Econometrics and Statistics / Elsevier
Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
11
Impact Factor (IF)
0.77
5 Years IF
0.74
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]
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know]
Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2017 | 0 | 0.54 | 0.36 | 0 | 42 | 42 | 185 | 14 | 15 | 0 | 0 | 6 | 42.9 | 14 | 0.33 | 0.22 | ||
| 2018 | 0.64 | 0.56 | 0.54 | 0.64 | 40 | 82 | 175 | 44 | 59 | 42 | 27 | 42 | 27 | 1 | 2.3 | 17 | 0.43 | 0.24 |
| 2019 | 0.71 | 0.58 | 0.61 | 0.71 | 37 | 119 | 118 | 72 | 131 | 82 | 58 | 82 | 58 | 0 | 14 | 0.38 | 0.23 | |
| 2020 | 0.56 | 0.7 | 0.43 | 0.5 | 36 | 155 | 85 | 66 | 198 | 77 | 43 | 119 | 60 | 4 | 6.1 | 5 | 0.14 | 0.33 |
| 2021 | 0.74 | 0.87 | 0.72 | 0.81 | 39 | 194 | 38 | 139 | 338 | 73 | 54 | 155 | 125 | 20 | 14.4 | 1 | 0.03 | 0.32 |
| 2022 | 0.77 | 1 | 0.76 | 0.74 | 39 | 233 | 18 | 176 | 514 | 75 | 58 | 194 | 144 | 30 | 17 | 3 | 0.08 | 0.31 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CIT: | Number of citations to papers published in year y |
| NCI: | Number of citations in year y |
| CCU: | Cumulative number of citations to papers published until year y |
| D2Y: | Number of articles published in y-1 plus y-2 |
| C2Y: | Cites in y to articles published in y-1 plus y-2 |
| D5Y: | Number of articles published in y-1 until y-5 |
| C5Y: | Cites in y to articles published in y-1 until y-5 |
| SC: | selft citations in y to articles published in y-1 plus y-2 |
| %SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
| CiY: | Cites in year y to documents published in year y |
| II: | Immediacy Index: CiY / Documents. |
| AII: | Average Immediacy Index for series in RePEc in year y |
50 most cited documents in this series
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2018 | An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106. Full description at Econpapers || Download paper | 36 |
| 2 | 2018 | Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77. Full description at Econpapers || Download paper | 21 |
| 3 | 2017 | Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149. Full description at Econpapers || Download paper | 19 |
| 4 | 2019 | Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16. Full description at Econpapers || Download paper | 19 |
| 5 | 2018 | Fast and reliable computation of generalized synthetic controls. (2018). Becker, Martin ; Klossner, Stefan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | 17 |
| 6 | 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61. Full description at Econpapers || Download paper | 15 |
| 7 | 2018 | Assessing causality and delay within a frequency band. (2018). Schreiber, Sven ; Breitung, J̮̦rg. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:57-73. Full description at Econpapers || Download paper | 13 |
| 8 | 2020 | Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68. Full description at Econpapers || Download paper | 13 |
| 9 | 2020 | Microeconometric dynamic panel data methods: Model specification and selection issues. (2020). Kiviet, Jan F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:16-45. Full description at Econpapers || Download paper | 13 |
| 10 | 2019 | Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie . In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144. Full description at Econpapers || Download paper | 12 |
| 11 | 2017 | Econometrics and Statistics. (2017). Kontoghiorghes, Erricos ; Colubi, Ana ; van Dijk, Herman K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:1-1. Full description at Econpapers || Download paper | 12 |
| 12 | 2018 | Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88. Full description at Econpapers || Download paper | 11 |
| 13 | 2017 | Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers || Download paper | 11 |
| 14 | 2017 | Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Park, Byeong ; Oja, Hanny . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100. Full description at Econpapers || Download paper | 10 |
| 15 | 2017 | A tractable, parsimonious and flexible model for cylindrical data, with applications. (2017). Abe, Toshihiro ; Ley, Christophe. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:91-104. Full description at Econpapers || Download paper | 10 |
| 16 | 2019 | An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers || Download paper | 10 |
| 17 | 2019 | Robust Monitoring of Time Series with Application to Fraud Detection. (2019). Rousseeuw, Peter ; Hubert, Mia ; Riani, Marco ; Perrotta, Domenico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121. Full description at Econpapers || Download paper | 10 |
| 18 | 2017 | Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59. Full description at Econpapers || Download paper | 10 |
| 19 | 2017 | A mixture of SDB skew-t factor analyzers. (2017). Murray, Paula M ; McNicholas, Paul D ; Browne, Ryan P. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:160-168. Full description at Econpapers || Download paper | 9 |
