Econometrics and Statistics / Elsevier
Citation Profile [Updated: 2026-07-12 11:58:33]
5 Years H Index
15
Impact Factor (IF)
0.14
5 Years IF
0.21
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 | |
| 2017 | 0 | 0.51 | 0.33 | 0 | 42 | 42 | 242 | 14 | 30 | 0 | 0 | 6 | 42.9 | 14 | 0.33 | 0.2 | ||
| 2018 | 0.64 | 0.52 | 0.52 | 0.64 | 40 | 82 | 247 | 43 | 73 | 42 | 27 | 42 | 27 | 1 | 2.3 | 16 | 0.4 | 0.22 |
| 2019 | 0.71 | 0.53 | 0.61 | 0.71 | 37 | 119 | 194 | 72 | 145 | 82 | 58 | 82 | 58 | 0 | 14 | 0.38 | 0.21 | |
| 2020 | 0.56 | 0.63 | 0.43 | 0.5 | 36 | 155 | 173 | 66 | 212 | 77 | 43 | 119 | 60 | 4 | 6.1 | 5 | 0.14 | 0.3 |
| 2021 | 0.73 | 0.72 | 0.71 | 0.79 | 39 | 194 | 106 | 136 | 349 | 73 | 53 | 155 | 122 | 20 | 14.7 | 1 | 0.03 | 0.26 |
| 2022 | 0.79 | 0.71 | 0.76 | 0.74 | 39 | 233 | 107 | 176 | 525 | 75 | 59 | 194 | 144 | 30 | 17 | 3 | 0.08 | 0.21 |
| 2023 | 0.54 | 0.66 | 0.61 | 0.61 | 39 | 272 | 97 | 166 | 691 | 78 | 42 | 191 | 117 | 23 | 13.9 | 10 | 0.26 | 0.19 |
| 2024 | 0.78 | 0.71 | 0.68 | 0.77 | 40 | 312 | 27 | 213 | 904 | 78 | 61 | 190 | 146 | 42 | 19.7 | 3 | 0.08 | 0.21 |
| 2025 | 0.7 | 0.94 | 0.65 | 0.73 | 40 | 352 | 8 | 228 | 1132 | 79 | 55 | 193 | 141 | 34 | 14.9 | 5 | 0.13 | 0.27 |
| 2026 | 0.14 | 0.22 | 0.21 | 23 | 375 | 0 | 84 | 1216 | 80 | 11 | 197 | 41 | 7 | 8.3 | 0 |
| 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 | 2018 | An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106. Full description at Econpapers || Download paper | 42 |
| 2 | 2020 | Microeconometric dynamic panel data methods: Model specification and selection issues. (2020). Kiviet, Jan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:16-45. Full description at Econpapers || Download paper | 41 |
| 3 | 2019 | Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Qian, Hang ; Ghysels, Eric. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16. Full description at Econpapers || Download paper | 34 |
| 4 | 2018 | Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77. Full description at Econpapers || Download paper | 31 |
| 5 | 2022 | Bias-corrected method of moments estimators for dynamic panel data models. (2022). Kripfganz, Sebastian ; Hayakawa, Kazuhiko ; Breitung, Jorg. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:116-132. Full description at Econpapers || Download paper | 30 |
| 6 | 2017 | Prediction of functional ARMA processes with an application to traffic data. (2017). Wei, T ; Klepsch, J ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149. Full description at Econpapers || Download paper | 26 |
| 7 | 2023 | Instrument-free inference under confined regressor endogeneity and mild regularity. (2023). Kiviet, Jan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:1-22. Full description at Econpapers || Download paper | 25 |
| 8 | 2018 | Fast and reliable computation of generalized synthetic controls. (2018). Klossner, Stefan ; Becker, Martin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | 23 |
| 9 | 2020 | Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68. Full description at Econpapers || Download paper | 20 |
| 10 | 2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper | 18 |
| 11 | 2023 | Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71. Full description at Econpapers || Download paper | 18 |
| 12 | 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61. Full description at Econpapers || Download paper | 17 |
| 13 | 2019 | Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Follett, Lendie ; Yu, Cindy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144. Full description at Econpapers || Download paper | 16 |
| 14 | 2018 | Assessing causality and delay within a frequency band. (2018). Schreiber, Sven ; Breitung, Jörg. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:57-73. Full description at Econpapers || Download paper | 15 |
| 15 | 2019 | Model order selection in periodic long memory models. (2019). Sibbertsen, Philipp ; Leschinski, Christian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94. Full description at Econpapers || Download paper | 15 |
| 16 | 2019 | An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers || Download paper | 14 |
| 17 | 2018 | Change point detection in heteroscedastic time series. (2018). Horvath, Lajos ; Gorecki, Tomasz ; Kokoszka, Piotr. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88. Full description at Econpapers || Download paper | 14 |
| 18 | 2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCHâMIDASâX model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper | 14 |
| 19 | 2022 | Modeling Probability Density Functions as Data Objects. (2022). Kokoszka, Piotr ; Zhang, Chao ; Petersen, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:159-178. Full description at Econpapers || Download paper | 14 |
| 20 | 2019 | Robust Monitoring of Time Series with Application to Fraud Detection. (2019). Rousseeuw, Peter ; Riani, Marco ; Hubert, Mia ; Perrotta, Domenico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121. Full description at Econpapers || Download paper | 13 |
