Citation analysis for Journal of Financial Econometrics / Oxford University Press

Citation Profile [Updated: 2025-01-21 17:37:07]

5 Years H Index

Impact Factor (IF)

0.57

5 Years IF

1.08

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
2003	0	0.44	0.47	0	19	19	430	5	19	0		0			0	5	0.26	0.22
2004	0.79	0.49	1.12	0.79	24	43	2078	38	67	19	15	19	15		0	23	0.96	0.22
2005	1.33	0.51	1.46	1.33	27	70	1121	83	169	43	57	43	57	1	1.2	14	0.52	0.24
2006	1.71	0.51	2.1	1.64	24	94	2744	193	366	51	87	70	115	1	0.5	32	1.33	0.23
2007	1.92	0.46	2.09	1.62	10	104	352	215	583	51	98	94	152		0	6	0.6	0.2
2008	2.76	0.49	2.77	2.1	21	125	567	346	929	34	94	104	218	1	0.3	4	0.19	0.23
2009	1.58	0.48	2.74	2.41	24	149	1671	407	1337	31	49	106	255	1	0.2	23	0.96	0.24
2010	1.44	0.48	2.34	2.15	33	182	417	418	1762	45	65	106	228		0	11	0.33	0.21
2011	1.54	0.52	2.7	2.04	23	205	479	548	2315	57	88	112	228		0	20	0.87	0.24
2012	1.23	0.52	2.51	1.64	21	226	289	564	2883	56	69	111	182	5	0.9	10	0.48	0.22
2013	1.61	0.56	2.93	1.75	23	249	436	727	3613	44	71	122	214	4	0.6	21	0.91	0.24
2014	1.68	0.55	3.04	2.05	26	275	305	831	4449	44	74	124	254	3	0.4	10	0.38	0.23
2015	1.37	0.55	2.65	1.27	33	308	557	814	5264	49	67	126	160		0	30	0.91	0.23
2016	1.46	0.52	2.66	1.6	33	341	503	906	6170	59	86	126	202	2	0.2	17	0.52	0.21
2017	1.55	0.54	2.26	1.49	29	370	93	836	7006	66	102	136	202	6	0.7		0	0.22
2018	1.31	0.55	2.13	1.33	24	394	521	839	7847	62	81	144	192	9	1.1	8	0.33	0.23
2019	0.38	0.56	2.18	1.14	17	411	82	896	8743	53	20	145	166	2	0.2	5	0.29	0.23
2020	0.98	0.67	2.21	1.36	22	433	304	956	9699	41	40	136	185	2	0.2	8	0.36	0.32
2021	1.54	0.79	2.06	1.54	36	469	108	964	10663	39	60	125	192	5	0.5	9	0.25	0.29
2022	1.76	0.83	1.89	1.43	32	501	68	948	11611	58	102	128	183	1	0.1	13	0.41	0.25
2023	0.99	0.82	1.81	2.39	55	556	29	1009	12620	68	67	131	313	15	1.5	3	0.05	0.23
2024	0.57		1.48	1.08	34	590	11	872	13492	87	50	162	175	5	0.6	13	0.38

