[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]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0 | 0.14 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1991 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1992 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1993 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1994 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1995 | 0 | 0.18 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.11 | |||||
1997 | 0 | 0.23 | 0 | 0 | 0 | 0 | 0 | 2 | 0 | 0 | 0 | 0 | 0.12 | |||||
1998 | 0 | 0.24 | 0 | 0 | 0 | 0 | 0 | 3 | 0 | 0 | 0 | 0 | 0.15 | |||||
1999 | 0 | 0.32 | 0 | 0 | 0 | 0 | 0 | 6 | 0 | 0 | 0 | 0 | 0.21 | |||||
2000 | 0 | 0.46 | 0 | 0 | 0 | 0 | 0 | 7 | 0 | 0 | 0 | 0 | 0.2 | |||||
2001 | 0 | 0.39 | 0 | 0 | 0 | 0 | 0 | 9 | 0 | 0 | 0 | 0 | 0.22 | |||||
2002 | 0 | 0.42 | 0 | 0 | 0 | 0 | 0 | 17 | 0 | 0 | 0 | 0 | 0.24 | |||||
2003 | 0 | 0.41 | 0 | 0 | 0 | 0 | 0 | 25 | 0 | 0 | 0 | 0 | 0.24 | |||||
2004 | 0 | 0.47 | 0 | 0 | 0 | 0 | 0 | 33 | 0 | 0 | 0 | 0 | 0.27 | |||||
2005 | 0 | 0.49 | 0 | 0 | 0 | 0 | 0 | 36 | 0 | 0 | 0 | 0 | 0.29 | |||||
2006 | 0 | 0.48 | 0 | 0 | 0 | 0 | 0 | 44 | 0 | 0 | 0 | 0 | 0.26 | |||||
2007 | 0 | 0.4 | 0.62 | 0 | 45 | 45 | 1003 | 17 | 72 | 0 | 0 | 13 | 76.5 | 17 | 0.38 | 0.22 | ||
2008 | 1.22 | 0.45 | 0.98 | 1.22 | 65 | 110 | 451 | 99 | 180 | 45 | 55 | 45 | 55 | 31 | 31.3 | 33 | 0.51 | 0.23 |
2009 | 0.91 | 0.43 | 0.98 | 0.91 | 60 | 170 | 394 | 159 | 346 | 110 | 100 | 110 | 100 | 56 | 35.2 | 25 | 0.42 | 0.23 |
2010 | 0.57 | 0.37 | 0.7 | 0.74 | 74 | 244 | 271 | 168 | 516 | 125 | 71 | 170 | 125 | 16 | 9.5 | 21 | 0.28 | 0.19 |
2011 | 0.61 | 0.47 | 0.87 | 0.77 | 56 | 300 | 140 | 258 | 778 | 134 | 82 | 244 | 189 | 27 | 10.5 | 14 | 0.25 | 0.25 |
2012 | 0.32 | 0.5 | 0.7 | 0.58 | 56 | 356 | 304 | 243 | 1026 | 130 | 42 | 300 | 175 | 36 | 14.8 | 21 | 0.38 | 0.26 |
2013 | 0.61 | 0.52 | 0.72 | 0.51 | 51 | 407 | 163 | 287 | 1318 | 112 | 68 | 311 | 159 | 24 | 8.4 | 12 | 0.24 | 0.24 |
2014 | 0.7 | 0.55 | 0.72 | 0.56 | 63 | 470 | 190 | 338 | 1657 | 107 | 75 | 297 | 165 | 37 | 10.9 | 25 | 0.4 | 0.28 |
2015 | 0.54 | 0.54 | 0.69 | 0.52 | 57 | 527 | 110 | 363 | 2021 | 114 | 62 | 300 | 156 | 32 | 8.8 | 16 | 0.28 | 0.28 |
2016 | 0.73 | 0.58 | 0.68 | 0.59 | 33 | 560 | 51 | 383 | 2404 | 120 | 88 | 283 | 167 | 32 | 8.4 | 7 | 0.21 | 0.29 |
2017 | 0.46 | 0.6 | 0.57 | 0.57 | 41 | 601 | 29 | 345 | 2749 | 90 | 41 | 260 | 149 | 7 | 2 | 4 | 0.1 | 0.3 |
2018 | 0.45 | 0.62 | 0.42 | 0.36 | 36 | 637 | 18 | 267 | 3016 | 74 | 33 | 245 | 89 | 11 | 4.1 | 2 | 0.06 | 0.33 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until 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: | selft citations in y to articles published in y-1 plus y-2 |
%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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers || Download paper | 470 |
2 | 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers || Download paper | 328 |
3 | 2012 | Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers || Download paper | 116 |
4 | 2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers || Download paper | 107 |
5 | 2008 | Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers || Download paper | 74 |
6 | 2010 | Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers || Download paper | 56 |
7 | 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 56 |
8 | 2013 | The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12. Full description at Econpapers || Download paper | 47 |
9 | 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers || Download paper | 43 |
10 | 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | 37 |
11 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 35 |
12 | 2007 | The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers || Download paper | 33 |
13 | 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers || Download paper | 32 |
14 | 2007 | Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers || Download paper | 27 |
15 | 2008 | Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers || Download paper | 27 |
16 | 2010 | Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13. Full description at Econpapers || Download paper | 27 |
17 | 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 26 |
18 | 2008 | Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63. Full description at Econpapers || Download paper | 25 |
19 | 2009 | Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27. Full description at Econpapers || Download paper | 23 |
20 | 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 23 |
21 | 2011 | Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers || Download paper | 23 |
