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Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
20
Impact Factor (IF)
0.39
5 Years IF
0.55
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
2013 0 0.56 0.31 0 13 13 274 4 4 0 0 2 50 4 0.31 0.24
2014 1.92 0.55 1.32 1.92 12 25 318 32 37 13 25 13 25 1 3.1 7 0.58 0.23
2015 1.72 0.55 1 1.72 42 67 264 66 104 25 43 25 43 4 6.1 13 0.31 0.23
2016 1.37 0.53 1.09 1.57 49 116 211 125 230 54 74 67 105 10 8 8 0.16 0.21
2017 0.51 0.54 1.01 1.04 54 170 312 171 401 91 46 116 121 18 10.5 30 0.56 0.22
2018 0.51 0.55 0.94 0.92 47 217 410 202 605 103 53 170 157 9 4.5 22 0.47 0.24
2019 0.83 0.57 0.74 0.78 49 266 97 193 801 101 84 204 159 4 2.1 6 0.12 0.23
2020 1.01 0.68 0.85 0.83 45 311 74 262 1066 96 97 241 200 14 5.3 4 0.09 0.32
2021 0.51 0.81 0.97 0.9 47 358 63 347 1413 94 48 244 219 12 3.5 10 0.21 0.3
2022 0.48 0.86 0.79 0.76 37 395 23 312 1725 92 44 242 185 15 4.8 5 0.14 0.26
2023 0.39 0.92 0.56 0.55 27 422 9 238 1963 84 33 225 124 8 3.4 6 0.22 0.27
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
12018Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033.

Full description at Econpapers || Download paper

189
22014The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830.

Full description at Econpapers || Download paper

161
32015Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166.

Full description at Econpapers || Download paper

90
42013Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620.

Full description at Econpapers || Download paper

85
52014Asymmetry and Leverage in Conditional Volatility Models. (2014). McAleer, Michael. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:3:p:145-150:d:40585.

Full description at Econpapers || Download paper

76
62014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414.

Full description at Econpapers || Download paper

74
72013Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450.

Full description at Econpapers || Download paper

71
82013Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001.

Full description at Econpapers || Download paper

46
92017Synthetic Control and Inference. (2017). Shi, Ruoyao ; Hahn, Jinyong. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610.

Full description at Econpapers || Download paper

41
102018Polarization and Rising Wage Inequality: Comparing the U.S. and Germany. (2018). Fitzenberger, Bernd ; DeLeire, Thomas ; Antonczyk, Dirk. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:20-:d:140515.

Full description at Econpapers || Download paper

38
112016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

Full description at Econpapers || Download paper

31
122018Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data. (2018). Verme, Paolo ; Hlasny, Vladimir. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:30-:d:150429.

Full description at Econpapers || Download paper

30
132015A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676.

Full description at Econpapers || Download paper

29
142017A Simple Test for Causality in Volatility. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:15-:d:93545.

Full description at Econpapers || Download paper

25
152016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

24
162015Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534.

Full description at Econpapers || Download paper

23
172018Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315.

Full description at Econpapers || Download paper

22
182016Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730.

Full description at Econpapers || Download paper

22
192017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

Full description at Econpapers || Download paper

20
202018Using the GB2 Income Distribution. (2018). Rao, D.S. Prasada ; Hajargasht, Gholamreza ; Griffiths, William ; Prasada, D S ; Karunarathne, Wasana ; Chotikapanich, Duangkamon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:21-:d:141682.

Full description at Econpapers || Download paper

20
212017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

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19
222016Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Bin, Peng ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088.

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19
232017A Note on Identification of Bivariate Copulas for Discrete Count Data. (2017). Zimmer, David ; Trivedi, Pravin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:10-:d:90353.

Full description at Econpapers || Download paper

17
242015On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584.

Full description at Econpapers || Download paper

17
252017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

Full description at Econpapers || Download paper

16
262015Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States. (2015). Mohammadi, Hassan ; Tan, Yuting. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668.

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15
272013Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659.

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15
282013Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments. (2013). Lee, Lung-Fei ; Jin, Fei. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:71-114:d:26028.

