Citation analysis for Econometrics / MDPI, Open Access Journal

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.33

5 Years IF

0.65

Data available in this report

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

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1991	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1992	0	0.08	0	0	0	0	0		0	0		0			0		0	0.04
1993	0	0.1	0	0	0	0	0		0	0		0			0		0	0.05
1994	0	0.11	0	0	0	0	0		0	0		0			0		0	0.05
1995	0	0.19	0	0	0	0	0		0	0		0			0		0	0.08
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.1
1997	0	0.22	0	0	0	0	0		0	0		0			0		0	0.09
1998	0	0.26	0	0	0	0	0		0	0		0			0		0	0.12
1999	0	0.28	0	0	0	0	0		0	0		0			0		0	0.14
2000	0	0.33	0	0	0	0	0		0	0		0			0		0	0.15
2001	0	0.36	0	0	0	0	0		0	0		0			0		0	0.15
2002	0	0.39	0	0	0	0	0		0	0		0			0		0	0.21
2003	0	0.4	0	0	0	0	0		0	0		0			0		0	0.2
2004	0	0.45	0	0	0	0	0		0	0		0			0		0	0.2
2005	0	0.46	0	0	0	0	0		0	0		0			0		0	0.22
2006	0	0.46	0	0	0	0	0		0	0		0			0		0	0.21
2007	0	0.42	0	0	0	0	0		0	0		0			0		0	0.18
2008	0	0.44	0	0	0	0	0		0	0		0			0		0	0.21
2009	0	0.44	0	0	0	0	0		0	0		0			0		0	0.21
2010	0	0.43	0	0	0	0	0		0	0		0			0		0	0.18
2011	0	0.46	0	0	0	0	0		0	0		0			0		0	0.21
2012	0	0.47	0	0	0	0	0		0	0		0			0		0	0.19
2013	0	0.53	0.15	0	13	13	142	2	2	0		0		1	50	2	0.15	0.22
2014	1.85	0.55	1.28	1.85	12	25	214	32	34	13	24	13	24	1	3.1	8	0.67	0.22
2015	1.76	0.56	1.01	1.76	46	71	112	71	106	25	44	25	44	5	7	13	0.28	0.21
2016	1.48	0.58	0.96	1.62	87	158	64	150	258	58	86	71	115	17	11.3	18	0.21	0.2
2017	0.34	0.6	0.89	0.77	54	212	81	189	447	133	45	158	121	15	7.9	24	0.44	0.22
2018	0.33	0.76	0.73	0.65	48	260	39	190	637	141	47	212	137	11	5.8	17	0.35	0.31

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

50 most cited documents in this series

#	Year	Title	Cited
1	2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper	88
2	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414. Full description at Econpapers \|\| Download paper	72
3	2014	The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830. Full description at Econpapers \|\| Download paper	71
4	2013	Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620. Full description at Econpapers \|\| Download paper	55
5	2015	Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers \|\| Download paper	43
6	2013	Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450. Full description at Econpapers \|\| Download paper	38
7	2017	A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545. Full description at Econpapers \|\| Download paper	23
8	2013	Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001. Full description at Econpapers \|\| Download paper	15
9	2013	Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522. Full description at Econpapers \|\| Download paper	14
10	2018	Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033. Full description at Econpapers \|\| Download paper	12
11	2014	A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459. Full description at Econpapers \|\| Download paper	11
12	2013	Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659. Full description at Econpapers \|\| Download paper	11
13	2017	Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537. Full description at Econpapers \|\| Download paper	10
14	2015	On the Interpretation of Instrumental Variables in the Presence of Specification Errors. (2015). Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:55-64:d:45286. Full description at Econpapers \|\| Download paper	10
15	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992. Full description at Econpapers \|\| Download paper	8
16	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992. Full description at Econpapers \|\| Download paper	8
17	2017	Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610. Full description at Econpapers \|\| Download paper	8
18	2015	A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676. Full description at Econpapers \|\| Download paper	8
19	2015	Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534. Full description at Econpapers \|\| Download paper	8
20	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992. Full description at Econpapers \|\| Download paper	8
21	2014	Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391. Full description at Econpapers \|\| Download paper	7
22	2016	Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417. Full description at Econpapers \|\| Download paper	7
23	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253. Full description at Econpapers \|\| Download paper	6
24	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253. Full description at Econpapers \|\| Download paper	6
25	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253. Full description at Econpapers \|\| Download paper	6