22 | 2008 | Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers || Download paper | 22 |
23 | 2007 | Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27. Full description at Econpapers || Download paper | 22 |
24 | 2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2013-44. Full description at Econpapers || Download paper | 21 |
25 | 2008 | Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers || Download paper | 21 |
26 | 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers || Download paper | 20 |
27 | 2007 | Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean. In: CREATES Research Papers. RePEc:aah:create:2007-43. Full description at Econpapers || Download paper | 20 |
28 | 2012 | Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16. Full description at Econpapers || Download paper | 20 |
29 | 2015 | Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, MarÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers || Download paper | 19 |
30 | 2007 | Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17. Full description at Econpapers || Download paper | 19 |
31 | 2007 | Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann. In: CREATES Research Papers. RePEc:aah:create:2007-21. Full description at Econpapers || Download paper | 19 |
32 | 2010 | Forecasting with nonlinear time series models. (2010). Teräsvirta, Timo ; Kock, Anders ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2010-01. Full description at Econpapers || Download paper | 17 |
33 | 2007 | The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets. (2007). Nielsen, Morten ; Christensen, Bent Jesper ; Busch, Thomas. In: CREATES Research Papers. RePEc:aah:create:2007-09. Full description at Econpapers || Download paper | 17 |
34 | 2010 | Estimation of Stochastic Volatility Models by Nonparametric Filtering. (2010). Kristensen, Dennis ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2010-67. Full description at Econpapers || Download paper | 17 |
35 | 2012 | Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers || Download paper | 16 |
36 | 2010 | Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21. Full description at Econpapers || Download paper | 16 |
37 | 2009 | On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56. Full description at Econpapers || Download paper | 15 |
38 | 2008 | Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58. Full description at Econpapers || Download paper | 15 |
39 | 2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36. Full description at Econpapers || Download paper | 15 |
40 | 2012 | Modelling electricity dayâahead prices by multivariate Lévy semistationary processes. (2012). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13. Full description at Econpapers || Download paper | 14 |
41 | 2015 | Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15. Full description at Econpapers || Download paper | 14 |
42 | 2009 | Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13. Full description at Econpapers || Download paper | 14 |
43 | 2008 | Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers || Download paper | 14 |
44 | 2009 | Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11. Full description at Econpapers || Download paper | 14 |
45 | 2008 | Maximum likelihood estimation of fractionally cointegrated systems. (2008). Åasak, Katarzyna. In: CREATES Research Papers. RePEc:aah:create:2008-53. Full description at Econpapers || Download paper | 13 |
46 | 2014 | Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27. Full description at Econpapers || Download paper | 13 |
47 | 2008 | Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48. Full description at Econpapers || Download paper | 13 |
48 | 2015 | Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-16. Full description at Econpapers || Download paper | 13 |
49 | 2009 | Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52. Full description at Econpapers || Download paper | 13 |
50 | 2010 | Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility. (2010). Voev, Valeri ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-74. Full description at Econpapers || Download paper | 13 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers || Download paper | 139 |
2 | 2007 | Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers || Download paper | 91 |
3 | 2012 | Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers || Download paper | 53 |
4 | 2009 | The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers || Download paper | 39 |
5 | 2014 | Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers || Download paper | 20 |