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15
292013Ranking Leading Econometrics Journals Using Citations Data from ISI and RePEc. (2013). McAleer, Michael ; Chang, Chia-Lin. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:217-235:d:30522.

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15
302018A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade. (2018). Patuelli, Roberto ; Metulini, Rodolfo ; Griffith, Daniel A. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:9-:d:132749.

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14
312016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

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13
322020Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models. (2020). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:20-:d:360596.

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12
332015Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data. (2015). Parmeter, Christopher ; Henderson, Daniel ; ChristopherF. Parmeter, ; Chu, Chi-Yang . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:199-214:d:47581.

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12
342013Parametric and Nonparametric Frequentist Model Selection and Model Averaging. (2013). Ullah, Aman ; Amanullah, ; Wang, Huansha . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:157-179:d:28948.

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12
352018A Review on Variable Selection in Regression Analysis. (2018). DESBOULETS, Loann ; Denis, Loann David. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:45-:d:185046.

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12
362017A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. (2017). Sattarhoff, Cristina ; Heberle, Jochen . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:9-:d:88731.

Full description at Econpapers || Download paper

12
372017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Czado, Claudia ; Klimova, Yulia ; Fink, Holger ; Stober, Jakob . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

Full description at Econpapers || Download paper

12
382018Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis. (2018). Zelli, Roberto ; Thomas, Jasmin ; Pittau, M. Grazia ; Anderson, Gordon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:15-:d:137411.

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12
392020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors. (2020). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:3-:d:316273.

Full description at Econpapers || Download paper

12
402016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689.

Full description at Econpapers || Download paper

11
412014Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027.

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11
422014A Fast, Accurate Method for Value-at-Risk and Expected Shortfall. (2014). Paolella, Marc S. ; Krause, Jochen. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:98-122:d:37459.

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11
432014Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach. (2014). Tsang, Kwok Ping ; Ashley, Richard. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:72-91:d:34391.

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10
442017Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development. (2017). Owen, Dorian. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:38-:d:110889.

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10
452018Using the Entire Yield Curve in Forecasting Output and Inflation. (2018). Li, Canlin ; Lee, Tae Hwy ; Hillebrand, Eric ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:40-:d:166513.

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10
462018From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective. (2018). Greselin, Francesca ; Zitikis, Riardas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:4-:d:128699.

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10
472015On the Interpretation of Instrumental Variables in the Presence of Specification Errors. (2015). Tavlas, George ; Hall, Stephen ; P. A. V. B. Swamy, ; P. A. V. B. Swamy, . In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:55-64:d:45286.

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9
482013Forecasting Value-at-Risk Using High-Frequency Information. (2013). Lee, Tae Hwy ; Huang, Huiyu . In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:127-140:d:26621.

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9
492017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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9
502018On the Stock–Yogo Tables. (2018). Windmeijer, Frank ; Skeels, Christopher. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:44-:d:182573.

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9
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12018Decomposing Wage Distributions Using Recentered Influence Function Regressions. (2018). Lemieux, Thomas ; Firpo, Sergio ; Fortin, Nicole M. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:28-:d:149033.

Full description at Econpapers || Download paper

100
22014The Biggest Myth in Spatial Econometrics. (2014). LeSage, James ; Pace, Kelley R.. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:4:p:217-249:d:43830.

Full description at Econpapers || Download paper

36
32015Detecting Location Shifts during Model Selection by Step-Indicator Saturation. (2015). Pretis, Felix ; Hendry, David ; Doornik, Jurgen ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:240-264:d:48166.

Full description at Econpapers || Download paper

21
42018Polarization and Rising Wage Inequality: Comparing the U.S. and Germany. (2018). Fitzenberger, Bernd ; DeLeire, Thomas ; Antonczyk, Dirk. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:20-:d:140515.

Full description at Econpapers || Download paper

16
52018Top Incomes and Inequality Measurement: A Comparative Analysis of Correction Methods Using the EU SILC Data. (2018). Verme, Paolo ; Hlasny, Vladimir. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:30-:d:150429.