26	2016	Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Peng, Bin ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088. Full description at Econpapers \|\| Download paper	6
27	2015	Bayesian Approach to Disentangling Technical and Environmental Productivity. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:443-465:d:51249. Full description at Econpapers \|\| Download paper	5
28	2013	Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621. Full description at Econpapers \|\| Download paper	5
29	2015	On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584. Full description at Econpapers \|\| Download paper	5
30	2018	Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis. (2018). Zelli, Roberto ; Thomas, Jasmin ; Pittau, M. Grazia ; Anderson, Gordon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:15-:d:137411. Full description at Econpapers \|\| Download paper	5
31	2014	Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027. Full description at Econpapers \|\| Download paper	5
32	2018	Polarization and Rising Wage Inequality: Comparing the U.S. and Germany. (2018). Fitzenberger, Bernd ; DeLeire, Thomas ; Antonczyk, Dirk. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:20-:d:140515. Full description at Econpapers \|\| Download paper	5
33	2015	Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang ; ChristopherF. Parmeter, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581. Full description at Econpapers \|\| Download paper	5
34	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689. Full description at Econpapers \|\| Download paper	4
35	2016	Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730. Full description at Econpapers \|\| Download paper	4
36	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65689. Full description at Econpapers \|\| Download paper	4
37	2018	Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315. Full description at Econpapers \|\| Download paper	4
38	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219. Full description at Econpapers \|\| Download paper	4
39	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65219. Full description at Econpapers \|\| Download paper	4
40	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219. Full description at Econpapers \|\| Download paper	4
41	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Hall, Stephen G ; Mehta, Jatinder S ; Greene, William H ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19:d:66559. Full description at Econpapers \|\| Download paper	4
42	2017	Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597. Full description at Econpapers \|\| Download paper	4
43	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689. Full description at Econpapers \|\| Download paper	4
44	2017	Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025. Full description at Econpapers \|\| Download paper	4
45	2016	A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559. Full description at Econpapers \|\| Download paper	4
46	2015	Entropy Maximization as a Basis for Information Recovery in Dynamic Economic Behavioral Systems. (2015). Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:91-100:d:46012. Full description at Econpapers \|\| Download paper	3
47	2017	Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266. Full description at Econpapers \|\| Download paper	3
48	2018	On the StockâYogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher L. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573. Full description at Econpapers \|\| Download paper	3
49	2015	Finding Starting-Values for the Estimation of Vector STAR Models. (2015). Schleer, Frauke. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:65-90:d:45287. Full description at Econpapers \|\| Download paper	3
50	2015	Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:376-411:d:49974. Full description at Econpapers \|\| Download paper	3

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

#	Year	Title	Cited
1	2014	Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585. Full description at Econpapers \|\| Download paper	52
2	2014	The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830. Full description at Econpapers \|\| Download paper	51
3	2014	A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414. Full description at Econpapers \|\| Download paper	34
4	2013	Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620. Full description at Econpapers \|\| Download paper	23
5	2013	Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450. Full description at Econpapers \|\| Download paper	23
6	2017	A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545. Full description at Econpapers \|\| Download paper	21
7	2015	Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166. Full description at Econpapers \|\| Download paper	19
8	2018	Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033. Full description at Econpapers \|\| Download paper	12
