Essex Finance Centre Working Papers / University of Essex, Essex Business School
Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
7
Impact Factor (IF)
0.55
5 Years IF
0.23
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]
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2015 | 0 | 0.65 | 0.2 | 0 | 5 | 5 | 4 | 2 | 0 | 0 | 0 | 0 | 0.36 | |||||
| 2016 | 0.2 | 0.63 | 0.07 | 0.2 | 9 | 14 | 23 | 1 | 3 | 5 | 1 | 5 | 1 | 0 | 0 | 0.34 | ||
| 2017 | 0 | 0.61 | 0 | 0 | 11 | 25 | 23 | 3 | 14 | 14 | 0 | 0 | 0.33 | |||||
| 2018 | 0.75 | 0.6 | 0.61 | 0.64 | 16 | 41 | 120 | 25 | 28 | 20 | 15 | 25 | 16 | 1 | 4 | 9 | 0.56 | 0.34 |
| 2019 | 0.74 | 0.6 | 0.54 | 0.63 | 11 | 52 | 121 | 28 | 56 | 27 | 20 | 41 | 26 | 0 | 2 | 0.18 | 0.35 | |
| 2020 | 1.37 | 0.68 | 0.77 | 0.87 | 10 | 62 | 94 | 48 | 104 | 27 | 37 | 52 | 45 | 0 | 3 | 0.3 | 0.72 | |
| 2021 | 3.9 | 0.91 | 1.54 | 1.82 | 8 | 70 | 8 | 108 | 212 | 21 | 82 | 57 | 104 | 0 | 0 | 0.37 | ||
| 2022 | 1.44 | 0.66 | 1.05 | 1.38 | 8 | 78 | 6 | 82 | 294 | 18 | 26 | 56 | 77 | 1 | 1.2 | 1 | 0.13 | 0.21 |
| 2023 | 0.38 | 0.5 | 0.73 | 0.96 | 3 | 81 | 6 | 59 | 353 | 16 | 6 | 53 | 51 | 0 | 2 | 0.67 | 0.16 | |
| 2024 | 0.55 | 0.53 | 0.29 | 0.23 | 4 | 85 | 0 | 25 | 378 | 11 | 6 | 40 | 9 | 0 | 0 | 0.2 |
| 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 | 2019 | Central Bank Announcements: Big News for Little People?. (2019). Vinogradov, Dmitri ; Lamla, Michael. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:25125. Full description at Econpapers || Download paper | 108 |
| 2 | 2020 | Commodity Price Volatility and the Economic Uncertainty of Pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27364. Full description at Econpapers || Download paper | 90 |
| 3 | 2018 | Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20937. Full description at Econpapers || Download paper | 65 |
| 4 | 2018 | Testing for Parameter Instability in Predictive Regression Models. (2018). Leybourne, Stephen ; Georgiev, I ; Harvey, D I ; Taylor, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21162. Full description at Econpapers || Download paper | 24 |
| 5 | 2018 | Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Koop, Gary ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22665. Full description at Econpapers || Download paper | 19 |
| 6 | 2017 | The Effect of News Shocks and Monetary Policy. (2017). Zanetti, Francesco ; Tsoukalas, John ; Korobilis, Dimitris ; Gambetti, Luca. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20428. Full description at Econpapers || Download paper | 8 |
| 7 | 2016 | Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. (2016). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18626. Full description at Econpapers || Download paper | 7 |
| 8 | 2016 | Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point. (2016). Taylor, Robert ; Leybourne, Stephen ; Harris, David ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15847. Full description at Econpapers || Download paper | 7 |
| 9 | 2017 | Forecasting with many predictors using message passing algorithms. (2017). Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:19565. Full description at Econpapers || Download paper | 6 |
| 10 | 2022 | Extensions to IVX Methods of Inference for Return Predictability. (2022). Rodrigues, Paulo ; Demetrescu, Matei ; Mm, Paulo ; Georgiev, Iliyan ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29779. Full description at Econpapers || Download paper | 6 |
| 11 | 2023 | Forecasting Value-at-Risk using deep neural network quantile regression. (2023). Raftapostolos, Aristeidis ; Kapetanios, George ; Chronopoulos, Ilias. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:34837. Full description at Econpapers || Download paper | 6 |
| 12 | 2019 | Inflation and Deflationary Biases in Inflation Expectations. (2019). Pfajfar, Damjan ; Lamla, Michael ; Rendell, Lea ; Pjaifar, Damian. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24771. Full description at Econpapers || Download paper | 6 |
| 13 | 2018 | Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21329. Full description at Econpapers || Download paper | 5 |
| 14 | 2021 | Simple Tests for Stock Return Predictability with Good Size and Power Properties. (2021). Harvey, David ; Leybourne, Stephen J ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29814. Full description at Econpapers || Download paper | 5 |
| 15 | 2019 | Temporal aggregation of seasonally near-integrated processes. (2019). Rodrigues, Paulo ; del Barrio Castro, Tomás ; Mm, Paulo ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23878. Full description at Econpapers || Download paper | 4 |
| 16 | 2020 | Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. (2020). Harvey, David ; Leybourne, Stephen J ; Sollis, Robert ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27775. Full description at Econpapers || Download paper | 4 |
| 17 | 2019 | A Generalised Fractional Differencing Bootstrap for Long Memory Processes. (2019). Kapetanios, George ; Papailias, Fotis ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24136. Full description at Econpapers || Download paper | 4 |
| 18 | 2016 | Learning or Leaning: Persistent and Transitory Spillovers from FDI. (2016). Lamla, Michael ; Davies, Ronald B ; Schiffbauer, Marc. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15772. Full description at Econpapers || Download paper | 4 |
