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

Citation Profile [Updated: 2025-04-15 08:32:09]

5 Years H Index

Impact Factor (IF)

0.36

5 Years IF

0.51

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	0.52	0.89	0	45	45	1763	30	87	0		0		16	53.3	30	0.67	0.29
2008	1.51	0.59	1.29	1.51	65	110	723	132	229	45	68	45	68	40	30.3	45	0.69	0.29
2009	1.05	0.59	1.19	1.05	60	170	647	196	432	110	116	110	116	66	33.7	28	0.47	0.33
2010	0.7	0.53	0.89	0.93	74	244	346	215	649	125	88	170	158	22	10.2	22	0.3	0.3
2011	0.72	0.62	1.13	0.99	56	300	215	336	989	134	97	244	241	39	11.6	25	0.45	0.37
2012	0.46	0.68	0.95	0.77	56	356	528	334	1327	130	60	300	230	47	14.1	33	0.59	0.36
2013	0.79	0.66	0.9	0.63	51	407	272	363	1695	112	89	311	195	33	9.1	19	0.37	0.35
2014	0.93	0.67	0.89	0.66	63	470	312	418	2114	107	100	297	196	48	11.5	33	0.52	0.34
2015	0.71	0.66	0.84	0.6	57	527	193	440	2555	114	81	300	180	40	9.1	17	0.3	0.36
2016	0.73	0.64	0.74	0.63	33	560	84	417	2972	120	88	283	179	39	9.4	8	0.24	0.35
2017	0.52	0.62	0.66	0.61	41	601	221	395	3367	90	47	260	159	15	3.8	7	0.17	0.35
2018	0.59	0.61	0.56	0.46	36	637	111	354	3721	74	44	245	112	18	5.1	6	0.17	0.35
2019	0.87	0.62	0.6	0.49	23	660	123	393	4116	77	67	230	113	11	2.8	17	0.74	0.36
2020	0.76	0.7	0.58	0.63	19	679	45	392	4508	59	45	190	119	22	5.6	16	0.84	0.73
2021	0.6	0.95	0.58	0.61	16	695	42	404	4912	42	25	152	92	4	1	3	0.19	0.39
2022	0.63	0.69	0.48	0.53	11	706	27	340	5252	35	22	135	71	15	4.4	7	0.64	0.22