| 20 | 2018 | A UK financial conditions index using targeted data reduction: Forecasting and structural identification. (2018). Young, Garry ; Price, Simon ; Kapetanios, George. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper | 9 |
| 21 | 2019 | Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:78-145. Full description at Econpapers || Download paper | 9 |
| 22 | 2017 | Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). LÃÆütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18. Full description at Econpapers || Download paper | 8 |
| 23 | 2017 | Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models. (2017). Gruber, Lutz F ; West, Mike . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:3-22. Full description at Econpapers || Download paper | 8 |
| 24 | 2019 | Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197. Full description at Econpapers || Download paper | 8 |
| 25 | 2019 | The class of copulas arising from squared distributions: Properties and inference. (2019). Durocher, Martin ; Quessy, Jean-Franois . In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:148-166. Full description at Econpapers || Download paper | 7 |
| 26 | 2017 | Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98. Full description at Econpapers || Download paper | 7 |
| 27 | 2019 | Improving weighted least squares inference. (2019). Wolf, Michael ; Romano, Joseph P ; Diciccio, Cyrus J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:96-119. Full description at Econpapers || Download paper | 7 |
| 28 | 2019 | Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94. Full description at Econpapers || Download paper | 7 |
| 29 | 2017 | High-dimensional adaptive function-on-scalar regression. (2017). Fan, Zhaohu ; Reimherr, Matthew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:167-183. Full description at Econpapers || Download paper | 7 |
| 30 | 2020 | Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167. Full description at Econpapers || Download paper | 7 |
| 31 | 2018 | Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82. Full description at Econpapers || Download paper | 7 |
| 32 | 2018 | Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89. Full description at Econpapers || Download paper | 7 |
| 33 | 2018 | Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148. Full description at Econpapers || Download paper | 6 |
| 34 | 2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper | 6 |
| 35 | 2017 | Meta-analytic cointegrating rank tests for dependent panels. (2017). Karaman ÃÆÃârsal, Deniz ; Arsova, Antonia ; Deniz Dilan Karaman , . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:61-72. Full description at Econpapers || Download paper | 6 |
| 36 | 2017 | Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. (2017). Shang, Han Lin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:184-200. Full description at Econpapers || Download paper | 6 |
| 37 | 2018 | Tail dependence of recursive max-linear models with regularly varying noise variables. (2018). Gissibl, Nadine ; Otto, Moritz ; Kluppelberg, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:149-167. Full description at Econpapers || Download paper | 6 |
| 38 | 2017 | Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data. (2017). Al-Sulami, Dawlah ; Zhu, Jun ; Lu, Zudi ; Jiang, Zhenyu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:22-35. Full description at Econpapers || Download paper | 5 |
| 39 | 2020 | Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62. Full description at Econpapers || Download paper | 5 |
| 40 | 2017 | Change point and trend analyses of annual expectile curves of tropical storms. (2017). Xiong, Q ; Burdejova, P ; Kokoszka, P ; Hardle, W. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:101-117. Full description at Econpapers || Download paper | 5 |
| 41 | 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105. Full description at Econpapers || Download paper | 5 |
| 42 | 2017 | Multinomial functional regression with wavelets and LASSO penalization. (2017). Mousavi, Seyed Nourollah ; Sorensen, Helle . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:150-166. Full description at Econpapers || Download paper | 5 |
| 43 | 2019 | The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772ââ¬â2016. (2019). TerÃÆäsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:1-24. Full description at Econpapers || Download paper | 4 |
| 44 | 2017 | Non-identifiability of VMA and VARMA systems in the mixed frequency case. (2017). Koelbl, Lukas ; Brian, ; Deistler, Manfred. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:31-38. Full description at Econpapers || Download paper | 4 |
| 45 | 2019 | Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model. (2019). Sun, Yanqing ; Huang, Jianhua Z ; Zhang, Yuanqing. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:140-155. Full description at Econpapers || Download paper | 4 |