9	2017	Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537. Full description at Econpapers \|\| Download paper	10
10	2017	Synthetic Control and Inference. (2017). Hahn, Jinyong ; Shi, Ruoyao. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610. Full description at Econpapers \|\| Download paper	8
11	2015	A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676. Full description at Econpapers \|\| Download paper	7
12	2016	Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417. Full description at Econpapers \|\| Download paper	7
13	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992. Full description at Econpapers \|\| Download paper	7
14	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992. Full description at Econpapers \|\| Download paper	7
15	2016	Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:61992. Full description at Econpapers \|\| Download paper	7
16	2016	Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Peng, Bin ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088. Full description at Econpapers \|\| Download paper	6
17	2013	Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001. Full description at Econpapers \|\| Download paper	6
18	2014	Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391. Full description at Econpapers \|\| Download paper	6
19	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253. Full description at Econpapers \|\| Download paper	5
20	2018	Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis. (2018). Zelli, Roberto ; Thomas, Jasmin ; Pittau, M. Grazia ; Anderson, Gordon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:15-:d:137411. Full description at Econpapers \|\| Download paper	5
21	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:64253. Full description at Econpapers \|\| Download paper	5
22	2015	Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534. Full description at Econpapers \|\| Download paper	5
23	2016	Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253. Full description at Econpapers \|\| Download paper	5
24	2015	On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584. Full description at Econpapers \|\| Download paper	5
25	2014	A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Krause, Jochen ; Paolella, Marc S.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459. Full description at Econpapers \|\| Download paper	5
26	2015	Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; Chu, Chi-Yang ; ChristopherF. Parmeter, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581. Full description at Econpapers \|\| Download paper	5
27	2018	Polarization and Rising Wage Inequality: Comparing the U.S. and Germany. (2018). Fitzenberger, Bernd ; DeLeire, Thomas ; Antonczyk, Dirk. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:20-:d:140515. Full description at Econpapers \|\| Download paper	5
28	2013	Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659. Full description at Econpapers \|\| Download paper	4
29	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65689. Full description at Econpapers \|\| Download paper	4
30	2018	Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315. Full description at Econpapers \|\| Download paper	4
31	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). Mumtaz, Haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16:d:65689. Full description at Econpapers \|\| Download paper	4
32	2016	Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730. Full description at Econpapers \|\| Download paper	4
33	2017	Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025. Full description at Econpapers \|\| Download paper	4
34	2017	Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions. (2017). Doornik, Jurgen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:19-:d:98597. Full description at Econpapers \|\| Download paper	4
35	2016	The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689. Full description at Econpapers \|\| Download paper	4
36	2018	On the StockâYogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher L. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573. Full description at Econpapers \|\| Download paper	3
37	2017	Endogeneity, Time-Varying Coefficients, and Incorrect vs. Correct Ways of Specifying the Error Terms of Econometric Models. (2017). , ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, ; Mehta, Jatinder S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:8-:d:89266. Full description at Econpapers \|\| Download paper	3
38	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219. Full description at Econpapers \|\| Download paper	3
39	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25:d:69492. Full description at Econpapers \|\| Download paper	3
40	2013	Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621. Full description at Econpapers \|\| Download paper	3