| 21 | 2017 | Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). West, Mike ; Gruber, Lutz F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22. Full description at Econpapers || Download paper | 12 |
| 22 | 2020 | Flexible copula models with dynamic dependence and application to financial data. (2020). Krupskii, Pavel ; Joe, Harry. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167. Full description at Econpapers || Download paper | 12 |
| 23 | 2017 | Econometrics and Statistics. (2017). van Dijk, Herman ; Kontoghiorghes, Erricos ; Colubi, Ana. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:1-1. Full description at Econpapers || Download paper | 12 |
| 24 | 2017 | Robust normal mixtures for financial portfolio allocation. (2017). Paolella, Marc S ; Gambacciani, Marco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers || Download paper | 12 |
| 25 | 2017 | A tractable, parsimonious and flexible model for cylindrical data, with applications. (2017). Abe, Toshihiro ; Ley, Christophe. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:91-104. Full description at Econpapers || Download paper | 12 |
| 26 | 2018 | A UK financial conditions index using targeted data reduction: Forecasting and structural identification. (2018). Young, Garry ; Price, Simon ; Kapetanios, George. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper | 12 |
| 27 | 2017 | Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut ; Netunajev, Aleksei. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18. Full description at Econpapers || Download paper | 12 |
| 28 | 2017 | Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Oja, Hanny ; Park, Byeong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100. Full description at Econpapers || Download paper | 12 |
| 29 | 2017 | Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Shirota, Shinichiro ; Lopes, Hedibert F ; Piao, Haixiang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59. Full description at Econpapers || Download paper | 12 |
| 30 | 2020 | The market rank indicator to detect financial distress. (2020). Figini, Silvia ; Uberti, Pierpaolo ; Maggi, Mario. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73. Full description at Econpapers || Download paper | 10 |
| 31 | 2018 | Higher-order statistics for DSGE models. (2018). Mutschler, Willi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:44-56. Full description at Econpapers || Download paper | 10 |
| 32 | 2017 | A mixture of SDB skew-t factor analyzers. (2017). Browne, Ryan P ; McNicholas, Paul D ; Murray, Paula M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:160-168. Full description at Econpapers || Download paper | 10 |
| 33 | 2019 | Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:78-145. Full description at Econpapers || Download paper | 10 |
| 34 | 2019 | Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model. (2019). Zhang, Yuanqing ; Sun, Yanqing ; Huang, Jianhua Z. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:140-155. Full description at Econpapers || Download paper | 10 |
| 35 | 2019 | The class of copulas arising from squared distributions: Properties and inference. (2019). Durocher, Martin ; Quessy, Jean-Franois. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:148-166. Full description at Econpapers || Download paper | 9 |
| 36 | 2021 | A Note on Adaptive Group Lasso for Structural Break Time Series. (2021). Behrendt, Simon ; Schweikert, Karsten. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:156-172. Full description at Econpapers || Download paper | 9 |
| 37 | 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping ; Czellar, Veronika. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105. Full description at Econpapers || Download paper | 9 |
| 38 | 2019 | Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Acar, Elif F ; Czado, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197. Full description at Econpapers || Download paper | 9 |
| 39 | 2018 | Tail dependence of recursive max-linear models with regularly varying noise variables. (2018). Gissibl, Nadine ; Otto, Moritz ; Kluppelberg, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:149-167. Full description at Econpapers || Download paper | 9 |
| 40 | 2018 | Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82. Full description at Econpapers || Download paper | 9 |
| 41 | 2019 | Improving weighted least squares inference. (2019). Wolf, Michael ; Romano, Joseph P ; Diciccio, Cyrus J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:96-119. Full description at Econpapers || Download paper | 9 |
| 42 | 2017 | Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). GarcÃa EnrÃquez, Javier ; Arteche, Josu ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98. Full description at Econpapers || Download paper | 9 |