| 46 | 2018 | Filterbased stochastic volatility in continuous-time hidden Markov models. (2018). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:1-21. Full description at Econpapers || Download paper | 4 |
| 47 | 2021 | Detecting changes in the covariance structure of functional time series with application to fMRI data. (2021). John , ; Stoehr, Christina ; Kirch, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:44-62. Full description at Econpapers || Download paper | 4 |
| 48 | 2017 | Combined Lagrange multiplier test for ARCH in vector autoregressive models. (2017). Catani, P S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:62-84. Full description at Econpapers || Download paper | 4 |
| 49 | 2020 | Combined estimation of semiparametric panel data models. (2020). Lee, Tae Hwy ; Amanullah, ; Huang, Bai. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:30-45. Full description at Econpapers || Download paper | 4 |
| 50 | 2021 | A Note on Adaptive Group Lasso for Structural Break Time Series. (2021). Schweikert, Karsten ; Behrendt, Simon. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:156-172. Full description at Econpapers || Download paper | 4 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2018 | An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106. Full description at Econpapers || Download paper | 25 |
| 2 | 2018 | Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77. Full description at Econpapers || Download paper | 13 |
| 3 | 2020 | Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68. Full description at Econpapers || Download paper | 11 |
| 4 | 2020 | Microeconometric dynamic panel data methods: Model specification and selection issues. (2020). Kiviet, Jan F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:16-45. Full description at Econpapers || Download paper | 11 |
| 5 | 2019 | Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16. Full description at Econpapers || Download paper | 10 |
| 6 | 2018 | Fast and reliable computation of generalized synthetic controls. (2018). Becker, Martin ; Klossner, Stefan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | 8 |
| 7 | 2019 | Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach. (2019). Czudaj, Robert. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:78-145. Full description at Econpapers || Download paper | 8 |
| 8 | 2019 | An improved bootstrap test of density ratio ordering. (2019). shi, xiaoxia ; Beare, Brendan K. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:9-26. Full description at Econpapers || Download paper | 8 |
| 9 | 2019 | Achieving parsimony in Bayesian vector autoregressions with the horseshoe prior. (2019). Yu, Cindy ; Follett, Lendie . In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:130-144. Full description at Econpapers || Download paper | 8 |
| 10 | 2018 | Change point detection in heteroscedastic time series. (2018). Gorecki, Tomasz ; Kokoszka, Piotr ; Horvath, Lajos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:63-88. Full description at Econpapers || Download paper | 8 |
| 11 | 2017 | A tractable, parsimonious and flexible model for cylindrical data, with applications. (2017). Abe, Toshihiro ; Ley, Christophe. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:91-104. Full description at Econpapers || Download paper | 7 |
| 12 | 2017 | Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:128-149. Full description at Econpapers || Download paper | 7 |
| 13 | 2019 | Improving weighted least squares inference. (2019). Wolf, Michael ; Romano, Joseph P ; Diciccio, Cyrus J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:96-119. Full description at Econpapers || Download paper | 6 |
| 14 | 2017 | Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111. Full description at Econpapers || Download paper | 6 |
| 15 | 2019 | The class of copulas arising from squared distributions: Properties and inference. (2019). Durocher, Martin ; Quessy, Jean-Franois . In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:148-166. Full description at Econpapers || Download paper | 6 |
| 16 | 2019 | Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197. Full description at Econpapers || Download paper | 6 |
| 17 | 2018 | Assessing causality and delay within a frequency band. (2018). Schreiber, Sven ; Breitung, J̮̦rg. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:57-73. Full description at Econpapers || Download paper | 6 |
| 18 | 2020 | Flexible copula models with dynamic dependence and application to financial data. (2020). Joe, Harry ; Krupskii, Pavel. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:148-167. Full description at Econpapers || Download paper | 6 |
| 19 | 2017 | A mixture of SDB skew-t factor analyzers. (2017). Murray, Paula M ; McNicholas, Paul D ; Browne, Ryan P. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:160-168. Full description at Econpapers || Download paper | 5 |
| 20 | 2020 | Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105. Full description at Econpapers || Download paper | 5 |