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	2009	A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers \|\| Download paper	1278
2	2006	Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers \|\| Download paper	952
3	2004	Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers \|\| Download paper	790
4	2006	Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers \|\| Download paper	685
5	2005	The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers \|\| Download paper	471
6	2018	Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃÆÃÂk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers \|\| Download paper	410
7	2004	On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers \|\| Download paper	298
8	2006	Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers \|\| Download paper	287
9	2004	A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers \|\| Download paper	250
10	2006	Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers \|\| Download paper	241
11	2007	Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers \|\| Download paper	186
12	2005	A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers \|\| Download paper	185
13	2004	Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers \|\| Download paper	167
14	2008	Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers \|\| Download paper	166
15	2009	Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, AndrÃÆÃÂ©as ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers \|\| Download paper	149
16	2004	How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers \|\| Download paper	147
17	2015	Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers \|\| Download paper	134
18	2006	The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers \|\| Download paper	128
19	2014	The Price Impact of Order Book Events. (2014). Cont, Rama ; Stoikov, Sasha ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers \|\| Download paper	116
20	2006	Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers \|\| Download paper	114
21	2016	Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004Ã¢â¬â2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers \|\| Download paper	110
22	2004	Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250. Full description at Econpapers \|\| Download paper	106
23	2010	Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers \|\| Download paper	106
24	2004	Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers \|\| Download paper	95
25	2003	Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25. Full description at Econpapers \|\| Download paper	93
26	2004	Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564. Full description at Econpapers \|\| Download paper	88
27	2006	Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers \|\| Download paper	83
28	2013	Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers \|\| Download paper	82
29	2008	Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers \|\| Download paper	79
30	2009	Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411. Full description at Econpapers \|\| Download paper	79
31	2020	Causal Change Detection in Possibly Integrated Systems: Revisiting the MoneyâIncome Relationship. (2020). , Peter ; PEter, ; Hurn, Stan ; Shi, Shuping. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:1:p:158-180.*. Full description at Econpapers \|\| Download paper	78
32	2006	Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449. Full description at Econpapers \|\| Download paper	77
33	2015	Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers \|\| Download paper	76
34	2005	Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers \|\| Download paper	75
35	2007	Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. Full description at Econpapers \|\| Download paper	74
36	2004	Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492. Full description at Econpapers \|\| Download paper	71
37	2005	Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers \|\| Download paper	71
38	2008	Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360. Full description at Econpapers \|\| Download paper	69
39	2010	Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Min, Aleksey ; Czado, Claudia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546. Full description at Econpapers \|\| Download paper	68
40	2015	Bayesian Mixed Frequency VARs. (2015). Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Seoane, Hernan D. ; Eraker, Bjorn . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721.. Full description at Econpapers \|\| Download paper	63
41	2020	Understanding Cryptocurrencies. (2020). Harvey, Campbellr ; Hrdle, Wolfgang Karl ; Raphael, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208.. Full description at Econpapers \|\| Download paper	62
42	2008	Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers \|\| Download paper	60
43	2012	Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512. Full description at Econpapers \|\| Download paper	59
44	2011	Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343. Full description at Econpapers \|\| Download paper	57
45	2005	Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. Full description at Econpapers \|\| Download paper	55
46	2010	Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449. Full description at Econpapers \|\| Download paper	55
47	2016	Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.. Full description at Econpapers \|\| Download paper	55
48	2006	Stochastic Conditional Intensity Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493. Full description at Econpapers \|\| Download paper	54
49	2011	Merits and Drawbacks of Variance Targeting in GARCH Models. (2011). Zakoian, Jean-Michel ; Horvath, Lajos ; Francq, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:4:p:619-656. Full description at Econpapers \|\| Download paper	54
50	2016	Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352.. Full description at Econpapers \|\| Download paper	54

