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Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
28
Impact Factor (IF)
1.19
5 Years IF
0.63
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 1720 30 87 0 0 16 53.3 30 0.67 0.29
2008 1.51 0.59 1.29 1.51 65 110 711 132 229 45 68 45 68 40 30.3 45 0.69 0.29
2009 1.05 0.58 1.19 1.05 60 170 624 196 432 110 116 110 116 66 33.7 28 0.47 0.33
2010 0.7 0.52 0.89 0.92 74 244 345 214 648 125 88 170 157 22 10.3 22 0.3 0.3
2011 0.72 0.62 1.13 0.98 56 300 214 335 987 134 97 244 240 39 11.6 25 0.45 0.37
2012 0.45 0.68 0.94 0.75 56 356 523 329 1320 130 59 300 225 47 14.3 33 0.59 0.36
2013 0.8 0.66 0.9 0.63 51 407 270 362 1687 112 90 311 195 33 9.1 19 0.37 0.35
2014 0.93 0.67 0.89 0.66 63 470 307 416 2104 107 100 297 196 48 11.5 33 0.52 0.34
2015 0.71 0.65 0.83 0.6 57 527 189 436 2541 114 81 300 179 40 9.2 17 0.3 0.36
2016 0.71 0.64 0.73 0.62 33 560 84 411 2952 120 85 283 176 39 9.5 8 0.24 0.34
2017 0.52 0.62 0.65 0.61 41 601 215 393 3345 90 47 260 159 15 3.8 7 0.17 0.35
2018 0.59 0.61 0.55 0.46 36 637 109 351 3696 74 44 245 112 18 5.1 6 0.17 0.34
2019 0.86 0.62 0.59 0.49 23 660 111 385 4083 77 66 230 112 11 2.9 16 0.7 0.36
2020 0.75 0.7 0.56 0.62 19 679 44 381 4464 59 44 190 117 22 5.8 16 0.84 0.74
2021 0.57 0.95 0.56 0.59 16 695 37 390 4854 42 24 152 90 4 1 3 0.19 0.39
2022 0.63 0.69 0.47 0.51 11 706 24 329 5183 35 22 135 69 15 4.6 8 0.73 0.22
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
#YearTitleCited
12007Roughing 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

894
22007Real-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

546
32012Is 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.

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253
42009The 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.

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203
52009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

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116
62008Option 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.

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115
72017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

103
82012Choice of Sample Split in Out-of-Sample Forecast Evaluation. (2012). Hansen, Peter ; Timmermann, Allan. In: CREATES Research Papers. RePEc:aah:create:2012-43.

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80
92010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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71
102019Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors. (2019). Nielsen, Morten ; MacKinnon, James ; Djogbenou, Antoine. In: CREATES Research Papers. RePEc:aah:create:2019-05.

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71
112013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

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69
122008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

68
132007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

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66
142013The 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.

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65
152008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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60
162007The 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.

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57
172018Fast 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.

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55
182014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

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48
192008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08.

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43
202014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

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41
212014A 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.

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41
222015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

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41
232008American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41.

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40
242008Multivariate 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.

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37
252015Effects 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.

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37
262008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

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31
272007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

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30
282008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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30
292007Microstructure 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.

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27
302011Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

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26
312012Exponential GARCH Modeling with Realized Measures of Volatility. (2012). Huang, Zhuo ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2012-44.

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26
322008Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56.

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24
332009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

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24
342009Option 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.

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24
352011International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10.

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23
362009Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27.

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23
372010Realized 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.

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23
382007Estimation 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.

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22
392008Parameterizing unconditional skewness in models for financial time series. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07.

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21
402009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13.

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21
412012Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16.

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21
422022Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08.

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21
432009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17.

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20
442007Continuous-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.

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19
452010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21.

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19
462009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52.

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19
472011Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX. (2011). Andersen, Torben ; Bondarenko, Oleg ; Gonzalez-Perez, Maria T.. In: CREATES Research Papers. RePEc:aah:create:2011-49.

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18
482018State-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.

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18
492010Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error. (2010). Lunde, Asger ; Hansen, Peter. In: CREATES Research Papers. RePEc:aah:create:2010-08.

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18
502012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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18
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12007Roughing 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

125
22007Real-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

60
32012Is 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

56
42019Asymptotic 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

49
52017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

Full description at Econpapers || Download paper

42
62009The 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

27
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

25
82022Cluster-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

21
92008Measuring downside risk — 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

19
102008Option 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

17
112014A 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

15
122021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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14
132015Effects 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

13
142007The 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

11
152012Choice 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

10
162015Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin Vázquez, María Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04.

Full description at Econpapers || Download paper

10
172021Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08.

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9
182013Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). Teräsvirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18.

Full description at Econpapers || Download paper

9
192009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

Full description at Econpapers || Download paper

8
202017Quasi-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.

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8
212008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

7
222014Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08.

Full description at Econpapers || Download paper

7
232008American 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

6
242012Exponential 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
252014Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04.

Full description at Econpapers || Download paper

6
262014A 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.

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6
272020Truncated 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.

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5
282018Fast 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.

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5
292019Forecasting 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.

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5
302007Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24.

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5
312021Semiparametric 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.