Full description at Econpapers || Download paper

14
62017Synthetic Control and Inference. (2017). Shi, Ruoyao ; Hahn, Jinyong. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:52-:d:120610.

Full description at Econpapers || Download paper

13
72015A Kolmogorov-Smirnov Based Test for Comparing the Predictive Accuracy of Two Sets of Forecasts. (2015). Hassani, Hossein ; Silva, Emmanuel Sirimal. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:590-609:d:53676.

Full description at Econpapers || Download paper

11
82013Structural Panel VARs. (2013). Pedroni, Peter. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:2:p:180-206:d:29001.

Full description at Econpapers || Download paper

11
92013Academic Rankings with RePEc. (2013). Zimmermann, Christian. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:3:p:249-280:d:31450.

Full description at Econpapers || Download paper

9
102013Ten Things You Should Know about the Dynamic Conditional Correlation Representation. (2013). McAleer, Michael ; Caporin, Massimiliano. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:115-126:d:26620.

Full description at Econpapers || Download paper

9
112016Volatility Forecasting: Downside Risk, Jumps and Leverage Effect. (2016). Audrino, Francesco ; Hu, Yujia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:8-:d:64253.

Full description at Econpapers || Download paper

8
122020Triple the Gamma—A Unifying Shrinkage Prior for Variance and Variable Selection in Sparse State Space and TVP Models. (2020). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:20-:d:360596.

Full description at Econpapers || Download paper

8
132017A Note on Identification of Bivariate Copulas for Discrete Count Data. (2017). Zimmer, David ; Trivedi, Pravin. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:10-:d:90353.

Full description at Econpapers || Download paper

8
142016Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730.

Full description at Econpapers || Download paper

7
152017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

Full description at Econpapers || Download paper

7
162017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

Full description at Econpapers || Download paper

7
172016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

7
182018Using the GB2 Income Distribution. (2018). Rao, D.S. Prasada ; Hajargasht, Gholamreza ; Griffiths, William ; Prasada, D S ; Karunarathne, Wasana ; Chotikapanich, Duangkamon. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:21-:d:141682.

Full description at Econpapers || Download paper

7
192018Foreign Workers and the Wage Distribution: What Does the Influence Function Reveal?. (2018). Van Kerm, Philippe ; Choe, Chung. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:41-:d:168315.

Full description at Econpapers || Download paper

7
202015Two-Step Lasso Estimation of the Spatial Weights Matrix. (2015). Bhattacharjee, Arnab ; Ahrens, Achim. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:1:p:128-155:d:46534.

Full description at Econpapers || Download paper

7
212021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

Full description at Econpapers || Download paper

7
222017A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators. (2017). Sattarhoff, Cristina ; Heberle, Jochen . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:9-:d:88731.

Full description at Econpapers || Download paper

6
232020Forecast Accuracy Matters for Hurricane Damage. (2020). Martinez, Andrew. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:18-:d:357835.

Full description at Econpapers || Download paper

6
242016The Evolving Transmission of Uncertainty Shocks in the United Kingdom. (2016). mumtaz, haroon. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:16-:d:65689.

Full description at Econpapers || Download paper

6
252018A Review on Variable Selection in Regression Analysis. (2018). DESBOULETS, Loann ; Denis, Loann David. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:4:p:45-:d:185046.

Full description at Econpapers || Download paper

5
262020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors. (2020). Luciani, Matteo ; Lippi, Marco ; Barigozzi, Matteo. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:3-:d:316273.

Full description at Econpapers || Download paper

5
272017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Czado, Claudia ; Klimova, Yulia ; Fink, Holger ; Stober, Jakob . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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5
282023Semi-Metric Portfolio Optimization: A New Algorithm Reducing Simultaneous Asset Shocks. (2023). Chan, Jennifer ; Menzies, Max ; James, Nick. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:8-:d:1090337.

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5
292015On Bootstrap Inference for Quantile Regression Panel Data: A Monte Carlo Study. (2015). Montes-Rojas, Gabriel ; Galvao, Antonio F. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:3:p:654-666:d:55584.