| 21 | 2017 | High-dimensional adaptive function-on-scalar regression. (2017). Fan, Zhaohu ; Reimherr, Matthew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:167-183. Full description at Econpapers || Download paper | 5 |
| 22 | 2021 | Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45. Full description at Econpapers || Download paper | 5 |
| 23 | 2018 | A UK financial conditions index using targeted data reduction: Forecasting and structural identification. (2018). Young, Garry ; Price, Simon ; Kapetanios, George. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper | 5 |
| 24 | 2020 | Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62. Full description at Econpapers || Download paper | 5 |
| 25 | 2020 | A hierarchical bayesian model for differential connectivity in multi-trial brain signals. (2020). Ombao, Hernando ; Fortin, Norbert J ; Guindani, Michele ; Hu, Lechuan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:117-135. Full description at Econpapers || Download paper | 4 |
| 26 | 2021 | A Note on Adaptive Group Lasso for Structural Break Time Series. (2021). Schweikert, Karsten ; Behrendt, Simon. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:156-172. Full description at Econpapers || Download paper | 4 |
| 27 | 2019 | Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94. Full description at Econpapers || Download paper | 4 |
| 28 | 2017 | Multinomial functional regression with wavelets and LASSO penalization. (2017). Mousavi, Seyed Nourollah ; Sorensen, Helle . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:150-166. Full description at Econpapers || Download paper | 4 |
| 29 | 2021 | Detecting changes in the covariance structure of functional time series with application to fMRI data. (2021). John , ; Stoehr, Christina ; Kirch, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:44-62. Full description at Econpapers || Download paper | 4 |
| 30 | 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61. Full description at Econpapers || Download paper | 4 |
| 31 | 2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCHâMIDASâX model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper | 4 |
| 32 | 2018 | Tail dependence of recursive max-linear models with regularly varying noise variables. (2018). Gissibl, Nadine ; Otto, Moritz ; Kluppelberg, Claudia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:149-167. Full description at Econpapers || Download paper | 4 |
| 33 | 2017 | Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59. Full description at Econpapers || Download paper | 4 |
| 34 | 2018 | Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89. Full description at Econpapers || Download paper | 4 |
| 35 | 2019 | Robust Monitoring of Time Series with Application to Fraud Detection. (2019). Rousseeuw, Peter ; Hubert, Mia ; Riani, Marco ; Perrotta, Domenico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121. Full description at Econpapers || Download paper | 4 |
| 36 | 2017 | Special issue on functional data analysis. (2017). Kokoszka, Piotr ; Sangalli, Laura ; Park, Byeong ; Oja, Hanny . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:99-100. Full description at Econpapers || Download paper | 3 |
| 37 | 2019 | Estimation of a semiparametric varying-coefficient mixed regressive spatial autoregressive model. (2019). Sun, Yanqing ; Huang, Jianhua Z ; Zhang, Yuanqing. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:140-155. Full description at Econpapers || Download paper | 3 |
| 38 | 2020 | Quadratic regression for functional response models. (2020). Matsui, Hidetoshi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:125-136. Full description at Econpapers || Download paper | 3 |
| 39 | 2021 | Bayesian inference for a single factor copula stochastic volatility model using Hamiltonian Monte Carlo. (2021). Czado, Claudia ; Kreuzer, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:130-150. Full description at Econpapers || Download paper | 3 |
| 40 | 2018 | Improved estimators of extreme Wang distortion risk measures for very heavy-tailed distributions. (2018). STUPFLER, Gilles ; el Methni, Jonathan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:129-148. Full description at Econpapers || Download paper | 3 |
| 41 | 2017 | Singular Spectrum Analysis for signal extraction in Stochastic Volatility models. (2017). Arteche, Josu ; Garcia-Enriquez, Javier . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:85-98. Full description at Econpapers || Download paper | 3 |
| 42 | 2020 | Combined estimation of semiparametric panel data models. (2020). Lee, Tae Hwy ; Amanullah, ; Huang, Bai. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:30-45. Full description at Econpapers || Download paper | 3 |
| 43 | 2020 | Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88. Full description at Econpapers || Download paper | 3 |
