Citation analysis for The Journal of Financial Econometrics / Society for Financial Econometrics

Citation Profile [Updated: 2023-11-03 08:28:08]

5 Years H Index

Impact Factor (IF)

1.78

5 Years IF

1.43

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
2008	2.76	0.49	16.33	2.07	21	21	512	343	343	34	94	104	215	1	0.3	4	0.19	0.23
2009	1.55	0.47	9.2	2.41	24	45	1483	413	757	31	48	106	255	1	0.2	23	0.96	0.24
2010	1.38	0.48	5.36	2.13	33	78	394	411	1175	45	62	106	226		0	10	0.3	0.21
2011	1.44	0.52	5.29	1.94	23	101	457	529	1709	57	82	112	217		0	20	0.87	0.24
2012	1.2	0.52	4.51	1.59	22	123	261	551	2264	56	67	111	176	5	0.9	8	0.36	0.22
2013	1.56	0.56	4.93	1.71	23	146	411	717	2984	45	70	123	210	4	0.6	21	0.91	0.24
2014	1.6	0.55	4.8	1.98	26	172	274	820	3809	45	72	125	248	3	0.4	10	0.38	0.23
2015	1.39	0.55	3.96	1.25	33	205	499	810	4620	49	68	127	159		0	31	0.94	0.23
2016	1.46	0.53	3.76	1.55	33	238	459	894	5514	59	86	127	197	2	0.2	17	0.52	0.21
2017	1.53	0.54	3.1	1.45	29	267	76	829	6343	66	101	137	199	6	0.7		0	0.22
2018	1.31	0.56	2.88	1.33	24	291	253	837	7182	62	81	144	191	9	1.1	8	0.33	0.24
2019	0.38	0.58	2.9	1.14	17	308	65	893	8075	53	20	145	166	2	0.2	5	0.29	0.23
2020	1.02	0.7	2.93	1.4	22	330	186	968	9043	41	42	136	190	2	0.2	8	0.36	0.33
2021	1.56	0.87	2.68	1.57	36	366	64	980	10023	39	61	125	196	4	0.4	9	0.25	0.32
2022	1.78	1	2.42	1.43	32	398	34	965	10988	58	103	128	183	1	0.1	15	0.47	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	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	1110
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	880
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	791
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	636
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	445
6	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	277
7	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	266
8	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	232
9	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	222
10	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	176
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	167
12	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	163
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	157
14	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	143
15	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	141
16	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	139
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	118
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	117
19	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	105
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	103
21	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	102
22	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	102
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	99
24	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	91
25	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	87
26	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	82
27	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	82
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	79
29	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	77
30	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	75
31	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	75
32	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	73
33	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	72
34	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	70
35	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	67
36	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	66
37	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	64
38	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	64
39	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	61
40	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	53
41	2003	Fourth Moment Structure of Multivariate GARCH Models. (2003). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:26-54. Full description at Econpapers \|\| Download paper	53
42	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	53
43	2003	Trades and Quotes: A Bivariate Point Process. (2003). Lunde, Asger ; Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:2:p:159-188. Full description at Econpapers \|\| Download paper	53
44	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	52
45	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	52
46	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	51
47	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	50
48	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	50
49	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	50
50	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	49

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

#	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	311
2	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	136
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	126
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	107
5	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	101
6	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	56
7	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	50
8	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	46
9	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	42
10	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	41
11	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	39
12	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	37
13	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	37
14	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	36
15	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	35
16	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	32
17	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	28
18	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	26
19	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	26
20	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	25
21	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	23
22	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	22
23	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	21
24	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	21
25	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	18
26	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	17
27	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	17
28	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	17
29	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	16
30	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	16
31	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	15
32	2018	Downside Variance Risk Premium. (2018). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:341-383.. Full description at Econpapers \|\| Download paper	15
33	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	15
34	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	14
35	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	14
36	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	13
37	2015	Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?. (2015). Tsiakas, Ilias ; Wang, Wei ; Li, Jiahan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:293-341.. Full description at Econpapers \|\| Download paper	13
38	2017	Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, RenÃÆÃÂ© ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:333-376.. Full description at Econpapers \|\| Download paper	13
39	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	13
40	2017	Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, RenÃÆÃÂ© ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:418-426.. Full description at Econpapers \|\| Download paper	12
41	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	12
42	2017	Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. (2017). Garcia, RenÃÆÃÂ© ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:3:p:504-504.. Full description at Econpapers \|\| Download paper	12
43	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	11
44	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	11
45	2018	Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall. (2018). Eckernkemper, Tobias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:63-117.. Full description at Econpapers \|\| Download paper	10
46	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	10
47	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	10
48	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	10
49	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	10
50	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	9

