The Journal of Financial Econometrics / Society for Financial Econometrics
Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
48
Impact Factor (IF)
1.54
5 Years IF
1.54
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]
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trace new citations] [Missing
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2005 | 1.26 | 0.5 | 3.67 | 1.26 | 27 | 27 | 1024 | 80 | 99 | 43 | 54 | 43 | 54 | 1 | 1.3 | 14 | 0.52 | 0.23 |
| 2006 | 1.65 | 0.5 | 3.78 | 1.6 | 24 | 51 | 2421 | 189 | 292 | 51 | 84 | 70 | 112 | 1 | 0.5 | 32 | 1.33 | 0.23 |
| 2007 | 1.98 | 0.46 | 3.61 | 1.66 | 10 | 61 | 315 | 218 | 512 | 51 | 101 | 94 | 156 | 0 | 5 | 0.5 | 0.2 | |
| 2008 | 2.76 | 0.49 | 4.16 | 2.06 | 21 | 82 | 484 | 341 | 853 | 34 | 94 | 104 | 214 | 1 | 0.3 | 4 | 0.19 | 0.23 |
| 2009 | 1.48 | 0.47 | 3.84 | 2.36 | 24 | 106 | 1371 | 406 | 1260 | 31 | 46 | 106 | 250 | 1 | 0.2 | 22 | 0.92 | 0.23 |
| 2010 | 1.38 | 0.48 | 3 | 2.12 | 33 | 139 | 381 | 410 | 1677 | 45 | 62 | 106 | 225 | 0 | 10 | 0.3 | 0.21 | |
| 2011 | 1.42 | 0.52 | 3.27 | 1.91 | 23 | 162 | 433 | 524 | 2206 | 57 | 81 | 112 | 214 | 0 | 20 | 0.87 | 0.24 | |
| 2012 | 1.18 | 0.51 | 2.93 | 1.56 | 22 | 184 | 247 | 535 | 2745 | 56 | 66 | 111 | 173 | 5 | 0.9 | 8 | 0.36 | 0.22 |
| 2013 | 1.53 | 0.56 | 3.4 | 1.68 | 23 | 207 | 383 | 701 | 3449 | 45 | 69 | 123 | 207 | 4 | 0.6 | 21 | 0.91 | 0.24 |
| 2014 | 1.6 | 0.55 | 3.52 | 1.99 | 26 | 233 | 242 | 816 | 4270 | 45 | 72 | 125 | 249 | 3 | 0.4 | 9 | 0.35 | 0.23 |
| 2015 | 1.37 | 0.55 | 3.03 | 1.24 | 33 | 266 | 447 | 805 | 5076 | 49 | 67 | 127 | 158 | 0 | 31 | 0.94 | 0.23 | |
| 2016 | 1.46 | 0.53 | 2.99 | 1.55 | 33 | 299 | 415 | 893 | 5969 | 59 | 86 | 127 | 197 | 2 | 0.2 | 17 | 0.52 | 0.21 |
| 2017 | 1.55 | 0.55 | 2.52 | 1.45 | 29 | 328 | 69 | 825 | 6794 | 66 | 102 | 137 | 199 | 6 | 0.7 | 0 | 0.21 | |
| 2018 | 1.31 | 0.57 | 2.37 | 1.31 | 24 | 352 | 140 | 831 | 7627 | 62 | 81 | 144 | 189 | 9 | 1.1 | 7 | 0.29 | 0.24 |
| 2019 | 0.38 | 0.6 | 2.39 | 1.14 | 17 | 369 | 49 | 883 | 8510 | 53 | 20 | 145 | 165 | 2 | 0.2 | 5 | 0.29 | 0.24 |
| 2020 | 1 | 0.73 | 2.46 | 1.4 | 22 | 391 | 124 | 962 | 9472 | 41 | 41 | 136 | 191 | 2 | 0.2 | 8 | 0.36 | 0.34 |
| 2021 | 1.54 | 1.02 | 2.34 | 1.54 | 29 | 420 | 28 | 982 | 10454 | 39 | 60 | 125 | 192 | 4 | 0.4 | 9 | 0.31 | 0.38 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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 | 2009 | A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers || Download paper | 1016 |
| 2 | 2006 | Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers || Download paper | 840 |
| 3 | 2004 | Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers || Download paper | 782 |
| 4 | 2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers || Download paper | 585 |
| 5 | 2005 | The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers || Download paper | 431 |
| 6 | 2004 | On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers || Download paper | 264 |
| 7 | 2006 | Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers || Download paper | 259 |
| 8 | 2004 | A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers || Download paper | 219 |
| 9 | 2006 | Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers || Download paper | 209 |
| 10 | 2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers || Download paper | 167 |
| 11 | 2007 | Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers || Download paper | 157 |
| 12 | 2004 | Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers || Download paper | 153 |
| 13 | 2009 | Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andr̮̩as ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers || Download paper | 138 |
| 14 | 2004 | How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers || Download paper | 137 |
| 15 | 2006 | The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers || Download paper | 111 |
| 16 | 2015 | Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers || Download paper | 107 |
| 17 | 2004 | Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250. Full description at Econpapers || Download paper | 102 |
| 18 | 2006 | Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers || Download paper | 98 |
| 19 | 2008 | Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers || Download paper | 96 |
| 20 | 2010 | Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers || Download paper | 95 |
| 21 | 2016 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004ââ¬â2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers || Download paper | 94 |
| 22 | 2003 | Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25. Full description at Econpapers || Download paper | 89 |
