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Citation Profile [Updated: 2024-05-13 08:04:26]
5 Years H Index
6
Impact Factor (IF)
0.38
5 Years IF
0.94
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
2015 0 0.66 0.2 0 5 5 4 2 0 0 0 0 0.36
2016 0.2 0.65 0.07 0.2 9 14 20 1 3 5 1 5 1 0 0 0.35
2017 0 0.62 0 0 11 25 23 3 14 14 0 0 0.35
2018 0.75 0.61 0.61 0.64 16 41 103 25 28 20 15 25 16 1 4 9 0.56 0.34
2019 0.78 0.62 0.56 0.66 11 52 108 29 57 27 21 41 27 0 2 0.18 0.36
2020 1.37 0.71 0.77 0.87 10 62 88 48 105 27 37 52 45 0 3 0.3 0.76
2021 3.9 0.97 1.54 1.82 8 70 6 108 213 21 82 57 104 0 0 0.4
2022 1.44 0.74 1.06 1.39 8 78 4 83 296 18 26 56 78 1 1.2 1 0.13 0.23
2023 0.38 0.6 0.73 0.94 3 81 2 59 355 16 6 53 50 0 3 1 0.2
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12019Central Bank Announcements: Big News for Little People?. (2019). Vinogradov, Dmitri V ; Lamla, Michael J. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:25125.

Full description at Econpapers || Download paper

96
22020Commodity Price Volatility and the Economic Uncertainty of Pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27364.

Full description at Econpapers || Download paper

84
32018Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20937.

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54
42018Testing for Parameter Instability in Predictive Regression Models. (2018). Leybourne, Stephen ; Georgiev, I ; Taylor, AM ; Harvey, DI. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21162.

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19
52018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22665.

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18
62017The Effect of News Shocks and Monetary Policy. (2017). Zanetti, Francesco ; Tsoukalas, J ; Gambetti, L. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20428.

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8
72017Forecasting with many predictors using message passing algorithms. (2017). Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:19565.

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6
82016Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions. (2016). Pettenuzzo, Davide ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18626.

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6
92018Forecasting with High-Dimensional Panel VARs. (2018). Koop, Gary ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21329.

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5
102016Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point. (2016). Taylor, Robert ; Leybourne, Stephen ; Robert, AM ; Harris, David. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15847.

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5
112019A Generalised Fractional Differencing Bootstrap for Long Memory Processes. (2019). Taylor, Am Robert ; A M Robert Taylor, ; Papailias, Fotis ; Kapetanios, George. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24136.

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4
122016Learning or Leaning: Persistent and Transitory Spillovers from FDI. (2016). Lamla, Michael ; Schiffbauer, Marc ; Davies, Ronald B. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15772.

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4
132022Extensions to IVX Methods of Inference for Return Predictability. (2021). Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29779.

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4
1420194
152019Inflation and Deflationary Biases in Inflation Expectations. (2019). Pfajfar, Damjan ; Lamla, Michael ; Pjaifar, Damian ; Rendell, Lea. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24771.

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4
162020Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. (2020). Taylor, Am Robert ; A M Robert Taylor, ; Sollis, Robert ; Leybourne, Stephen J ; Harvey, David I. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27775.

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4
172017Exchange rate predictability and dynamic Bayesian learning. (2017). Koop, Gary ; Korobilis, Dimitris ; Beckmann, Joscha ; Schssler, R. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20781.

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3
182016Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order. (2016). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Rahbek, Anders ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:17454.

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3
192021Simple Tests for Stock Return Predictability with Good Size and Power Properties. (2021). Taylor, Am Robert ; A M Robert Taylor, ; Leybourne, Stephen J ; Harvey, David I. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29814.

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3
202018A Bootstrap Stationarity Test for Predictive Regression Invalidity. (2018). Leybourne, Stephen ; Georgiev, I ; Taylor, Amr ; Harvey, DI. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21006.