| 19 | 2018 | A Bootstrap Stationarity Test for Predictive Regression Invalidity. (2018). Leybourne, Stephen ; Georgiev, I ; Harvey, D I ; Taylor, Amr. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21006. Full description at Econpapers || Download paper | 3 |
| 20 | 2017 | Exchange rate predictability and dynamic Bayesian learning. (2017). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schssler, R. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20781. Full description at Econpapers || Download paper | 3 |
| 21 | 2016 | Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. (2016). Taylor, Robert ; Rahbek, Anders ; De Angelis, Luca ; Cavaliere, Giuseppe ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:17454. Full description at Econpapers || Download paper | 3 |
| 22 | 2015 | Semi-Parametric Seasonal Unit Root Tests. (2015). Taylor, Robert ; Rodrigues, Paulo ; del Barrio Castro, Tomás ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16807. Full description at Econpapers || Download paper | 2 |
| 23 | 2018 | Machine Learning Macroeconometrics A Primer. (2018). Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22666. Full description at Econpapers || Download paper | 2 |
| 24 | 2017 | Unit Root Tests and Heavy-Tailed Innovations. (2017). Taylor, Robert ; Rodrigues, Paulo ; Georgiev, Iliyan ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18832. Full description at Econpapers || Download paper | 2 |
| 25 | 2021 | Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Nielsen, Morten ; Iacone, Fabrizio ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29778. Full description at Econpapers || Download paper | 2 |
| 26 | 2017 | Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Arghyrou, Michael ; Afonso, Antonio ; Gadea, MD ; Kontonikas, A. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20417. Full description at Econpapers || Download paper | 2 |
| 27 | 2015 | Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. (2015). Snaith, Stuart ; Kellard, Neil ; Ahmad, Norzalina. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15373. Full description at Econpapers || Download paper | 2 |
| 28 | 2021 | Commodity price uncertainty comovement: Does it matter for global economic growth?. (2021). Karadimitropoulou, Aikaterini ; Ferrara, Laurent ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30945. Full description at Econpapers || Download paper | 2 |
| 29 | 2018 | Detecting Regimes of Predictability in the U.S. Equity Premium. (2018). Leybourne, Stephen ; Harvey, David ; Sollis, Robert ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23198. Full description at Econpapers || Download paper | 2 |
| 30 | 2023 | Improved Tests for Stock Return Predictability. (2023). Leybourne, Stephen J ; Harvey, David I ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:35133. Full description at Econpapers || Download paper | 1 |
| 31 | 2019 | Deterministic Parameter Change Models in Continuous and Discrete Time. (2019). Chambers, Marcus ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24072. Full description at Econpapers || Download paper | 1 |
| 32 | 2015 | Policy initiatives and firms access to external finance: Evidence from a panel of emerging Asian economies. (2015). Tsoukas, Serafeim ; MacDonald, Ronald ; Bose, Udichibarna. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15627. Full description at Econpapers || Download paper | 1 |
| 33 | 2016 | Governance, efficiency and risk taking in Chinese banking. (2016). Girardone, Claudia ; Dong, Yizhe ; Kuo, Jing-Ming. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16588. Full description at Econpapers || Download paper | 1 |
| 34 | 2018 | Risk, Financial Stability and FDI. (2018). Maiani, Stefano ; Lamla, Michael ; Kontonikas, Alexandros ; Kellard, Neil ; Wood, Geoffrey. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23409. Full description at Econpapers || Download paper | 1 |
| 35 | 2016 | Public-Private Partnerships as Collaborative Projects: testing the theory on cases from EU and Russia. (2016). Vinogradov, Dmitri ; Shadrina, Elena. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16024. Full description at Econpapers || Download paper | 1 |
| 36 | 2017 | A UK financial conditions index using targeted data reduction: forecasting and structural identification. (2017). Young, Garry ; Kapetanios, George ; Price, SG. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20328. Full description at Econpapers || Download paper | 1 |
| 37 | 2019 | Testing for Episodic Predictability in Stock Returns. (2019). Rodrigues, Paulo ; Demetrescu, Matei ; Mm, Paulo ; Georgiev, Iliyan ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24137. Full description at Econpapers || Download paper | 1 |
| 38 | 2016 | Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2016). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18195. Full description at Econpapers || Download paper | 1 |
| 39 | 2022 | Transformed Regression-based Long-Horizon Predictability Tests. (2022). Rodrigues, Paulo ; Demetrescu, Matei ; Mm, Paulo ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30620. Full description at Econpapers || Download paper | 1 |
| 40 | 2018 | The Implications of Central Bank Transparency for Uncertainty and Disagreement. (2018). Wood, Andrew ; Lamla, Michael ; Jitmaneeroj, Boonlert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23347. Full description at Econpapers || Download paper | 1 |