| 23 | 2004 | Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers || Download paper | 87 |
| 24 | 2014 | The Price Impact of Order Book Events. (2014). Cont, Rama ; Stoikov, Sasha ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers || Download paper | 86 |
| 25 | 2004 | Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564. Full description at Econpapers || Download paper | 80 |
| 26 | 2006 | Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers || Download paper | 77 |
| 27 | 2013 | Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers || Download paper | 74 |
| 28 | 2009 | Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). TerÃÆäsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411. Full description at Econpapers || Download paper | 73 |
| 29 | 2006 | Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449. Full description at Econpapers || Download paper | 72 |
| 30 | 2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers || Download paper | 72 |
| 31 | 2007 | Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. Full description at Econpapers || Download paper | 71 |
| 32 | 2005 | Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers || Download paper | 71 |
| 33 | 2008 | Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360. Full description at Econpapers || Download paper | 64 |
| 34 | 2018 | Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃÆÃÂk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers || Download paper | 62 |
| 35 | 2005 | Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers || Download paper | 62 |
| 36 | 2010 | Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546. Full description at Econpapers || Download paper | 61 |
| 37 | 2004 | Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492. Full description at Econpapers || Download paper | 61 |
| 38 | 2015 | Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers || Download paper | 61 |
| 39 | 2015 | Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721.. Full description at Econpapers || Download paper | 57 |
| 40 | 2003 | Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54. Full description at Econpapers || Download paper | 52 |
| 41 | 2010 | Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449. Full description at Econpapers || Download paper | 51 |
| 42 | 2003 | Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188. Full description at Econpapers || Download paper | 51 |
| 43 | 2011 | Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656. Full description at Econpapers || Download paper | 50 |
| 44 | 2011 | Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343. Full description at Econpapers || Download paper | 49 |
| 45 | Forecasting intraday volatility in the US equity market. Multiplicative component GARCH. (). Engle, Robert ; Sokalska, Magdalena E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y::i:1:p:54-83. Full description at Econpapers || Download paper | 48 | |
| 46 | 2008 | Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers || Download paper | 48 |
| 47 | 2005 | Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. Full description at Econpapers || Download paper | 48 |
| 48 | 2006 | Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493. Full description at Econpapers || Download paper | 48 |
| 49 | 2003 | The Local Whittle Estimator of Long-Memory Stochastic Volatility. (2003). Hurvich, Clifford ; Ray, Bonnie K.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:3:p:445-470. Full description at Econpapers || Download paper | 47 |
| 50 | 2016 | Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352.. Full description at Econpapers || Download paper | 46 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2009 | A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers || Download paper | 340 |
| 2 | 2004 | Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers || Download paper | 164 |
| 3 | 2006 | Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers || Download paper | 156 |
| 4 | 2006 | Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers || Download paper | 116 |
| 5 | 2005 | The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers || Download paper | 74 |
| 6 | 2015 | Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers || Download paper | 63 |
| 7 | 2018 | Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃÆÃÂk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers || Download paper | 51 |
| 8 | 2016 | Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004ââ¬â2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers || Download paper | 51 |