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2022	Kurtosis-Based Risk Parity: Methodology and Portfolio Effects.. (2022). Zoia, Maria Grazia ; Nava, Consuelo R ; Braga, Maria Debora. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202208. Full description at Econpapers \|\| Download paper
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2022	Timing Matters: Bitcoin Returns, Public Attention to COVID-19, and Individualism. (2022). Wang-Lu, Huaxin. In: Papers. RePEc:arx:papers:2205.04290. Full description at Econpapers \|\| Download paper
2022	WHO MOVES FIRST? COMMODITY PRICE INTERDEPENDENCE THROUGH TIME-VARYING GRANGER CAUSALITY. (2022). Esposti, Roberto. In: Working Papers. RePEc:anc:wpaper:471. Full description at Econpapers \|\| Download paper
2022	Trilemma of pandemic-related health emergency, economic policy uncertainty and partisan conflict in the United States: A time-varying analysis evidence. (2022). Ajmi, Ahdi Noomen ; Alola, Andrew Adewale ; Akadiri, Seyi Saint. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:4:d:10.1007_s12197-022-09590-y. Full description at Econpapers \|\| Download paper
2022	Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management. (2022). Do, Hung Xuan ; Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002651. Full description at Econpapers \|\| Download paper
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2022	From systematic to systemic risk among G7 members: Do the stock or real estate markets matter?. (2022). Chen, Chien-Fu ; Chiang, Shu-Hen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s1042443122000762. Full description at Econpapers \|\| Download paper
2022	Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?. (2022). Maghyereh, Aktham ; Awartani, Basel ; Abdoh, Hussein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000283. Full description at Econpapers \|\| Download paper
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2022	Bubble contagion effect between the main precious metals. (2022). Maghyereh, Aktham ; Abdoh, Hussein. In: Studies in Economics and Finance. RePEc:eme:sefpps:sef-08-2021-0345. Full description at Econpapers \|\| Download paper
2022	Optimal probabilistic forecasts: When do they work?. (2022). RamÃÂrez Hassan, AndrÃÂ©s ; Loaiza Maya, RubÃÂ©n ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406. Full description at Econpapers \|\| Download paper
2022	Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation estimations with non-crossing conditions.. (2022). Guillen, Montserrat ; Coia, Vincenzo ; Sanchez, Carlos Salort ; Vidal-Llana, Xenxo. In: IREA Working Papers. RePEc:ira:wpaper:202215. Full description at Econpapers \|\| Download paper
2022	Rodeo or Ascot: which hat to wear at the crypto race?. (2021). Hardle, Wolfgang Karl ; Hausler, Konstantin. In: Papers. RePEc:arx:papers:2103.12461. Full description at Econpapers \|\| Download paper
2022	Effectiveness of social distancing interventions in containing COVID-19 incidence: International evidence using Kalman filter. (2022). Jain, Sonali ; Sharma, Seema ; Singh, Shveta ; Srivastava, Bhavya ; Prakash, Navendu. In: Economics & Human Biology. RePEc:eee:ehbiol:v:44:y:2022:i:c:s1570677x21001167. Full description at Econpapers \|\| Download paper
2022	Investor attention in cryptocurrency markets. (2022). Smales, L A. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s105752192100288x. Full description at Econpapers \|\| Download paper
2022	Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614. Full description at Econpapers \|\| Download paper
2022	The End of the Crypto-Diversification Myth. (2022). Didisheim, Antoine ; Somoza, Luciano. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2253. Full description at Econpapers \|\| Download paper
2022	Is there a value premium in cryptoasset markets?. (2022). Liebi, Luca J. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000232. Full description at Econpapers \|\| Download paper
2022	Trading behavior in bitcoin futures: Following the âsmart moneyâ. (2022). Smales, Lee A ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:7:p:1304-1323. Full description at Econpapers \|\| Download paper
2022	A cryptocurrency empirical study focused on evaluating their distribution functions. (2022). Muela, Sonia Benito ; Arguedas-Sanz, Raquel ; Lopez-Martin, Carmen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:387-407. Full description at Econpapers \|\| Download paper
2022	Can Bitcoin Investors Profit from Predictions by Crypto Experts?. (2022). Walther, Thomas ; Gerritsen, Dirk. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003081. Full description at Econpapers \|\| Download paper
