Journal of Empirical Finance

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.38 0.18 18 412 24 9 0 7 0.39 0.08 1997 0.34 0.21 13 353 32 11 0 2 0.15 0.08 1998 0.71 0.22 17 181 31 22 0 1 0.06 0.1 1999 0.7 0.28 23 184 30 21 0 4 0.17 0.13 2000 0.5 0.37 19 168 40 20 0 1 0.05 0.16 2001 0.81 0.37 25 155 42 34 0 7 0.28 0.16 2002 0.5 0.41 26 154 44 22 0 4 0.15 0.19 2003 0.65 0.42 26 301 51 33 0 21 0.81 0.2 2004 1.02 0.47 32 134 52 53 0 11 0.34 0.21 2005 1.07 0.5 30 128 58 62 0 10 0.33 0.23 2006 0.76 0.51 24 103 62 47 0 18 0.75 0.22 2007 0.61 0.4 35 116 54 33 0 14 0.4 0.18 2008 0.75 0.42 49 65 59 44 0 8 0.16 0.21 2009 0.55 0.43 60 41 84 46 0 8 0.13 0.19
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:eee:empfin:v:1:y:1993:i:1:p:83-106 A long memory property of stock market returns and a new model (1993).
Cited: 274 times.

(2) RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192 The forward discount anomaly and the risk premium: A survey of recent evidence (1996).
Cited: 232 times.

(3) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158 Intraday periodicity and volatility persistence in financial markets (1997).
Cited: 154 times.

(4) RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102 The econometrics of financial markets (1996).
Cited: 105 times.

(5) RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416 Volatility and cross correlation across major stock markets (1998).
Cited: 68 times.

(6) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114 High frequency data in financial markets: Issues and applications (1997).
Cited: 65 times.

(7) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239 Volatilities of different time resolutions -- Analyzing the dynamics of market components (1997).
Cited: 63 times.

(8) RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000).
Cited: 52 times.

(9) RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56 Emerging markets finance (2003).
Cited: 49 times.

(10) RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31 Common stock offerings across the business cycle : Theory and evidence (1993).
Cited: 44 times.

(11) RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103 A simple measure of the intensity of capital controls (2003).
Cited: 42 times.

(12) RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340 The incremental volatility information in one million foreign exchange quotations (1997).
Cited: 39 times.

(13) RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003).
Cited: 33 times.

(14) RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489 Testing for contagion: a conditional correlation analysis (2005).
Cited: 31 times.

(15) RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon (1999).
Cited: 30 times.

(16) RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341 Alternative constructions of Tobins q: An empirical comparison (1994).
Cited: 29 times.

(17) RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510 Market timing and return prediction under model instability (2002).
Cited: 29 times.

(18) RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398 Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004).
Cited: 29 times.

(19) RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315 Public information releases, private information arrival and volatility in the foreign exchange market (1997).
Cited: 28 times.

(20) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (1997).
Cited: 27 times.

(21) RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003).
Cited: 26 times.

(22) RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? (2002).
Cited: 26 times.

(23) RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637 The specification of conditional expectations (2001).
Cited: 26 times.

(24) RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423 Measuring financial contagion: A Copula approach (2007).
Cited: 26 times.

(25) RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331 A primer on hedge funds (1999).
Cited: 25 times.

(26) RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245 Sensitivity analysis of Values at Risk (2000).
Cited: 24 times.

(27) RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454 Predicting emerging market currency crashes (2003).
Cited: 23 times.

(28) RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154 Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 (1998).
Cited: 22 times.

(29) RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155 Testing for mean-variance spanning: a survey (2001).
Cited: 22 times.

(30) RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167 Firm-level implications of early stage venture capital investment -- An empirical investigation (2007).
Cited: 22 times.

(31) RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248 Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994).
Cited: 21 times.

(32) RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296 International evidence on the stock market and aggregate economic activity (1998).
Cited: 21 times.

(33) RePEc:eee:empfin:v:1:y:1994:i:2:p:133-160 A contingent claim approach to performance evaluation (1994).
Cited: 21 times.

(34) RePEc:eee:empfin:v:10:y:2003:i:5:p:641-660 Central bank interventions and jumps in double long memory models of daily exchange rates (2003).
Cited: 21 times.