6 | 2008 | Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers || Download paper | 20 |
7 | 2009 | Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers || Download paper | 20 |
8 | 2013 | The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12. Full description at Econpapers || Download paper | 17 |
9 | 2015 | Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, MarÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers || Download paper | 15 |
10 | 2012 | Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers || Download paper | 13 |
11 | 2013 | Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers || Download paper | 11 |
12 | 2015 | Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15. Full description at Econpapers || Download paper | 11 |
13 | 2018 | Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34. Full description at Econpapers || Download paper | 10 |
14 | 2013 | On the identification of fractionally cointegrated VAR models with the F(d) condition. (2013). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2013-44. Full description at Econpapers || Download paper | 9 |
15 | 2015 | Identification and estimation of non-Gaussian structural vector autoregressions. (2015). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2015-16. Full description at Econpapers || Download paper | 8 |
16 | 2014 | Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27. Full description at Econpapers || Download paper | 8 |
17 | 2014 | Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers || Download paper | 7 |
18 | 2009 | Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11. Full description at Econpapers || Download paper | 7 |
19 | 2008 | Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers || Download paper | 7 |
20 | 2016 | Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2016-10. Full description at Econpapers || Download paper | 6 |
21 | 2015 | Hybrid scheme for Brownian semistationary processes. (2015). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-43. Full description at Econpapers || Download paper | 6 |
22 | 2014 | Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19. Full description at Econpapers || Download paper | 6 |
23 | 2016 | Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04. Full description at Econpapers || Download paper | 6 |
24 | 2017 | Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers || Download paper | 6 |
25 | 2012 | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models. (2012). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe ; A. M. Robert Taylor, . In: CREATES Research Papers. RePEc:aah:create:2012-36. Full description at Econpapers || Download paper | 6 |
26 | 2014 | Chasing volatility - A persistent multiplicative error model with jumps. (2014). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: CREATES Research Papers. RePEc:aah:create:2014-29. Full description at Econpapers || Download paper | 6 |
27 | 2011 | International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10. Full description at Econpapers || Download paper | 6 |
28 | 2010 | Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21. Full description at Econpapers || Download paper | 5 |
29 | 2014 | Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels. (2014). Christoffersen, Peter ; Babaoglu, Kadir ; Jacobs, Kris ; Heston, Steven L ; Babaoglou, Kadir G. In: CREATES Research Papers. RePEc:aah:create:2015-55. Full description at Econpapers || Download paper | 5 |
30 | 2007 | Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers || Download paper | 5 |
31 | 2007 | The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers || Download paper | 5 |
32 | 2016 | Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30. Full description at Econpapers || Download paper | 5 |
33 | 2016 | A New Index of Housing Sentiment. (2016). Pedersen, Thomas ; Bork, Lasse ; Moller, Stig V. In: CREATES Research Papers. RePEc:aah:create:2016-32. Full description at Econpapers || Download paper | 5 |
34 | 2008 | Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers || Download paper | 5 |
35 | 2008 | Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers || Download paper | 4 |
36 | 2009 | Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers || Download paper | 4 |
37 | 2008 | Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508. (2008). Kristensen, Johannes ; Dahl, Christian ; Bache, Stefan ; Tang, Johannes. In: CREATES Research Papers. RePEc:aah:create:2008-20. Full description at Econpapers || Download paper | 4 |
38 | 2012 | Modelling electricity dayâahead prices by multivariate Lévy semistationary processes. (2012). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2012-13. Full description at Econpapers || Download paper | 4 |