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

#	Year	Title	Cited
1	2018	Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃÆÃÂk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers \|\| Download paper	306
2	2009	A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers \|\| Download paper	216
3	2006	Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers \|\| Download paper	85
4	2006	Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil ; Barndorff-Nielsen, Ole. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers \|\| Download paper	66
5	2020	Causal Change Detection in Possibly Integrated Systems: Revisiting the MoneyâIncome Relationship. (2020). , Peter ; PEter, ; Hurn, Stan ; Shi, Shuping. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:1:p:158-180.*. Full description at Econpapers \|\| Download paper	45
6	2020	Realized Volatility Forecasting with Neural Networks. (2020). Bucci, Andrea. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:3:p:502-531.. Full description at Econpapers \|\| Download paper	27
7	2014	The Price Impact of Order Book Events. (2014). Cont, Rama ; Stoikov, Sasha ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers \|\| Download paper	27
8	2005	The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers \|\| Download paper	27
9	2008	Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers \|\| Download paper	27
10	2006	Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers \|\| Download paper	25
11	2007	Why Do Absolute Returns Predict Volatility So Well?. (2007). Ghysels, Eric ; Forsberg, Lars. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers \|\| Download paper	23
12	2004	A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers \|\| Download paper	23
13	2004	On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers \|\| Download paper	22
14	2006	Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; Paolella, Marc S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers \|\| Download paper	20
15	2021	Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly. (2021). Wolf, Michael ; Ledoit, Olivier ; de Nard, Gianluca. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:236-257.. Full description at Econpapers \|\| Download paper	20
16	2015	Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers \|\| Download paper	19
17	2020	Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. (2020). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:233-249.. Full description at Econpapers \|\| Download paper	18
18	2005	A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers \|\| Download paper	15
19	2020	Understanding Cryptocurrencies. (2020). Harvey, Campbellr ; Hrdle, Wolfgang Karl ; Raphael, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208.. Full description at Econpapers \|\| Download paper	15
20	2016	Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004Ã¢â¬â2014. (2016). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers \|\| Download paper	14
21	2020	Pricing Cryptocurrency Options. (2020). Hou, Ai Jun ; Hrdle, Wolfgang Karl ; Wang, Weining. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:250-279.*. Full description at Econpapers \|\| Download paper	14
22	2010	Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers \|\| Download paper	13
23	2022	Decoupling the Short- and Long-Term Behavior of Stochastic Volatility. (2022). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:5:p:961-1006.. Full description at Econpapers \|\| Download paper	13
24	2020	High-Frequency Jump Analysis of the Bitcoin Market. (2020). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:209-232.*. Full description at Econpapers \|\| Download paper	12
25	2019	Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2019). Hansen, Peter ; Koopman, S J ; Janus, P ; Gorgi, P. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:17:y:2019:i:1:p:1-32.. Full description at Econpapers \|\| Download paper	12
26	2006	Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers \|\| Download paper	12
27	2015	Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; GlennD. Rudebusch, ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers \|\| Download paper	11
28	2006	The Generalized Hyperbolic Skew Students t-Distribution. (2006). Haff, Ingrid Hobaek ; Aas, Kjersti . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers \|\| Download paper	11
29	2013	GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. (2013). Hao, Jinji. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:556-580. Full description at Econpapers \|\| Download paper	11
30	2004	Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis ; Christoffersen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers \|\| Download paper	10
31	2022	Regression-Based Expected Shortfall Backtesting. (2022). Dimitriadis, Timo ; Bayer, Sebastian. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:3:p:437-471.*. Full description at Econpapers \|\| Download paper	10
32	2016	Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.. Full description at Econpapers \|\| Download paper	9
33	2012	Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; McAleer, Michael ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512. Full description at Econpapers \|\| Download paper	9
34	2015	Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive RegressionÃ¢â¬Â . (2015). Phillips, Peter ; Peter C. B. Phillips, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:521-555.. Full description at Econpapers \|\| Download paper	9
35	2021	Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. (2021). Catania, Leopoldo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:4:p:531-564.*. Full description at Econpapers \|\| Download paper	9
36	2013	Modeling Realized Covariances and Returns. (2013). Maheu, John ; Jin, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:2:p:335-369. Full description at Econpapers \|\| Download paper	8
37	2021	Price Discovery in High Resolution. (2021). Hasbrouck, Joel. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:395-430.*. Full description at Econpapers \|\| Download paper	8
38	2021	Rejoinder on: Price Discovery in High Resolution. (2021). Hasbrouck, Joel. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:465-471.*. Full description at Econpapers \|\| Download paper	8
39	2016	On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802.. Full description at Econpapers \|\| Download paper	8
40	2008	Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers \|\| Download paper	8
41	2009	Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, AndrÃÆÃÂ©as ; Chollete, Loran . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers \|\| Download paper	8
42	2004	Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers \|\| Download paper	8
43	2020	Investing with CryptocurrenciesÃÂ¢Ã¢âÂ¬Ã¢â¬Âa Liquidity Constrained Investment Approach. (2020). Li, Mingyang ; Trimborn, Simon ; Hrdle, Wolfgang Karl. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:280-306.*. Full description at Econpapers \|\| Download paper	8
44	2004	How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers \|\| Download paper	7
45	2008	Size and Value Anomalies under Regime Shifts. (2008). Timmermann, Allan ; Guidolin, Massimo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:1-48. Full description at Econpapers \|\| Download paper	7
46	2022	The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation. (2022). Wolf, Michael ; Ledoit, Olivier. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:1:p:187-218.. Full description at Econpapers \|\| Download paper	7
47	2013	Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers \|\| Download paper	7
48	2014	Static Hedging of Standard Options. (2014). Carr, Peter ; Wu, Liuren. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:3-46.. Full description at Econpapers \|\| Download paper	7
49	2015	Portfolio Choice in Markets with Contagion. (2015). Ait-Sahalia, Yacine ; Hurd, Thomas Robert . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2015:i:1:p:1-28.. Full description at Econpapers \|\| Download paper	7
50	2008	Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song ; Song Xi Chen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107. Full description at Econpapers \|\| Download paper	7