| 43 | 2021 | Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108. Full description at Econpapers || Download paper | 9 |
| 44 | 2018 | The copula-graphic estimator in censored nonparametric location-scale regression models. (2018). Van Keilegom, Ingrid ; Sujica, Aleksandar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:89-114. Full description at Econpapers || Download paper | 9 |
| 45 | 2017 | High-dimensional adaptive function-on-scalar regression. (2017). Fan, Zhaohu ; Reimherr, Matthew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:167-183. Full description at Econpapers || Download paper | 8 |
| 46 | 2020 | Constructing joint confidence bands for impulse response functions of VAR models â A review. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:69-83. Full description at Econpapers || Download paper | 8 |
| 47 | 2018 | Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89. Full description at Econpapers || Download paper | 8 |
| 48 | 2018 | Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148. Full description at Econpapers || Download paper | 8 |
| 49 | 2023 | Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104. Full description at Econpapers || Download paper | 7 |
| 50 | 2023 | Robust Discovery of Regression Models. (2023). Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:31-51. Full description at Econpapers || Download paper | 7 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2022 | Bias-corrected method of moments estimators for dynamic panel data models. (2022). Kripfganz, Sebastian ; Hayakawa, Kazuhiko ; Breitung, Jorg. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:116-132. Full description at Econpapers || Download paper | 15 |
| 2 | 2023 | Instrument-free inference under confined regressor endogeneity and mild regularity. (2023). Kiviet, Jan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:1-22. Full description at Econpapers || Download paper | 13 |
| 3 | 2023 | Fast cluster bootstrap methods for linear regression models. (2023). MacKinnon, James. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:52-71. Full description at Econpapers || Download paper | 10 |
| 4 | 2020 | Microeconometric dynamic panel data methods: Model specification and selection issues. (2020). Kiviet, Jan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:16-45. Full description at Econpapers || Download paper | 10 |
| 5 | 2019 | Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Qian, Hang ; Ghysels, Eric. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16. Full description at Econpapers || Download paper | 7 |
| 6 | 2022 | Modeling Probability Density Functions as Data Objects. (2022). Kokoszka, Piotr ; Zhang, Chao ; Petersen, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:159-178. Full description at Econpapers || Download paper | 7 |
| 7 | 2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper | 7 |
| 8 | 2022 | AdaVol: An Adaptive Recursive Volatility Prediction Method. (2022). Wintenberger, Olivier ; Werge, Nicklas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:19-35. Full description at Econpapers || Download paper | 5 |
| 9 | 2024 | Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116. Full description at Econpapers || Download paper | 5 |
| 10 | 2019 | An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers || Download paper | 5 |
| 11 | 2020 | The market rank indicator to detect financial distress. (2020). Figini, Silvia ; Uberti, Pierpaolo ; Maggi, Mario. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:63-73. Full description at Econpapers || Download paper | 5 |
| 12 | 2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCHâMIDASâX model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper | 5 |
| 13 | 2019 | Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model. (2019). Zhang, Yuanqing ; Sun, Yanqing ; Huang, Jianhua Z. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:140-155. Full description at Econpapers || Download paper | 5 |
| 14 | 2018 | Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77. Full description at Econpapers || Download paper | 5 |
| 15 | 2021 | Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108. Full description at Econpapers || Download paper | 5 |
| 16 | 2023 | A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2023). Gao, Zhaoxing ; Tsay, Ruey S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:83-101. Full description at Econpapers || Download paper | 4 |
| 17 | 2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Billio, Monica ; Pelizzon, Loriana ; Frattarolo, Lorenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper | 4 |
| 18 | 2018 | The copula-graphic estimator in censored nonparametric location-scale regression models. (2018). Van Keilegom, Ingrid ; Sujica, Aleksandar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:89-114. Full description at Econpapers || Download paper | 4 |
| 19 | 2025 | Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229. Full description at Econpapers || Download paper | 4 |