41	2016	Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability. (2016). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:25-:d:69492. Full description at Econpapers \|\| Download paper	3
42	2015	New Graphical Methods and Test Statistics for Testing Composite Normality. (2015). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:532-560:d:52631. Full description at Econpapers \|\| Download paper	3
43	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:-:d:65219. Full description at Econpapers \|\| Download paper	3
44	2016	Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219. Full description at Econpapers \|\| Download paper	3
45	2016	A Conditional Approach to Panel Data Models with Common Shocks. (2016). Forchini, Giovanni ; Peng, Bin. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:4:d:62057. Full description at Econpapers \|\| Download paper	2
46	2016	Spatial Econometrics: A Rapidly Evolving Discipline. (2016). Arbia, Giuseppe. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:18-:d:65205. Full description at Econpapers \|\| Download paper	2
47	2015	Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States. (2015). Mohammadi, Hassan ; Tan, Yuting . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668. Full description at Econpapers \|\| Download paper	2
48	2017	Consistency of Trend Break Point Estimator with Underspecified Break Number. (2017). Yang, Jingjing. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:4-:d:86944. Full description at Econpapers \|\| Download paper	2
49	2014	Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027. Full description at Econpapers \|\| Download paper	2
50	2017	On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply. (2017). von zur Muehlen, Peter ; Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:32-:d:105097. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 47

Year	Title
2018	Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203. Full description at Econpapers \|\| Download paper
2018	Interval Estimation of Value-at-Risk Based on Nonparametric Models. (2018). Khraibani, Hussein ; Strauss, Olivier ; Nehme, Bilal. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:47-:d:189422. Full description at Econpapers \|\| Download paper
2018	Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39. Full description at Econpapers \|\| Download paper
2018	Impact of climate on firm value: Evidence from the electric power industry in Brazil. (2018). Lucas, Edimilson Costa ; Mendes-Da, Wesley. In: Energy. RePEc:eee:energy:v:153:y:2018:i:c:p:359-368. Full description at Econpapers \|\| Download paper
2018	Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies. (2018). van Dijk, Herman ; Grassi, Stefano ; BaÅtÃ¼rk, Nalan ; Hoogerheide, Lennart ; Borowska, Agnieszka ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180076. Full description at Econpapers \|\| Download paper
2018	The impact of macroeconomic uncertainty on inequality: An empirical study for the UK. (2018). Theophilopoulou, Angeliki. In: MPRA Paper. RePEc:pra:mprapa:90448. Full description at Econpapers \|\| Download paper
2018	The impact of uncertainty shocks in Spain: SVAR approach with sign restrictions. (2018). GÃÂ³mez-FernÃÂ¡ndez, Nerea ; Fernandez, Nerea Gomez ; Albert, Juan-Francisco. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:90402. Full description at Econpapers \|\| Download paper
2018	A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade. (2018). Patuelli, Roberto ; Metulini, Rodolfo ; Griffith, Daniel A. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:9-:d:132749. Full description at Econpapers \|\| Download paper
2018	Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. (2018). McAleer, Michael ; Allen, David ; Peiris, Shelton ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1822. Full description at Econpapers \|\| Download paper
2018	Measuring Co-Dependencies of Economic Policy Uncertainty in Latin American Countries using Vine Copulas. (2018). Tiwari, Aviral ; Pradhan, Ashis ; GUPTA, RANGAN ; Cekin, Semih Emre. In: Working Papers. RePEc:pre:wpaper:201867. Full description at Econpapers \|\| Download paper
2018	The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers \|\| Download paper
2018	Econometrics Best Paper Award 2018. (2018). Racine, Jeffrey ; Choi, In ; Paolella, Marc S ; Cook, Steve. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:38-:d:164518. Full description at Econpapers \|\| Download paper
2018	Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240. Full description at Econpapers \|\| Download paper
2018	Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems. (2018). Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:46-:d:187923. Full description at Econpapers \|\| Download paper
