Citation analysis for CREATES Research Papers / Department of Economics and Business Economics, Aarhus University

Citation Profile [Updated: 2024-06-03 11:54:30]

5 Years H Index

Impact Factor (IF)

1.19

5 Years IF

0.67

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
2007	0	0.52	0.89	0	45	45	1699	30	87	0		0		16	53.3	30	0.67	0.3
2008	1.51	0.59	1.29	1.51	65	110	699	132	229	45	68	45	68	40	30.3	45	0.69	0.29
2009	1.05	0.58	1.19	1.05	60	170	616	195	431	110	115	110	115	66	33.8	28	0.47	0.33
2010	0.7	0.52	0.89	0.93	74	244	342	215	648	125	88	170	158	22	10.2	22	0.3	0.3
2011	0.72	0.61	1.13	0.98	56	300	210	334	986	134	96	244	239	39	11.7	25	0.45	0.37
2012	0.45	0.68	0.94	0.76	56	356	518	332	1322	130	59	300	228	47	14.2	33	0.59	0.36
2013	0.79	0.67	0.9	0.62	51	407	269	363	1690	112	88	311	193	33	9.1	19	0.37	0.35
2014	0.93	0.67	0.89	0.66	63	470	302	416	2107	107	99	297	195	48	11.5	32	0.51	0.34
2015	0.71	0.66	0.83	0.6	57	527	186	437	2545	114	81	300	179	40	9.2	17	0.3	0.36
2016	0.74	0.65	0.75	0.64	33	560	82	418	2963	120	89	283	180	39	9.3	8	0.24	0.35
2017	0.52	0.62	0.66	0.61	41	601	208	395	3358	90	47	260	159	15	3.8	7	0.17	0.35
2018	0.59	0.61	0.55	0.46	36	637	108	353	3711	74	44	245	112	18	5.1	6	0.17	0.34
2019	0.87	0.62	0.6	0.49	23	660	100	393	4106	77	67	230	113	11	2.8	17	0.74	0.36
2020	0.76	0.71	0.58	0.63	19	679	43	392	4498	59	45	190	119	22	5.6	16	0.84	0.76
2021	0.57	0.97	0.58	0.6	16	695	34	402	4900	42	24	152	91	4	1	3	0.19	0.4
2022	0.6	0.72	0.48	0.51	11	706	22	338	5238	35	21	135	69	15	4.4	7	0.64	0.23