| 41 | 2017 | Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point. (2017). Leybourne, Stephen ; Iacone, Fabrizio ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:19654. Full description at Econpapers || Download paper | 1 |
| 42 | 2018 | Competition and Risk-Taking in Investment banking. (2018). Girardone, Claudia ; Fiordelisi, Franco ; Radi, N ; Deglinnocenti, M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21268. Full description at Econpapers || Download paper | 1 |
| 43 | 2017 | Monetary Policy and Corporate Bond Returns. (2017). Zekaite, Zivile ; Maio, P ; Kontonikas, A. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20571. Full description at Econpapers || Download paper | 1 |
| 44 | 2020 | Commodity Price Uncertainty as a Leading Indicator of Economic Activity. (2020). Bakas, Dimitrios ; Ioakimidis, Marilou ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27361. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2019 | Central Bank Announcements: Big News for Little People?. (2019). Vinogradov, Dmitri ; Lamla, Michael. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:25125. Full description at Econpapers || Download paper | 29 |
| 2 | 2018 | Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20937. Full description at Econpapers || Download paper | 19 |
| 3 | 2020 | Commodity Price Volatility and the Economic Uncertainty of Pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27364. Full description at Econpapers || Download paper | 16 |
| 4 | 2018 | Testing for Parameter Instability in Predictive Regression Models. (2018). Leybourne, Stephen ; Georgiev, I ; Harvey, D I ; Taylor, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21162. Full description at Econpapers || Download paper | 15 |
| 5 | 2023 | Forecasting Value-at-Risk using deep neural network quantile regression. (2023). Raftapostolos, Aristeidis ; Kapetanios, George ; Chronopoulos, Ilias. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:34837. Full description at Econpapers || Download paper | 6 |
| 6 | 2018 | Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Koop, Gary ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22665. Full description at Econpapers || Download paper | 5 |
| 7 | 2021 | Simple Tests for Stock Return Predictability with Good Size and Power Properties. (2021). Harvey, David ; Leybourne, Stephen J ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29814. Full description at Econpapers || Download paper | 4 |
| 8 | 2022 | Extensions to IVX Methods of Inference for Return Predictability. (2022). Rodrigues, Paulo ; Demetrescu, Matei ; Mm, Paulo ; Georgiev, Iliyan ; Taylor, Am Robert. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29779. Full description at Econpapers || Download paper | 4 |
| 9 | 2019 | Inflation and Deflationary Biases in Inflation Expectations. (2019). Pfajfar, Damjan ; Lamla, Michael ; Rendell, Lea ; Pjaifar, Damian. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24771. Full description at Econpapers || Download paper | 3 |
| 10 | 2016 | Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. (2016). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18626. Full description at Econpapers || Download paper | 2 |
| 11 | 2016 | Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point. (2016). Taylor, Robert ; Leybourne, Stephen ; Harris, David ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15847. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 6
| Year | Title | |
|---|---|---|
| 2024 | Testing Predictability in the Presence of Persistent Errors. (2024). Yu, Jun ; Lui, Yiu Lim ; Fei, Yijie. In: Working Papers. RePEc:boa:wpaper:202401. Full description at Econpapers || Download paper | |
| 2024 | A joint test of predictability and structural break in predictive regressions. (2024). Fei, Yijie. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:3:d:10.1007_s00181-024-02572-5. Full description at Econpapers || Download paper | |
| 2024 | From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2024). Goulet Coulombe, Philippe ; Frenette, Mikael ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333. Full description at Econpapers || Download paper | |
| 2024 | Second-Moment/Order Approximations by Kernel Smoothers with Application to Volatility Estimation. (2024). Laparra, Valero ; Martino, Luca ; Belea, Leon ; Curbelo, Ernesto. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:9:p:1406-:d:1388552. Full description at Econpapers || Download paper | |
| 2024 | VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346. Full description at Econpapers || Download paper | |
| 2024 | Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2023
| Year | Citing document | |
|---|---|---|
| 2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
| 2023 | Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160. Full description at Econpapers || Download paper |
Recent citations received in 2022
| Year | Citing document | |
|---|---|---|
| 2022 | Uniform and Distribution-Free Inference with General Autoregressive Processes. (2022). Petrova, Katerina ; Magdalinos, Tassos. In: Working Papers. RePEc:bge:wpaper:1344. Full description at Econpapers || Download paper |
Recent citations received in 2021
| Year | Citing document |
|---|
10 most frequent citing series