| 20 | 2018 | Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148. Full description at Econpapers || Download paper | 4 |
| 21 | 2018 | Higher-order statistics for DSGE models. (2018). Mutschler, Willi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:44-56. Full description at Econpapers || Download paper | 4 |
| 22 | 2023 | Implicit Copulas: An Overview. (2023). Smith, Michael Stanley. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:81-104. Full description at Econpapers || Download paper | 3 |
| 23 | 2021 | Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113. Full description at Econpapers || Download paper | 3 |
| 24 | 2020 | Semiparametric inference with missing data: Robustness to outliers and model misspecification. (2020). de Luna, Xavier ; Cantoni, Eva. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:108-120. Full description at Econpapers || Download paper | 3 |
| 25 | 2022 | Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization. (2022). Wong, Wing-Keung ; Bai, Zhidong ; McAleer, Michael ; Li, Hua. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:133-150. Full description at Econpapers || Download paper | 3 |
| 26 | 2025 | The dynamics of U.S. industrial production: A time-varying Granger causality perspective. (2025). Otero, Jesus ; Hurn, Stan ; Baum, Christopher. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:13-22. Full description at Econpapers || Download paper | 3 |
| 27 | 2021 | Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; Blasques, Francisco ; van Vlodrop, Andries C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57. Full description at Econpapers || Download paper | 3 |
| 28 | 2019 | A Bayesian analysis of linear regression models with highly collinear regressors. (2019). Smith, Ronald ; Pesaran, Mohammad. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:1-21. Full description at Econpapers || Download paper | 3 |
| 29 | 2022 | Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption.. (2022). Dimpfl, Thomas ; Bleher, Johannes. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper | 3 |
| 30 | 2019 | A two-stage estimator for heterogeneous panel models with common factors. (2019). Trapani, Lorenzo ; Rossi, Eduardo ; Castagnetti, Carolina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:63-82. Full description at Econpapers || Download paper | 3 |
| 31 | 2021 | A Note on Adaptive Group Lasso for Structural Break Time Series. (2021). Behrendt, Simon ; Schweikert, Karsten. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:156-172. Full description at Econpapers || Download paper | 3 |
| 32 | 2023 | Rage Against the Mean â A Review of Distributional Regression Approaches. (2023). Kneib, Thomas ; Safken, Benjamin ; Silbersdorff, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:99-123. Full description at Econpapers || Download paper | 3 |
| 33 | 2020 | Constructing joint confidence bands for impulse response functions of VAR models â A review. (2020). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:69-83. Full description at Econpapers || Download paper | 2 |
| 34 | 2022 | Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2022). Sanfelici, Simona ; Curato, Imma Valentina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:53-82. Full description at Econpapers || Download paper | 2 |
| 35 | 2017 | Binary time series models driven by a latent process. (2017). Moysiadis, Theodoros ; Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130. Full description at Econpapers || Download paper | 2 |
| 36 | 2021 | Cyclical fractional cointegration. (2021). Sibbertsen, Philipp ; Voges, Michelle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:114-129. Full description at Econpapers || Download paper | 2 |
| 37 | 2017 | Estimating the competitive storage model: A simulated likelihood approach. (2017). Oglend, Atle ; Kleppe, Tore. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:39-56. Full description at Econpapers || Download paper | 2 |
| 38 | 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping ; Czellar, Veronika. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105. Full description at Econpapers || Download paper | 2 |
| 39 | 2017 | Multinomial functional regression with wavelets and LASSO penalization. (2017). Mousavi, Seyed Nourollah ; Sorensen, Helle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:150-166. Full description at Econpapers || Download paper | 2 |
| 40 | 2023 | High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research. (2023). Lippi, Marco ; Deistler, Manfred ; Anderson, Brian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:26:y:2023:i:c:p:3-16. Full description at Econpapers || Download paper | 2 |
| 41 | 2017 | Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Oja, Hanny ; Park, Byeong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100. Full description at Econpapers || Download paper | 2 |
