 2 |
| 46 | 2017 | Reducing Approximation Error in the Fourier Flexible Functional Form. (2017). Skolrud, Tristan. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:53-:d:121445. Full description at Econpapers || Download paper | 2 |
| 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:11:d:65219. Full description at Econpapers || Download paper | 2 |
| 48 | 2017 | Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610. Full description at Econpapers || Download paper | 2 |
| 49 | 2016 | Parallelization 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. Full description at Econpapers || Download paper | 2 |
| 50 | 2017 | Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries. (2017). Montañés, Antonio ; Gadea, MarÃÂa ; Clemente Lopez, Jesus ; Reyes, Marcelo ; Montaes, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640. Full description at Econpapers || Download paper | 2 |
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 | 60 |
| 2 | 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 | 58 |
| 3 | 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 | 45 |
| 4 | 2015 | Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers || Download paper | 34 |
| 5 | 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 | 33 |
| 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 | 26 |
| 7 | 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 | 20 |
| 8 | 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 | 11 |
| 9 | 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 | 10 |
| 10 | 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 | 6 |
| 11 | 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 | 6 |
| 12 | 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 | 6 |
| 13 | 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 | 6 |
| 14 | 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 | 5 |
| 15 | 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 | 5 |
| 16 | 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 | 5 |
| 17 | 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 | 5 |
| 18 | 2016 | A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; 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 |
| 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 | 4 |
| 20 | 2017 | Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597. Full description at Econpapers || Download paper | 4 |
| 21 | 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 |
| 22 | 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 | 3 |
| 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 | 3 |
| 24 | 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 |
| 25 | 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 |
| 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 | 3 |
| 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 | 3 |
| 28 | 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 | 3 |
| 29 | 2017 | Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537. Full description at Econpapers || Download paper | 3 |
| 30 | 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 | 3 |
| 31 | 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 | 3 |
| 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 | 2017 | Reducing Approximation Error in the Fourier Flexible Functional Form. (2017). Skolrud, Tristan. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:53-:d:121445. Full description at Econpapers || Download paper | 2 |
| 34 | 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 |
| 35 | 2015 | A Jackknife Correction to a Test for Cointegration Rank. (2015). Chambers, Marcus. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:355-375:d:49830. Full description at Econpapers || Download paper | 2 |
| 36 | 2016 | Oil Price and Economic Growth: A Long Story?. (2016). Montañés, Antonio ; Gómez-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 |
| 37 | 2017 | Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries. (2017). Montañés, Antonio ; Gadea, MarÃÂa ; Clemente Lopez, Jesus ; Reyes, Marcelo ; Montaes, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640. Full description at Econpapers || Download paper | 2 |
| 38 | 2016 | Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730. Full description at Econpapers || Download paper | 2 |
| 39 | 2015 | The SAR Model for Very Large Datasets: A Reduced Rank Approach. (2015). Steel, David G. ; Burden, Sandy ; Cressie, Noel. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:317-338:d:49389. Full description at Econpapers || Download paper | 2 |
| 40 | 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:11:d:65219. Full description at Econpapers || Download paper | 2 |
| 41 | 2018 | Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033. Full description at Econpapers || Download paper | 2 |
| 42 | 2017 | Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting. (2017). Schamberger, Benedikt ; Czado, Claudia ; Gruber, Lutz F. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:21-:d:99406. Full description at Econpapers || Download paper | 2 |
| 43 | 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 |
| 44 | 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 |
| 45 | 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 | 2 |
| 46 | 2016 | Parallelization 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. Full description at Econpapers || Download paper | 2 |
| 47 | 2017 | Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610. Full description at Econpapers || Download paper | 2 |
| 48 | 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 | 2 |
| 49 | 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 | 2 |
| 50 | 2017 | On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply. (2017). von zur Muehlen, Peter ; Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:32-:d:105097. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 44:
| Year | Title | |
|---|---|---|
| 2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1726. Full description at Econpapers || Download paper | |
| 2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576. Full description at Econpapers || Download paper | |
| 2017 | Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105. Full description at Econpapers || Download paper | |
| 2017 | Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610. Full description at Econpapers || Download paper | |