2018	Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002. Full description at Econpapers \|\| Download paper
2018	Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers \|\| Download paper
2018	Spatial panel data models with structural change. (2018). Li, Kunpeng. In: MPRA Paper. RePEc:pra:mprapa:85388. Full description at Econpapers \|\| Download paper
2018	Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices. (2018). McAleer, Michael ; Chang, Chia-Lin ; Wang, Yu-Ann. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1002-1018. Full description at Econpapers \|\| Download paper
2018	Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805. Full description at Econpapers \|\| Download paper
2018	Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180011. Full description at Econpapers \|\| Download paper
2018	Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260. Full description at Econpapers \|\| Download paper
2018	Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:15-:d:137130. Full description at Econpapers \|\| Download paper
2018	Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. (2018). Toyoshima, Yuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280. Full description at Econpapers \|\| Download paper
2018	On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets. (2018). Candila, Vincenzo ; Farace, Salvatore . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:116-:d:174522. Full description at Econpapers \|\| Download paper
2018	Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499. Full description at Econpapers \|\| Download paper
2018	Modelling the Relationship between Crude Oil and Agricultural Commodity Prices. (2018). Vu, Tan ; Vo, Duc ; McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:115608. Full description at Econpapers \|\| Download paper
2018	Modeling Euro STOXX 50 Volatility with Common and Marketâspecific Components. (2018). Gallo, Giampiero ; Cipollini, Fabrizio. In: Working Paper series. RePEc:rim:rimwps:18-26. Full description at Econpapers \|\| Download paper
2018	Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market. (2018). Stillwagon, Josh ; juselius, katarina. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:93-105. Full description at Econpapers \|\| Download paper
2018	The time delay restraining the herd behavior with Bayesian approach. (2018). Zhong, Guang-Yan ; Tao, Hui-Ming ; Li, Hai-Feng ; Jiang, George J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:335-346. Full description at Econpapers \|\| Download paper
2018	Variational Inference for high dimensional structured factor copulas. (2018). Nguyen, Hoang ; Ausin, Maria Concepcion ; san Miguel, Pedro Galeano . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:27652. Full description at Econpapers \|\| Download paper
2018	Banking net income and macroeconomics, from multicollinearity to Granger causality using US data. (2018). Szybisz, Martin Andres . In: MPRA Paper. RePEc:pra:mprapa:90473. Full description at Econpapers \|\| Download paper
2018	Forecasting banking crises with dynamic panel probit models. (2018). Rodrigues, Paulo ; Bonfim, Diana ; Antunes, AntÃÂ³nio ; Monteiro, Nuno . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:249-275. Full description at Econpapers \|\| Download paper
2018	Econometric Analysis of Productivity: Theory and Implementation in R. (2018). Zelenyuk, Valentin ; Song, Wonho ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:18-008. Full description at Econpapers \|\| Download paper
2018	Significance Testing in Accounting Research: A Critical Evaluation Based on Evidence. (2018). Kim, Jae H ; Ji, Philip Inyeob ; Ahmed, Kamran. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:4:p:524-546. Full description at Econpapers \|\| Download paper
2018	Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach. (2018). Cobb, Marcus. In: MPRA Paper. RePEc:pra:mprapa:88593. Full description at Econpapers \|\| Download paper
2018	Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?. (2018). Rajaguru, Gulasekaran ; Abeysinghe, Tilak ; ONeill, Michael. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:31-:d:152860. Full description at Econpapers \|\| Download paper
2018	A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles. (2018). Higgins, Matthew L ; Ofori-Acheampong, Frank. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:10:y:2018:i:4:p:1-14. Full description at Econpapers \|\| Download paper
2018	Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430. Full description at Econpapers \|\| Download paper
2018	The Augmented Synthetic Control Method. (2018). Rothstein, Jesse ; Feller, Avi ; Ben-Michael, Eli. In: Papers. RePEc:arx:papers:1811.04170. Full description at Econpapers \|\| Download paper