| 42 | 2018 | Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon ; Paolella, Marc S ; Krause, Jochen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203. Full description at Econpapers || Download paper | 2 |
| 43 | 2021 | Model risk management: Valuation and governance of pseudo-models. (2021). Monfort, Alain ; Gourieroux, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:1-22. Full description at Econpapers || Download paper | 2 |
| 44 | 2024 | Spectral Subsampling MCMC for Stationary Multivariate Time Series with Applications to Vector ARTFIMA Processes. (2024). Villani, Mattias ; Quiroz, Matias ; Kohn, Robert ; Salomone, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:98-121. Full description at Econpapers || Download paper | 2 |
| 45 | 2020 | Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Kurose, Yuta ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68. Full description at Econpapers || Download paper | 2 |
| 46 | 2025 | Inference in mixed causal and noncausal models with generalized Studentâs t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12. Full description at Econpapers || Download paper | 2 |
| 47 | 2017 | The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation. (2017). Kiviet, Jan ; Pleus, Milan . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:1-21. Full description at Econpapers || Download paper | 2 |
| 48 | 2018 | Fast and reliable computation of generalized synthetic controls. (2018). Klossner, Stefan ; Becker, Martin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | 2 |
| 49 | 2019 | Robust Monitoring of Time Series with Application to Fraud Detection. (2019). Rousseeuw, Peter ; Riani, Marco ; Hubert, Mia ; Perrotta, Domenico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121. Full description at Econpapers || Download paper | 2 |
| 50 | 2022 | A bias-adjusted estimator in quantile regression for clustered data. (2022). Battagliola, Maria Laura ; Sorensen, Helle ; Tolver, Anders ; Staicu, Ana-Maria. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:165-186. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 11
| Year | Title | |
|---|---|---|
| 2026 | Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR($\infty$) processes and applications. (2025). Cui, Zhenyu ; Wang, Yingli. In: Papers. RePEc:arx:papers:2503.18259. Full description at Econpapers || Download paper | |
| 2026 | Scaling Limit of Heavy-Tailed Nearly Unstable Cumulative INAR( $$\infty$$ ) Processes and Rough Fractional Diffusions. (2026). Wang, Yingli ; He, Ping ; Cai, Chunhao. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:28:y:2026:i:1:d:10.1007_s11009-026-10248-z. Full description at Econpapers || Download paper | |
| 2026 | Mixed difference integer-valued GARCH model for Z-valued time series. (2026). Francq, Christian ; Goto, Yuichi ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:128358. Full description at Econpapers || Download paper | |
| 2026 | VOLatility Archive for Realized Estimates (VOLARE). (2026). Spagnolo, Fabio ; Otranto, Edoardo ; Gallo, Giampiero ; Insana, Alessandra ; Cruciani, Giulia ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2602.19732. Full description at Econpapers || Download paper | |
| 2026 | Real-time return extensions of realized GARCH models for improved risk management in asset markets. (2026). Morimoto, Takayuki ; Tita, Faldy ; Susanto, Bambang ; Nugroho, Didit B. In: Journal of Asset Management. RePEc:pal:assmgt:v:27:y:2026:i:2:d:10.1057_s41260-026-00452-4. Full description at Econpapers || Download paper | |
| 2026 | Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models. (2026). Zammit-Mangion, Andrew ; Gunawan, David ; Vu, Bao Anh. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:218:y:2026:i:c:s0167947325002002. Full description at Econpapers || Download paper | |
| 2026 | Seasonality in Mixed Causal-Noncausal Processes. (2026). Telg, Sean ; Hecq, Alain ; del Barrio Castro, Tomás. In: Papers. RePEc:arx:papers:2604.07040. Full description at Econpapers || Download paper | |
| 2026 | Estimation of High-Dimensional Volatility Matrices with Dynamic Conditional Correlation-embedded Mixed Factor Structures. (2026). Matsuda, Yasumasa ; Dai, Runyu. In: DSSR Discussion Papers. RePEc:toh:dssraa:152. Full description at Econpapers || Download paper | |
| 2026 | Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting. (2026). West, Mike ; Woitschig, Patrick. In: Papers. RePEc:arx:papers:2605.12099. Full description at Econpapers || Download paper | |
| 2026 | The evolving impact of U.S. monetary policy on real oil prices: A time-varying Granger predictability and local projections approach. (2026). Gillman, Max ; Ãevik, Emrah ; Dibooglu, Sel. In: Energy Policy. RePEc:eee:enepol:v:210:y:2026:i:c:s0301421525005592. Full description at Econpapers || Download paper | |