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4
322021Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14.

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4
332008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). Teräsvirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08.

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4
342020Adaptive Inference in Heteroskedastic Fractional Time Series Models. (2020). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2020-08.

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3
352019Demand 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.

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3
362009Stochastic 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.

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3
372020A statistical model of the global carbon budget. (2020). Koopman, Siem Jan ; Bennedsen, Mikkel ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2020-18.

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3
382018State-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.

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3
392016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04.

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2
402009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach. (2009). Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-11.

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2
412011The Properties of Model Selection when Retaining Theory Variables. (2011). Johansen, Soren ; Hendry, David. In: CREATES Research Papers. RePEc:aah:create:2011-36.

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2
422013Parallel 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.

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2
432020Roughness 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.

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2
442007Models 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.

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452011Financial Risk Measurement for Financial Risk Management. (2011). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2011-37.

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462014Discriminating between fractional integration and spurious long memory. (2014). Kruse, Robinson ; Haldrup, Niels. In: CREATES Research Papers. RePEc:aah:create:2014-19.

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472021Four 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.

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482020Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03.

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492016Forecasting daily political opinion polls using the fractionally cointegrated VAR model. (2016). Shibaev, Sergei ; Nielsen, Morten. In: CREATES Research Papers. RePEc:aah:create:2016-30.

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502015Explosive 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.

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Citing documents used to compute impact factor: 32
YearTitle
2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

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2023Mixed-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.

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2023Forecasting 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.

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2023
2023The 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.

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2023Ignoring 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.

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2023Drivers of Large Recessions and Monetary Policy Responses. (2023). Villa, Stefania ; Melina, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10590.

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2023Drivers 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.

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2023Drivers 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.

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2023The 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.

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2023The 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.

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2023The 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.

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2023Bootstrap inference in the presence of bias. (2022). Cavaliere, Giuseppe ; Nielsen, Morten Orregaard ; Gonccalves, S'Ilvia. In: Papers. RePEc:arx:papers:2208.02028.

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2023Are 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.

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2023On 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.

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2023On 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.

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2023Building 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.

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2023.

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2023Parametric 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.

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2023Leverage, 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.

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2023Inference on quantile processes with a finite number of clusters. (2023). Hagemann, Andreas. In: Papers. RePEc:arx:papers:2301.04687.

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2023The Impact of Export Controls on International Trade: Evidence from the Japan–Korea trade dispute in the semiconductor industry. (2023). Hongyong, Zhang ; Ryo, Makioka. In: Discussion papers. RePEc:eti:dpaper:23017.

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2023How Does Immigration Affect Housing Costs in Switzerland?. (2023). Osikominu, Aderonke ; Grossmann, Volker ; Helfer, Fabienne. In: IZA Discussion Papers. RePEc:iza:izadps:dp15958.

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2023The 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.

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2023How 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.

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2023Robust inference for the treatment effect variance in experiments using machine learning. (2023). Sanchez-Becerra, Alejandro. In: Papers. RePEc:arx:papers:2306.03363.

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2023Biased 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.

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2023How 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.

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2023.

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2023Prospect 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.

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2023
Recent citations
Recent citations received in 2022

YearCiting document
2022Non-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.

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2022
2022No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759.

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2022More 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.

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2022Collusion 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.

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2022A Meta-Regression Analysis of Hunters’ 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.

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2022The 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.

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2022Quality 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.

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Recent citations received in 2021

YearCiting document
2021The 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.

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2021The Euro Area’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.

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2021On the uncertainty of a combined forecast: The critical role of correlation. (2021). Vasnev, Andrey ; Magnus, Jan. In: Working Papers. RePEc:syb:wpbsba:2123/27307.

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Recent citations received in 2020

YearCiting document
2020Wild Bootstrap and Asymptotic Inference with Multiway Clustering. (2020). Nielsen, Morten ; MacKinnon, James ; Webb, Matthew D. In: CREATES Research Papers. RePEc:aah:create:2020-06.

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2020Roughness 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.

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2020To infinity and beyond: Efficient computation of ARCH(1) models. (2020). Nielsen, Morten ; Noel, Antoine L. In: CREATES Research Papers. RePEc:aah:create:2020-13.

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2020Air 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.

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2020Temperature Anomalies, Long Memory, and Aggregation. (2020). Vera-Valdes, Eduardo J. In: CREATES Research Papers. RePEc:aah:create:2020-16.

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2020Multiway Cluster Robust Double/Debiased Machine Learning. (2019). Sasaki, Yuya ; Ma, Yukun ; Kato, Kengo ; Chiang, Harold D. In: Papers. RePEc:arx:papers:1909.03489.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020LM 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.

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2020Labor market reforms and allocative efficiency in Italy. (2020). Modena, Francesca ; Gnocato, Nicolò ; Tomasi, Chiara. In: Labour Economics. RePEc:eee:labeco:v:67:y:2020:i:c:s0927537120301421.

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2020Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk. (2020). Woźny, Łukasz ; Dziewulski, Pawel ; Reffett, Kevin ; Balbus, Lukasz . In: Working Papers. RePEc:sgh:kaewps:2020052.

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2020Vocational 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.

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