(35) RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353 Multivariate unit root tests of the PPP hypothesis (1999).
Cited: 20 times.

(36) RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data (1995).
Cited: 20 times.

(37) RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111 Coincident and leading indicators of the stock market (2000).
Cited: 19 times.

(38) RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353 Realized volatility in the futures markets (2003).
Cited: 19 times.

(39) RePEc:eee:empfin:v:1:y:1994:i:3-4:p:279-311 Neglected common factors in exchange rate volatility (1994).
Cited: 19 times.

(40) RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131 International asset pricing with alternative distributional specifications (1993).
Cited: 19 times.

(41) RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223 Testing for continuous-time models of the short-term interest rate (1995).
Cited: 18 times.

(42) RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342 Testing and comparing Value-at-Risk measures (2001).
Cited: 18 times.

(43) RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197 The structure of international stock returns and the integration of capital markets (1995).
Cited: 17 times.

(44) RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55 The performance of international asset allocation strategies using conditioning information (1993).
Cited: 17 times.

(45) RePEc:eee:empfin:v:3:y:1996:i:2:p:215-238 Unit roots and the estimation of interest rate dynamics (1996).
Cited: 17 times.

(46) RePEc:eee:empfin:v:13:y:2006:i:3:p:316-350 Stock market development and internationalization: Do economic fundamentals spur both similarly? (2006).
Cited: 17 times.

(47) RePEc:eee:empfin:v:6:y:1999:i:2:p:193-215 Real exchange rates and nontradables: A relative price approach (1999).
Cited: 17 times.

(48) RePEc:eee:empfin:v:7:y:2000:i:5:p:531-554 Value-at-Risk: a multivariate switching regime approach (2000).
Cited: 17 times.

(49) RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491 Why long horizons? A study of power against persistent alternatives (2001).
Cited: 16 times.

(50) RePEc:eee:empfin:v:4:y:1997:i:1:p:17-46 An artificial neural network-GARCH model for international stock return volatility (1997).
Cited: 15 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:aah:create:2009-36 The dividend-price ratio does predict dividend growth: International evidence (2009). CREATES Research Papers

(2) RePEc:arx:papers:0911.3802 A Coupled Markov Chain approach to risk analysis of credit default swap index products (2009). Quantitative Finance Papers

(3) RePEc:kyu:dpaper:38 Financial crisis, exchange rate and stock market integration (2009). Discussion Papers

(4) RePEc:nbr:nberwo:15318 Measuring the Timing Ability and Performance of Bond Mutual Funds (2009). NBER Working Papers

(5) RePEc:nbr:nberwo:15335 Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices (2009). NBER Working Papers

(6) RePEc:pra:mprapa:18680 Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets (2009). MPRA Paper

(7) RePEc:pra:mprapa:19247 Family firms and investments (2009). MPRA Paper

(8) RePEc:zbw:bubdp1:200919 Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises (2009). Discussion Paper Series 1: Economic Studies

Recent citations received in: 2008

(1) RePEc:bfr:banfra:218 Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models. (2008). Working papers

(2) RePEc:cam:camdae:0840 Beta-t-(E)GARCH (2008). Cambridge Working Papers in Economics

(3) RePEc:dul:wpaper:08-22rs No contagion, only globalization and flight to quality (2008). DULBEA Working Papers

(4) RePEc:kap:rqfnac:v:31:y:2008:i:1:p:55-70 Analysing the performance of managed funds using the wavelet multiscaling method (2008). Review of Quantitative Finance and Accounting

(5) RePEc:par:dipeco:2008-me02 An improved two-step regularization scheme for spot volatility estimation (2008). Economics Department Working Papers

(6) RePEc:qed:wpaper:1173 Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns (2008). Working Papers

(7) RePEc:usi:wpaper:534 Volatility forecasting: the jumps do matter (2008). Department of Economics University of Siena

(8) RePEc:zbw:cauewp:7368 Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models (2008). Economics Working Papers

Recent citations received in: 2007

(1) RePEc:aah:create:2007-17 Expected Stock Returns and Variance Risk Premia (2007). CREATES Research Papers

(2) RePEc:cep:stiecm:/2007/524 Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns (2007). STICERD - Econometrics Paper Series