| 44 | 2018 | Filterbased stochastic volatility in continuous-time hidden Markov models. (2018). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:1-21. Full description at Econpapers || Download paper | 3 |
| 45 | 2020 | Subjective heterogeneity in response attitude for multivariate ordinal outcomes. (2020). Iannario, Maria ; Tutz, Gerhard ; Simone, Rosaria. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:145-158. Full description at Econpapers || Download paper | 3 |
| 46 | 2019 | Local Whittle estimation of long memory: Standard versus bias-reducing techniques. (2019). GarcÃÆÃÂa EnrÃÆÃÂquez, Javier ; Hualde, Javier ; Garcia-Enriquez, Javier. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:66-77. Full description at Econpapers || Download paper | 3 |
| 47 | 2022 | Bias-corrected method of moments estimators for dynamic panel data models. (2022). Kripfganz, Sebastian ; Breitung, Jorg ; Hayakawa, Kazuhiko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:116-132. Full description at Econpapers || Download paper | 3 |
| 48 | 2020 | On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin. (2020). Peiris, Shelton ; Chan, Jennifer ; Phillip, Andrew. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:69-90. Full description at Econpapers || Download paper | 3 |
| 49 | 2017 | Meta-analytic cointegrating rank tests for dependent panels. (2017). Karaman ÃÆÃârsal, Deniz ; Arsova, Antonia ; Deniz Dilan Karaman , . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:61-72. Full description at Econpapers || Download paper | 3 |
| 50 | 2022 | Modeling Probability Density Functions as Data Objects. (2022). Kokoszka, Piotr ; Zhang, Chao ; Petersen, Alexander. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:159-178. Full description at Econpapers || Download paper | 3 |
Citing documents used to
compute impact factor: 58
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|---|---|---|
| 2022 | Forecasting variance swap payoffs. (2022). van der Heijden, Thijs ; Nardari, Federico ; Dark, Jonathan ; Gao, Xin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2135-2164. Full description at Econpapers || Download paper | |
| 2022 | Function-on-Function Partial Quantile Regression. (2022). Shang, Han Lin ; Alin, Aylin ; Beyaztas, Ufuk. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:27:y:2022:i:1:d:10.1007_s13253-021-00477-9. Full description at Econpapers || Download paper | |
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| 2022 | Further Evidence on Chinaâs B&R Impact on Host Countriesâ Quality of Institutions. (2022). Yeung, H ; Huber, Jurgen. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:9:p:5451-:d:807058. Full description at Econpapers || Download paper | |
| 2022 | Competition and Risk-Taking. (2022). Gürtler, Oliver ; Thon, Max ; Struth, Lennart ; Gurtler, Oliver. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:181. Full description at Econpapers || Download paper | |
| 2022 | The Supply and Demand of Agricultural Loans. (2022). Scott, Francisco ; Oppedahl, David ; Kuethe, Todd ; Kreitman, Ty. In: Research Working Paper. RePEc:fip:fedkrw:94521. Full description at Econpapers || Download paper | |
| 2022 | Covid-19 pandemic, firmsâ responses, and unemployment in the ASEAN-5. (2022). Ardiyono, Sulistiyo K. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:337-372. Full description at Econpapers || Download paper | |
| 2022 | The impact of employment protection on FDI at different stages of economic development. (2022). Patunru, Arianto ; Ardiyono, Sulistiyo K. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:12:p:3679-3714. Full description at Econpapers || Download paper | |
| 2022 | A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models. (2022). Juneja, Januj Amar. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10146-1. Full description at Econpapers || Download paper | |
| 2022 | An enhanced multivariable dynamic time-delay discrete grey forecasting model for predicting Chinas carbon emissions. (2022). Wang, Junjie ; Dang, Yaoguo ; Yang, Deling ; Ye, LI. In: Energy. RePEc:eee:energy:v:249:y:2022:i:c:s0360544222005849. Full description at Econpapers || Download paper | |
| 2022 | Interpreting and predicting the economy flows: A time-varying parameter global vector autoregressive integrated the machine learning model. (2022). Tian, Ting ; Yang, Haisheng ; Xiong, Zhixi ; Wang, Xueqin ; Jiang, Yukang. In: Papers. RePEc:arx:papers:2209.05998. Full description at Econpapers || Download paper | |
| 2022 | Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models. (2022). Zevallos, Mauricio ; Abbara, Omar. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2022:i:1:p:1-:d:1013050. Full description at Econpapers || Download paper | |
| 2022 | A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series. (2022). Webel, Karsten. In: Discussion Papers. RePEc:zbw:bubdps:312022. Full description at Econpapers || Download paper | |