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	2007	Roughing 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	921
2	2007	Real-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	559
3	2012	Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers \|\| Download paper	256
4	2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers \|\| Download paper	215
5	2008	Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers \|\| Download paper	124
6	2009	Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers \|\| Download paper	124
7	2017	Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers \|\| Download paper	108
8	2012	Choice 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	82
9	2019	Asymptotic 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	79
10	2013	Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆÃÂ¤svirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers \|\| Download paper	71
11	2010	Stochastic Volatility. (2010). Benzoni, Luca ; Andersen, Torben. In: CREATES Research Papers. RePEc:aah:create:2010-10. Full description at Econpapers \|\| Download paper	71
12	2008	Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers \|\| Download paper	69
13	2007	Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers \|\| Download paper	67
14	2013	The 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. Full description at Econpapers \|\| Download paper	65
15	2008	Multivariate GARCH models. (2008). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-06. Full description at Econpapers \|\| Download paper	60
16	2007	The 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	60
17	2018	Fast 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	55
18	2014	Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers \|\| Download paper	49
19	2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆÃÂ¤svirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers \|\| Download paper	44
20	2014	Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers \|\| Download paper	43
21	2014	A 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. Full description at Econpapers \|\| Download paper	43
22	2015	Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆÃÂ¡zquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers \|\| Download paper	42
23	2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers \|\| Download paper	40
24	2015	Effects 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	40
25	2008	Multivariate 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. In: CREATES Research Papers. RePEc:aah:create:2008-63. Full description at Econpapers \|\| Download paper	37
26	2008	Measuring downside risk Ã¢â¬â realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42. Full description at Econpapers \|\| Download paper	32
27	2008	Option Pricing using Realized Volatility. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-13. Full description at Econpapers \|\| Download paper	30
28	2007	Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2007-17. Full description at Econpapers \|\| Download paper	29
29	2007	Microstructure 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. Full description at Econpapers \|\| Download paper	27
30	2009	Realized Volatility and Multipower Variation. (2009). Andersen, Torben ; Todorov, Viktor. In: CREATES Research Papers. RePEc:aah:create:2009-49. Full description at Econpapers \|\| Download paper	26
31	2011	Forecasting with Option Implied Information. (2011). Christoffersen, Peter ; Chang, Bo Young ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2011-46. Full description at Econpapers \|\| Download paper	26
32	2012	Exponential 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	26
33	2008	Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; CapistrÃÆÃÂ¡n, Carlos ; Capistran, Carlos . In: CREATES Research Papers. RePEc:aah:create:2008-56. Full description at Econpapers \|\| Download paper	24
34	2009	Option Valuation with Conditional Heteroskedasticity and Non-Normality. (2009). Feunou, Bruno ; Christoffersen, Peter ; Elkamhi, Redouane ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-33. Full description at Econpapers \|\| Download paper	24
35	2009	Realised Quantile-Based Estimation of the Integrated Variance. (2009). Podolskij, Mark ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2009-27. Full description at Econpapers \|\| Download paper	23
36	2010	Realized 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. Full description at Econpapers \|\| Download paper	23
37	2011	International Diversification Benefits with Foreign Exchange Investment Styles. (2011). Schindler, Felix ; Schrimpf, Andreas ; Kroencke, Tim. In: CREATES Research Papers. RePEc:aah:create:2011-10. Full description at Econpapers \|\| Download paper	23
38	2007	Estimation 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. Full description at Econpapers \|\| Download paper	22
39	2009	Quadratic Variation by Markov Chains. (2009). Hansen, Peter ; HOREL, Guillaume. In: CREATES Research Papers. RePEc:aah:create:2009-13. Full description at Econpapers \|\| Download paper	22
40	2022	Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08. Full description at Econpapers \|\| Download paper	22
41	2008	Parameterizing unconditional skewness in models for financial time series. (2008). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2008-07. Full description at Econpapers \|\| Download paper	21
42	2012	Oracle Inequalities for High Dimensional Vector Autoregressions. (2012). Kock, Anders ; Callot, Laurent ; Laurent A. F. Callot, . In: CREATES Research Papers. RePEc:aah:create:2012-16. Full description at Econpapers \|\| Download paper	21
43	2009	Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak. (2009). Engsted, Tom. In: CREATES Research Papers. RePEc:aah:create:2009-17. Full description at Econpapers \|\| Download paper	20
44	2010	Forecast Combinations. (2010). Timmermann, Allan ; CapistrÃÆÃÂ¡n, Carlos ; Aiolfi, Marco . In: CREATES Research Papers. RePEc:aah:create:2010-21. Full description at Econpapers \|\| Download paper	20
45	2007	Continuous-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. Full description at Econpapers \|\| Download paper	19
46	2009	Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. (2009). Schaumburg, Ernst ; Andersen, Torben ; Dobrev, Dobrislav. In: CREATES Research Papers. RePEc:aah:create:2009-52. Full description at Econpapers \|\| Download paper	19
47	2018	State-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. Full description at Econpapers \|\| Download paper	19
48	2010	Estimating 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. Full description at Econpapers \|\| Download paper	18
49	2012	Estimating High-Dimensional Time Series Models. (2012). Medeiros, Marcelo ; Mendes, Eduardo F.. In: CREATES Research Papers. RePEc:aah:create:2012-37. Full description at Econpapers \|\| Download paper	18
50	2014	Volatility jumps and their economic determinants. (2014). Santucci de Magistris, Paolo ; Rossi, Eduardo ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-27. Full description at Econpapers \|\| Download paper	18

