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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Journal of Empirical Finance / Elsevier Science Economics Articles Archive

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), 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
19900.090000.04
19910.090000.05
19920.080000.04
19930.096372000.05
19940.170.11010461020.20.05
19950.310.121490165020.140.06
19960.380.1618434249070.390.08
19970.380.21133623212020.150.08
19980.740.22172043123010.060.09
19990.730.28231893022040.170.13
20000.530.37191784021010.050.16
20010.810.38251644234070.280.16
20020.50.41261644422040.150.2
20030.650.432633851330230.880.2
20041.080.493214652560110.340.22
20051.090.523013458630100.330.24
20060.770.52411962480180.750.23
20070.650.423512954350140.40.19
20080.810.4349835948080.160.21
20090.620.4360518452090.150.19
20100.260.36623010928020.030.15
 
 
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

 

Main indicators

Most cited documents in this series:
YearTitleCited
1993A long memory property of stock market returns and a new model
RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106 [Citation Analysis]
286
1996The forward discount anomaly and the risk premium: A survey of recent evidence
RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192 [Citation Analysis]
248
1997Intraday periodicity and volatility persistence in financial markets
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158 [Citation Analysis]
154
1996The econometrics of financial markets
RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102 [Citation Analysis]
106
1998Volatility and cross correlation across major stock markets
RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416 [Citation Analysis]
71
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239 [Citation Analysis]
65
1997High frequency data in financial markets: Issues and applications
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114 [Citation Analysis]
65
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300 [Citation Analysis]
55
2003Emerging markets finance
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56 [Citation Analysis]
52
1993Common stock offerings across the business cycle : Theory and evidence
RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31 [Citation Analysis]
46
2003A simple measure of the intensity of capital controls
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103 [Citation Analysis]
44
1997The incremental volatility information in one million foreign exchange quotations
RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340 [Citation Analysis]
41
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621 [Citation Analysis]
39
2003Predicting emerging market currency crashes
RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454 [Citation Analysis]
35
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models
RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398 [Citation Analysis]
33
2002Market timing and return prediction under model instability
RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510 [Citation Analysis]
32
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477 [Citation Analysis]
31
2005Testing for contagion: a conditional correlation analysis
RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489 [Citation Analysis]
31
2007Measuring financial contagion: A Copula approach
RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423 [Citation Analysis]
31
2003Univariate and multivariate stochastic volatility models: estimation and diagnostics
RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531 [Citation Analysis]
30
1994Alternative constructions of Tobins q: An empirical comparison
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341 [Citation Analysis]
29
2001The specification of conditional expectations
RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637 [Citation Analysis]
29
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212 [Citation Analysis]
29
1997Public information releases, private information arrival and volatility in the foreign exchange market
RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315 [Citation Analysis]
29
2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285 [Citation Analysis]
27
1999A primer on hedge funds
RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331 [Citation Analysis]
27
2000Sensitivity analysis of Values at Risk
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245 [Citation Analysis]
25
1998International evidence on the stock market and aggregate economic activity
RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296 [Citation Analysis]
24
2007Firm-level implications of early stage venture capital investment -- An empirical investigation
RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167 [Citation Analysis]
24
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154 [Citation Analysis]
23
2001Testing for mean-variance spanning: a survey
RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155 [Citation Analysis]
23
2003Central bank interventions and jumps in double long memory models of daily exchange rates
RePEc:eee:empfin:v:10:y:2003:i:5:p:641-660 [Citation Analysis]
22
1993International asset pricing with alternative distributional specifications
RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131 [Citation Analysis]
22
1994A contingent claim approach to performance evaluation
RePEc:eee:empfin:v:1:y:1994:i:2:p:133-160 [Citation Analysis]
21
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248 [Citation Analysis]
21
1999Multivariate unit root tests of the PPP hypothesis
RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353 [Citation Analysis]
20
1995The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251 [Citation Analysis]
20
2000Coincident and leading indicators of the stock market
RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111 [Citation Analysis]
20
2003Realized volatility in the futures markets
RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353 [Citation Analysis]
19
2001Testing and comparing Value-at-Risk measures
RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342 [Citation Analysis]
19
1996Unit roots and the estimation of interest rate dynamics
RePEc:eee:empfin:v:3:y:1996:i:2:p:215-238 [Citation Analysis]
19
1994Neglected common factors in exchange rate volatility
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:279-311 [Citation Analysis]
19
2006Instability of return prediction models
RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315 [Citation Analysis]
19
1995Testing for continuous-time models of the short-term interest rate
RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223 [Citation Analysis]
18
1995The structure of international stock returns and the integration of capital markets
RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197 [Citation Analysis]
17
1993The performance of international asset allocation strategies using conditioning information
RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55 [Citation Analysis]
17
1999Real exchange rates and nontradables: A relative price approach
RePEc:eee:empfin:v:6:y:1999:i:2:p:193-215 [Citation Analysis]
17
2006Stock market development and internationalization: Do economic fundamentals spur both similarly?
RePEc:eee:empfin:v:13:y:2006:i:3:p:316-350 [Citation Analysis]
17
2000Value-at-Risk: a multivariate switching regime approach
RePEc:eee:empfin:v:7:y:2000:i:5:p:531-554 [Citation Analysis]
17
2001Why long horizons? A study of power against persistent alternatives
RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491 [Citation Analysis]
16