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| 2022 | A mixture model for ordinal variables measured on semantic differential scales. (2022). Zuccolotto, Paola ; Manisera, Marica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:22:y:2022:i:c:p:98-123. Full description at Econpapers || Download paper | |
| 2022 | Simultaneous confidence bands for the functional mean of convex curves. (2022). Evangelista, Adelia ; Fortuna, Francesca ; Gattone, Stefano Antonio ; di Battista, Tonio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:183-193. Full description at Econpapers || Download paper | |
| 2022 | Correcting Intraday Periodicity Bias in Realized Volatility Measures. (2022). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:36-52. Full description at Econpapers || Download paper | |
| 2022 | Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048. Full description at Econpapers || Download paper | |
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| 2022 | Brain waves analysis via a non-parametric Bayesian mixture of autoregressive kernels. (2022). Ombao, Hernando ; Fortin, Norbert J ; Babak, Shahbaba ; Fiecas, Mark ; Granados-Garcia, Guilllermo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947321002437. Full description at Econpapers || Download paper | |
| 2022 | Markov-switching state-space models with applications to neuroimaging. (2022). Ombao, Hernando ; Ting, Chee-Ming ; Degras, David. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050. Full description at Econpapers || Download paper | |
| 2022 | Time series graphical lasso and sparse VAR estimation. (2022). Pourahmadi, Mohsen ; Kim, Rakheon ; Dallakyan, Aramayis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001372. Full description at Econpapers || Download paper | |
| 2022 | Economic theories and macroeconomic reality. (2022). Wang, Mu-Chun ; Matthes, Christian ; Loria, Francesca. In: Journal of Monetary Economics. RePEc:eee:moneco:v:126:y:2022:i:c:p:105-117. Full description at Econpapers || Download paper | |
| 2022 | Computing the asymptotic distribution of second-order U- and V-statistics. (2022). Seri, Raffaello. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322000172. Full description at Econpapers || Download paper | |
| 2022 | The ARMA Point Process and its Estimation. (2022). Sornette, Didier ; Wheatley, Spencer ; Schatz, Michael. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:164-182. Full description at Econpapers || Download paper | |
| 2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
| 2022 | How large is the economy-wide rebound effect in middle income countries? Evidence from Iran. (2022). Stern, David ; Bruns, Stephan B ; Jafari, Mahboubeh. In: Ecological Economics. RePEc:eee:ecolec:v:193:y:2022:i:c:s0921800921003840. Full description at Econpapers || Download paper | |
| 2022 | Data?driven identification in SVARsâWhen and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper | |
| 2022 | Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States. (2022). Stern, David ; Moneta, Alessio ; Bruns, Stephan ; Berner, Anne. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s014098832200113x. Full description at Econpapers || Download paper | |
| 2022 | Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367. Full description at Econpapers || Download paper | |
| 2022 | Robust Inference for Non-Gaussian SVAR models. (2022). Rott, Christina ; Huber, Stefanie ; Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220080. Full description at Econpapers || Download paper | |
| 2022 | Robust inference for non-Gaussian SVAR models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Economics Working Papers. RePEc:upf:upfgen:1847. Full description at Econpapers || Download paper | |
| 2022 | Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2022). Pallante, Gianluca ; Moneta, Alessio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002342. Full description at Econpapers || Download paper | |
| 2022 | The fractional volatility model and rough volatility. (2022). Mendes, Vilela R. In: Papers. RePEc:arx:papers:2206.02205. Full description at Econpapers || Download paper | |
| 2022 | Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2022). Schweikert, Karsten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:83-104. Full description at Econpapers || Download paper | |
| 2022 | A bias-adjusted estimator in quantile regression for clustered data. (2022). Staicu, Ana-Maria ; Tolver, Anders ; Sorensen, Helle ; Battagliola, Maria Laura. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:165-186. Full description at Econpapers || Download paper | |
| 2022 | Kernel-based hidden Markov conditional densities. (2022). Gooijer, Jan G. ; Yuan, AO ; Henter, Gustav Eje ; de Gooijer, Jan G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947322000111. Full description at Econpapers || Download paper | |
| 2022 | Bayesian Testing of Granger Causality in Functional Time Series. (2022). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:20:y:2022:i:1:d:10.1007_s40953-022-00306-x. Full description at Econpapers || Download paper | |