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5
302016Multiple Discrete Endogenous Variables in Weakly-Separable Triangular Models. (2016). Xu, Haiqing ; Pinkse, Joris ; Yaldaz, Nee ; Jun, Sung Jae. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:7-:d:63449.

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5
312014A One Line Derivation of EGARCH. (2014). McAleer, Michael ; Hafner, Christian. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:2:p:92-97:d:37414.

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5
322017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

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5
332016Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation. (2016). Bin, Peng ; Kao, Chihwa ; Baltagi, Badi. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:44-:d:82088.

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5
342021Jointly Modeling Male and Female Labor Participation and Unemployment. (2021). Martinez, Andrew ; Bernstein, David. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:46-:d:696817.

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4
352021Quantile Regression with Generated Regressors. (2021). Song, Suyong ; Galvao, Antonio F ; Chen, Liqiong. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:16-:d:534600.

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4
362022Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis. (2022). Al-Abdulla, Ameena ; Mahdi, Esam. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:26-:d:830808.

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4
372016Bayesian Calibration of Generalized Pools of Predictive Distributions. (2016). Ravazzolo, Francesco ; Casarin, Roberto ; Mantoan, Giulia . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:17-:d:65855.

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4
382015Measurement Errors Arising When Using Distances in Microeconometric Modelling and the Individuals’ Position Is Geo-Masked for Confidentiality. (2015). arbia, giuseppe ; Giuliani, Diego ; Espa, Giuseppe. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:4:p:709-718:d:57989.

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4
392017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses. (2017). Perron, Pierre ; Chang, Seong Yeon. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:5-:d:87211.

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4
402019HAR Testing for Spurious Regression in Trend. (2019). Phillips, Peter ; Zhang, Yonghui ; Wang, Xiaohu. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:4:p:50-:d:298538.

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4
412016Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets. (2016). Wang, Yazhen ; Zhang, Xin ; Kim, Donggyu. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:34-:d:76033.

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4
422017Evaluating Ingenious Instruments for Fundamental Determinants of Long-Run Economic Growth and Development. (2017). Owen, Dorian. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:38-:d:110889.

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4
432018A Spatial-Filtering Zero-Inflated Approach to the Estimation of the Gravity Model of Trade. (2018). Patuelli, Roberto ; Metulini, Rodolfo ; Griffith, Daniel A. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:1:p:9-:d:132749.

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4
442015Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States. (2015). Mohammadi, Hassan ; Tan, Yuting. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:215-232:d:47668.

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4
452020Long-Lasting Economic Effects of Pandemics:Evidence on Growth and Unemployment. (2020). Vera-Valdés, J. Eduardo ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Vladimir C. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:3:p:37-:d:414685.

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3
462019Interval-Based Hypothesis Testing and Its Applications to Economics and Finance. (2019). Kim, Jae ; Robinson, Andrew P. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:21-:d:231401.

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3
472017Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries. (2017). Montañés, Antonio ; Gadea, María ; Clemente Lopez, Jesus ; Reyes, Marcelo ; Montaes, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640.

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3
482018Data-Driven Jump Detection Thresholds for Application in Jump Regressions. (2018). Tauchen, George ; Davies, Robert. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:16-:d:138012.

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3
492015Information Recovery in a Dynamic Statistical Markov Model. (2015). Judge, George ; Miller, Douglas J.. In: Econometrics. RePEc:gam:jecnmx:v:3:y:2015:i:2:p:187-198:d:47332.

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3
502013Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator. (2013). Nielsen, Bent ; Johansen, Soren. In: Econometrics. RePEc:gam:jecnmx:v:1:y:2013:i:1:p:53-70:d:25659.

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3
Citing documents used to compute impact factor: 33
YearTitle
2023Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference. (2023). Nielsen, Morten ; Webb, Matthew D ; MacKinnon, James G. In: Papers. RePEc:arx:papers:2301.04527.