| 9 | 2004 | A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers || Download paper | 46 |
| 10 | 2008 | Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers || Download paper | 45 |
| 11 | 2004 | On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers || Download paper | 44 |
| 12 | 2007 | Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers || Download paper | 42 |
| 13 | 2006 | Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers || Download paper | 41 |
| 14 | 2009 | Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, Andr̮̩as ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers || Download paper | 36 |
| 15 | 2014 | The Price Impact of Order Book Events. (2014). Cont, Rama ; Stoikov, Sasha ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers || Download paper | 36 |
| 16 | 2020 | Understanding Cryptocurrencies. (2020). Harvey, Campbellr ; Hrdle, Wolfgang Karl ; Raphael, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208.. Full description at Econpapers || Download paper | 34 |
| 17 | 2006 | Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers || Download paper | 33 |
| 18 | 2006 | The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers || Download paper | 27 |
| 19 | 2016 | Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.. Full description at Econpapers || Download paper | 26 |
| 20 | 2005 | A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers || Download paper | 23 |
| 21 | 2015 | Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721.. Full description at Econpapers || Download paper | 22 |
| 22 | 2015 | Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers || Download paper | 21 |
| 23 | 2013 | Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers || Download paper | 21 |
| 24 | 2006 | Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers || Download paper | 21 |
| 25 | 2016 | Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352.. Full description at Econpapers || Download paper | 20 |
| 26 | 2020 | Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. (2020). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:233-249.. Full description at Econpapers || Download paper | 20 |
| 27 | 2020 | Causal Change Detection in Possibly Integrated Systems: Revisiting the MoneyâIncome Relationship*. (2020). , Peter ; PEter, ; Hurn, Stan ; Shi, Shuping. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:1:p:158-180.. Full description at Econpapers || Download paper | 20 |
| 28 | 2016 | On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802.. Full description at Econpapers || Download paper | 19 |
| 29 | 2004 | Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers || Download paper | 19 |
| 30 | 2018 | Downside Variance Risk Premium. (2018). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:341-383.. Full description at Econpapers || Download paper | 19 |
| 31 | 2008 | Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107. Full description at Econpapers || Download paper | 18 |
| 32 | 2004 | How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers || Download paper | 17 |
| 33 | 2004 | Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers || Download paper | 17 |
| 34 | 2013 | GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. (2013). Hao, Jinji. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:556-580. Full description at Econpapers || Download paper | 16 |
| 35 | 2017 | Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, Ren̮̩ ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:333-376.. Full description at Econpapers || Download paper | 16 |
| 36 | Forecasting intraday volatility in the US equity market. Multiplicative component GARCH. (). Engle, Robert ; Sokalska, Magdalena E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y::i:1:p:54-83. Full description at Econpapers || Download paper | 15 | |
| 37 | 2006 | Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers || Download paper | 14 |
| 38 | 2017 | Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, Ren̮̩ ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:504-504.. Full description at Econpapers || Download paper | 14 |
| 39 | 2017 | Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, Ren̮̩ ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:418-426.. Full description at Econpapers || Download paper | 14 |
| 40 | 2010 | Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers || Download paper | 14 |
| 41 | 2020 | High-Frequency Jump Analysis of the Bitcoin Market*. (2020). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:209-232.. Full description at Econpapers || Download paper | 13 |
| 42 | 2005 | Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers || Download paper | 13 |
