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Journal of Financial Econometrics / Society for Financial Econometrics

1.4

Impact Factor

1.28

5-Years IF

37

5-Years H index

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.04
19910.1000 (%)0.04
19920.09000 (%)0.04
19930.11000 (%)0.05
19940.12000 (%)0.04
19950.19000 (%)0.07
19960.23000 (%)0.09
19970.26000 (%)0.09
19980.28000 (%)0.1
19990.320200 (%)0.13
20000.390100 (%)0.15
20010.39000 (%)0.14
20020.40700 (%)0.17
20030.431919100.53316003 (%)50.260.18
20040.740.480.742443471.091260191419146 (%)200.830.19
20051.190.521.192770861.23690435143513 (%)110.410.2
20061.690.511.6924941601.715735186701186 (%)271.130.2
20071.940.451.78101041861.792285199941672 (%)50.50.18
20082.910.482.53211252872.332934991042631 (%)20.10.2
20091.580.492.8241493622.4374231491062976 (%)200.830.19
20101.20.462.13331823341.842494554106226 (%)90.270.17
20111.30.492.22232054472.1830557741122492 (%)170.740.19
20121.140.521.64292344802.051675664111182 (%)90.310.19
20131.250.581.74232576282.4422852651302261 (%)150.650.2
20141.290.61.95262837442.63665267132257 (%)40.150.2
20151.120.611.12343177142.251774955134150 (%)230.680.19
20161.170.681.4333508122.321226070135189 (%)160.480.2
20171.40.731.28293797301.9386794145186 (%)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:

#YearTitleCited
12006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

545
22009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

519
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

462
42006Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30.

Full description at Econpapers || Download paper

330
52005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

250
62006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

186
72004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

162
82004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

140
92006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

124
102005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

110
112004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

107
122004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

101
132007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

92
142009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

83
152004Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250.

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80
162006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

Full description at Econpapers || Download paper

80
172003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

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68
182007Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104.

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63
192006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

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61
202010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

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61
212004Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342.

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59
222006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

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58
232004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

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56
242006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670.

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56
252009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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53
262005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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52
272008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

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51
282008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

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49
292003Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54.

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43
302011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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42
312005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

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42
322006Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493.

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41
332003Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188.

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40
342003The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470.

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40
352008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

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39
362010Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546.

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38
372004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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37
382008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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36
392012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

Full description at Econpapers || Download paper

36
402005Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes. (2005). Oomen, Roel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:555-577.

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35
412012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

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35
422011Risk-Price Dynamics. (2011). Scheinkman, Jose ; Borovička, Jaroslav ; Boroviska, Jaroslav ; Hendricks, Mark. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:3-65.

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34
432005A Test for Symmetry with Leptokurtic Financial Data. (2005). Premaratne, Gamini. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:169-187.

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33
442013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

Full description at Econpapers || Download paper

33
452011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

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31
462016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127..

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30
472015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

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30
482013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

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29
492010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449.

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29
502005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255.

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29

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

#YearTitleCited
12009A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196.

Full description at Econpapers || Download paper

215
22006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572.

Full description at Econpapers || Download paper

172
32004Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

89
52005The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499.

Full description at Econpapers || Download paper

76
62006Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384.

Full description at Econpapers || Download paper

50
72006Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89.

Full description at Econpapers || Download paper

49
82004Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108.

Full description at Econpapers || Download paper

39
92004How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83.

Full description at Econpapers || Download paper

39
102004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168.

Full description at Econpapers || Download paper

37
112016Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127..

Full description at Econpapers || Download paper

28
122009Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andréas ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480.

Full description at Econpapers || Download paper

28
132015Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375..

Full description at Econpapers || Download paper

28
142010Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56.

Full description at Econpapers || Download paper

24
152012Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512.

Full description at Econpapers || Download paper

24
162004A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530.

Full description at Econpapers || Download paper

23
172006The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309.

Full description at Econpapers || Download paper

23
182005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554.

Full description at Econpapers || Download paper

22
192015Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; Jens H. E. Christensen, ; GlennD. Rudebusch, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259..

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21
202013Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521.

Full description at Econpapers || Download paper

20
212008Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252.