Citing documents used to compute impact factor 28:
YearTitleSee
2010Does the Stock Market Harm Investment Incentives?
RePEc:cpr:ceprdp:7857
[Citation Analysis]
2010Measuring comovement in the time-frequency space
RePEc:ptu:wpaper:w201001
[Citation Analysis]
2010A Wavelet Approach for Factor-Augmented Forecasting
RePEc:ptu:wpaper:w201007
[Citation Analysis]
2010Oil and portfolio risk diversification
RePEc:pra:mprapa:28293
[Citation Analysis]
2010The feasibility of through-the-cycle ratings
RePEc:hhs:bofrdp:2010_014
[Citation Analysis]
2010Global Integration of Central and Eastern European Financial Markets – The Role of Economic Sentiments
RePEc:rwi:repape:0174
[Citation Analysis]
2010The determinants of increasing equity market comovement: economic or financial integration?
RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589
[Citation Analysis]
2010Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?
RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:228-246
[Citation Analysis]
2010Asymmetric effects of oil price fluctuations in international stock markets
RePEc:cte:wsrepe:ws100904
[Citation Analysis]
2010Controlling shareholders and payout policy: do founding families have a special taste for dividends?
RePEc:zbw:cefswp:201001
[Citation Analysis]
2010Universality in DAX index returns fluctuations
RePEc:arx:papers:1004.1136
[Citation Analysis]
2010Is this time different for Asia?: Evidence from stock Markets
RePEc:kyu:dpaper:40
[Citation Analysis]
2010Bias Correction and Out-of-Sample Forecast Accuracy
RePEc:abn:wpaper:auwp2010-02
[Citation Analysis]
2010Investigating the dependence structure between credit default swap spreads and the U.S. financial market
RePEc:kap:annfin:v:6:y:2010:i:4:p:511-535
[Citation Analysis]
2010Model averaging in economics
RePEc:pra:mprapa:26047
[Citation Analysis]
2010Modelling and Forecasting Noisy Realized Volatility
RePEc:cbt:econwp:10/21
[Citation Analysis]
2010The Impact of Macroeconomic News on Quote Adjustments, Noise and Informational Volatility
RePEc:eca:wpaper:2010_004
[Citation Analysis]
2010The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
RePEc:hum:wpaper:sfb649dp2010-005
[Citation Analysis]
2010Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?
RePEc:imf:imfwpa:10/120
[Citation Analysis]
2010An Optimal Control Approach to Portfolio Optimisation with Conditioning Information
RePEc:crf:wpaper:10-09
[Citation Analysis]
2010What Segments Equity Markets?
RePEc:cpr:ceprdp:8142
[Citation Analysis]
2010Risk, Uncertainty and Monetary Policy
RePEc:cpr:ceprdp:8154
[Citation Analysis]
2010Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments
RePEc:kap:compec:v:36:y:2010:i:3:p:263-282
[Citation Analysis]
2010Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261
[Citation Analysis]
2010The cost of sustainability on optimal portfolio choices
RePEc:hhb:sicgwp:2010_015
[Citation Analysis]
2010Oil and portfolio risk diversification
RePEc:pra:mprapa:28293
[Citation Analysis]
2010EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
RePEc:ces:ceswps:_3074
[Citation Analysis]
2010Auswirkungen von Mehrfachmandaten deutscher Vorstands- und Aufsichtsratsvorsitzender auf den Unternehmenserfolg
RePEc:jns:jbstat:v:230:y:2010:i:5:p:547-570
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee
2010Location, Location, Location: Entrepreneurial Finance Meets Economic Geography
RePEc:pen:papers:10-030
[Citation Analysis]
2010Geographic location of a new venture and the likelihood of a venture capital investment
RePEc:zbw:cefswp:201002
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009The dividend-price ratio does predict dividend growth: International evidence
RePEc:aah:create:2009-36
[Citation Analysis]
2009The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression
RePEc:ags:nccc09:53035
[Citation Analysis]
2009A Coupled Markov Chain approach to risk analysis of credit default swap index products
RePEc:arx:papers:0911.3802
[Citation Analysis]
2009Financial crisis, exchange rate and stock market integration
RePEc:kyu:dpaper:38
[Citation Analysis]
2009Measuring the Timing Ability and Performance of Bond Mutual Funds
RePEc:nbr:nberwo:15318
[Citation Analysis]
2009Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
RePEc:nbr:nberwo:15335
[Citation Analysis]
2009Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets
RePEc:pra:mprapa:18680
[Citation Analysis]
2009Family firms and investments
RePEc:pra:mprapa:19247
[Citation Analysis]
2009Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises
RePEc:zbw:bubdp1:200919
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models.
RePEc:bfr:banfra:218
[Citation Analysis]
2008Beta-t-(E)GARCH
RePEc:cam:camdae:0840
[Citation Analysis]
2008No contagion, only globalization and flight to quality
RePEc:dul:wpaper:08-22rs
[Citation Analysis]
2008Analysing the performance of managed funds using the wavelet multiscaling method
RePEc:kap:rqfnac:v:31:y:2008:i:1:p:55-70
[Citation Analysis]
2008An improved two-step regularization scheme for spot volatility estimation
RePEc:par:dipeco:2008-me02
[Citation Analysis]
2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
RePEc:qed:wpaper:1173
[Citation Analysis]
2008Volatility forecasting: the jumps do matter
RePEc:usi:wpaper:534
[Citation Analysis]
2008Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
RePEc:zbw:cauewp:7368
[Citation Analysis]

