Rui Vilela Mendes : Citation Profile


Are you Rui Vilela Mendes?

4

H index

1

i10 index

55

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   16 years (1999 - 2015). See details.
   Cites by year: 3
   Journals where Rui Vilela Mendes has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 7 (11.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme147
   Updated: 2019-04-20    RAS profile: 2017-07-18    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Rui Vilela Mendes.

Is cited by:

Araújo, Tanya (31)

Louçã, Francisco (10)

Lopes, João (3)

Fontainha, Elsa (2)

Giudici, Paolo (1)

Silvestre, Joaquim (1)

Aubyn, Miguel (1)

Cites to:

Engle, Robert (5)

Araújo, Tanya (5)

Granger, Clive (3)

Renault, Eric (2)

Blume, Lawrence (2)

Patton, Andrew (2)

Crato, Nuno (2)

Sottinen, Tommi (2)

Durlauf, Steven (2)

Louçã, Francisco (2)

Rogers, Leonard (2)

Main data


Where Rui Vilela Mendes has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications5
Advances in Complex Systems (ACS)3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8
Working Papers Department of Economics / ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa5

Recent works citing Rui Vilela Mendes (2018 and 2017)


YearTitle of citing document
2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut. In: Papers. RePEc:arx:papers:1509.01175.

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2018Affine representations of fractional processes with applications in mathematical finance. (2018). Harms, Philipp ; Stefanovits, David. In: Papers. RePEc:arx:papers:1510.04061.

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2017The specific shapes of gender imbalance in scientific authorships: A network approach. (2017). Araújo, Tanya ; Fontainha, Elsa ; Araujo, Tanya. In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:1:p:88-102.

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2017Arbitrage with fractional Gaussian processes. (2017). Xiao, Weilin ; Zhang, Xili . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:620-628.

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2018The 21st Century - Cluster Formation in the S&P 500. (2018). Gobel, Maximilian ; Araujo, Tanya. In: Working Papers REM. RePEc:ise:remwps:wp0432018.

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Works by Rui Vilela Mendes:


YearTitleTypeCited
2007The fractional volatility model: An agent-based interpretation In: Papers.
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paper7
2008The fractional volatility model: An agent-based interpretation.(2008) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 7
article
2010The fractional volatility model: No-arbitrage, leverage and risk measures In: Papers.
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paper0
2011Portfolios and the market geometry In: Papers.
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paper1
2012Portfolios and the market geometry.(2012) In: Working Papers Department of Economics.
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This paper has another version. Agregated cites: 1
paper
2012The fractional volatility model: No-arbitrage, leverage and completeness In: Papers.
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paper0
2001A process-reconstruction analysis of market fluctuations In: Papers.
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paper0
2002Reconstructing an economic space from a market metric In: Papers.
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paper27
2003Reconstructing an economic space from a market metric.(2003) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 27
article
2004Option pricing with fractional volatility In: Papers.
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paper0
2007A data-reconstructed fractional volatility model In: Papers.
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paper3
2008A Data-Reconstructed Fractional Volatility Model.(2008) In: Economics Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2000Characterizing self-organization and coevolution by ergodic invariants In: Physica A: Statistical Mechanics and its Applications.
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article0
1999Characterizing self-organization and coevolution by ergodic invariants..(1999) In: Working Papers Department of Economics.
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This paper has another version. Agregated cites: 0
paper
2001Structure-generating mechanisms in agent-based models In: Physica A: Statistical Mechanics and its Applications.
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article4
2015No-arbitrage, leverage and completeness in a fractional volatility model In: Physica A: Statistical Mechanics and its Applications.
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article2
2007Innovation Success and Structural Change: An Abstract Agent Based Study In: Working Papers Department of Economics.
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paper1
2006Market-oriented innovation: When is it profitable? An abstract agent-based study In: Working Papers Department of Economics.
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paper2
2001Function and form in networks of interacting agents In: Working Papers Department of Economics.
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paper8
2004NETWORK DEPENDENCE OF STRONG RECIPROCITY In: Advances in Complex Systems (ACS).
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article0
2009INNOVATION AND SELF-ORGANIZATION IN A MULTI-AGENT MODEL In: Advances in Complex Systems (ACS).
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article0
2015LONG RANGE DEPENDENCE AND THE DYNAMICS OF EXPLOITED FISH POPULATIONS In: Advances in Complex Systems (ACS).
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article0

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