(3) RePEc:cmf:wpaper:wp2007_0714 TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH (2007). Working Papers

(4) RePEc:col:000094:003961 Evidence of non-Markovian behavior in the process of bank rating migrations (2007). BORRADORES DE ECONOMIA

(5) RePEc:col:000094:004016 Evidence of non-Markovian behavior in the process of bank rating migrations (2007). BORRADORES DE ECONOMIA

(6) RePEc:dgr:umamet:2007052 Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas (2007). Research Memoranda

(7) RePEc:dgr:uvatin:20070046 Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models (2007). Tinbergen Institute Discussion Papers

(8) RePEc:dur:durham:2007_02 Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns (2007). Working Papers

(9) RePEc:dur:durham:2007_05 Return Explanatory Ability and Predictability of Non-Linear Market Models (2007). Working Papers

(10) RePEc:hum:wpaper:sfb649dp2007-023 Time Series Modelling with Semiparametric Factor Dynamics (2007). SFB 649 Discussion Papers

(11) RePEc:imf:imfwpa:07/157 What Drives Stock Market Development in the Middle East and Central Asia--Institutions, Remittances, or Natural Resources? (2007). IMF Working Papers

(12) RePEc:pra:mprapa:5319 Forecasting volatility: Evidence from the Macedonian stock exchange (2007). MPRA Paper

(13) RePEc:pra:mprapa:6265 Venture Capitalists, Asymmetric Information and Ownership in the Innovation Process (2007). MPRA Paper

(14) RePEc:pra:mprapa:6318 Joint Modeling of Call and Put Implied Volatility (2007). MPRA Paper

Recent citations received in: 2006

(1) RePEc:bde:opaper:0608 House prices and real interest rates in Spain (2006). Banco de España Occasional Papers

(2) RePEc:bde:wpaper:0605 The interaction between house prices and loans for house purchase. The Spanish case (2006). Banco de España Working Papers

(3) RePEc:bde:wpaper:0609 House prices and rents in Spain: does the discount factor matter? (2006). Banco de España Working Papers

(4) RePEc:cam:camdae:0602 Learning, Structural Instability and Present Value Calculations (2006). Cambridge Working Papers in Economics

(5) RePEc:cor:louvco:2006089 The information content of the Bond-Equity Yield Ratio: better than a random walk? (2006). CORE Discussion Papers

(6) RePEc:cor:louvco:2006090 Short-term market timing using the Bond-Equity Yield Ratio (2006). CORE Discussion Papers

(7) RePEc:cpr:ceprdp:5689 House Prices, Rents and Interest Rates Under Collateral Constraints (2006). CEPR Discussion Papers

(8) RePEc:cra:wpaper:2006-27 Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries facing World War II (2006). CREMA Working Paper Series

(9) RePEc:dar:ddpeco:36755 The Foreign Exchange Rate Exposure of Nations (2006). Darmstadt Discussion Papers in Economics

(10) RePEc:dar:vpaper:36755 The Foreign Exchange Rate Exposure of Nations (2006). Publications of Darmstadt Technical University, Institute of Economics (VWL)

(11) RePEc:hhs:iuiwop:0676 Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries Facing World War II (2006). Working Paper Series

(12) RePEc:par:dipeco:2006-se02 Robust volatility forecasts and model selection in financial time series (2006). Economics Department Working Papers

(13) RePEc:pra:mprapa:21247 Measuring the Common Component of Stock Market Fluctuations in the Asia-Pacific Region (2006). MPRA Paper

(14) RePEc:sce:scecfa:529 Learning, structural instability and present value calculations (2006). Computing in Economics and Finance 2006

(15) RePEc:wbk:wbrwps:3854 Competitive implications of cross-border banking (2006). Policy Research Working Paper Series

(16) RePEc:wbk:wbrwps:3933 Internationalization and the evolution of corporate valuation (2006). Policy Research Working Paper Series

(17) RePEc:wbk:wbrwps:3963 Financial development in Latin America : big emerging issues, limited policy answers (2006). Policy Research Working Paper Series

(18) RePEc:zbw:bubdp1:4756 Learning, structural instability and present value calculations (2006). Discussion Paper Series 1: Economic Studies

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