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2007	Roughing 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	91
2	2019	Asymptotic 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	43
3	2007	Real-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	40
4	2009	The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well. (2009). Christoffersen, Peter ; Heston, Steven ; Jacobs, Kris. In: CREATES Research Papers. RePEc:aah:create:2009-34. Full description at Econpapers \|\| Download paper	32
5	2017	Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36. Full description at Econpapers \|\| Download paper	30
6	2012	Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach. (2012). Christoffersen, Peter ; Errunza, Vihang ; Jacobs, Kris ; Langlois, Hugues. In: CREATES Research Papers. RePEc:aah:create:2012-48. Full description at Econpapers \|\| Download paper	28
7	2009	Poisson Autoregression. (2009). Rahbek, Anders ; Fokianos, Konstantinos ; Tjostheim, Dag. In: CREATES Research Papers. RePEc:aah:create:2009-12. Full description at Econpapers \|\| Download paper	21
8	2008	Option Valuation with Long-run and Short-run Volatility Components. (2008). Christoffersen, Peter ; Wang, Yintian ; Jacobs, Kris ; ORNTHANALAI, CHAYAWAT . In: CREATES Research Papers. RePEc:aah:create:2008-11. Full description at Econpapers \|\| Download paper	20
9	2008	Measuring downside risk Ã¢â¬â realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: CREATES Research Papers. RePEc:aah:create:2008-42. Full description at Econpapers \|\| Download paper	17
10	2022	Cluster-Robust Inference: A Guide to Empirical Practice. (2022). Nielsen, Morten Orregaard ; MacKINNON, James . In: CREATES Research Papers. RePEc:aah:create:2022-08. Full description at Econpapers \|\| Download paper	15
11	2015	Effects 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	10
12	2012	Choice 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	10
13	2021	A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. Full description at Econpapers \|\| Download paper	10
14	2007	The 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	8
15	2013	Thresholds and Smooth Transitions in Vector Autoregressive Models. (2013). TerÃÆÃÂ¤svirta, Timo ; Hubrich, Kirstin ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2013-18. Full description at Econpapers \|\| Download paper	8
16	2014	A 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. Full description at Econpapers \|\| Download paper	8
17	2021	Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08. Full description at Econpapers \|\| Download paper	8
18	2014	Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-08. Full description at Econpapers \|\| Download paper	7
19	2009	Realized 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
20	2008	Glossary to ARCH (GARCH). (2008). Bollerslev, Tim. In: CREATES Research Papers. RePEc:aah:create:2008-49. Full description at Econpapers \|\| Download paper	6
21	2014	Linearity and Misspecification Tests for Vector Smooth Transition Regression Models. (2014). Yang, Yukai ; TerÃÆÃÂ¤svirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2014-04. Full description at Econpapers \|\| Download paper	5
22	2008	American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2008-41. Full description at Econpapers \|\| Download paper	5
23	2019	Forecasting Causes of Death using Compositional Data Analysis: the Case of Cancer Deaths. (2019). Lindahl-Jacobsen, Rune ; Oeppen, Jim ; Kallestrup-Lamb, Malene ; Ergemen, Yunus Emre ; Kjargaard, Soren. In: CREATES Research Papers. RePEc:aah:create:2019-07. Full description at Econpapers \|\| Download paper	5
24	2021	Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach. (2021). Lahiri, Kajal ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2021-14. Full description at Econpapers \|\| Download paper	4
25	2014	A fractionally cointegrated VAR analysis of price discovery in commodity futures markets. (2014). Nielsen, Morten ; Dolatabadi, Sepideh ; Xu, KE. In: CREATES Research Papers. RePEc:aah:create:2014-24. Full description at Econpapers \|\| Download paper	4
26	2015	Understanding volatility dynamics in the EU-ETS market. (2015). Violante, Francesco ; Sanin VÃÆÃÂ¡zquez, MarÃÆÃÂa Eugenia ; Mansanet-Bataller, Maria . In: CREATES Research Papers. RePEc:aah:create:2015-04. Full description at Econpapers \|\| Download paper	4
27	2017	Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe. In: CREATES Research Papers. RePEc:aah:create:2017-02. Full description at Econpapers \|\| Download paper	4
28	2020	A statistical model of the global carbon budget. (2020). Koopman, Siem Jan ; Bennedsen, Mikkel ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2020-18. Full description at Econpapers \|\| Download paper	3
29	2019	Demand and Welfare Analysis in Discrete Choice Models with Social Interactions. (2019). Dupas, Pascaline ; Bhattacharya, Debopam ; Kanaya, Shin. In: CREATES Research Papers. RePEc:aah:create:2019-09. Full description at Econpapers \|\| Download paper	3
30	2020	Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03. Full description at Econpapers \|\| Download paper	3
31	2007	Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg. In: CREATES Research Papers. RePEc:aah:create:2007-24. Full description at Econpapers \|\| Download paper	3
32	2018	Fast 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	3
33	2008	Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure. (2008). TerÃÆÃÂ¤svirta, Timo ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2008-08. Full description at Econpapers \|\| Download paper	3
34	2022	Truncated sum-of-squares estimation of fractional time series models with generalized power law trend. (2022). Nielsen, Morten ; Hualde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-07. Full description at Econpapers \|\| Download paper	2
35	2016	Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression. (2016). Lanne, Markku ; Luoto, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-04. Full description at Econpapers \|\| Download paper	2
36	2011	American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison. (2011). Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2011-34. Full description at Econpapers \|\| Download paper	2
37	2012	Exponential 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
38	2022	Inference on the dimension of the nonstationary subspace in functional time series. (2022). Nielsen, Morten ; Seong, Dakyung. In: CREATES Research Papers. RePEc:aah:create:2022-04. Full description at Econpapers \|\| Download paper	2
39	2018	State-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. Full description at Econpapers \|\| Download paper	2
40	2009	Identification of Macroeconomic Factors in Large Panels. (2009). Houssa, Romain ; Dewachter, Hans ; Bork, Lasse. In: CREATES Research Papers. RePEc:aah:create:2009-43. Full description at Econpapers \|\| Download paper	2
41	2015	Seasonal Changes in Central England Temperatures. (2015). Proietti, Tommaso ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2015-28. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 4