| 2017 | Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620. Full description at Econpapers || Download paper | |
| 2017 | Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190. Full description at Econpapers || Download paper | |
| 2017 | A Low Price Correction for Improved Volatility Estimation and Forecasting. (2017). Siouris, George-Jason ; Karagrigoriou, Alex . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:45-:d:110079. Full description at Econpapers || Download paper | |
| 2017 | FORECASTING VALUE-AT-RISK WITH TWO-STEP METHOD: GARCH-EXPONENTIATED ODD LOG-LOGISTIC NORMAL MODEL. (2017). Altun, Emrah ; Maksayi, Najmieh ; Tatlidil, Huseyin ; Ozel, Gamze ; Alizadeh, Morad. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:4:p:97-115. Full description at Econpapers || Download paper | |
| 2017 | Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs. (2017). Leiva-Leon, Danilo. In: Occasional Papers. RePEc:bde:opaper:1706. Full description at Econpapers || Download paper | |
| 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 | |
| 2017 | Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2017). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:371-385. Full description at Econpapers || Download paper | |
| 2017 | A BOOTSTRAP BIAS CORRECTION OF LONG RUN FOURTH ORDER MOMENT ESTIMATION IN THE CUSUM OF SQUARES TEST. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0220. Full description at Econpapers || Download paper | |
| 2017 | STRUCTURAL CHANGE, AGGREGATE DEMAND AND THE DECLINE OF LABOUR PRODUCTIVITY: A COMPARATIVE PERSPECTIVE. (2017). Tridico, Pasquale ; Pariboni, Riccardo. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0221. Full description at Econpapers || Download paper | |
| 2017 | Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327. Full description at Econpapers || Download paper | |
| 2017 | Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39. Full description at Econpapers || Download paper | |
| 2017 | Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers || Download paper | |
| 2017 | Assessing CO2 emissions in Chinas iron and steel industry: A nonparametric additive regression approach. (2017). Lin, Boqiang ; Xu, Bin. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:72:y:2017:i:c:p:325-337. Full description at Econpapers || Download paper | |
| 2017 | Minimum Risk Point Estimation of Gini Index. (2017). De, Shyamal K ; Chattopadhyay, Bhargab. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:79:y:2017:i:2:d:10.1007_s13571-017-0140-3. Full description at Econpapers || Download paper | |
| 2017 | Instrumental Variables and Causal Mechanisms: Unpacking the Effect of Trade on Workers and Voters. (2017). Pinto, Rodrigo ; Gold, Robert ; Heblich, Stephan ; Dippel, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6816. Full description at Econpapers || Download paper | |
| 2017 | Risk Measurement and Risk Modelling Using Applications of Vine Copulas. (2017). McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1762-:d:113713. Full description at Econpapers || Download paper | |
| 2017 | On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment. (2017). Raunig, Burkhard. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:31-:d:105094. Full description at Econpapers || Download paper | |
| 2017 | Forecasting accuracy evaluation of tourist arrivals. (2017). GUPTA, RANGAN ; Filis, George ; Antonakakis, Nikolaos ; Silva, Emmanuel Sirimal ; Hassani, Hossein. In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:112-127. Full description at Econpapers || Download paper | |
| 2017 | Cross country relations in European tourist arrivals. (2017). Silva, Emmanuel Sirimal ; Hassani, Hossein ; Heravi, Saeed ; Ghodsi, Mansi . In: Annals of Tourism Research. RePEc:eee:anture:v:63:y:2017:i:c:p:151-168. Full description at Econpapers || Download paper | |
| 2017 | Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39. Full description at Econpapers || Download paper | |
| 2017 | Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers || Download paper | |
| 2017 | The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715. Full description at Econpapers || Download paper | |
| 2017 | How Biased Are U.S. Government Forecasts of the Federal Debt?. (2017). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2017-001. Full description at Econpapers || Download paper | |
| 2017 | The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series. (2017). Hendry, David ; Duffy, James . In: Economics Series Working Papers. RePEc:oxf:wpaper:818. Full description at Econpapers || Download paper | |
| 2017 | Economic forecasting in theory and practice: An interview with David F. Hendry. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:523-542. Full description at Econpapers || Download paper | |
| 2017 | How biased are U.S. government forecasts of the federal debt?. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:543-559. Full description at Econpapers || Download paper | |
| 2017 | Interpreting estimates of forecast bias. (2017). Ericsson, Neil. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:563-568. Full description at Econpapers || Download paper | |
| 2017 | Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547. Full description at Econpapers || Download paper | |
| 2017 | Twenty-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. Full description at Econpapers || Download paper | |
| 2017 | How Biased Are U.S. Government Forecasts of the Federal Debt?. (2017). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1189. Full description at Econpapers || Download paper | |
| 2017 | 22 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. Full description at Econpapers || Download paper | |
| 2017 | The impact of integrated measurement errors on modeling long-run macroeconomic time series. (2017). Hendry, David ; Duffy, James A. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:568-587. Full description at Econpapers || Download paper | |
| 2017 | Effects of missing data and locational errors on spatial concentration measures based on Ripleyâs K-function. (2017). Arbia, Giuseppe ; Dickson, Maria Michela ; Giuliani, Diego ; Espa, Giuseppe . In: Spatial Economic Analysis. RePEc:taf:specan:v:12:y:2017:i:2-3:p:326-346. Full description at Econpapers || Download paper | |