| 43 | 2011 | Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656. Full description at Econpapers || Download paper | 12 |
| 44 | 2010 | Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449. Full description at Econpapers || Download paper | 12 |
| 45 | 2015 | Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?. (2015). Tsiakas, Ilias ; Wang, Wei ; Li, Jiahan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:293-341.. Full description at Econpapers || Download paper | 12 |
| 46 | 2011 | When is a Copula Constant? A Test for Changing Relationships. (2011). Harvey, Andrew ; Busetti, Fabio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131. Full description at Econpapers || Download paper | 11 |
| 47 | 2020 | Pricing Cryptocurrency Options*. (2020). Hou, Ai Jun ; Hrdle, Wolfgang Karl ; Wang, Weining. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:250-279.. Full description at Econpapers || Download paper | 11 |
| 48 | 2008 | Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers || Download paper | 11 |
| 49 | 2005 | Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers || Download paper | 11 |
| 50 | 2018 | Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117.. Full description at Econpapers || Download paper | 11 |
Citing documents used to
compute impact factor: 60
| Year | Title | |
|---|---|---|
| 2021 | Bank liquidity creation and systemic risk. (2021). Vähämaa, Sami ; Yasar, Sara ; Vahamaa, Sami ; Davydov, Denis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302922. Full description at Econpapers || Download paper | |
| 2021 | Unconstrained representation of orthogonal matrices with application to common principal components. (2021). Punzo, Antonio ; Bagnato, Luca. In: Computational Statistics. RePEc:spr:compst:v:36:y:2021:i:2:d:10.1007_s00180-020-01041-8. Full description at Econpapers || Download paper | |
| 2021 | Hidden semi-Markov-switching quantile regression for time series. (2021). Petrella, Lea ; Maruotti, Antonello ; Sposito, Luca. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000426. Full description at Econpapers || Download paper | |
| 2021 | Multivariate hidden Markov regression models: random covariates and heavy-tailed distributions. (2021). Maruotti, Antonello ; Ingrassia, Salvatore ; Punzo, Antonio. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:3:d:10.1007_s00362-019-01146-3. Full description at Econpapers || Download paper | |
| 2021 | Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133. Full description at Econpapers || Download paper | |
| 2021 | Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: MPRA Paper. RePEc:pra:mprapa:109231. Full description at Econpapers || Download paper | |
| 2021 | Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182. Full description at Econpapers || Download paper | |
| 2021 | Vector autoregression models with skewness and heavy tails. (2021). Nguyen, Hoang ; Karlsson, Sune ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2021_008. Full description at Econpapers || Download paper | |
| 2021 | Modelling the Relation between the US Real Economy and the Corporate Bond-Yield Spread in Bayesian VARs with non-Gaussian Disturbances. (2021). ÃÂsterholm, Pär ; Nguyen, Hoang ; Kiss, Tamas ; Osterholm, Par ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2021_009. Full description at Econpapers || Download paper | |
| 2021 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2021). Nguyen, Hoang ; Javed, Farrukh. In: Working Papers. RePEc:hhs:oruesi:2021_015. Full description at Econpapers || Download paper | |
| 2021 | A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548. Full description at Econpapers || Download paper | |
| 2021 | A New Test for Multiple Predictive Regression. (2021). Guo, Junjie ; Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022001. Full description at Econpapers || Download paper | |
| 2021 | Temperature Anomalies, Long Memory, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:9-:d:509830. Full description at Econpapers || Download paper | |
| 2021 | Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation. (2021). Vera-Valdés, J. Eduardo ; Vera-Valdes, Eduardo J. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:39-:d:660147. Full description at Econpapers || Download paper | |
| 2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper | |
| 2021 | Blockchain Analysis of the Bitcoin Market. (2021). Schoar, Antoinette ; Makarov, Igor. In: NBER Working Papers. RePEc:nbr:nberwo:29396. Full description at Econpapers || Download paper | |