Full description at Econpapers || Download paper

18
222007Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67.

Full description at Econpapers || Download paper

18
232012The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures. (2012). Scharth, Marcel ; Koopman, Siem Jan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2012:i:1:p:76-115.

Full description at Econpapers || Download paper

18
242015Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721..

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17
252016Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352..

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17
262006Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274.

Full description at Econpapers || Download paper

17
272011Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656.

Full description at Econpapers || Download paper

16
282016On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802..

Full description at Econpapers || Download paper

15
292013Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. (2013). Santos, Andre ; Ruiz, Esther ; Nogales, Francisco J.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:400-441.

Full description at Econpapers || Download paper

15
302008Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207.

Full description at Econpapers || Download paper

15
312003Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25.

Full description at Econpapers || Download paper

15
322008Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360.

Full description at Econpapers || Download paper

15
332008Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406.

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14
342011Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343.

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352009Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411.

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13
362016Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns. (2016). Burnside, Craig. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:295-330..

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372004Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492.

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12
382013Modeling Realized Covariances and Returns. (2013). Maheu, John ; Jin, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369.

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392010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449.

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402012Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test. (2012). Wong, Wing-Keung ; Zitikis, Ricardas ; Bai, Zhidong ; Hui, Yongchang. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:4:p:703-732.

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12
412013Volatility Threshold Dynamic Conditional Correlations: An International Analysis. (2013). Caporin, Massimiliano ; Kasch, Maria . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:4:p:706-742.

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12
422006Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670.

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11
432005Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628.

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11
442005Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421.

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452013The Price Impact of Order Book Events. (2013). Kukanov, Arseniy ; Stoikov, Sasha ; Cont, Rama. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2013:i:1:p:47-88.

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462015Asset Pricing with a General Multifactor Structure. (2015). Bai, Jushan ; Ando, Tomohiro. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:556-604..

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472006Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449.

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482004Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564.

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492011Long-Term Skewness and Systemic Risk. (2011). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:3:p:437-468.

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502008Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107.

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Citing documents used to compute impact factor 94:

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2017Bayesian estimation of state space models using moment conditions. (2017). Ragusa, Giuseppe ; Gallant, Ronald A ; Giacomini, Raffaella. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:198-211.

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2017An exploratory study of consumers’ perceptions: What are affordable luxuries?. (2017). Mundel, Juan ; Vodermeier, Michael ; Huddleston, Patricia. In: Journal of Retailing and Consumer Services. RePEc:eee:joreco:v:35:y:2017:i:c:p:68-75.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482.

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2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

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2017Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201753.

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2017Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market. (2017). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1145-x.

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2017Sovereign tail risk. (2017). Moreno, Antonio ; Lopez-Espinosa, German ; Valderrama, Laura ; Rubia, Antonio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:174-188.

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2017Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Carcel, Hector ; Aye, Goodness C. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:53-57.

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2017Evidence of persistence in U.S. short and long-term interest rates. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:5:p:775-789.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: NBER Working Papers. RePEc:nbr:nberwo:23227.

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2017Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12085.

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2017Inference on Risk Premia in the Presence of Omitted Factors. (2017). Giglio, Stefano ; Xiu, Dacheng. In: NBER Working Papers. RePEc:nbr:nberwo:23527.

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2017Betting Against Alpha. (2017). Horenstein, Alex. In: Working Papers. RePEc:mia:wpaper:2017-13.

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2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2017_1711.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2018_1711.

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2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

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2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2017A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US. (2017). Selmi, Refk ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201747.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Stocks and bonds during the gold standard. (2017). le Bris, David ; Rezaee, Amir. In: Economics Letters. RePEc:eee:ecolet:v:159:y:2017:i:c:p:119-122.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Sabtchevsky, Petar ; Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2017THE POOREST IN THE WORLD PAYS FOR CRISIS. (2017). Gherbove, Sergiu. In: Journal of Financial and Monetary Economics. RePEc:vls:rojfme:v:4:y:2017:i:1:p:141-148.

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2017Macroeconomic and financial effects of oil price shocks: Evidence for the euro area. (2017). MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:82-96.