39 | 2011 | Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers || Download paper | 4 |
40 | 2010 | Likelihood inference for a fractionally cointegrated vector autoregressive model. (2010). Nielsen, Morten ; Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2010-24. Full description at Econpapers || Download paper | 4 |
41 | 2008 | American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers || Download paper | 4 |
42 | 2009 | Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers || Download paper | 4 |
43 | 2014 | Noncausal Bayesian Vector Autoregression. (2014). Luoto, Jani ; Lanne, Markku. In: CREATES Research Papers. RePEc:aah:create:2014-07. Full description at Econpapers || Download paper | 3 |
44 | 2007 | Correlation, regression, and cointegration of nonstationary economic time series. (2007). Johansen, Soren. In: CREATES Research Papers. RePEc:aah:create:2007-35. Full description at Econpapers || Download paper | 3 |
45 | 2014 | A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23. Full description at Econpapers || Download paper | 3 |
46 | 2016 | Inference in partially identified models with many moment inequalities using Lasso. (2016). Kock, Anders ; Caner, Mehmet ; Bugni, Federico ; Lahiri, Soumendra . In: CREATES Research Papers. RePEc:aah:create:2016-12. Full description at Econpapers || Download paper | 3 |
47 | 2012 | Housing price forecastability: A factor analysis. (2012). Møller, Stig ; Bork, Lasse ; Moller, Stig V.. In: CREATES Research Papers. RePEc:aah:create:2012-27. Full description at Econpapers || Download paper | 3 |
48 | 2019 | Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals. (2019). Johansen, Soren ; Berenguer-Rico, Vanessa ; Nielsen, Bent. In: CREATES Research Papers. RePEc:aah:create:2019-12. Full description at Econpapers || Download paper | 3 |
49 | 2009 | Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17. Full description at Econpapers || Download paper | 3 |
50 | 2012 | Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-38. Full description at Econpapers || Download paper | 3 |
Year | Title | |
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2018 | Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353. Full description at Econpapers || Download paper | |
2018 | Testing for cointegration in I(1) state space systems via a finite order approximation. (2018). Franchi, Massimo. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:73-76. Full description at Econpapers || Download paper | |
2018 | Issues in the estimation of mis-specified models of fractionally integrated processes. (2018). Poskitt, Donald ; Nadarajah, K ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-18. Full description at Econpapers || Download paper | |
2018 | The influence of renewables on electricity price forecasting: a robust approach. (2018). Nan, Fany ; Grossi, Luigi. In: Working Papers. RePEc:ieb:wpaper:doc2018-10. Full description at Econpapers || Download paper | |
2018 | Mutual Fund Selection for Realistically Short Samples. (2018). Christiansen, Charlotte ; Nielsen, Ole L ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-36. Full description at Econpapers || Download paper | |
2018 | Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81. Full description at Econpapers || Download paper | |
2018 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895. Full description at Econpapers || Download paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2018 | Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287. Full description at Econpapers || Download paper | |
2018 | Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168. Full description at Econpapers || Download paper | |
2018 | Testing moment inequalities: Selection versus recentering. (2018). Allen, Roy. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:124-126. Full description at Econpapers || Download paper | |
2018 | Generalized instrumental variable models, methods, and applications. (2018). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:43/18. Full description at Econpapers || Download paper | |
2018 | Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment. (2018). Lau, Chi Keung ; GUPTA, RANGAN ; Nyakabawo, Wendy ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201866. Full description at Econpapers || Download paper | |
2018 | Time-Varying Impact of Uncertainty Shocks on the US Housing Market. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: Working Papers. RePEc:pre:wpaper:201870. Full description at Econpapers || Download paper | |