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3
212018Detecting Regimes of Predictability in the U.S. Equity Premium. (2018). Harvey, David ; Robert, A M ; Sollis, Robert ; Leybourne, Stephen J. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23198.

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2
222015Semi-Parametric Seasonal Unit Root Tests. (2015). Taylor, Robert ; Rodrigues, Paulo ; del Barrio Castro, Tomás ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16807.

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2
232018Machine Learning Macroeconometrics A Primer. (2018). Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22666.

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2
242017Unit Root Tests and Heavy-Tailed Innovations. (2017). Taylor, Robert ; Rodrigues, Paulo ; Robert, AM ; Georgiev, Iliyan. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18832.

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2
252023Forecasting Value-at-Risk using deep neural network quantile regression. (2023). Kapetanios, George. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:34837.

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2
262021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Nielsen, Morten ; Taylor, Am Robert ; A M Robert Taylor, ; Iacone, Fabrizio. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29778.

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2
272017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Gadea, MD ; Kontonikas, A. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20417.

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2
282015Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures. (2015). Snaith, Stuart ; Kellard, Neil ; Ahmad, Norzalina . In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15373.

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2
292021Commodity price uncertainty comovement: Does it matter for global economic growth?. (2021). Karadimitropoulou, Aikaterini ; Triantafyllou, Athanasios ; Ferrara, Laurent. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30945.

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2
302017A UK financial conditions index using targeted data reduction: forecasting and structural identification. (2017). Young, Garry ; Price, SG ; Kapetanios, G. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20328.

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1
312019Testing for Episodic Predictability in Stock Returns. (2019). Rodrigues, Paulo ; Demetrescu, Matei ; Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo ; Georgiev, Iliyan. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24137.

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1
322016Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty. (2016). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:18195.

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1
332022Transformed Regression-based Long-Horizon Predictability Tests. (2021). Rodrigues, Paulo ; Demetrescu, Matei ; Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30620.

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1
342018The Implications of Central Bank Transparency for Uncertainty and Disagreement. (2018). Lamla, Michael ; Jitmaneeroj, Boonlert ; Wood, Andrew. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23347.

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1
352017Testing the Order of Fractional Integration of a Time Series in the Possible Presence of a Trend Break at an Unknown Point. (2017). Taylor, Robert ; Leybourne, Stephen ; Iacone, Fabrizio ; Robert, A M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:19654.

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1
362018Competition and Risk-Taking in Investment banking. (2018). Girardone, Claudia ; Fiordelisi, Franco ; Deglinnocenti, M ; Radi, N. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21268.

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1
372017Monetary Policy and Corporate Bond Returns. (2017). Zekaite, Zivile ; Kontonikas, Alexandros ; Maio, P. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20571.

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1
382020Commodity Price Uncertainty as a Leading Indicator of Economic Activity. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios ; Ioakimidis, Marilou. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27361.

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1
392023Improved Tests for Stock Return Predictability. (2023). Taylor, Am Robert ; Leybourne, Stephen J ; Harvey, David I. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:35133.

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1
4020191
412015Policy initiatives and firms access to external finance: Evidence from a panel of emerging Asian economies. (2015). Tsoukas, Serafeim ; MacDonald, Ronald ; Bose, Udichibarna. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:15627.

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1
422016Governance, efficiency and risk taking in Chinese banking. (2016). Girardone, Claudia ; Dong, Yizhe ; Kuo, Jing-Ming . In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16588.

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1
432018Risk, Financial Stability and FDI. (2018). Lamla, Michael ; Kontonikas, Alexandros ; Wood, Geoffrey ; Maiani, Stefano ; Kellard, Neil M. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:23409.

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1
442016Public-Private Partnerships as Collaborative Projects: testing the theory on cases from EU and Russia. (2016). Vinogradov, Dmitri ; Shadrina, Elena. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:16024.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12019Central Bank Announcements: Big News for Little People?. (2019). Vinogradov, Dmitri V ; Lamla, Michael J. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:25125.

