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Working Papers / University of Sydney Business School, Discipline of Business Analytics

Citation Profile [Updated: 2024-12-09 13:41:37]
5 Years H Index
5
Impact Factor (IF)
0.25
5 Years IF
0.13
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
2009 0 0.58 0 0 3 3 2 0 0 0 0 0 0.33
2010 0.33 0.52 0.14 0.33 4 7 3 1 1 3 1 3 1 0 0 0.3
2011 0 0.62 0.26 0 12 19 18 5 6 7 7 0 5 0.42 0.37
2012 0.19 0.68 0.15 0.21 8 27 2 4 10 16 3 19 4 1 25 0 0.36
2013 0.2 0.66 0.12 0.15 7 34 3 4 14 20 4 27 4 0 0 0.35
2014 0.13 0.67 0.12 0.15 7 41 5 5 19 15 2 34 5 0 0 0.34
2015 0.14 0.65 0.12 0.11 8 49 13 6 25 14 2 38 4 0 1 0.13 0.36
2016 0.33 0.64 0.13 0.14 7 56 5 7 32 15 5 42 6 0 0 0.34
2017 0.33 0.62 0.08 0.14 3 59 48 5 37 15 5 37 5 1 20 0 0.35
2019 2 0.61 0.26 0.4 7 66 0 17 63 3 6 25 10 0 0 0.36
2020 0 0.7 0.26 0.44 4 70 7 18 81 7 25 11 0 2 0.5 0.74
2021 0.18 0.95 0.12 0.33 3 73 0 9 90 11 2 21 7 1 11.1 0 0.39
2022 0.29 0.69 0.12 0.53 1 74 0 9 99 7 2 17 9 0 0 0.22
2023 0.25 0.57 0.18 0.13 3 77 0 14 113 4 1 15 2 0 0 0.18
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
12017Endogenous Environmental Variables In Stochastic Frontier Models. (2017). Prokhorov, Artem ; Schmidt, Peter ; Amsler, Christine. In: Working Papers. RePEc:syb:wpbsba:2123/16763.

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48
22011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis. (2011). Lin, Edward ; Chen, Cathy W. S. ; Chen, Cathy W. S, ; Gerlach, Richard ; Lin, Edward M. H., ; Lee, Wcw, . In: Working Papers. RePEc:syb:wpbsba:2123/8156.

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8
32015Endogeneity in Stochastic Frontier Models. (2015). Prokhorov, Artem ; Amsler, Christine ; Schmidt, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/12755.

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7
42011Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis. (2011). Cathy WS Chen, ; Wcw Lee, ; Gerlach, Richard ; Edward MH Lin, . In: Working Papers. RePEc:syb:wpbsba:03/2011.

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7
52020Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/22140.

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6
62011Does the Box-Cox transformation help in forecasting macroeconomic time series?. (2011). Proietti, Tommaso ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Working Papers. RePEc:syb:wpbsba:2123/8167.

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5
72011Forecast combination for discrete choice models: predicting FOMC monetary policy decisions. (2011). Vasnev, Andrey ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/8158.

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3
82012Bayesian Semi-parametric Expected Shortfall Forecasting in Financial M arkets. (2012). Chen, Cathy W. S. ; Chen, Cathy W. S, ; Gerlach, Richard ; Lin, Liou-Yan . In: Working Papers. RePEc:syb:wpbsba:2123/8169.

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3
92016Block-Wise Pseudo-Marginal Metropolis-Hastings. (2016). , ; Villani, M ; Kohn, R ; Quiroz, M. In: Working Papers. RePEc:syb:wpbsba:2123/14595.

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3
102009Mixed strategies in discriminatory divisible-good auctions. (2009). Holmberg, Pär ; Philpott, A. B. ; Anderson, E. J.. In: Working Papers. RePEc:syb:wpbsba:2123/8162.

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3
112014Confidence Levels for CVaR Risk Measures and Minimax Limits*. (2014). Zhang, Dali ; Xu, Huifu ; Anderson, Edward. In: Working Papers. RePEc:syb:wpbsba:2123/9943.

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3
12Portfolio Margining: Strategy vs Risk. (2010). Coffman, E. G. Jr, ; Timkovsky, V. G. ; Matsypura, D.. In: Working Papers. RePEc:syb:wpbsba:2123/8171.

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2
132013Two-Sample Nonparametric Estimation of Intergenerational Income Mobili ty. (2013). Prokhorov, Artem ; Murtazashvili, Irina ; Liu, DI. In: Working Papers. RePEc:syb:wpbsba:2123/9293.