| 2021 | Blockchain mechanism and distributional characteristics of cryptos. (2020). Lin, Min-Bin ; Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Papers. RePEc:arx:papers:2011.13240. Full description at Econpapers || Download paper | |
| 2021 | Understanding Smart Contracts: Hype or Hope?. (2021). Hardle, Wolfgang Karl ; Raphael, ; Zinovyeva, Elizaveta. In: Papers. RePEc:arx:papers:2103.08447. Full description at Econpapers || Download paper | |
| 2021 | Designing a global digital currency. (2021). McDonald, Bill ; Balvers, Ronald J. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:111:y:2021:i:c:s0261560620302734. Full description at Econpapers || Download paper | |
| 2021 | An environmental and techno-economic analysis of transporting LNG via Arctic route. (2021). Wang, Zhaojing ; Hu, Hao ; Jing, Danyue ; Dai, Lei. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:146:y:2021:i:c:p:56-71. Full description at Econpapers || Download paper | |
| 2021 | Rodeo or ascot: Which hat to wear at the crypto race?. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Hausler, Konstantin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021007. Full description at Econpapers || Download paper | |
| 2021 | On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5. Full description at Econpapers || Download paper | |
| 2021 | Understanding Smart Contracts: Hype or hope?. (2021). Härdle, Wolfgang ; Hardle, Wolfgang ; Raphael, ; Zinovyev, Elizaveta. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021004. Full description at Econpapers || Download paper | |
| 2021 | Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework. (2021). Khan, Muhammed Asif ; Hkiri, Besma ; Alnemer, Hashem A. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:275-:d:577199. Full description at Econpapers || Download paper | |
| 2021 | Regime switches and commonalities of the cryptocurrencies asset class. (2021). FigÃÂ -Talamanca, Gianna ; Focardi, Sergio ; Figa-Talamanca, Gianna ; Patacca, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000577. Full description at Econpapers || Download paper | |
| 2021 | Volatility Spillovers among Cryptocurrencies. (2021). Smales, Lee. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:10:p:493-:d:657044. Full description at Econpapers || Download paper | |
| 2021 | Telemedicine is an important aspect of healthcare services amid COVID?19 outbreak: Its barriers in Bangladesh and strategies to overcome. (2021). Ahmed, Shakil ; Sunna, Tachlima Chowdhury ; Chowdhury, Saifur Rahman. In: International Journal of Health Planning and Management. RePEc:bla:ijhplm:v:36:y:2021:i:1:p:4-12. Full description at Econpapers || Download paper | |
| 2021 | A literature review of the economics of COVID?19. (2021). Brodeur, Abel ; Islam, Anik ; Gray, David ; Bhuiyan, Suraiya. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:4:p:1007-1044. Full description at Econpapers || Download paper | |
| 2021 | VCRIX â A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416. Full description at Econpapers || Download paper | |
| 2021 | Cryptocurrency volatility markets. (2021). Woebbeking, Fabian. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:3:d:10.1007_s42521-021-00037-3. Full description at Econpapers || Download paper | |
| 2021 | Pricing virtual currency-linked derivatives with time-inhomogeneity. (2021). Chen, Jun-Home ; Lian, Yu-Min. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:424-439. Full description at Econpapers || Download paper | |
| 2021 | Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | Blockchain and cryptocurrencies: economic and financial research. (2021). Cretarola, Alessandra ; Grunspan, Cyril ; Figa-Talamanca, Gianna. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00366-3. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | Time-Transformed Test for the Explosive Bubbles under Non-stationary Volatility. (2020). Skrobotov, Anton ; Tsarev, Alexey ; Kurozumi, Eiji. In: Papers. RePEc:arx:papers:2012.13937. Full description at Econpapers || Download paper | |
| 2021 | Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563. Full description at Econpapers || Download paper | |
| 2021 | Volatility Spillover and International Contagion of Housing Bubbles. (2021). Bago, Jean-Louis ; Akakpo, Koffi ; Ouedraogo, Ernest ; Rherrad, Imad. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531. Full description at Econpapers || Download paper | |
| 2021 | Diversification benefits in the cryptocurrency market under mild explosivity. (2021). Arvanitis, Stelios ; Anyfantaki, Sofia ; Topaloglou, Nikolas. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:1:p:378-393. Full description at Econpapers || Download paper | |