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	2007	Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers \|\| Download paper	881
2	2007	Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers \|\| Download paper	541
3	2012	Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers \|\| Download paper	250
4	2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers \|\| Download paper	198
5	2009	Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers \|\| Download paper	116
6	2008	Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers \|\| Download paper	110
7	2017	Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers \|\| Download paper	97
8	2012	Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers \|\| Download paper	78
9	2010	Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers \|\| Download paper	71
10	2008	Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers \|\| Download paper	68
11	2013	Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆÃÂ¤svirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers \|\| Download paper	67
12	2013	The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications. (2013). Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2013-12. Full description at Econpapers \|\| Download paper	65
13	2007	Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers \|\| Download paper	65
14	2019	Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05. Full description at Econpapers \|\| Download paper	62
15	2008	Multivariate GARCH models. (2008). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers \|\| Download paper	60
16	2007	The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers \|\| Download paper	55
17	2018	Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34. Full description at Econpapers \|\| Download paper	54
18	2014	Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers \|\| Download paper	46
19	2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆÃÂ¤svirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers \|\| Download paper	42
20	2015	Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆÃÂ¡zquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers \|\| Download paper	40
21	2014	Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers \|\| Download paper	40
22	2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers \|\| Download paper	39
23	2014	A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23. Full description at Econpapers \|\| Download paper	39
24	2008	Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: CREATES Research Papers. RePEc:aah:create:2008-63. Full description at Econpapers \|\| Download paper	36
25	2015	Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15. Full description at Econpapers \|\| Download paper	36
26	2008	Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers \|\| Download paper	30
27	2007	Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17. Full description at Econpapers \|\| Download paper	30
28	2007	Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9. (2007). Podolskij, Mark ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias ; Jacod, Jean. In: CREATES Research Papers. RePEc:aah:create:2007-43. Full description at Econpapers \|\| Download paper	27
29	2008	Measuring downside risk Ã¢â¬â realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42. Full description at Econpapers \|\| Download paper	26
30	2011	Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers \|\| Download paper	26
31	2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers \|\| Download paper	26
32	2008	Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; CapistrÃÆÃÂ¡n, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers \|\| Download paper	24
33	2009	Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers \|\| Download paper	24
34	2010	Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility. (2010). Huang, Zhuo ; Hansen, Peter ; Shek, Howard Howan . In: CREATES Research Papers. RePEc:aah:create:2010-13. Full description at Econpapers \|\| Download paper	23
35	2011	International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10. Full description at Econpapers \|\| Download paper	23
36	2009	Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27. Full description at Econpapers \|\| Download paper	23
37	2007	Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps. (2007). Podolskij, Mark ; Vetter, Mathias . In: CREATES Research Papers. RePEc:aah:create:2007-27. Full description at Econpapers \|\| Download paper	22
38	2012	Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16. Full description at Econpapers \|\| Download paper	21
39	2008	Parameterizing unconditional skewness in models for financial time series. (2008). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers \|\| Download paper	21
40	2009	Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13. Full description at Econpapers \|\| Download paper	21
41	2009	Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers \|\| Download paper	21
42	2009	Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17. Full description at Econpapers \|\| Download paper	20
43	2009	Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52. Full description at Econpapers \|\| Download paper	19
44	2007	Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns. (2007). Nielsen, Morten ; Bollerslev, Tim ; Andersen, Torben ; Frederiksen, Per Houmann. In: CREATES Research Papers. RePEc:aah:create:2007-21. Full description at Econpapers \|\| Download paper	19
45	2022	Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08. Full description at Econpapers \|\| Download paper	19
46	2010	Forecast Combinations. (2010). Timmermann, Allan ; CapistrÃÆÃÂ¡n, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21. Full description at Econpapers \|\| Download paper	19
47	2012	Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers \|\| Download paper	18
48	2014	Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27. Full description at Econpapers \|\| Download paper	18
49	2008	Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo. In: CREATES Research Papers. RePEc:aah:create:2008-48. Full description at Econpapers \|\| Download paper	18
50	2008	Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood. (2008). Shin, Yongseok ; Kristensen, Dennis. In: CREATES Research Papers. RePEc:aah:create:2008-58. Full description at Econpapers \|\| Download paper	18