2018	Are estimates of the natural experiment in the German crafts sector causal?. (2018). Runst, Petrik ; Fredriksen, Kaja. In: ifh Working Papers. RePEc:zbw:ifhwps:162018. Full description at Econpapers \|\| Download paper
2018	Environmental Regulation Stringency and U.S. Agriculture. (2018). Skolrud, Tristan ; Galinato, Gregmar ; Abayateye, F. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277138. Full description at Econpapers \|\| Download paper
2018	The Energy Consumption and Economic Growth Nexus in Top Ten Energy-Consuming Countries: Fresh Evidence from Using the Quantile-on-Quantile Approach. (2018). Shahbaz, Muhammad ; Kumar, Mantu ; Syed, Jawad ; Zakaria, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:84920. Full description at Econpapers \|\| Download paper
2018	The energy consumption and economic growth nexus in top ten energy-consuming countries: Fresh evidence from using the quantile-on-quantile approach. (2018). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Mahalik, Mantu ; Hussain, Syed Jawad ; Zakaria, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:282-301. 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	Growth of industrial CO2 emissions in Shanghai city: Evidence from a dynamic vector autoregression analysis. (2018). Lin, Boqiang ; Xu, Bin. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:167-177. Full description at Econpapers \|\| Download paper
2018	Chinaâs Contributions to Global Green Energy and Low-Carbon Development: Empirical Evidence under the Belt and Road Framework. (2018). Li, Hongze ; Yu, Xinhua. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:6:p:1527-:d:152099. Full description at Econpapers \|\| Download paper
2018	Do high-speed railways lead to urban economic growth in China? A panel data study of Chinaâs cities. (2018). Li, Hongchang ; Lui, LU ; Shunxiang, HU ; Strauss, Jack. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:70-89. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	The distortion principle for insurance pricing: properties, identification and robustness. (2018). Pflug, Georg ; Escobar, Daniela. In: Papers. RePEc:arx:papers:1809.06592. Full description at Econpapers \|\| Download paper
2018	Confidence Intervals for Bias and Size Distortion in IV and Local ProjectionsâIV Models. (2018). Rossi, Barbara ; Inoue, Atsushi ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1077. Full description at Econpapers \|\| Download paper
2018	Does Early Child Care Affect Childrens Development?. (2018). Felfe, Christina ; Lalive, Rafael. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12675. Full description at Econpapers \|\| Download paper
2018	The Effect of Self-Employment on Income Inequality. (2018). Schneck, Stefan. In: SOEPpapers on Multidisciplinary Panel Data Research. RePEc:diw:diwsop:diw_sp999. Full description at Econpapers \|\| Download paper
2018	Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364. Full description at Econpapers \|\| Download paper
2018	Decomposition of changes in the consumption of macronutrients in Vietnam between 2004 and 2014. (2018). Thi, Huong Trinh ; Thomas-Agnan, Christine ; Simioni, Michel. In: Economics & Human Biology. RePEc:eee:ehbiol:v:31:y:2018:i:c:p:259-275. Full description at Econpapers \|\| Download paper
2018	Nonparametric Estimation of a Conditional Quantile Function in a Fixed Effects Panel Data Model. (2018). Yan, Karen X ; Li, QI. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:44-:d:161849. Full description at Econpapers \|\| Download paper
2018	Evaluating the Interconnectedness of the Sustainable Development Goals Based on the Causality Analysis of Sustainability Indicators. (2018). Dorg, Gyula ; Abonyi, Janos ; Sebestyen, Viktor. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3766-:d:176658. Full description at Econpapers \|\| Download paper
2018	The network of migrants and international trade. (2018). Sgrignoli, Paolo ; Schiavo, Stefano ; Riccaboni, Massimo ; Metulini, Rodolfo. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:35:y:2018:i:3:d:10.1007_s40888-018-0106-6. Full description at Econpapers \|\| Download paper
2018	The role of employment interruptions and part-time work for the rise in wage inequality. (2018). Biewen, Martin ; de Lazzer, Jakob ; Fitzenberger, Bernd. In: IZA Journal of Labor Economics. RePEc:spr:izalbr:v:7:y:2018:i:1:d:10.1186_s40172-018-0070-y. Full description at Econpapers \|\| Download paper
2018	The anatomy of job polarisation in the UK. (2018). Salvatori, Andrea. In: Journal for Labour Market Research. RePEc:spr:jlabrs:v:52:y:2018:i:1:d:10.1186_s12651-018-0242-z. Full description at Econpapers \|\| Download paper
2018	Confidence intervals for bias and size distortion in IV and local projectionsâIV models. (2018). Rossi, Barbara ; Inoue, Atsushi ; Ganics, Gergely. In: Economics Working Papers. RePEc:upf:upfgen:1640. Full description at Econpapers \|\| Download paper