| 2021 | Rational Bubbles: Too Many to be True?. (2021). Sola, Martin ; Psaradakis, Zacharias ; Caravello, Tomas. In: Department of Economics Working Papers. RePEc:udt:wpecon:2021_06. Full description at Econpapers || Download paper | |
| 2021 | A Machine Learning Based Regulatory Risk Index for Cryptocurrencies. (2020). Xe, Taojun ; Hardle, Wolfgang Karl ; Ni, Xinwen. In: Papers. RePEc:arx:papers:2009.12121. Full description at Econpapers || Download paper | |
| 2021 | Valuation of bitcoin options. (2021). Celik, Batur ; Cao, Melanie. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1007-1026. Full description at Econpapers || Download paper | |
| 2021 | Hedging Cryptocurrency Options. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: MPRA Paper. RePEc:pra:mprapa:110774. Full description at Econpapers || Download paper | |
| 2021 | Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market. (2021). Krettek, Jonas ; Hoffmann, Ingo ; Borner, Christoph J ; Schmitz, Tim ; Kurzinger, Lars M. In: Papers. RePEc:arx:papers:2105.12336. Full description at Econpapers || Download paper | |
| 2021 | . Full description at Econpapers || Download paper | |
| 2021 | Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467. Full description at Econpapers || Download paper | |
| 2021 | Intermediary capital risk and commodity futures volatility. (2021). Han, Liyan ; Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:577-640. Full description at Econpapers || Download paper | |
| 2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers || Download paper | |
| 2021 | Causal effect of regulated Bitcoin futures on volatility and volume. (2021). Mealli, Fabrizia ; Cipollini, Fabrizio ; Menchetti, Fiammetta. In: Papers. RePEc:arx:papers:2109.15052. Full description at Econpapers || Download paper | |
| 2021 | Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy. (2021). van De, Ignace ; Ren, Tiantian ; Mazza, Paolo ; Kerstens, Kristiaan. In: Working Papers. RePEc:ies:wpaper:e202105. Full description at Econpapers || Download paper | |
| 2021 | Portfolio selection with parsimonious higher comoments estimation. (2021). Vrins, Frederic ; Lassance, Nathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s037842662100073x. Full description at Econpapers || Download paper | |
| 2021 | Optimal Portfolio Diversification via Independent Component Analysis. (2021). Vrins, Frederic ; Lassance, Nathan ; Demiguel, Victor ; de Miguel, Victor . In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021014. Full description at Econpapers || Download paper | |
| 2021 | Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z. Full description at Econpapers || Download paper | |
| 2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper | |
| 2021 | Realized bipower variation, jump components, and option valuation. (2021). Pan, Zhiyuan ; Liu, LI ; Wang, Yudong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1933-1958. Full description at Econpapers || Download paper | |
| 2021 | Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom. (2021). GUPTA, RANGAN ; Gabauer, David ; Yamaka, Woraphon ; Nel, Jacobus. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:155:y:2021:i:3:d:10.1007_s11205-021-02622-w. Full description at Econpapers || Download paper | |
| 2021 | Oil price and US dollar exchange rate: Change detection of bi-directional causal impact. (2021). Albulescu, Claudiu ; Ajmi, Ahdi Noomen. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002863. Full description at Econpapers || Download paper | |
| 2021 | Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Bouri, Elie ; Shahzad, Farrukh. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003081. Full description at Econpapers || Download paper | |
| 2021 | Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343. Full description at Econpapers || Download paper | |
| 2021 | Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2021
| Year | Citing document | |
|---|---|---|
| 2021 | Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector. (2021). Gonzalez-Perez, Maria T. In: Working Papers. RePEc:bde:wpaper:2128. Full description at Econpapers || Download paper | |
| 2021 | Jump-preserving varying-coefficient models for nonlinear time series. (2021). Koo, Chao Hui ; Iek, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:58-96. Full description at Econpapers || Download paper | |
| 2021 | Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg. (2021). Fantazzini, Dean ; Pushchelenko, Julia ; Kurbatskii, Alexey ; Mironenkov, Alexey. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:4:p:48-803:d:667485. Full description at Econpapers || Download paper | |