2022	Fintech, Cryptocurrencies, and CBDC: Financial Structural Transformation in China. (2022). Jagtiani, Julapa ; Gu, Xian ; Allen, Franklin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000286. Full description at Econpapers \|\| Download paper
2022	Joint optimization of e-commerce supply chain financing strategy and channel contract. (2022). Wang, Xinyu ; Li, Anqi ; Chang, Shuhua. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:908-927. Full description at Econpapers \|\| Download paper
2022	Loaded for bear: Bitcoin private wallets, exchange reserves and prices. (2022). Baur, Dirk G ; Hoang, Lai T. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:144:y:2022:i:c:s0378426622002023. Full description at Econpapers \|\| Download paper
2022	An intra-cryptocurrency analysis of volatility connectedness and its determinants: Evidence from mining coins, non-mining coins and tokens. (2022). ben Khediri, Karim ; Benlagha, Noureddine ; Charfeddine, Lanouar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000873. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	Indices on cryptocurrencies: an evaluation. (2022). Xia, Hongyu ; Hausler, Konstantin. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00048-8. Full description at Econpapers \|\| Download paper
2022	Analysis of cryptocurrency connectedness based on network to transaction volume ratios. (2022). Majeri, Sabrine ; Hafner, Christian M. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00054-w. Full description at Econpapers \|\| Download paper
2022	Cryptocurrencies and stablecoins: a high-frequency analysis. (2022). Marazzina, Daniele ; Moncayo, Giancarlo Giuffra ; Barucci, Emilio. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9. Full description at Econpapers \|\| Download paper
2022	Determinants of cryptocurrency returns: A LASSO quantile regression approach. (2022). Yarovaya, Larisa ; Lucey, Brian ; Ciner, Cetin. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002380. Full description at Econpapers \|\| Download paper
2022	Herding behavior in conventional cryptocurrency market, non-fungible tokens, and DeFi assets.. (2022). Yousaf, Imran ; Yarovaya, Larisa. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004822. Full description at Econpapers \|\| Download paper
2022	Persistence and volatility spillovers of bitcoin price to gold and silver prices. (2022). YAYA, OLAOLUWA ; Vo, Xuan Vinh ; Lukman, Adewale F. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004548. Full description at Econpapers \|\| Download paper
2022	A New Evidence of the Relationship between Cryptocurrencies and other Assets from the COVID-19 Crisis. (2022). Peria, Blanka Krabia ; Estanovia, Tea ; Aljinovia, Zdravka. In: Journal of Economics / Ekonomicky casopis. RePEc:sav:journl:v:70:y:2022:i:7-8:p:603-621. Full description at Econpapers \|\| Download paper
2022	Net Buying Pressure and the Information in Bitcoin Option Trades. (2021). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2109.02776. Full description at Econpapers \|\| Download paper
2022	An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies. (2022). Nadarajah, Saralees ; Zhang, Yuanyuan ; Chu, Jeffrey ; Chan, Stephen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001628. Full description at Econpapers \|\| Download paper
2022	A Monte Carlo Approach to Bitcoin Price Prediction with Fractional OrnsteinâUhlenbeck LÃ©vy Process. (2022). Mba, Jules Clement ; Mwambi, Sutene Mwambetania ; Pindza, Edson. In: Forecasting. RePEc:gam:jforec:v:4:y:2022:i:2:p:23-419:d:782889. Full description at Econpapers \|\| Download paper
2022	On the predictive power of tweet sentiments and attention on bitcoin. (2022). Suardi, Sandy ; Liu, Bin ; Rasel, Atiqur Rahman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:289-301. Full description at Econpapers \|\| Download paper
2022	Does Bitcoin futures trading reduce the normal and jump volatility in the spot market? Evidence from GARCH-jump models. (2022). Peng, Zhe ; Chen, Haicui ; Zhang, Chuanhai. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000903. Full description at Econpapers \|\| Download paper
2022	Forecasting Bitcoin volatility spikes from whale transactions and CryptoQuant data using Synthesizer Transformer models. (2022). Low, Kah Wee ; Herremans, Dorien. In: Papers. RePEc:arx:papers:2211.08281. Full description at Econpapers \|\| Download paper
2022	Robust drivers of Bitcoin price movements: An extreme bounds analysis. (2022). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200078x. Full description at Econpapers \|\| Download paper
2022	Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers \|\| Download paper