Full description at Econpapers || Download paper

45
22020Commodity Price Volatility and the Economic Uncertainty of Pandemics. (2020). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27364.

Full description at Econpapers || Download paper

34
32018Measuring Dynamic Connectedness with Large Bayesian VAR Models. (2018). Yilmaz, Kamil ; Korobilis, Dimitris. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:20937.

Full description at Econpapers || Download paper

22
42018Testing for Parameter Instability in Predictive Regression Models. (2018). Leybourne, Stephen ; Georgiev, I ; Taylor, AM ; Harvey, DI. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21162.

Full description at Econpapers || Download paper

13
52018Variational Bayes inference in high-dimensional time-varying parameter models. (2018). Korobilis, Dimitris ; Koop, Gary. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:22665.

Full description at Econpapers || Download paper

7
62022Extensions to IVX Methods of Inference for Return Predictability. (2021). Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo ; Demetrescu, Matei ; Georgiev, Iliyan. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29779.

Full description at Econpapers || Download paper

3
72021Simple Tests for Stock Return Predictability with Good Size and Power Properties. (2021). Taylor, Am Robert ; A M Robert Taylor, ; Leybourne, Stephen J ; Harvey, David I. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29814.

Full description at Econpapers || Download paper

3
82023Forecasting Value-at-Risk using deep neural network quantile regression. (2023). Kapetanios, George. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:34837.

Full description at Econpapers || Download paper

2
92019Inflation and Deflationary Biases in Inflation Expectations. (2019). Pfajfar, Damjan ; Lamla, Michael ; Pjaifar, Damian ; Rendell, Lea. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:24771.

Full description at Econpapers || Download paper

2
102021Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks. (2021). Nielsen, Morten ; Taylor, Am Robert ; A M Robert Taylor, ; Iacone, Fabrizio. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:29778.

Full description at Econpapers || Download paper

2
112018A Bootstrap Stationarity Test for Predictive Regression Invalidity. (2018). Leybourne, Stephen ; Georgiev, I ; Taylor, Amr ; Harvey, DI. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:21006.

Full description at Econpapers || Download paper

2
122020Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium. (2020). Taylor, Am Robert ; A M Robert Taylor, ; Sollis, Robert ; Leybourne, Stephen J ; Harvey, David I. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:27775.

Full description at Econpapers || Download paper

2
1320192
Citing documents used to compute impact factor: 6
YearTitle
2023Bootstrapping Nonstationary Autoregressive Processes with Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.14463.

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2023Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2023Extensions to IVX methods of inference for return predictability. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M ; Georgiev, Iliyan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000586.

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2023Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Stamatogiannis, Michalis P ; Magdalinos, Tassos. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052.

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2023Commodity terms of trade co-movement: Global and regional factors. (2023). Zhou, Hang ; Xia, Tian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001456.

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Recent citations
Recent citations received in 2023

YearCiting document
2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023Unified Inference for Dynamic Quantile Predictive Regression. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2309.14160.

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2023From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333.

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Recent citations received in 2022

YearCiting document
2022Uniform and Distribution-Free Inference with General Autoregressive Processes. (2022). Petrova, Katerina ; Magdalinos, Tassos. In: Working Papers. RePEc:bge:wpaper:1344.

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Recent citations received in 2021

YearCiting document

Recent citations received in 2020

YearCiting document
2020Comparing Forecast Performance with State Dependence. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15217.

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2020Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies. (2020). Adedoyin, Festus ; Adams, Samuel ; Bekun, Festus Victor ; Olaniran, Eniola. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:179-190.

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2020When US sneezes, clichés spread: How do the commodity index funds react then?. (2020). Phani, B V ; Rahman, Abdul ; Ahmad, Wasim ; Awasthi, Kritika. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308898.

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