| 2021 | The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179. Full description at Econpapers || Download paper | |
| 2021 | Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics. (2021). Zhang, Xibin ; Keith, Jonathan ; Pourkhanali, Armin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-15. Full description at Econpapers || Download paper | |
| 2021 | FinTech Lending. (2021). Puri, Manju ; Fuster, Andreas ; Berg, Tobias. In: NBER Working Papers. RePEc:nbr:nberwo:29421. Full description at Econpapers || Download paper | |
| 2021 | Clustering Dynamics and Persistence for Financial Multivariate Panel Data. (2021). Joo, Igor Custodio ; Schaumburg, Julia ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210040. Full description at Econpapers || Download paper | |
| 2021 | Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774. Full description at Econpapers || Download paper |
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rub̮̩n ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592. Full description at Econpapers || Download paper | |
| 2020 | Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814. Full description at Econpapers || Download paper | |
| 2020 | Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037. Full description at Econpapers || Download paper | |
| 2020 | Alternative Assets and Cryptocurrencies. (2020). Hafner, Christian. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:7-:d:304783. Full description at Econpapers || Download paper | |
| 2020 | GARCH Generated Volatility Indices of Bitcoin and CRIX. (2020). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:121-:d:370116. Full description at Econpapers || Download paper | |
| 2020 | Optimal probabilistic forecasts: When do they work?. (2020). Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Hassan, Andres Ramirez. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-33. Full description at Econpapers || Download paper | |
| 2020 | A Machine Learning Based Regulatory Risk Index for Cryptocurrencies. (2020). Xie, Taojun ; Hardle, Wolfgang Karl ; Ni, Xinwen. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020013. Full description at Econpapers || Download paper | |
| 2020 | Blockchain mechanism and distributional characteristics of cryptos. (2020). Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lin, Min-Bin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020027. Full description at Econpapers || Download paper |
Recent citations received in 2019
| Year | Citing document | |
|---|---|---|
| 2019 | Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024. Full description at Econpapers || Download paper | |
| 2019 | DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025. Full description at Econpapers || Download paper | |
| 2019 | Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237. Full description at Econpapers || Download paper | |
| 2019 | Bivariate Volatility Modeling with High-Frequency Data. (2019). Matei, Marius ; Rovira, Xari ; Agell, Nuria. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457. Full description at Econpapers || Download paper |
Recent citations received in 2018
| Year | Citing document | |
|---|---|---|
| 2018 | Forecasting the yield curve using a dynamic natural cubic spline model. (2018). Feng, Pan ; Qian, Junhui. In: Economics Letters. RePEc:eee:ecolet:v:168:y:2018:i:c:p:73-76. Full description at Econpapers || Download paper | |
| 2018 | Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20. Full description at Econpapers || Download paper | |
| 2018 | Volatility spillovers across global asset classes: Evidence from time and frequency domains. (2018). Tiwari, Aviral Kumar ; Wohar, Mark E ; Gupta, Rangan ; Cunado, Juncal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:194-202. Full description at Econpapers || Download paper | |
| 2018 | Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030. Full description at Econpapers || Download paper | |
| 2018 | Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. (2018). Trapin, Luca ; Bee, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:45-:d:142858. Full description at Econpapers || Download paper | |
| 2018 | The Log-GARCH Model via ARMA Representations. (2018). Sucarrat, Genaro. In: MPRA Paper. RePEc:pra:mprapa:100386. Full description at Econpapers || Download paper | |
| 2018 | The role of supervised learning in the decision process to fair trade US municipal debt. (2018). Vonella, Domenic ; Kajiji, Nina ; Dash, Gordon H. In: EURO Journal on Decision Processes. RePEc:spr:eurjdp:v:6:y:2018:i:1:d:10.1007_s40070-018-0079-2. Full description at Econpapers || Download paper |
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