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

#	Year	Title	Cited
1	2007	Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. (2007). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-18. Full description at Econpapers \|\| Download paper	119
2	2007	Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets. (2007). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2007-20. Full description at Econpapers \|\| Download paper	55
3	2012	Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers \|\| Download paper	55
4	2019	Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05. Full description at Econpapers \|\| Download paper	42
5	2017	Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers \|\| Download paper	36
6	2009	Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers \|\| Download paper	30
7	2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers \|\| Download paper	24
8	2022	Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08. Full description at Econpapers \|\| Download paper	19
9	2008	Measuring downside risk Ã¢â¬â realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42. Full description at Econpapers \|\| Download paper	14
10	2014	A fractionally cointegrated VAR analysis of economic voting and political support. (2014). Popiel, Michal ; Nielsen, Morten ; Jones, Maggie ; Maggie E. C. Jones, . In: CREATES Research Papers. RePEc:aah:create:2014-23. Full description at Econpapers \|\| Download paper	13
11	2008	Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers \|\| Download paper	12
12	2015	Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets. (2015). Christiansen, Charlotte ; Asgharian, Hossein ; Hou, Ai Jun . In: CREATES Research Papers. RePEc:aah:create:2015-15. Full description at Econpapers \|\| Download paper	12
13	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	11
14	2021	Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08. Full description at Econpapers \|\| Download paper	9
15	2015	Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆÃÂ¡zquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers \|\| Download paper	9
16	2007	The Effect of Long Memory in Volatility on Stock Market Fluctuations. (2007). Nielsen, Morten ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2007-03. Full description at Econpapers \|\| Download paper	9
17	2013	Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆÃÂ¤svirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers \|\| Download paper	8
18	2012	Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43. Full description at Econpapers \|\| Download paper	8
19	2017	Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2017-02. Full description at Econpapers \|\| Download paper	7
20	2014	Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers \|\| Download paper	7
21	2008	Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers \|\| Download paper	7
22	2012	Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44. Full description at Econpapers \|\| Download paper	6
23	2019	Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07. Full description at Econpapers \|\| Download paper	6
24	2009	Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers \|\| Download paper	5
25	2014	A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. (2014). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, KE. In: CREATES Research Papers. RePEc:aah:create:2014-24. Full description at Econpapers \|\| Download paper	5
26	2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers \|\| Download paper	5
27	2020	Truncated sum of squares estimation of fractional time series models with deterministic trends. (2020). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2020-07. Full description at Econpapers \|\| Download paper	5
28	2018	Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34. Full description at Econpapers \|\| Download paper	4
29	2014	Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers \|\| Download paper	4
30	2021	Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14. Full description at Econpapers \|\| Download paper	4
31	2007	Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers \|\| Download paper	4
32	2021	Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Taylor, Robert ; Nielsen, Morten ; Iacone, Fabrizio. In: CREATES Research Papers. RePEc:aah:create:2021-04. Full description at Econpapers \|\| Download paper	4
33	2020	A statistical model of the global carbon budget. (2020). Koopman, Siem Jan ; Bennedsen, Mikkel ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2020-18. Full description at Econpapers \|\| Download paper	3
34	2020	Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08. Full description at Econpapers \|\| Download paper	3
35	2009	Stochastic volatility of volatility in continuous time. (2009). Veraart, Almut ; Barndorff-Nielsen, Ole ; Almut E. D. Veraart, . In: CREATES Research Papers. RePEc:aah:create:2009-25. Full description at Econpapers \|\| Download paper	3
36	2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆÃÂ¤svirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers \|\| Download paper	3
37	2018	State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers \|\| Download paper	3
38	2015	Explosive bubbles in house prices? Evidence from the OECD countries. (2015). Pedersen, Thomas ; Engsted, Tom ; Hviid, Simon J.. In: CREATES Research Papers. RePEc:aah:create:2015-01. Full description at Econpapers \|\| Download paper	2
39	2020	Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers \|\| Download paper	2
40	2011	Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2011-37. Full description at Econpapers \|\| Download paper	2
41	2010	The Model Confidence Set. (2010). Nason, James ; Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-76. Full description at Econpapers \|\| Download paper	2
42	2008	Bias-reduced estimation of long memory stochastic volatility. (2008). Nielsen, Morten ; Frederiksen, Per . In: CREATES Research Papers. RePEc:aah:create:2008-35. Full description at Econpapers \|\| Download paper	2
43	2014	Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition. (2014). Yang, Yukai. In: CREATES Research Papers. RePEc:aah:create:2014-11. Full description at Econpapers \|\| Download paper	2
44	2021	Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model. (2021). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: CREATES Research Papers. RePEc:aah:create:2021-13. Full description at Econpapers \|\| Download paper	2
45	2013	Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox. (2013). van Dijk, Herman ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: CREATES Research Papers. RePEc:aah:create:2013-09. Full description at Econpapers \|\| Download paper	2
46	2017	Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers \|\| Download paper	2
47	2015	A Martingale Decomposition of Discrete Markov Chains. (2015). Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2015-18. Full description at Econpapers \|\| Download paper	2
48	2019	The analysis of marked and weighted empirical processes of estimated residuals. (2019). Johansen, Soren ; Berenguer-Rico, Vanessa ; Nielsen, Bent. In: CREATES Research Papers. RePEc:aah:create:2019-06. Full description at Econpapers \|\| Download paper	2
49	2019	Demand and Welfare Analysis in Discrete Choice Models with Social Interactions. (2019). Dupas, Pascaline ; Bhattacharya, Debopam ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2019-09. Full description at Econpapers \|\| Download paper	2
50	2007	Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices. (2007). Christoffersen, Peter ; Jacobs, Kris ; Mimouni, Karim. In: CREATES Research Papers. RePEc:aah:create:2007-37. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 32