| 2026 | Time-varying Granger causality in Bitcoin mining: Uncovering shifting links to environment, sustainability, and profitability. (2026). Hu, Yang ; Hou, Yang ; Oxley, Les ; Lang, Chunlin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:82:y:2026:i:c:s0275531925005197. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2025
| Year | Citing document | |
|---|---|---|
| 2025 | Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492. Full description at Econpapers || Download paper | |
| 2025 | Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2569. Full description at Econpapers || Download paper | |
| 2025 | Multivariate AutoRegressive Smooth Liquidity (MARSLiQ). (2025). Wang, L ; Hafner, C M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2529. Full description at Econpapers || Download paper | |
| 2025 | Quantile Granger causality in the presence of instability. (2025). Wied, Dominik ; Troster, Victor ; Mayer, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000466. Full description at Econpapers || Download paper | |
| 2025 | Omnibus diagnostic procedures for vector multiplicative errors models. (2025). Hudecov, Rka ; Ngatchou-Wandji, Joseph ; Meintanis, Simos G. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01653-y. Full description at Econpapers || Download paper |
Recent citations received in 2024
| Year | Citing document | |
|---|---|---|
| 2024 | High-frequency realized stochastic volatility model. (2024). Watanabe, Toshiaki ; Nakajima, Jouchi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000938. Full description at Econpapers || Download paper | |
| 2024 | Recent Long-Term Management of Relation Across Czech- Republic Price Indices and Exchange Rates. (2024). Arias, Helmuth Yesid ; Antosova, Gabriela. In: European Research Studies Journal. RePEc:ers:journl:v:xxvii:y:2024:i:specialb:p:129-146. Full description at Econpapers || Download paper | |
| 2024 | Multiscale Change Point Detection for Univariate Time Series Data with Missing Value. (2024). Tian, Boping ; Alnemer, Ghada ; Haile, Tariku Tesfaye. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:20:p:3189-:d:1496858. Full description at Econpapers || Download paper |
Recent citations received in 2023
| Year | Citing document | |
|---|---|---|
| 2023 | (Frisch-Waugh-Lovell): On the Estimation of Regression Models by Row. (2023). Clarke, Damian ; Paris, Nicol'As ; Villena-Rold, Benjam'In. In: Papers. RePEc:arx:papers:2311.15829. Full description at Econpapers || Download paper | |
| 2023 | Determinants of Military Spending in Africa: Do Institutions Matter?. (2023). Arsène Aurélien, Njamen Kengdo ; Arsene, Njamen Kengdo ; Tii, Nchofoung ; Mougnol, Kos A. In: Peace Economics, Peace Science, and Public Policy. RePEc:bpj:pepspp:v:29:y:2023:i:4:p:401-440:n:6. Full description at Econpapers || Download paper | |
| 2023 | Social media and energy justice: A global evidence. (2023). Fang, Ming ; Njangang, Henri ; Padhan, Hemachandra ; Simo, Colette ; Yan, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003845. Full description at Econpapers || Download paper | |
| 2023 | Commonality in BRICS stock marketsâ reaction to global economic policy uncertainty: Evidence from a panel GARCH model with cross sectional dependence. (2023). Mamman, Suleiman ; Iliyasu, Jamilu ; Wang, Zhanqin. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323002490. Full description at Econpapers || Download paper | |
| 2023 | Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series. (2023). Szabados, Tamas. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:2:p:14-:d:1161065. Full description at Econpapers || Download paper | |
| 2023 | An Archimedean Copulas-Based Approach for m -Consecutive- k -Out-of- n : F Systems with Exchangeable Components. (2023). Triantafyllou, Ioannis S. In: Stats. RePEc:gam:jstats:v:6:y:2023:i:4:p:70-1125:d:1264160. Full description at Econpapers || Download paper | |
| 2023 | Interpretable Machine Learning Using Partial Linear Models*. (2023). Laurent, Sébastien ; Hué, Sullivan ; Hue, Sullivan ; Hacheme, Gilles ; Flachaire, Emmanuel. In: Post-Print. RePEc:hal:journl:hal-04529011. Full description at Econpapers || Download paper | |
| 2023 | (Frisch-Waugh-Lovell) On the Estimation of Regression Models by Row. (2023). Villena-Roldan, Benjamin ; Clarke, Damian ; Torres, Nicolas Paris. In: IZA Discussion Papers. RePEc:iza:izadps:dp16630. Full description at Econpapers || Download paper | |
| 2023 | Development strategy, technological progress, and regional environmental performance: empirical evidence from China. (2023). Zhao, Zuoxiang ; Sun, Hongjun ; Han, Ding. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:5:d:10.1007_s10644-023-09548-y. Full description at Econpapers || Download paper | |
| 2023 | Exchange rate misalignment and revenue mobilisation: a global comparative evidence of trade openness thresholds. (2023). Nchofoung, Tii ; Achuo, Elvis ; Tiague, Linda Julie. In: Indian Economic Review. RePEc:spr:inecre:v:58:y:2023:i:2:d:10.1007_s41775-023-00201-z. Full description at Econpapers || Download paper |
10 most frequent citing series