Citing documents used to compute impact factor: 50

Year	Title
2024	Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma M ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454. Full description at Econpapers \|\| Download paper
2024	Markowitz portfolios under transaction costs. (2022). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420. Full description at Econpapers \|\| Download paper
2024	Factor mimicking portfolios for climate risk. (2023). Kelly, Bryan ; Engle, Robert F ; de Nard, Gianluca. In: ECON - Working Papers. RePEc:zur:econwp:429. Full description at Econpapers \|\| Download paper
2024	Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602. Full description at Econpapers \|\| Download paper
2024
2024
2024	GARCH-M model with an asymmetric risk premium: Distinguishing between âgoodâ and âbadâ volatility periods. (2024). Potanin, Bogdan ; Trifonov, Juri. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x. Full description at Econpapers \|\| Download paper
2024	Composite expectile estimation in partial functional linear regression model. (2024). Song, Xinyuan ; Yu, Ping ; Du, Jiang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000502. Full description at Econpapers \|\| Download paper
2024
2024	Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x. Full description at Econpapers \|\| Download paper
2024
2024
2024	Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers \|\| Download paper
2024	Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378. Full description at Econpapers \|\| Download paper
2024
2024
2024	Inference for Two-Stage Extremum Estimators. (2024). Maoude, Abdoul Haki ; Houndetoungan, Aristide. In: THEMA Working Papers. RePEc:ema:worpap:2024-01. Full description at Econpapers \|\| Download paper
2024
2024	Statistical inference for rough volatility: Minimax Theory. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers \|\| Download paper
2024	Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216. Full description at Econpapers \|\| Download paper
2024	Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2023). Rosenbaum, Mathieu ; Tang, Siu Hin ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727. Full description at Econpapers \|\| Download paper
2024	Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers \|\| Download paper
2024	On short-time behavior of implied volatility in a market model with indexes. (2024). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509. Full description at Econpapers \|\| Download paper
2024	Risk premium and rough volatility. (2024). Muguruza, Aitor ; Jacquier, Antoine ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2403.11897. Full description at Econpapers \|\| Download paper
2024	Fractal properties, information theory, and market efficiency. (2024). Garcin, Matthieu ; Brouty, Xavier. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948. Full description at Econpapers \|\| Download paper
2024
2024	Forecasting volatility with machine learning and rough volatility: example from the crypto-winter. (2024). Zhou, Chao ; Rosenbaum, Mathieu ; Tang, Siu Hin. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00108-1. Full description at Econpapers \|\| Download paper
2024
2024
2024	Estimation of VaR with jump process: application in corn and soybean markets. (2023). Sengupta, Indranil ; Lin, Minglian ; Wilson, William. In: Papers. RePEc:arx:papers:2311.00832. Full description at Econpapers \|\| Download paper
2024
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2024
2024	Testing and Ranking of Asset Pricing Models Using the GRS Statistic. (2024). Shi, Ruoyao ; Kamstra, Mark J. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:168-:d:1379260. Full description at Econpapers \|\| Download paper
2024	On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118. Full description at Econpapers \|\| Download paper
2024
2024
2024	Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation. (2024). Sautner, Zacharias ; Pazaj, Elisa ; Ladika, Tomislav ; Cronqvist, Henrik. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000345. Full description at Econpapers \|\| Download paper
2024	Let the Laser Beam Connect the Dots: Forecasting and Narrating Stock Market Volatility. (2024). Gupta, Amulya ; Yuan, Jie ; Zhang, Zhu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:6:p:1400-1416. Full description at Econpapers \|\| Download paper
2024	Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics. (2024). Peters, Gareth W ; He, Peilun ; Kordzakhia, Nino ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:2412.05889. Full description at Econpapers \|\| Download paper
2024
2024	VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278. Full description at Econpapers \|\| Download paper
2024	Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517. Full description at Econpapers \|\| Download paper
2024
2024	Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069. Full description at Econpapers \|\| Download paper
2024	Foreign economic policy uncertainty and U.S. equity returns. (2024). Jahan-Parvar, Mohammad R ; Kitsul, Yuriy ; Rahman, Jamil ; Wilson, Beth Anne. In: International Finance Discussion Papers. RePEc:fip:fedgif:1401. Full description at Econpapers \|\| Download paper
2024	Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713. Full description at Econpapers \|\| Download paper
2024
2024
2024	Can central bankersâ talk predict bank stock returns? A machine learning approach. (2024). Pyrgiotakis, Emmanouil G ; Panagiotou, Nikolaos P ; Leledakis, George N ; Katsafados, Apostolos G. In: MPRA Paper. RePEc:pra:mprapa:122899. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2024