2018 | Can Monetary Policy Lean against Housing Bubbles?. (2018). GUPTA, RANGAN ; Caraiani, Petre ; Calin, Adrian Cantemir ; André, Christophe ; Andre, Christophe. In: Working Papers. RePEc:pre:wpaper:201877. Full description at Econpapers || Download paper | |
2018 | Estimation of the linear fractional stable motion. (2018). Podolskij, Mark ; Otryakhin, Dmitry ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2018_003. Full description at Econpapers || Download paper | |
2018 | Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113. Full description at Econpapers || Download paper | |
2018 | Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23. Full description at Econpapers || Download paper | |
2018 | Market timing over the business cycle. (2018). Sander, Magnus . In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145. Full description at Econpapers || Download paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449. Full description at Econpapers || Download paper | |
2018 | Analyzing the Risks Embedded in Option Prices with rndfittool. (2018). Barletta, Andrea ; de Magistris, Paolo Santucci. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:28-:d:138299. Full description at Econpapers || Download paper | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
2018 | Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018. Full description at Econpapers || Download paper | |
2018 | The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38. Full description at Econpapers || Download paper | |
2018 | On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Muguruza, Aitor ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:1808.03610. Full description at Econpapers || Download paper | |
2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018. Full description at Econpapers || Download paper | |
2018 | Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10. Full description at Econpapers || Download paper | |
2018 | Capital Income Risk and the Dynamics of the Wealth Distribution. (2018). Wälde, Klaus ; Khieu, Hoang ; Walde, Klaus. In: IZA Discussion Papers. RePEc:iza:izadps:dp11840. Full description at Econpapers || Download paper | |
2018 | Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Koukouritakis, Minoas ; Giannellis, Nikolaos. In: Working Papers. RePEc:crt:wpaper:1806. Full description at Econpapers || Download paper | |
2018 | Stocks and Bonds: Flight-to-Safety for Ever?. (2018). Tokpavi, Sessi ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-39. Full description at Econpapers || Download paper | |
2018 | Fundamental factors and extrapolation in stock-market expectations: The central role of structural change. (2018). Stillwagon, Josh ; Frydman, Roman . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:148:y:2018:i:c:p:189-198. Full description at Econpapers || Download paper | |
2018 | Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity. (2018). Wo, Tomasz ; Lutkepohl, Helmut. In: Papers. RePEc:arx:papers:1811.08167. Full description at Econpapers || Download paper | |
2018 | How do shocks to bank capital affect lending and growth?. (2018). Miettinen, Paavo ; Tolo, Eero. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025. Full description at Econpapers || Download paper |
Year | Citing document | |
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2018 | Unintended Impacts from Forest Certification: Evidence from Indigenous Aka Households in Congo. (2018). Doremus, Jacqueline. In: Working Papers. RePEc:cpl:wpaper:1804. Full description at Econpapers || Download paper | |
2018 | Impact and spill-over effects of an asset transfer program on child undernutrition: Evidence from a randomized control trial in Bangladesh. (2018). Raza, Wameq ; van Ourti, Tom ; van De, Ellen. In: Journal of Health Economics. RePEc:eee:jhecon:v:62:y:2018:i:c:p:105-120. Full description at Econpapers || Download paper |
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2017 | A Review on efficient thermal management of air- and liquid-cooled data centers: From chip to the cooling system. (2017). Halgamuge, Saman K ; Khalaj, Ali Habibi. In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:1165-1188. Full description at Econpapers || Download paper | |
2017 | Bonferroni-based size-correction for nonstandard testing problems. (2017). McCloskey, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:17-35. 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 | Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach. (2017). Moll, Benjamin ; Lions, Pierre-Louis ; Lasry, Jean-Michel ; Han, Jiequn ; Achdou, Yves. In: NBER Working Papers. RePEc:nbr:nberwo:23732. Full description at Econpapers || Download paper |