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2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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2023Causal Vector Autoregression Enhanced with Covariance and Order Selection. (2023). Baranyi, Mate ; Donner, Catherine ; Thompson, William ; Frappier, Valentin ; Ma, Renyuan ; Wang, Haoyu ; Ye, Dongze ; Bolla, Marianna ; Abdelkhalek, Fatma. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:7-:d:1079607.

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2023.

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2023The Effects of Monetary Policy on Macroeconomic Variables through Credit and Balance Sheet Channels: A Dynamic Stochastic General Equilibrium Approach. (2023). Valizadeh, Shahla ; Takaloo, Amir ; Sargolzaei, Mostafa ; Peykani, Pejman. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4409-:d:1084843.

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2023Why has the OECD long-run GDP elasticity of economy-wide electricity demand declined? Because the electrification of energy services has saturated. (2023). Hasanov, Fakhri ; Parker, Steven ; Liddle, Brantley. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003304.

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2023Factorization 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.

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2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

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2023Measuring macroeconomic convergence and divergence within EMU using long memory. (2023). Kolaiti, Theoplasti ; Drager, Lena ; Sibbertsen, Philipp. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02426-6.

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2023Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232.

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2023Technology, Skills, and Performance: The Case of Robots in Surgery. (2023). Tafti, Elena Ashtari. In: CINCH Working Paper Series (since 2020). RePEc:ajt:wcinch:78746.

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2023What drives migration to Germany? A panel data analysis. (2023). Daumann, F ; Klocker, J A. In: Research in Economics. RePEc:eee:reecon:v:77:y:2023:i:2:p:251-264.

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2023Censored Quantile Regression with Many Controls. (2023). Hong, Seoyun. In: Papers. RePEc:arx:papers:2303.02784.

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2023Does dichotomy between resource dependence and resource abundance matters for resource curse hypothesis? New evidence from quantiles via moments. (2023). Sani, Mohammed Bello ; Hamza, Yusuf ; Adamu, Sagir ; Inuwa, Nasiru. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s030142072300003x.

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2023Analyzing the impact of natural resources and rule of law on sustainable environment: A proposed policy framework for BRICS economies. (2023). Guiqin, Huang ; Hassan, Taimoor ; Khan, Yasir ; Nabi, Ghulam. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s030142072300781x.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

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2023The Impact of Socioeconomic and Environmental Indicators on Economic Development: An Interdisciplinary Empirical Study. (2023). Pacifico, Antonio. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:265-:d:1140881.

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2023How are climate risk shocks connected to agricultural markets?. (2023). Zhang, Yunhan ; Li, Yichong ; Guo, Kun ; Zhao, Wanli ; Ji, Qiang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000570.

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2023What Makes Econometric Ideas Popular: The Role of Connectivity. (2023). Mignon, Valérie ; Candelon, Bertrand ; Joets, Marc. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-35.

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2023What Makes Econometric Ideas Popular: The Role of Connectivity. (2023). Mignon, Valerie ; Joets, Marc ; Candelon, Bertrand. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023005.

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2023Stylized Facts of the FOMC’s Longer-Run Forecasts. (2023). Marquez, Jaime. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:152-:d:1079337.

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2023Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan. In: Working Papers. RePEc:bge:wpaper:1412.

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2023.

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2023Education, employment, and labor force participation in the United States. (2023). Emerson, Jamie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00244.

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2023The historical role of energy in UK inflation and productivity with implications for price inflation. (2023). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004450.

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2023Asymmetric nexus between Bitcoin, gold resources and stock market returns: Novel findings from quantile estimates. (2023). Fareed, Zeeshan ; Farooq, Muhammad Umar ; Zhou, Jianhua ; Tiwari, Sunil ; Jia, Zhenzhen. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001137.

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2023Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality. (2023). Gherghina, Ştefan ; Simionescu, Liliana Nicoleta. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00430-w.

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2023Uncertainty due to infectious diseases and bitcoin-gold nexus: Evidence from a non-parametric causality-in-quantiles approach. (2023). Oyewole, Oluwatomisin ; Fasanya, Ismail O ; Dauda, Mariam. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s030142072300260x.