| 2017 | Information sharing, neighborhood demarcation, and yardstick competition: an empirical analysis of intergovernmental expenditure interaction in Japan. (2017). Hayashi, Masayoshi ; Yamamoto, Wataru . In: International Tax and Public Finance. RePEc:kap:itaxpf:v:24:y:2017:i:1:d:10.1007_s10797-016-9413-4. Full description at Econpapers || Download paper | |
| 2017 | Testing for a structural break in the weight matrix of the spatial error or spatial lag model. (2017). mur, jesus ; Angulo, Ana ; Burridge, Peter. In: Spatial Economic Analysis. RePEc:taf:specan:v:12:y:2017:i:2-3:p:161-181. Full description at Econpapers || Download paper | |
| 2017 | Maximum Entropy Estimation of Statistical Equilibrium in Economic Quantal Response Models. (2017). Scharfenaker, Ellis ; Foley, Duncan. In: Working Papers. RePEc:new:wpaper:1710. Full description at Econpapers || Download paper | |
| 2017 | On discrete Epanechnikov kernel functions. (2017). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:116:y:2017:i:c:p:79-105. Full description at Econpapers || Download paper | |
| 2017 | Revisiting Forecasting of Recessions via Dynamic Probit for Time Series by Kauppi and Saikkonen (2008). (2017). Zelenyuk, Valentin ; Simar, Leopold ; Park, Byeong U. In: CEPA Working Papers Series. RePEc:qld:uqcepa:120. Full description at Econpapers || Download paper | |
| 2017 | Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation. (2017). Nymoen, Ragnar. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:6-:d:87593. Full description at Econpapers || Download paper | |
| 2017 | Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). BarunÃÂk, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622. Full description at Econpapers || Download paper |
Recent citations (cites in year: CiY)
Recent citations received in 2017
| Year | Citing document | |
|---|---|---|
| 2017 | Bank Size, Returns to Scale and Cost Efficiency. (2017). Sapci, Ayse ; Miles, Bradley . In: Working Papers. RePEc:cgt:wpaper:2017-02. Full description at Econpapers || Download paper | |
| 2017 | CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS. (2017). Jaworski, Piotr ; LIBERADZKI, MARCIN . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68. Full description at Econpapers || Download paper | |
| 2017 | The Economic Consequences of the Brexit Vote. (2017). Sedlacek, Petr ; Müller, Gernot ; Born, Benjamin ; Schularick, Moritz ; Muller, Gernot. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12454. Full description at Econpapers || Download paper | |
| 2017 | Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212. Full description at Econpapers || Download paper | |
| 2017 | Fiscal sustainability in EMU countries: A continued fiscal commitment?. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:85-97. Full description at Econpapers || Download paper | |
| 2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161. Full description at Econpapers || Download paper | |
| 2017 | Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331. Full description at Econpapers || Download paper | |
| 2017 | Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761. Full description at Econpapers || Download paper | |
| 2017 | Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. (2017). Paruolo, Paolo ; Boswijk, H. Peter. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006. Full description at Econpapers || Download paper | |
| 2017 | Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032. Full description at Econpapers || Download paper | |
| 2017 | Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536. Full description at Econpapers || Download paper | |
| 2017 | An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175. Full description at Econpapers || Download paper | |
| 2017 | Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954. Full description at Econpapers || Download paper | |
| 2017 | Synthetic data: an endogeneity simulation. (2017). Carbajal De Nova, Carolina. In: MPRA Paper. RePEc:pra:mprapa:79067. Full description at Econpapers || Download paper | |
| 2017 | Synthetic data: an endogeneity simulation. (2017). de Nova, Carolina Carbajal . In: MPRA Paper. RePEc:pra:mprapa:79158. Full description at Econpapers || Download paper | |
| 2017 | Two Criteria for Good Measurements in Research: Validity and Reliability. (2017). Mohajan, Haradhan. In: MPRA Paper. RePEc:pra:mprapa:83458. Full description at Econpapers || Download paper | |
| 2017 | TWO CRITERIA FOR GOOD MEASUREMENTS IN RESEARCH: VALIDITY AND RELIABILITY. (2017). Mohajan, Haradhan. In: Annals of Spiru Haret University, Economic Series. RePEc:ris:sphecs:0276. Full description at Econpapers || Download paper | |
| 2017 | Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038. Full description at Econpapers || Download paper | |
| 2017 | Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051. Full description at Econpapers || Download paper | |
| 2017 | Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170082. Full description at Econpapers || Download paper | |
| 2017 | Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1715. Full description at Econpapers || Download paper | |
| 2017 | RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE. (2017). Malik, Muhammad Irfan ; Rashid, Abdul. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500075. Full description at Econpapers || Download paper |
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 ; Hall, Stephen ; Gibson, Heather. In: Working Papers. RePEc:bog:wpaper:214. Full description at Econpapers || Download paper | |
| 2016 | Accounting for Urban-Rural Real Food Expenditure Differentials in Cameroon: A Quantile Regression-Based Decomposition. (2016). Wirba, Ebenezer Lemven ; Baye, Francis Menjo. In: EuroEconomica. RePEc:dug:journl:y:2016:i:2:p:61-77. 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 ; Hall, Stephen ; Gibson, Heather. 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). Semmler, Willi ; Schleer, Frauke. 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 | Eliciting GDP Forecasts from the FOMCâs Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1152. 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 ; 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 | 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). Pretis, Felix ; Kaufmann, Robert. 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 |
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.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team