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2016 | The Local Fractional Bootstrap. (2016). Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich ; Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-15. Full description at Econpapers || Download paper | |
2016 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2016). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2016-21. Full description at Econpapers || Download paper | |
2016 | A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). RodrÃguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2016-23. Full description at Econpapers || Download paper | |
2016 | Panel Data with Cross-Sectional Dependence Characterized by a Multi-Level Factor Structure. (2016). RodrÃguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-31. Full description at Econpapers || Download paper | |
2016 | Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: CORE Discussion Papers. RePEc:cor:louvco:2016041. Full description at Econpapers || Download paper | |
2016 | Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). RodrÃÂguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96. Full description at Econpapers || Download paper |
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2015 | The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach. (2015). Hillebrand, Eric ; Boldrini, Lorenzo . In: CREATES Research Papers. RePEc:aah:create:2015-39. Full description at Econpapers || Download paper | |
2015 | Rough electricity: a new fractal multi-factor model of electricity spot prices. (2015). Bennedsen, Mikkel . In: CREATES Research Papers. RePEc:aah:create:2015-42. Full description at Econpapers || Download paper | |
2015 | A weak limit theorem for numerical approximation of Brownian semi-stationary processes. (2015). Thamrongrat, Nopporn ; Podolskij, Mark. In: CREATES Research Papers. RePEc:aah:create:2015-53. Full description at Econpapers || Download paper | |
2015 | On critical cases in limit theory for stationary increments Lévy driven moving averages. (2015). Podolskij, Mark ; Basse, Andreas . In: CREATES Research Papers. RePEc:aah:create:2015-57. Full description at Econpapers || Download paper | |
2015 | Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). RodrÃguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: CREATES Research Papers. RePEc:aah:create:2015-58. Full description at Econpapers || Download paper | |
2015 | Disaster Risk and Preference Shifts in a New Keynesian Model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: Working Papers. RePEc:cii:cepidt:2015-16. Full description at Econpapers || Download paper | |
2015 | Economic policy uncertainty and stock market volatility. (2015). Liu, LI ; Zhang, Tao. In: Finance Research Letters. RePEc:eee:finlet:v:15:y:2015:i:c:p:99-105. Full description at Econpapers || Download paper | |
2015 | Testing for a housing bubble at the national and regional level: the case of Israel. (2015). Caspi, Itamar. In: Globalization Institute Working Papers. RePEc:fip:feddgw:246. Full description at Econpapers || Download paper | |
2015 | Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach. (2015). Natvik, Gisle ; Lansing, Kevin ; Gelain, Paolo. In: Working Paper Series. RePEc:fip:fedfwp:2015-02. Full description at Econpapers || Download paper | |
2015 | Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy. (2015). Joyeux, Roselyne. In: Working Papers. RePEc:hkm:wpaper:222015. Full description at Econpapers || Download paper | |
2015 | Estimation of stochastic volatility models by nonparametric filtering. (2015). Kristensen, Dennis ; Kanaya, Shin. In: CeMMAP working papers. RePEc:ifs:cemmap:09/15. Full description at Econpapers || Download paper | |
2015 | Disaster risk and preference shifts in a New Keynesian model. (2015). Szczerbowicz, Urszula ; Isoré, Marlène. In: MPRA Paper. RePEc:pra:mprapa:65643. Full description at Econpapers || Download paper | |
2015 | Real oil prices and the international sign predictability of stock returns. (2015). Pönkä, Harri. In: MPRA Paper. RePEc:pra:mprapa:68330. Full description at Econpapers || Download paper | |
2015 | Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model. (2015). Lucas, Andre ; Koopman, Siem Jan ; Lit, Rutger. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150076. Full description at Econpapers || Download paper | |
2015 | TESTING FOR BUBBLES IN THE HOUSING MARKET: FURTHER EVIDENCE FROM TURKEY. (2015). Zeren, Feyyaz ; ERGuZEL, Oylum ehvez . In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:19:y:2015:i:1:p:40-52. Full description at Econpapers || Download paper |