| 2022 | CovNet: Covariance networks for functional data on multidimensional domains. (2022). Panaretos, Victor M ; Sarkar, Soham. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:5:p:1785-1820. Full description at Econpapers || Download paper | |
| 2022 | Safe haven assets for international stock markets: A regime-switching factor copula approach. (2022). Tachibana, Minoru. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531921002129. Full description at Econpapers || Download paper | |
| 2022 | Fast inference methods for high-dimensional factor copulas. (2022). Pavel, Krupskiy ; Alex, Verhoijsen. In: Dependence Modeling. RePEc:vrs:demode:v:10:y:2022:i:1:p:270-289:n:15. Full description at Econpapers || Download paper | |
| 2022 | Bayesian reliability analysis for copula based step-stress partially accelerated dependent competing risks model. (2022). Huang, Jianan ; Bai, Xuchao ; Wang, Liang ; Zhang, Chunfang. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:227:y:2022:i:c:s0951832022003428. Full description at Econpapers || Download paper | |
| 2022 | An overview on the progeny of the skew-normal familyâ A personal perspective. (2022). Azzalini, Adelchi. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:188:y:2022:i:c:s0047259x21001299. Full description at Econpapers || Download paper | |
| 2022 | Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach. (2022). Li, Haitao ; Yu, Cindy L ; Zhang, Yixiao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:75-93. Full description at Econpapers || Download paper | |
| 2022 | Asymptotic properties of Dirichlet kernel density estimators. (2022). Tolosana-Delgado, Raimon ; Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x2100110x. Full description at Econpapers || Download paper | |
| 2022 | Non-parametric analysis of serial dependence in time series using ordinal patterns. (2022). Matilla-GarcÃÂa, Mariano ; Matilla-Garcia, Mariano ; Keller, Karsten ; Marin, Manuel Ruiz ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002152. Full description at Econpapers || Download paper | |
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| 2022 | Automated and distributed statistical analysis of economic agent-based models. (2022). Lamperti, Francesco ; Giachini, Daniele ; Vandin, Andrea ; Chiaromonte, Francesca. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922001634. Full description at Econpapers || Download paper | |
| 2022 | Calibration and Validation of Macroeconomic Simulation Models: A General Protocol by Causal Search. (2022). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: LEM Papers Series. RePEc:ssa:lemwps:2022/33. Full description at Econpapers || Download paper | |
| 2022 | What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020. (2022). Kaufmann, Daniel ; Tille, Cedric ; Stuart, Rebecca ; Hauzenberger, Niko. In: IRENE Working Papers. RePEc:irn:wpaper:22-03. Full description at Econpapers || Download paper | |
| 2022 | Knitting Multi-Annual High-Frequency Google Trends to Predict Inflation and Consumption.. (2022). Dimpfl, Thomas ; Bleher, Johannes. In: Econometrics and Statistics. RePEc:eee:ecosta:v:24:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper | |
| 2022 | Robust productivity growth and efficiency measurement with undesirable outputs: evidence from the oil industry. (2022). Asu, John Otu ; Arabmaldar, Aliasghar ; Hatami-Marbini, Adel. In: OR Spectrum: Quantitative Approaches in Management. RePEc:spr:orspec:v:44:y:2022:i:4:d:10.1007_s00291-022-00683-y. Full description at Econpapers || Download paper | |
| 2022 | Estimation and Inference in Factor Copula Models with Exogenous Covariates. (2021). Wied, Dominik ; Mayer, Alexander. In: Papers. RePEc:arx:papers:2107.03366. Full description at Econpapers || Download paper | |
| 2022 | Improved Inference of Gaussian Mixture Copula Model for Clustering and Reproducibility Analysis using Automatic Differentiation. (2022). Rajan, Vaibhav ; Kasa, Siva Rajesh. In: Econometrics and Statistics. RePEc:eee:ecosta:v:22:y:2022:i:c:p:67-97. Full description at Econpapers || Download paper | |
| 2022 | Reliability Estimation for Dependent Left-Truncated and Right-Censored Competing Risks Data with Illustrations. (2022). Lio, Yuhlong ; Wang, Liang ; Zuo, Zhiyuan. In: Energies. RePEc:gam:jeners:v:16:y:2022:i:1:p:62-:d:1009957. Full description at Econpapers || Download paper | |
| 2022 | Covid-19 impact on Cryptocurrencies market using Multivariate Time Series Models. (2022). , Jennifer ; Nitithumbundit, Thanakorn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:365-375. Full description at Econpapers || Download paper | |
| 2022 | Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models. (2022). Hecq, Alain ; Voisin, Elisa ; Issler, Joao. In: Papers. RePEc:arx:papers:2205.00924. Full description at Econpapers || Download paper | |
| 2022 | Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2022