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2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

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2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

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2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

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2017Refined Measures of Dynamic Connectedness based on TVP-VAR. (2017). Gabauer, David ; Antonakakis, Nikolaos. In: MPRA Paper. RePEc:pra:mprapa:78282.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2017Interconnectedness of Global Systemically-Important Banks and Insurers. (2017). Xu, TengTeng ; Malik, Sheheryar. In: IMF Working Papers. RePEc:imf:imfwpa:17/210.

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2017Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433.

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2017Volatility spillover and multivariate volatility impulse response analysis of GFC news events. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:33:p:3246-3262.

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2017Signed spillover effects building on historical decompositions. (2017). Siklos, Pierre ; Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: CAMA Working Papers. RePEc:een:camaaa:2017-52.

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2017Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Mensi, walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:476-495.

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2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sanghoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

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2017Does the CBOE Volatility Index Predict Downside Risk at the Tokyo Stock Exchange?. (2017). Tsuji, Chikashi. In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:3:p:1-7.

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2017The Double-Edged Sword of Global Integration: Robustness, Fragility & Contagion in the International Firm Network. (2017). Yung, Julieta ; Grant, Everett. In: Globalization Institute Working Papers. RePEc:fip:feddgw:313.

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2017Testing for asymmetry in betas of cumulative returns: Impact of the financial crisis and crude oil price. (2017). Piotr, Kokoszka ; Ben, Zheng ; Hong, Miao . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:34:y:2017:i:1-2:p:33-53:n:5.

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2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-599.

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2017The shape of small sample biases in pricing kernel estimations. (2017). , Dietmar. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:943-958.

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2017A simple nonlinear predictive model for stock returns. (2017). GAO, Jiti ; Cai, Biqing. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-18.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2017Speculative bubbles or market fundamentals? An investigation of US regional housing markets. (2017). Shi, Shuping. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:101-111.

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2017Competition in the stock market with asymmetric information. (2017). Wang, Wanbin Walter . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:40-49.

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2017Is there a financial news risk premium in Islamic stocks?. (2017). Narayan, Seema ; Bannigidadmath, Deepa ; Bach, Dinh Hoang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:42:y:2017:i:c:p:158-170.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Effects of Jumps and Small Noise in High-Frequency Financial Econometrics. (2017). Kunitomo, Naoto ; Kurisu, Daisuke . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:1:d:10.1007_s10690-017-9223-4.

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2017TESTING GARCH-X TYPE MODELS. (2017). Pedersen, Rasmus Sondergaard ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2017What do the shadow rates tell us about future inflation?. (2017). Kuusela, Annika ; Hännikäinen, Jari ; Hannikainen, Jari. In: MPRA Paper. RePEc:pra:mprapa:80542.

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2017Below the zero lower bound: a shadow-rate term structure model for the euro area. (2017). Lemke, Wolfgang ; Vladu, Andreea Liliana . In: Working Paper Series. RePEc:ecb:ecbwps:20171991.

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2017Term Structure Models with Negative Interest Rates. (2017). Ueno, Yoichi . In: IMES Discussion Paper Series. RePEc:ime:imedps:17-e-01.

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2017Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium. (2017). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:100-106.

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2017The TIPS Liquidity Premium. (2017). Andreasen, Martin M ; Riddell, Simon . In: CREATES Research Papers. RePEc:aah:create:2017-27.

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2017Term Structure Analysis with Big Data. (2017). Rudebusch, Glenn ; Christensen, Jens ; Andreasen, Martin. In: Working Paper Series. RePEc:fip:fedfwp:2017-21.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2017Estimating the real effects of uncertainty shocks at the Zero Lower Bound. (2017). Pellegrino, Giovanni ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:257-272.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Casas, Isabel ; Orbe, Susan ; Ferreira, Eva. In: CREATES Research Papers. RePEc:aah:create:2017-33.

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2017Multi-level factor analysis of bond risk premia. (2017). Kim, Yunjung ; Yuhyeon, Bak ; Yunjung, Kim. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:5:p:19:n:2.

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2017Copula-Based Factor Models for Multivariate Asset Returns. (2017). Ivanov, Eugen ; Ramsauer, Franz ; Min, Aleksey . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:20-:d:98854.