Year	Title
2024	Canonical correlation analysis of stochastic trends via functional approximation. (2024). Paruolo, Paolo ; Franchi, Massimo ; Georgiev, Iliyan. In: Papers. RePEc:arx:papers:2411.19572. Full description at Econpapers \|\| Download paper
2024	Functional principal component analysis for cointegrated functional time series. (2024). Seo, Wonki. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:320-330. Full description at Econpapers \|\| Download paper
2024	How do strategic pricing approaches influence franchise fee decisions?. (2024). Lee, Seoki ; Kyung-A Sun, . In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:6:p:1508-1530. Full description at Econpapers \|\| Download paper
2024	Seasonality in U.S. disability applications, labor market, and the pandemic echoes. (2024). Yin, Yimeng ; Lahiri, Kajal. In: Labour Economics. RePEc:eee:labeco:v:87:y:2024:i:c:s092753712400006x. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2022

Year	Citing document
2022
2022	No Surprises, Please: Voting Costs and Electoral Turnout. (2022). Lindlacher, Valentin ; Alipour, Jean-Victor. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9759. Full description at Econpapers \|\| Download paper
2022	More or less unmarried. The impact of legal settings of cohabitation on labour market outcomes. (2022). Leturcq, Marion ; Gousse, Marion. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001519. Full description at Econpapers \|\| Download paper
2022	Collusion in the US generic drug industry. (2022). Lasio, Laura ; Clark, Robert ; Fabiilli, Christopher. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:85:y:2022:i:c:s0167718722000546. Full description at Econpapers \|\| Download paper
2022	A Meta-Regression Analysis of Huntersâ Valuations of Recreational Hunting. (2022). Kerr, Geoffrey ; Gren, Ing-Marie. In: Sustainability. RePEc:gam:jsusta:v:15:y:2022:i:1:p:27-:d:1008901. Full description at Econpapers \|\| Download paper
2022	The Impact of Maternal Education on Child Immunization: Evidence from Bangladesh. (2022). Ayyagari, Padmaja ; la Mattina, Giulia ; Lamattina, Giulia ; Shahjahan, MD. In: IZA Discussion Papers. RePEc:iza:izadps:dp15553. Full description at Econpapers \|\| Download paper
2022	Quality decreases from introducing patient choice in a National Health Service. (2022). Barros, Pedro Pita ; PitaBarros, Pedro . In: Portuguese Economic Journal. RePEc:spr:portec:v:21:y:2022:i:3:d:10.1007_s10258-022-00223-0. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	The Euro Areas Pandemic Recession: A DSGE-Based Interpretation. (2021). Vogel, Lukas ; Pfeiffer, Philipp ; Cardani, Roberta ; Ratto, Marco ; Giovannini, Massimo ; Croitorov, Olga. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:153. Full description at Econpapers \|\| Download paper
2021	The Euro AreaÃ¢â¬â¢s pandemic recession: A DSGE interpretation. (2021). Vogel, Lukas ; Giovannini, Massimo ; Cardani, Roberta ; Ratto, Marco ; Pfeiffer, Philipp ; Croitorov, Olga. In: Working Papers. RePEc:jrs:wpaper:202110. Full description at Econpapers \|\| Download paper
2021	On the uncertainty of a combined forecast: The critical role of correlation. (2021). Vasnev, Andrey ; Magnus, Jan. In: Working Papers. RePEc:syb:wpbsba:2123/27307. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	92	168
2	Journal of Econometrics / Elsevier	233	56
3	Energy Economics / Elsevier	169	55
4	International Review of Financial Analysis / Elsevier	74	44
5	CREATES Research Papers / Department of Economics and Business Economics, Aarhus University	28	41
6	International Journal of Forecasting / Elsevier	92	38
7	The North American Journal of Economics and Finance / Elsevier	51	38
8	International Review of Economics & Finance / Elsevier	61	36
9	Finance Research Letters / Elsevier	78	36
10	Journal of Futures Markets / John Wiley & Sons, Ltd.	48	35
11	Economic Modelling / Elsevier	91	31