2018	The Effect of Self-Employment on Income Inequality. (2018). Schneck, Stefan. In: GLO Discussion Paper Series. RePEc:zbw:glodps:281. Full description at Econpapers \|\| Download paper
2018	The effect of self-employment on income inequality. (2018). Schneck, Stefan. In: Working Papers. RePEc:zbw:ifmwps:0518. Full description at Econpapers \|\| Download paper

Recent citations received in 2017

Year	Citing document
2017	Bank Size, Returns to Scale and Cost Efficiency. (2017). Sapci, Ayse ; Miles, Bradley . In: Working Papers. RePEc:cgt:wpaper:2017-02. Full description at Econpapers \|\| Download paper
2017	CONTAGION AND DIVERGENCE ON SOVEREIGN BOND MARKETS. (2017). Jaworski, Piotr ; LIBERADZKI, MARCIN . In: Copernican Journal of Finance & Accounting. RePEc:cpn:umkcjf:v:6:y:2017:i:4:p:39-68. Full description at Econpapers \|\| Download paper
2017	The Economic Consequences of the Brexit Vote. (2017). Sedlacek, Petr ; MÃÂ¼ller, Gernot ; Born, Benjamin ; Schularick, Moritz ; Muller, Gernot. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12454. Full description at Econpapers \|\| Download paper
2017	Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212. Full description at Econpapers \|\| Download paper
2017	Fiscal sustainability in EMU countries: A continued fiscal commitment?. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:85-97. Full description at Econpapers \|\| Download paper
2017	Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161. Full description at Econpapers \|\| Download paper
2017	Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, G ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:100331. Full description at Econpapers \|\| Download paper
2017	Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Econometric Institute Research Papers. RePEc:ems:eureir:101761. Full description at Econpapers \|\| Download paper
2017	Likelihood Ratio Tests of Restrictions on Common Trends Loading Matrices in I(2) VAR Systems. (2017). Paruolo, Paolo ; Boswijk, H. Peter. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:28-:d:103006. Full description at Econpapers \|\| Download paper
2017	Using a Theory-Consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge. (2017). juselius, katarina. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:30-:d:104032. Full description at Econpapers \|\| Download paper
2017	Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models. (2017). Paruolo, Paolo ; Doornik, Jurgen ; Mosconi, Rocco . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:49-:d:119536. Full description at Econpapers \|\| Download paper
2017	An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors. (2017). McAleer, Michael ; Chang, Chia-Lin ; Wang, Chien-Hsun. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2017:i:1:p:2-:d:124175. Full description at Econpapers \|\| Download paper
2017	Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954. Full description at Econpapers \|\| Download paper
2017	Synthetic data: an endogeneity simulation. (2017). Carbajal De Nova, Carolina. In: MPRA Paper. RePEc:pra:mprapa:79067. Full description at Econpapers \|\| Download paper
2017	Synthetic data: an endogeneity simulation. (2017). Carbajal De Nova, Carolina. In: MPRA Paper. RePEc:pra:mprapa:79158. Full description at Econpapers \|\| Download paper
2017	Two Criteria for Good Measurements in Research: Validity and Reliability. (2017). Mohajan, Haradhan. In: MPRA Paper. RePEc:pra:mprapa:83458. Full description at Econpapers \|\| Download paper
2017	TWO CRITERIA FOR GOOD MEASUREMENTS IN RESEARCH: VALIDITY AND RELIABILITY. (2017). Mohajan, Haradhan. In: Annals of Spiru Haret University, Economic Series. RePEc:ris:sphecs:0276. Full description at Econpapers \|\| Download paper
2017	Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038. Full description at Econpapers \|\| Download paper
2017	Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170051. Full description at Econpapers \|\| Download paper
2017	Stationarity and Invertibility of a Dynamic Correlation Matrix. (2017). McAleer, Michael. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170082. Full description at Econpapers \|\| Download paper
2017	Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1715. Full description at Econpapers \|\| Download paper
2017	RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE. (2017). Malik, Muhammad Irfan ; Rashid, Abdul. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:02:n:s2010495217500075. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2016). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Working Papers. RePEc:bog:wpaper:214. Full description at Econpapers \|\| Download paper