Year	Title
2023	Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers \|\| Download paper
2023	From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256. Full description at Econpapers \|\| Download paper
2023	Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data. (2023). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1122-1144. Full description at Econpapers \|\| Download paper
2023	Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers \|\| Download paper
2023
2023	The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429. Full description at Econpapers \|\| Download paper
2023	Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models. (2023). Ruiz, Esther ; Poncela, Pilar ; Fresoli, Diego. In: Economics Letters. RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002719. Full description at Econpapers \|\| Download paper
2023	Drivers of Large Recessions and Monetary Policy Responses. (2023). Villa, Stefania ; Melina, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10590. Full description at Econpapers \|\| Download paper
2023	Drivers of large recessions and monetary policy responses. (2023). Villa, Stefania ; Melina, Giovanni. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000955. Full description at Econpapers \|\| Download paper
2023	Drivers of large recessions and monetary policy responses. (2023). Villa, Stefania ; Melina, Giovanni. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1425_23. Full description at Econpapers \|\| Download paper
2023	The COVID-19 recession on both sides of the Atlantic: A model-based comparison. (2023). Vogel, Lukas ; Ratto, Marco ; Pfeiffer, Philipp ; Cardani, Roberta. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2023014. Full description at Econpapers \|\| Download paper
2023	The COVID-19 recession on both sides of the Atlantic: A model-based comparison. (2023). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s0014292123001848. Full description at Econpapers \|\| Download paper
2023	The COVID-19 Recession on Both Sides of the Atlantic: A Model-Based Comparison. (2023). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco. In: European Economy - Discussion Papers. RePEc:euf:dispap:191. Full description at Econpapers \|\| Download paper
2023	Bootstrap inference in the presence of bias. (2022). Cavaliere, Giuseppe ; Nielsen, Morten Orregaard ; Gonccalves, S'Ilvia. In: Papers. RePEc:arx:papers:2208.02028. Full description at Econpapers \|\| Download paper
2023	Are Some Forecasters Really Better than Others? A Note. (2023). Lahiri, Kajal ; Hounyo, Ulrich. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:577-593*. Full description at Econpapers \|\| Download paper
2023	On the uncertainty of a combined forecast: The critical role of correlation. (2023). Vasnev, Andrey ; Magnus, Jan R. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1895-1908. Full description at Econpapers \|\| Download paper
2023	On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates. (2023). Zhang, Boyuan ; Shin, Minchul ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001464. Full description at Econpapers \|\| Download paper
2023	Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Parametric estimation of long memory in factor models. (2023). Ergemen, Yunus Emre. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1483-1499. Full description at Econpapers \|\| Download paper
2023	Leverage, Influence, and the Jackknife in Clustered Regression Models: Reliable Inference Using summclust. (2022). Webb, Matthew D ; Nielsen, Morten Orregaard ; MacKinnon, James G. In: Papers. RePEc:arx:papers:2205.03288. Full description at Econpapers \|\| Download paper
2023	Inference on quantile processes with a finite number of clusters. (2023). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2301.04687. Full description at Econpapers \|\| Download paper
2023	The Impact of Export Controls on International Trade: Evidence from the JapanÃ¢â¬âKorea trade dispute in the semiconductor industry. (2023). Hongyong, Zhang ; Ryo, Makioka. In: Discussion papers. RePEc:eti:dpaper:23017. Full description at Econpapers \|\| Download paper
2023	How Does Immigration Affect Housing Costs in Switzerland?. (2023). Osikominu, Aderonke ; Grossmann, Volker ; Helfer, Fabienne. In: IZA Discussion Papers. RePEc:iza:izadps:dp15958. Full description at Econpapers \|\| Download paper
2023	The housing market impacts of bicycle-sharing systems. (2023). Chen, Yi-Syun ; Yang, Feng-An ; Shr, Yau-Huo. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:98:y:2023:i:c:s0166046222000874. Full description at Econpapers \|\| Download paper
2023	How does immigration affect housing costs in Switzerland?. (2023). Grossmann, Volker ; Osikominu, Aderonke ; Helfer, Fabienne. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00110-1. Full description at Econpapers \|\| Download paper
2023	Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363. Full description at Econpapers \|\| Download paper
2023	Biased Beliefs and Stigma as Barriers to Treatment and Innovation Adoption. (2023). Lasio, Laura ; Grigolon, Laura. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_277v2. Full description at Econpapers \|\| Download paper
2023	How price-gouging regulation undermined COVID-19 mitigation: county-level evidence of unintended consequences. (2023). Roberts, Gavin ; Chakraborti, Rik. In: Public Choice. RePEc:kap:pubcho:v:196:y:2023:i:1:d:10.1007_s11127-023-01054-z. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Prospect theory and mutual fund flows: Evidence from China. (2023). Han, Jing ; Wang, Cheng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001336. Full description at Econpapers \|\| Download paper
2023