2022	Bubbles in Ethereum. (2022). Figuerola-Ferretti, Isabel ; Bellon, Carlos . In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003871. Full description at Econpapers \|\| Download paper
2022	Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin?. (2022). Phiri, Andrew. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:3:d:10.1007_s40822-022-00214-8. Full description at Econpapers \|\| Download paper
2022	Sustainable Cryptocurrency Growth Impossible? Impact of Network Power Demand on Bitcoin Price. (2022). Mikhaylov, Alexey ; Baboshkin, Pavel ; Shaikh, Zaffar Ahmed. In: Finansovyj Å¾hurnal â Financial Journal. RePEc:fru:finjrn:220308:p:116-130. Full description at Econpapers \|\| Download paper
2022	Stochastic properties and pricing of bitcoin using a GJR-GARCH model with conditional skewness and kurtosis components. (2022). Theodossiou, Panayiotis ; Savva, Christos S ; Ellina, Polina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01055-x. Full description at Econpapers \|\| Download paper
2022	Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks. (2022). Agan, Busra ; Ozdemir, Huseyin ; Balcilar, Mehmet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:604:y:2022:i:c:s0378437122005696. Full description at Econpapers \|\| Download paper
2022	Predictive power of investor sentiment for Bitcoin returns: Evidence from COVID-19 pandemic. (2022). Dang, Trung ; Mefteh-Wali, Salma ; Bouteska, Ahmed. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:184:y:2022:i:c:s0040162522005200. Full description at Econpapers \|\| Download paper
2022	Monitoring network changes in social media. (2022). Wang, Tengyao ; Okhrin, Yarema ; Chen, Cathy Yi-Hsuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:113742. Full description at Econpapers \|\| Download paper
2022	Inverse Options in a Black-Scholes World. (2021). Imeraj, Arben ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.12041. Full description at Econpapers \|\| Download paper
2022	How collective stress affects price fairness perceptions: The role of nostalgia. (2022). Roggeveen, Anne L ; Xia, Lan. In: Journal of Business Research. RePEc:eee:jbrese:v:152:y:2022:i:c:p:361-371. Full description at Econpapers \|\| Download paper
2022	Leverage effect in cryptocurrency markets. (2022). Huang, Jingzhi ; Xu, LI ; Ni, Jun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:73:y:2022:i:c:s0927538x22000683. Full description at Econpapers \|\| Download paper
2022	Good versus bad information transmission in the cryptocurrency market: Evidence from high-frequency data. (2022). Karim, Sitara ; Lucey, Brian M ; Iqbal, Najaf ; Naeem, Muhammad Abubakr. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001676. Full description at Econpapers \|\| Download paper
2022	Bitcoin: like a satellite or always hardcore? A coreâsatellite identification in the cryptocurrency market. (2022). Schmitz, Tim ; Krettek, Jonas ; Hoffmann, Ingo ; Borner, Christoph J. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00267-z. Full description at Econpapers \|\| Download paper
2022	Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach. (2022). Ernst, Dietmar ; Bruhn, Pascal. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:8:p:346-:d:880717. Full description at Econpapers \|\| Download paper
2022	Benefits of investing in cryptocurrencies when liquidity is a factor. (2022). Quintana, David ; Antoli, Marcos ; Moreno, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001386. Full description at Econpapers \|\| Download paper
2022	Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66. Full description at Econpapers \|\| Download paper
2022	Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility. (2022). Guillen, Montserrat ; Vidal-Llana, Xenxo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s106294082200170x. Full description at Econpapers \|\| Download paper
2022	A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches. (2022). Aminimehr, Amirhossein ; Raoofi, Ali. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:2:d:10.1007_s10614-022-10283-1. Full description at Econpapers \|\| Download paper
2022	Forecasting Commodity Market Returns Volatility: A Hybrid Ensemble Learning GARCH?LSTM based Approach. (2022). Gupta, Shivang ; Ghate, Kshitish ; Mishra, Aswini Kumar ; Kakade, Kshitij. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:29:y:2022:i:2:p:103-117. Full description at Econpapers \|\| Download paper
2022	Nonparametric Value-at-Risk via Sieve Estimation. (2022). Ratz, Philipp. In: Papers. RePEc:arx:papers:2205.07101. Full description at Econpapers \|\| Download paper