| Year | Citing document | |
|---|---|---|
| 2022 | Simulating financial time series using attention. (2022). Osterrieder, Jorg ; Hirsa, Ali ; Fu, Weilong. In: Papers. RePEc:arx:papers:2207.00493. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2022 | âTakeoverâ and âActivationâ Effects of National Strategies for Industrial RelocationâBased on the Perspective of Marketisation of Land Elements. (2022). Zhao, Zhenzhi ; Bao, Fei. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:20:p:13470-:d:946614. Full description at Econpapers || Download paper |
Recent citations received in 2021
| Year | Citing document | |
|---|---|---|
| 2021 | Bayesian Testing Of Granger Causality In Functional Time Series. (2021). Sikaria, Shubhangi ; Majumdar, Anandamayee ; Sen, Rituparna. In: Papers. RePEc:arx:papers:2112.15315. Full description at Econpapers || Download paper |
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Generalized method of moments estimation of linear dynamic panel-data models. (2020). Kripfganz, Sebastian. In: 2020 Stata Conference. RePEc:boc:scon20:14. Full description at Econpapers || Download paper | |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023. Full description at Econpapers || Download paper | |
| 2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15411. Full description at Econpapers || Download paper | |
| 2020 | Variational inference for high dimensional structured factor copulas. (2020). Nguyen, Hoang ; Galeano, Pedro ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:151:y:2020:i:c:s0167947320301031. Full description at Econpapers || Download paper | |
| 2020 | Struktureller Umbruch durch COVID-19: Implikationen für die Innovationspolitik im Land Bremen. (2020). Wedemeier, Jan ; Gunther, Jutta. In: HWWI Policy Papers. RePEc:zbw:hwwipp:n128. Full description at Econpapers || Download paper |
Recent citations received in 2019
| Year | Citing document | |
|---|---|---|
| 2019 | Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Berenguer-Rico, Vanessa. In: CREATES Research Papers. RePEc:aah:create:2019-15. Full description at Econpapers || Download paper | |
| 2019 | Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2019). TerÃÆäsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2019-18. Full description at Econpapers || Download paper | |
| 2019 | Estimating Large Mixed-Frequency Bayesian VAR Models. (2019). Ankargren, Sebastian ; Jon, Paulina. In: Papers. RePEc:arx:papers:1912.02231. Full description at Econpapers || Download paper | |
| 2019 | Climate change implications for the catastrophe bonds market: An empirical analysis. (2019). Sbrana, Giacomo ; MORANA, CLAUDIO. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:274-294. Full description at Econpapers || Download paper | |
| 2019 | Can expanding natural gas consumption reduce Chinas CO2 emissions?. (2019). Lin, Boqiang ; Xu, Bin. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:393-407. Full description at Econpapers || Download paper | |
| 2019 | Model robust inference with two-stage maximum likelihood estimation for copulas. (2019). Hjort, Nils Lid ; Ko, Vinnie. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:362-381. Full description at Econpapers || Download paper | |
| 2019 | Robust forecasting of electricity prices: Simulations, models and the impact of renewable sources. (2019). Nan, Fany ; Grossi, Luigi. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:141:y:2019:i:c:p:305-318. Full description at Econpapers || Download paper | |
| 2019 | Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2019). , Joshua . In: CAMA Working Papers. RePEc:een:camaaa:2019-61. Full description at Econpapers || Download paper | |
| 2019 | International Financial Markets. (2019). Saglio, Sophie ; Sanhaji, Bilel ; Guerreiro, David ; Goutte, Stéphane ; Chevallier, Julien. In: Post-Print. RePEc:hal:journl:halshs-02183053. Full description at Econpapers || Download paper | |
| 2019 | Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Berenguer-Rico, Vanessa. In: Discussion Papers. RePEc:kud:kuiedp:1911. Full description at Econpapers || Download paper | |
| 2019 | Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Nielsen, Bent ; Johansen, Soren ; Berenguer-Rico, Vanessa. In: Economics Papers. RePEc:nuf:econwp:1905. Full description at Econpapers || Download paper | |
| 2019 | Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood. (2019). Johansen, Soren ; Nielsen, Bent ; Rico, Vanessa Berenguer ; BerenguerRico, Vanessa . In: Economics Series Working Papers. RePEc:oxf:wpaper:879. Full description at Econpapers || Download paper | |
| 2019 | Inference for likelihood-based estimators of generalized long-memory processes. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96313. Full description at Econpapers || Download paper | |
| 2019 | Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96314. Full description at Econpapers || Download paper |
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