Recent citations

Recent citations received in 2022

Year	Citing document
2022	Non-Robustness of the Cluster-Robust Inference: with a Proposal of a New Robust Method. (2022). Wang, Yulong ; Sasaki, Yuya. In: Papers. RePEc:arx:papers:2210.16991. Full description at Econpapers \|\| Download paper
2022	No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759. Full description at Econpapers \|\| Download paper
2022	More or less unmarried. The impact of legal settings of cohabitation on labour market outcomes. (2022). Leturcq, Marion ; Gousse, Marion. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001519. Full description at Econpapers \|\| Download paper
2022	Collusion in the US generic drug industry. (2022). Lasio, Laura ; Clark, Robert ; Fabiilli, Christopher. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:85:y:2022:i:c:s0167718722000546. Full description at Econpapers \|\| Download paper
2022	A Meta-Regression Analysis of Huntersâ Valuations of Recreational Hunting. (2022). Kerr, Geoffrey ; Gren, Ing-Marie. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:27-:d:1008901. Full description at Econpapers \|\| Download paper
2022	The Impact of Maternal Education on Child Immunization: Evidence from Bangladesh. (2022). Ayyagari, Padmaja ; la Mattina, Giulia ; Lamattina, Giulia ; Shahjahan, MD. In: IZA Discussion Papers. RePEc:iza:izadps:dp15553. Full description at Econpapers \|\| Download paper
2022	Quality decreases from introducing patient choice in a National Health Service. (2022). Barros, Pedro Pita ; PitaBarros, Pedro . In: Portuguese Economic Journal. RePEc:spr:portec:v:21:y:2022:i:3:d:10.1007_s10258-022-00223-0. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	The Euro Areas Pandemic Recession: A DSGE-Based Interpretation. (2021). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco ; Giovannini, Massimo ; Croitorov, Olga. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:153. Full description at Econpapers \|\| Download paper
2021	The Euro AreaÃ¢â¬â¢s pandemic recession: A DSGE interpretation. (2021). Vogel, Lukas ; Giovannini, Massimo ; Cardani, Roberta ; Ratto, Marco ; Pfeiffer, Philipp ; Croitorov, Olga. In: Working Papers. RePEc:jrs:wpaper:202110. Full description at Econpapers \|\| Download paper
2021	On the uncertainty of a combined forecast: The critical role of correlation. (2021). Vasnev, Andrey ; Magnus, Jan. In: Working Papers. RePEc:syb:wpbsba:2123/27307. Full description at Econpapers \|\| Download paper

Recent citations received in 2020

Year	Citing document
2020	Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06. Full description at Econpapers \|\| Download paper
2020	Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12. Full description at Econpapers \|\| Download paper
2020	To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13. Full description at Econpapers \|\| Download paper
2020	Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?. (2020). Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Carlos Vladimir. In: CREATES Research Papers. RePEc:aah:create:2020-15. Full description at Econpapers \|\| Download paper
2020	Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16. Full description at Econpapers \|\| Download paper
2020	Multiway Cluster Robust Double/Debiased Machine Learning. (2019). Sasaki, Yuya ; Ma, Yukun ; Kato, Kengo ; Chiang, Harold D. In: Papers. RePEc:arx:papers:1909.03489. Full description at Econpapers \|\| Download paper
2020	Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42. Full description at Econpapers \|\| Download paper
2020	LM tests for joint breaks in the dynamics and level of a long-memory time series. (2020). Velasco, Carlos ; Dolado, Juan ; Rachinger, Heiko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15435. Full description at Econpapers \|\| Download paper
2020	Labor market reforms and allocative efficiency in Italy. (2020). Modena, Francesca ; Gnocato, NicolÃÂ² ; Tomasi, Chiara. In: Labour Economics. RePEc:eee:labeco:v:67:y:2020:i:c:s0927537120301421. Full description at Econpapers \|\| Download paper
2020	Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk. (2020). WoÃÂºny, ÃÂukasz ; Dziewulski, Pawel ; Reffett, Kevin ; Balbus, Lukasz . In: Working Papers. RePEc:sgh:kaewps:2020052. Full description at Econpapers \|\| Download paper
2020	Vocational Training for Demobilized Ex-combatants with Disabilities in Rwanda. (2020). Takasaki, Yoshito ; Igei, Kengo ; Aoyagi, Keitaro ; Takio, Kana. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1155. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	88	153
2	Energy Economics / Elsevier	159	60
3	CREATES Research Papers / Department of Economics and Business Economics, Aarhus University	27	52
4	Journal of Econometrics / Elsevier	229	52
5	The North American Journal of Economics and Finance / Elsevier	46	43
6	International Journal of Forecasting / Elsevier	87	42
7	International Review of Financial Analysis / Elsevier	67	42
8	Journal of Futures Markets / John Wiley & Sons, Ltd.	45	38
9	Finance Research Letters / Elsevier	70	36
10	MPRA Paper / University Library of Munich, Germany	126	35
11	International Review of Economics & Finance / Elsevier	58	31