Recent citations received in: 2007

YearTitleSee
2007Expected Stock Returns and Variance Risk Premia
RePEc:aah:create:2007-17
[Citation Analysis]
2007Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns
RePEc:cep:stiecm:/2007/524
[Citation Analysis]
2007TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH
RePEc:cmf:wpaper:wp2007_0714
[Citation Analysis]
2007Evidence of non-Markovian behavior in the process of bank rating migrations
RePEc:col:000094:003961
[Citation Analysis]
2007Evidence of non-Markovian behavior in the process of bank rating migrations
RePEc:col:000094:004016
[Citation Analysis]
2007Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas
RePEc:dgr:umamet:2007052
[Citation Analysis]
2007Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
RePEc:dgr:uvatin:20070046
[Citation Analysis]
2007Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns
RePEc:dur:durham:2007_02
[Citation Analysis]
2007Return Explanatory Ability and Predictability of Non-Linear Market Models
RePEc:dur:durham:2007_05
[Citation Analysis]
2007Time Series Modelling with Semiparametric Factor Dynamics
RePEc:hum:wpaper:sfb649dp2007-023
[Citation Analysis]
2007What Drives Stock Market Development in the Middle East and Central Asia--Institutions, Remittances, or Natural Resources?
RePEc:imf:imfwpa:07/157
[Citation Analysis]
2007Forecasting volatility: Evidence from the Macedonian stock exchange
RePEc:pra:mprapa:5319
[Citation Analysis]
2007Venture Capitalists, Asymmetric Information and Ownership in the Innovation Process
RePEc:pra:mprapa:6265
[Citation Analysis]
2007Joint Modeling of Call and Put Implied Volatility
RePEc:pra:mprapa:6318
[Citation Analysis]

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.

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