Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.16 0 0 0 0.07 1997 0.17 0 0 0 0.09 1998 0.19 3 0 0 0 0.12 1999 0.29 27 25 3 0 1 0.04 0.19 2000 0.4 0.39 17 40 30 12 41.7 1 0.06 0.2 2001 0.39 0.34 25 77 44 17 35.3 5 0.2 0.18 2002 0.17 0.39 14 24 42 7 71.4 1 0.07 0.2 2003 0.38 0.41 27 31 39 15 73.3 4 0.15 0.21
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:

Most cited documents in this series:

(1) RePEc:uts:rpaper:72 Arbitrage in Continuous Complete Markets (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 24 times.

(2) RePEc:uts:rpaper:56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 19 times.

(3) RePEc:uts:rpaper:35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 17 times.

(4) RePEc:uts:rpaper:48 A Minimal Financial Market Model (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 16 times.

(5) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 15 times.

(6) RePEc:uts:rpaper:49 Speculative Behaviour and Complex Asset Price Dynamics (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 12 times.

(7) RePEc:uts:rpaper:55 Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 11 times.

(8) RePEc:uts:rpaper:84 An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 9 times.

(9) RePEc:uts:rpaper:129 Diversified Portfolios with Jumps in a Benchmark Framework (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 9 times.

(10) RePEc:uts:rpaper:78 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 7 times.

(11) RePEc:uts:rpaper:138 A Benchmark Approach to Finance (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 7 times.

(12) RePEc:uts:rpaper:153 On the Distributional Characterization of Log-returns of a World Stock Index (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 6 times.

(13) RePEc:uts:rpaper:5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model (1999). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 6 times.

(14) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 6 times.

(15) RePEc:uts:rpaper:46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 5 times.

(16) RePEc:uts:rpaper:101 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 5 times.

(17) RePEc:uts:rpaper:81 Benchmark Model with Intensity Based Jumps (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 5 times.

(18) RePEc:uts:rpaper:6 An Introduction to Numerical Methods for Stochastic Differential Equations (1999). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 5 times.

(19) RePEc:uts:rpaper:168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 5 times.

(20) RePEc:uts:rpaper:143 Capital Asset Pricing for Markets with Intensity Based Jumps (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(21) RePEc:uts:rpaper:53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(22) RePEc:uts:rpaper:91 A Structure for General and Specific Market Risk (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(23) RePEc:uts:rpaper:74 A Discrete Time Benchmark Approach for Finance and Insurance (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(24) RePEc:uts:rpaper:144 On the Role of the Growth Optimal Portfolio in Finance (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(25) RePEc:uts:rpaper:45 Risk Premia and Financial Modelling Without Measure Transformation (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(26) RePEc:uts:rpaper:125 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 4 times.

(27) RePEc:uts:rpaper:114 On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(28) RePEc:uts:rpaper:13 Classes of Interest Rate Models Under the HJM Framework (1999). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(29) RePEc:uts:rpaper:44 Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(30) RePEc:uts:rpaper:128 Understanding the Implied Volatility Surface for Options on a Diversified Index (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(31) RePEc:uts:rpaper:32 Bayesian Target Zones (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(32) RePEc:uts:rpaper:139 A General Benchmark Model for Stochastic Jump Sizes (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(33) RePEc:uts:rpaper:65 On Filtering in Markovian Term Structure Models (An Approximation Approach) (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(34) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(35) RePEc:uts:rpaper:118 A Survey of the Integral Representation of American Option Prices (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(36) RePEc:uts:rpaper:130 Two-Factor Model for Low Interest Rate Regimes (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(37) RePEc:uts:rpaper:175 Volatility Forecast Comparison using Imperfect Volatility Proxies (2006). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(38) RePEc:uts:rpaper:54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(39) RePEc:uts:rpaper:68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(40) RePEc:uts:rpaper:31 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return (2000). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(41) RePEc:uts:rpaper:63 Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(42) RePEc:uts:rpaper:157 On the Strong Approximation of Jump-Diffusion Processes (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 3 times.

(43) RePEc:uts:rpaper:21 A Minimal Share Market Model with Stochastic Volatility (1999). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(44) RePEc:uts:rpaper:110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(45) RePEc:uts:rpaper:29 Fourth Moment Structure of a Family of First-Order Exponential GARCH Models (1999). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(46) RePEc:uts:rpaper:184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(47) RePEc:uts:rpaper:155 Benchmarking and Fair Pricing Applied to Two Market Models (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(48) RePEc:uts:rpaper:87 Diversified Portfolios in a Benchmark Framework (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(49) RePEc:uts:rpaper:83 Evaluation of American Strangles (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

(50) RePEc:uts:rpaper:165 Panel Smooth Transition Regression Models (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series
Cited: 2 times.

Latest citations received in: | 2003 | 2002 | 2001 | 2000

Latest citations received in: 2003

(1) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(2) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:uts:rpaper:110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(4) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Latest citations received in: 2002

(1) RePEc:uts:rpaper:77 A Benchmark Approach to Filtering in Finance (2002). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Latest citations received in: 2001

(1) RePEc:ams:cdws01:5a.2 Asset Price and Wealth Dynamics under Heterogeneous Expectations (2001). Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance / CeNDEF Workshop Papers, January 2001

(2) RePEc:uts:rpaper:53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:uts:rpaper:56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(4) RePEc:uts:rpaper:65 On Filtering in Markovian Term Structure Models (An Approximation Approach) (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(5) RePEc:uts:rpaper:68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm (2001). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Latest citations received in: 2000

(1) RePEc:wop:humbsf:2000-91 A Minimal Financial Market Model (2000). Humboldt Universitaet Berlin / Sonderforschungsbereich 373

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.