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2017Simultaneous Spatial Panel Data Models with Common Shocks. (2017). Lu, Lina. In: Risk and Policy Analysis Unit Working Paper. RePEc:fip:fedbqu:rpa17-3.

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2017Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: MPRA Paper. RePEc:pra:mprapa:81453.

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2017Testing time series for the bubbles (with application to Russian data). (2017). Skrobotov, Anton ; Sinelnikova-Muryleva, Elena. In: Applied Econometrics. RePEc:ris:apltrx:0319.

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2017Do cointegrated commodities bubble together? the case of hog, corn, and soybean. (2017). Bagnarosa, Guillaume ; Dowling, Michael ; Alexakis, Christos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:96-102.

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2017Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. (2017). Mellado, Cristhian ; Escobari, Diego ; Garcia, Sergio . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:90-101.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Illiquidity in the Japan Electric Power Exchange. (2017). Ikeda, Shin ; Suke, Ikeda Shin. In: Discussion papers. RePEc:eti:dpaper:17122.

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2017The Real Exchange Rate, the Ghanaian Trade Balance, and the J-curve. (2017). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: MPRA Paper. RePEc:pra:mprapa:78211.

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2017Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:199-211.

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2017Selecting exchange rate fundamentals by bootstrap. (2017). Ribeiro, Pinho. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:894-914.

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2017Uncertainty-driven business cycles: assessing the markup channel. (2017). Pfeifer, Johannes ; Born, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11745.

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2017Uncertainty-driven Business Cycles: Assessing the Markup Channel. (2017). Pfeifer, Johannes ; Born, Benjamin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6303.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2017Can investors gain from investing in certain sectors?. (2017). Narayan, Seema ; Ahmed, Huson Ali . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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Recent citations (cites in year: CiY)

Recent citations received in 2017
YearCiting document

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

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2016Comovements and Volatility Spillover in Commodity Markets. (2016). Wu, Ximing ; Chen, Sihong . In: 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts. RePEc:ags:aaea16:235686.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1612.08488.

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

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2016Identification and inference in two-pass asset pricing models. (2016). Khalaf, Lynda ; Schaller, Huntley . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:165-177.

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2016Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Nucera, Federico ; Lucas, Andre ; Koopman, Siem Jan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2016Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Barunik, Jozef ; Koenda, Even. In: Journal of Financial Markets. RePEc:eee:finmar:v:27:y:2016:i:c:p:55-78.

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

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2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

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2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices. (2016). Aktham, Maghyereh ; Cherif, Guermat ; Awartani, Basel. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:56-69.

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2016Median Response to Shocks: A Model for VaR Spillovers in East Asia. (2016). Ugolini, Andrea ; Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_01.

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2016Credit Constraints, Growth and Inequality Dynamics. (2016). GUPTA, RANGAN ; Christiansen, Charlotte ; Asgharian, Hossein ; Jun, AI. In: Working Papers. RePEc:pre:wpaper:201672.

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2016Does final energy demand in Portugal exhibit long memory? A fractional integration analysis. (2016). Pereira, Alfredo ; Belbute, José. In: Portuguese Economic Journal. RePEc:spr:portec:v:15:y:2016:i:2:d:10.1007_s10258-016-0118-5.

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2016Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market. (2016). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Working Papers. RePEc:urv:wpaper:2072/261538.

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2016Bayesian nonparametric sparse seemingly unrelated regression model (SUR). (2016). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Working Papers. RePEc:ven:wpaper:2016:20.

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

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

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

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2015Approximate Bayesian Computation for a Class of Time Series Models. (2015). Jasra, Ajay. In: International Statistical Review. RePEc:bla:istatr:v:83:y:2015:i:3:p:405-435.

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

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

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

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

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

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

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2015The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

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

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

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

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

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

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

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

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

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

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

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

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

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

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2014Forecasting daily return densities from intraday data: A multifractal approach. (2014). Olmo, Jose ; Hallam, Mark. In: International Journal of Forecasting. RePEc:eee:intfor:v:30:y:2014:i:4:p:863-881.

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

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

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