2022	Deep learning in the Chinese stock market: The role of technical indicators. (2022). Yan, Sheng ; Ma, Chenyao. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322002653. Full description at Econpapers \|\| Download paper
2022	Bakshi, Kapadia, and Madan (2003) risk?neutral moment estimators: An affine jump?diffusion approach. (2022). Zhang, Jin E ; Aschakulporn, Pakorn. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:365-388. Full description at Econpapers \|\| Download paper
2022	News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies. (2022). McCurdy, Thomas ; Zhao, Xiaofei ; Jeon, Yoontae. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:1-17. Full description at Econpapers \|\| Download paper
2022	Voluntary CEO turnover, online information, and idiosyncratic volatility. (2022). Zhou, Junnan ; Peng, Yuchao ; Li, Xiaoyu ; Gu, Leilei. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003518. 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
2022	Large dynamic covariance matrices: Enhancements based on intraday data. (2022). Wolf, Michael ; Ledoit, Olivier ; Engle, Robert F ; de Nard, Gianluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000267. Full description at Econpapers \|\| Download paper
2022	Design-free estimation of integrated covariance matrices for high-frequency data. (2022). Xia, Ningning ; Wang, Moming ; Liu, Cheng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001810. Full description at Econpapers \|\| Download paper
2022	A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited. (2022). Zhao, Zhao ; de Nard, Gianluca. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:654-676. Full description at Econpapers \|\| Download paper
2022	Markowitz portfolios under transaction costs. (2022). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420. 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	Predictably Unequal? The Effects of Machine Learning on Credit Markets. (2022). Fuster, Andreas ; Goldsmithpinkham, Paul ; Walther, Ansgar ; Ramadorai, Tarun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:5-47. Full description at Econpapers \|\| Download paper
2022	Mortgage-Backed Securities. (2022). Vickery, James ; Lucca, David ; Fuster, Andreas. In: Staff Reports. RePEc:fip:fednsr:93695. Full description at Econpapers \|\| Download paper
2022	Credit default prediction from user-generated text in peer-to-peer lending using deep learning. (2022). Stitz, Lennart ; Kriebel, Johannes. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:1:p:309-323. Full description at Econpapers \|\| Download paper
2022	Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397. Full description at Econpapers \|\| Download paper
2022	Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687. Full description at Econpapers \|\| Download paper
2022	Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets. (2022). Yuan, Xianghui ; Wang, Shihao ; Li, Peiran ; Lian, Feng ; Jin, Liwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2235-2247. 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	Are Sustainability Indices Infected by the Volatility of Stock Indices? Analysis before and after the COVID-19 Pandemic. (2022). Madaleno, Mara ; Nogueira, Manuel Carlos. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:22:p:15434-:d:978652. Full description at Econpapers \|\| Download paper
2022	A multivariate GARCH model with an infinite hidden Markov mixture. (2022). Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:112792. Full description at Econpapers \|\| Download paper
2022	. Full description at Econpapers \|\| Download paper
2022	THE DISTRIBUTION OF ROLLING REGRESSION ESTIMATORS. (2022). Chen, Pixiong ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202218. Full description at Econpapers \|\| Download paper
2022	Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2022). Neuenkirch, Matthias ; Umlandt, Dennis ; Gretener, Alexander Georges. In: Working Paper Series. RePEc:trr:qfrawp:202202. Full description at Econpapers \|\| Download paper
2022	Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2022). Neuenkirch, Matthias ; Umlandt, Dennis ; Gretener, Alexander Georges. In: Research Papers in Economics. RePEc:trr:wpaper:202202. Full description at Econpapers \|\| Download paper
2022	Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346. Full description at Econpapers \|\| Download paper
2022	To jump or not to jump: momentum of jumps in crude oil price volatility prediction. (2022). Zhang, Yaojie ; Wang, Yudong ; Ma, Feng ; Wei, YU. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00360-7. Full description at Econpapers \|\| Download paper

