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

Citation Profile [Updated: 2026-07-12 11:58:33]
5 Years H Index
29
Impact Factor (IF)
0
5 Years IF
0.07
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 0.51 0.89 0 45 45 1874 30 87 0 0 16 53.3 30 0.67 0.29
2008 1.56 0.58 1.31 1.56 65 110 759 134 231 45 70 45 70 40 29.9 45 0.69 0.29
2009 1.05 0.58 1.21 1.05 60 170 716 199 437 110 116 110 116 66 33.2 31 0.52 0.33
2010 0.71 0.53 0.89 0.94 74 244 349 216 655 125 89 170 159 22 10.2 22 0.3 0.3
2011 0.72 0.61 1.14 0.99 56 300 217 338 997 134 97 244 242 39 11.5 25 0.45 0.37
2012 0.47 0.67 0.96 0.77 56 356 554 336 1337 130 61 300 231 47 14 33 0.59 0.36
2013 0.79 0.65 0.9 0.63 51 407 277 363 1705 112 89 311 195 33 9.1 19 0.37 0.34
2014 0.93 0.67 0.89 0.66 63 470 328 419 2125 107 100 297 196 48 11.5 33 0.52 0.34
2015 0.73 0.65 0.85 0.61 57 527 206 445 2571 114 83 300 182 40 9 17 0.3 0.36
2016 0.73 0.63 0.76 0.64 33 560 87 423 2994 120 88 283 180 40 9.5 9 0.27 0.34
2017 0.53 0.6 0.66 0.62 41 601 269 396 3390 90 48 260 160 15 3.8 7 0.17 0.34
2018 0.59 0.6 0.56 0.46 36 637 122 357 3747 74 44 245 113 18 5 7 0.19 0.34
2019 0.87 0.61 0.6 0.49 23 660 148 392 4141 77 67 230 113 11 2.8 17 0.74 0.35
2020 0.76 0.68 0.58 0.63 19 679 47 394 4535 59 45 190 119 22 5.6 16 0.84 0.72
2021 0.6 0.87 0.59 0.61 16 695 50 407 4942 42 25 152 93 4 1 3 0.19 0.36
2022 0.63 0.66 0.49 0.54 11 706 34 348 5290 35 22 135 73 15 4.3 7 0.64 0.21
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

1001
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

590
32012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

269
42009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

254
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

150
62008Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat. In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

137
72009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

134
82019Asymptotic 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

101
92012Choice 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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90
102008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

76
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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74
122010Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10.

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71
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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68
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
152007The 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

61
162008Multivariate GARCH models. (2008). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06.

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60
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.

Full description at Econpapers || Download paper

60
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.

Full description at Econpapers || Download paper

52
192015Understanding 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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50
202014A 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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48
212014Specification, 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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47
222015Effects 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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45
232008Modelling 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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44
242008American 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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41
252008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

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39
262008Multivariate 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 E.. In: CREATES Research Papers. RePEc:aah:create:2008-63.

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38
272009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

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33
282008Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13.

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30
292007Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17.

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29
302022Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2022-08.

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28
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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28
322007Microstructure 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
332011Forecasting with Option Implied Information. (2011). Chang, Bo Young ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46.

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26
342008Disagreement 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
352009Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Elkamhi, Redouane ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33.

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24
362009Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, GUILLAUME . In: CREATES Research Papers. RePEc:aah:create:2009-13.

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24
372009Realised 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
382010Realized 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
392011International 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
402009Statistical 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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22
412008Parameterizing 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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22
422007Estimation 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
432010Forecast Combinations. (2010). Timmermann, Allan ; Capistrán, Carlos ; Aiolfi, Marco. In: CREATES Research Papers. RePEc:aah:create:2010-21.

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21
442012Oracle 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
452021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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20
462018State-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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20
472007Continuous-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
482010Estimating 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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19
492012Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37.

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19
502009Jump-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
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

68
22009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Heston, Steven ; Christoffersen, Peter ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34.

Full description at Econpapers || Download paper

33
32017Panel 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

27
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

27
52007Real-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

25
62012Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Errunza, Vihang ; Christoffersen, Peter ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48.

Full description at Econpapers || Download paper

14
72008Option Valuation with Long-run and Short-run Volatility Components. (2008). Wang, Yintian ; Jacobs, Kris ; Ornthanalai, Chayawat. In: CREATES Research Papers. RePEc:aah:create:2008-11.

Full description at Econpapers || Download paper

11
82009Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12.

Full description at Econpapers || Download paper

10
92009Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49.

Full description at Econpapers || Download paper

7
102022Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2022-08.

Full description at Econpapers || Download paper

6
112008Measuring downside risk — realised semivariance. (2008). Shephard, Neil ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42.

Full description at Econpapers || Download paper

6
122013Thresholds 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

5
132014Specification, 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

5
142008Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49.

Full description at Econpapers || Download paper

5
152015Understanding 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

5
162015Effects 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

4
172012Choice 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

3
182021Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Corrado, Luisa ; Grassi, Stefano ; Paolillo, Aldo. In: CREATES Research Papers. RePEc:aah:create:2021-08.

Full description at Econpapers || Download paper

3
192008Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility. (2008). Taylor, Robert ; Rahbek, Anders ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2008-50.

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2
202012Exponential 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

2
212018Fast 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

2
222007The 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

2
232018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

Full description at Econpapers || Download paper

2
242008A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models. (2008). Podolskij, Mark ; Ziggel, Daniel. In: CREATES Research Papers. RePEc:aah:create:2008-22.

Full description at Econpapers || Download paper

2
252021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2021-03.

Full description at Econpapers || Download paper

2
262014Linearity 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

2
Citing documents used to compute impact factor:
YearTitle
Recent citations