2016	Accounting for Urban-Rural Real Food Expenditure Differentials in Cameroon: A Quantile Regression-Based Decomposition. (2016). Wirba, Ebenezer Lemven ; Baye, Francis Menjo. In: EuroEconomica. RePEc:dug:journl:y:2016:i:2:p:61-77. Full description at Econpapers \|\| Download paper
2016	The predictive performance of commodity futures risk factors. (2016). Ahmed, Shamim ; Tsvetanov, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:20-36. Full description at Econpapers \|\| Download paper
2016	Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231. Full description at Econpapers \|\| Download paper
2016	Nonparametric Regression with Common Shocks. (2016). Souza-Rodrigues, Eduardo A. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:36-:d:77160. Full description at Econpapers \|\| Download paper
2016	Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis. (2016). Tavlas, George ; Hall, Stephen ; Gibson, Heather. In: Discussion Papers in Economics. RePEc:lec:leecon:16/18*. Full description at Econpapers \|\| Download paper
2016	Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data. (2016). Degiannakis, Stavros ; Potamia, Artemis . In: MPRA Paper. RePEc:pra:mprapa:74670. Full description at Econpapers \|\| Download paper
2016	Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Basturk, Nalan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160099. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Financial sector and output dynamics in the euro area: Non-linearities reconsidered. (2015). Semmler, Willi ; Schleer, Frauke. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:46:y:2015:i:c:p:235-263. Full description at Econpapers \|\| Download paper
2015	Improved inferences for spatial regression models. (2015). Yang, Zhenlin ; Liu, Shew Fan . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:55:y:2015:i:c:p:55-67. Full description at Econpapers \|\| Download paper
2015	Eliciting GDP Forecasts from the FOMCâs Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: International Finance Discussion Papers. RePEc:fip:fedgif:1152. Full description at Econpapers \|\| Download paper
2015	Is Benfordâs Law a Universal Behavioral Theory?. (2015). Villas-Boas, Sofia ; Judge, George ; Fu, Qiuzi. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:698-708:d:57619. Full description at Econpapers \|\| Download paper
2015	How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). van Huellen, Sophie ; Qin, Duo ; Wang, Qing-Chao . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1-:d:61313. Full description at Econpapers \|\| Download paper
2015	How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?. (2015). Qin, Duo ; Wang, Qing-Chao ; van Huellen, Sophie. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2015:i:1:p:1:d:61313. Full description at Econpapers \|\| Download paper
2015	Eliciting GDP Forecasts from the FOMCâs Minutes Around the Financial Crisis. (2015). Ericsson, Neil. In: Working Papers. RePEc:gwc:wpaper:2015-003. Full description at Econpapers \|\| Download paper
2015	Exploring the gender wage gap in the managerial labour market:a counterfactual decomposition analysis. (2015). scicchitano, sergio. In: Working Papers. RePEc:itt:wpaper:2015-2. Full description at Econpapers \|\| Download paper
2015	Causal transmission in reduced-form models. (2015). Nielsen, Bent ; Bazinas, Vassili. In: Economics Papers. RePEc:nuf:econwp:1507. Full description at Econpapers \|\| Download paper
2015	Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs. (2015). Pretis, Felix . In: Economics Series Working Papers. RePEc:oxf:wpaper:750. Full description at Econpapers \|\| Download paper
2015	A Cost System Approach to the Stochastic Directional Technology Distance Function with Undesirable Outputs: The Case of U.S. Banks in 2001-2010. (2015). Tsionas, Mike ; Malikov, Emir ; Kumbhakar, Subal. In: MPRA Paper. RePEc:pra:mprapa:66490. Full description at Econpapers \|\| Download paper
2015	LetÃÂs Take the Bias Out of Econometrics. (2015). Qin, Duo. In: Working Papers. RePEc:soa:wpaper:192. Full description at Econpapers \|\| Download paper
2015	Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection. (2015). Pretis, Felix ; Kaufmann, Robert. In: Climatic Change. RePEc:spr:climat:v:131:y:2015:i:4:p:705-718. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute	21	57
2	Tinbergen Institute Discussion Papers / Tinbergen Institute	28	55
3	Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias EconÃ³micas y Empresariales, Instituto Complutense de AnÃ¡lisis EconÃ³mico	14	55
4	Econometrics / MDPI, Open Access Journal	11	52
5	MPRA Paper / University Library of Munich, Germany	87	46
6	Sustainability / MDPI, Open Access Journal	28	22
7	Journal of Econometrics / Elsevier	188	18
8	Papers / arXiv.org	51	17
9	Journal of Risk and Financial Management / MDPI, Open Access Journal	7	15
10	International Journal of Forecasting / Elsevier	65	13
11	Energy Economics / Elsevier	115	13