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Long run non-linearity in $$\hbox {CO}_2$$ CO 2 emissions: the I(2) cointegration model and the environmental Kuznets curve. (2023). Kivedal, Bjornar Karlsen. In: Empirica. RePEc:kap:empiri:v:50:y:2023:i:4:d:10.1007_s10663-023-09587-8.

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2023Hidden costs of non-green performance? The impact of air pollution awareness on loan rates for Chinese firms. (2023). Wang, Yizhi ; Vigne, Samuel A ; Peng, Yuchao ; Gu, Leilei. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:213:y:2023:i:c:p:233-250.

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2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591.

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Recent citations
Recent citations received in 2023

YearCiting document
2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751.

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2023An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402.

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2023Collective infectivity of the pandemic over time and association with vaccine coverage and economic development. (2023). Menzies, Max ; James, Nick. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:176:y:2023:i:c:s0960077923010408.

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2023An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). Menzies, Max ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008117.

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2023.

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Recent citations received in 2022

YearCiting document
2022Detecting common bubbles in multivariate mixed causal-noncausal models. (2022). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Papers. RePEc:arx:papers:2207.11557.

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2022Score-driven threshold ice-age models: benchmark models for long-run climate forecasts. (2022). Blazsek, Szabolcs ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:34757.

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2022Modelling Seasonal Short-Run Effects in Time-Series Tourism Prices. (2022). Bojnec, Stefan ; Gricar, Sergej. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:5:p:212-:d:809777.

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2022Fast and Reliable Jackknife and Bootstrap Methods for Cluster-Robust Inference. (2022). Nielsen, Morten ; Webb, Matthew D ; MacKinnon, James G. In: Working Paper. RePEc:qed:wpaper:1485.

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2022A Goodness-of-Identifiability Criterion for Parametric Statistical Models. (2022). Pacini, David. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:11:y:2022:i:4:f:11_4_1.

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Recent citations received in 2021

YearCiting document
2021Forecasting US Inflation in Real Time. (2021). Hubrich, Kirstin ; Fulton, Chad. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:36-:d:652685.

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2021On the Relationship between Oil and Exchange Rates of Oil-Exporting and Oil-Importing Countries: From the Great Recession Period to the COVID-19 Era. (2021). Mikhaylov, Alexey ; Maximov, Denis ; Candila, Vincenzo ; Tryndina, Nicole ; Senjyu, Tomonobu ; Moiseev, Nikita. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:23:p:8046-:d:693115.

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2021Validation of Corporate Probability of Default Models Considering Alternative Use Cases. (2021). Jacobs, Michael. In: IJFS. RePEc:gam:jijfss:v:9:y:2021:i:4:p:63-:d:687129.

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2021Technical Analysis of Tourism Price Process in the Eurozone. (2021). Bojnec, Tefan ; Griar, Sergej. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:517-:d:666054.

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2021The Effects of Management (Tillage, Fertilization, Plant Density) on Soybean Yield and Quality in a Three-Year Experiment under Transylvanian Plain Climate Conditions. (2021). Bogdan, Ileana ; Chean, Cornel ; Rusu, Teodor ; Moraru, Paula Ioana ; Pop, Adrian Ioan. In: Land. RePEc:gam:jlands:v:10:y:2021:i:2:p:200-:d:500288.

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2021Sustainable Determinants That Affect Tourist Arrival Forecasting. (2021). Ugar, Violeta ; Baldigara, Tea ; Gricar, Sergej. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:17:p:9659-:d:623516.

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2021Is the Fiscal Deficit of ASEAN Alarming? Evidence from Fiscal Deficit Consequences and Contribution towards Sustainable Economic Growth. (2021). Bangash, Romana ; Khan, Hanana ; Marimuthu, Maran. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:18:p:10045-:d:631201.

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Recent citations received in 2020

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

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2020Flexible Mixture Priors for Large Time-varying Parameter Models. (2020). Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2006.10088.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2020Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines. (2019). Singleton, Carl ; Reade, J ; Brown, Alasdair. In: Economics & Management Discussion Papers. RePEc:rdg:emxxdp:em-dp2019-18.

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