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2
142015Fat tails and copulas: limits of diversification revisited. (2015). Prokhorov, Artem ; Ibragimov, Rustam. In: Working Papers. RePEc:syb:wpbsba:2123/13799.

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2
152010Estimating Value At Risk. (2010). Huang, Hai ; Lu, Zudi ; Gerlach, Richard. In: Working Papers. RePEc:syb:wpbsba:2123/8170.

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2
162016Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem. (2016). Prokhorov, Artem ; Matsypura, Dmytro ; Neo, Emily . In: Working Papers. RePEc:syb:wpbsba:2123/14745.

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2
17GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference. (2015). Prokhorov, Artem ; Hill, Jonathan B. In: Working Papers. RePEc:syb:wpbsba:2123/13795.

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2
182014Semi-parametric Expected Shortfall Forecasting. (2014). Chen, Cathy W. S. ; Chen, Cathy W. S., ; Gerlach, Richard. In: Working Papers. RePEc:syb:wpbsba:2123/10457.

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2
192011Australian Residential Housing Market & Hedonic Construction of House Price Indices for Metropolitan. (2011). Knight, Eva ; Cottet, Remy . In: Working Papers. RePEc:syb:wpbsba:2123/8155.

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2
202015Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Range and Realized Measures. (2015). Gerlach, Richard ; Wang, Chao. In: Working Papers. RePEc:syb:wpbsba:2123/13800.

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2
212014Bayesian Tail Risk Forecasting using Realised GARCH. (2014). Contino, Christian ; Gerlach, Richard H.. In: Working Papers. RePEc:syb:wpbsba:2123/12060.

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1
222020Robust Moral Hazard with Distributional Ambiguity. (2020). Li, Zhaolin. In: Working Papers. RePEc:syb:wpbsba:2123/23549.

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1
232014Consistent Estimation of Linear Regression Models Using Matched Data. (2014). Prokhorov, Artem ; Hirukawa, Masayuki. In: Working Papers. RePEc:syb:wpbsba:2123/11773.

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1
242011Supply Function Equilibria Always Exist. (2011). Anderson, Edward. In: Working Papers. RePEc:syb:wpbsba:2123/8157.

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1
252013Forecast combination for U.S. recessions with real-time data. (2013). Vasnev, Andrey ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/8965.

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1
262015Generalized Information Matrix Tests for Copulas. (2015). Prokhorov, Artem ; Zhu, Yajing ; Schepsmeier, Ulf . In: Working Papers. RePEc:syb:wpbsba:2123/13798.

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1
272020Too similar to combine? On negative weights in forecast combination. (2020). Vasnev, Andrey ; Wang, Wendun ; Radchenko, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/22956.

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1
282014Consistent Estimation of Linear Regression Models Using Matched Data. (2014). Hirukawa, Masayuki. In: Working Papers. RePEc:syb:wpbsba:2123/11431.

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1
292016Efficient estimation of parameters in marginal in semiparametric multivariate models. (2016). Prokhorov, Artem ; Panchenko, Valentyn . In: Working Papers. RePEc:syb:wpbsba:2123/14641.

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1
302013Forecast combination for U.S. recessions with real-time data. (2013). Vasnev, Andrey ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/8933.

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1
312013Practical considerations for optimal weights in density forecast combi nation. (2013). Vasnev, Andrey ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/8932.

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1
322017Random Effects Models with Deep Neural Network Basis Functions: Methodology and Computation. (2017). Tran, Minh-Ngoc ; Nott, David ; Nguyen, Nghia ; Kohn, Robert. In: Working Papers. RePEc:syb:wpbsba:2123/17877.

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1
332021Forecast combination puzzle in the HAR model. (2021). Vasnev, Andrey ; Clements, Adam. In: Working Papers. RePEc:syb:wpbsba:2123/25045.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12017Endogenous Environmental Variables In Stochastic Frontier Models. (2017). Prokhorov, Artem ; Schmidt, Peter ; Amsler, Christine. In: Working Papers. RePEc:syb:wpbsba:2123/16763.

Full description at Econpapers || Download paper

21
22020Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/22140.

Full description at Econpapers || Download paper

3
Citing documents used to compute impact factor: 1
YearTitle
2023Forecasting stock market volatility with various geopolitical risks categories: New evidence from machine learning models. (2023). Zhang, Hongwei ; Wang, Chenlu ; Niu, Zibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002545.

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Recent citations
Recent citations received in 2020
YearCiting document
2020Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592.

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2020Optimal 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.

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