Recent citations

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	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
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
2022	Markowitz portfolios under transaction costs. (2022). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420. 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

Recent citations received in 2020

Year	Citing document
2020	Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, RubÃÆÃÂ©n ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592. Full description at Econpapers \|\| Download paper
2020	Relationship between green bonds and financial and environmental variables: A novel time-varying causality. (2020). Mokni, Khaled ; Ajmi, Ahdi Noomen ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302814. Full description at Econpapers \|\| Download paper
2020	Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037. Full description at Econpapers \|\| Download paper
2020	Alternative Assets and Cryptocurrencies. (2020). Hafner, Christian. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:1:p:7-:d:304783. Full description at Econpapers \|\| Download paper
2020	GARCH Generated Volatility Indices of Bitcoin and CRIX. (2020). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:121-:d:370116. Full description at Econpapers \|\| Download paper
2020	Optimal probabilistic forecasts: When do they work?. (2020). Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Hassan, Andres Ramirez. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-33. Full description at Econpapers \|\| Download paper
2020	A Machine Learning Based Regulatory Risk Index for Cryptocurrencies. (2020). Xie, Taojun ; Hardle, Wolfgang Karl ; Ni, Xinwen. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020013. Full description at Econpapers \|\| Download paper
2020	Blockchain mechanism and distributional characteristics of cryptos. (2020). Khowaja, Kainat ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan ; Lin, Min-Bin. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2020027. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024. Full description at Econpapers \|\| Download paper
2019	DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025. Full description at Econpapers \|\| Download paper
2019	Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237. Full description at Econpapers \|\| Download paper
2019	Bivariate Volatility Modeling with High-Frequency Data. (2019). Matei, Marius ; Rovira, Xari ; Agell, Nuria. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:41-:d:267457. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	85	514
2	Energy Economics / Elsevier	157	219
3	Journal of Econometrics / Elsevier	227	186
4	The North American Journal of Economics and Finance / Elsevier	44	157
5	International Review of Financial Analysis / Elsevier	63	146
6	MPRA Paper / University Library of Munich, Germany	123	143
7	Finance Research Letters / Elsevier	65	142
8	International Journal of Forecasting / Elsevier	85	134
9	Economic Modelling / Elsevier	81	121
10	International Review of Economics & Finance / Elsevier	58	111
11	Journal of Banking & Finance / Elsevier	172	111