Year	Citing document
2024
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2024
2024	How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test. (2024). Pesaran, Hashem M ; Xie, Yimeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11470. Full description at Econpapers \|\| Download paper
2024	Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454. Full description at Econpapers \|\| Download paper
2024
2024	The FourierâMalliavin Volatility (FMVol) MATLABÂ® library. (2024). Sanfelici, Simona ; Toscano, Giacomo. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:226:y:2024:i:c:p:338-353. Full description at Econpapers \|\| Download paper
2024	Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099. Full description at Econpapers \|\| Download paper
2024
2024
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Recent citations received in 2023

Year	Citing document
2023	A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers \|\| Download paper
2023	Using fear, greed and machine learning for optimizing global portfolios: A Black-Litterman approach. (2023). Sharma, Anil K ; Barua, Ronil. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008875. Full description at Econpapers \|\| Download paper
2023	On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Excess Out-of-Sample Risk and Fleeting Modes. (2022). Tikhonov, Konstantin ; Potters, Marc ; Mastromatteo, Iacopo ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:2205.01012. Full description at Econpapers \|\| Download paper
2022	Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123. Full description at Econpapers \|\| Download paper
2022	Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250. Full description at Econpapers \|\| Download paper
2022	Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer M ; Tian, Maoxi. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704. Full description at Econpapers \|\| Download paper
2022	Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model. (2022). Shi, Wenming ; Gong, Yuting ; Nguyen, Son ; Liu, Qian ; Yin, Jingbo. In: Energy. RePEc:eee:energy:v:254:y:2022:i:pb:s0360544222012579. Full description at Econpapers \|\| Download paper
2022	Time-variation, multiple testing, and the factor zoo. (2022). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003441. Full description at Econpapers \|\| Download paper
2022	Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio. (2022). Taylor, James W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001133. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Storti, Giuseppe ; Wang, Chao. In: MPRA Paper. RePEc:pra:mprapa:115266. Full description at Econpapers \|\| Download paper
2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector. (2021). Gonzalez-Perez, Maria T. In: Working Papers. RePEc:bde:wpaper:2128. Full description at Econpapers \|\| Download paper
2021	Jump-preserving varying-coefficient models for nonlinear time series. (2021). Koo, Chao Hui ; Iek, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:58-96. Full description at Econpapers \|\| Download paper
2021	Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg. (2021). Fantazzini, Dean ; Pushchelenko, Julia ; Kurbatskii, Alexey ; Mironenkov, Alexey. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:4:p:48-803:d:667485. Full description at Econpapers \|\| Download paper
2021	The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179. Full description at Econpapers \|\| Download paper
2021	Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics. (2021). Zhang, Xibin ; Keith, Jonathan ; Pourkhanali, Armin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-15. Full description at Econpapers \|\| Download paper
2021	FinTech Lending. (2021). Puri, Manju ; Fuster, Andreas ; Berg, Tobias. In: NBER Working Papers. RePEc:nbr:nberwo:29421. Full description at Econpapers \|\| Download paper
2021	Clustering Dynamics and Persistence for Financial Multivariate Panel Data. (2021). Joo, Igor Custodio ; Schaumburg, Julia ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210040. Full description at Econpapers \|\| Download paper
2021	Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	90	540
2	Energy Economics / Elsevier	164	225
3	International Review of Financial Analysis / Elsevier	71	189
4	Journal of Econometrics / Elsevier	231	176
5	Finance Research Letters / Elsevier	75	158
6	The North American Journal of Economics and Finance / Elsevier	49	149
7	International Review of Economics & Finance / Elsevier	59	143
8	Resources Policy / Elsevier	78	139
9	International Journal of Forecasting / Elsevier	91	121
10	Economic Modelling / Elsevier	89	113
11	Journal of Banking & Finance / Elsevier	176	87