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

 

 
 

Stochastic Processes and their Applications / 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
19900.010.0966231301010.020.04
19910.09663313200.05
19920.0884813200.04
19930.010.0910324150100.05
19940.11283718700.05
19950.121193923100.06
19960.010.169032247200.08
19970.010.2110418209200.08
19980.030.2284381945010.010.09
19990.020.2810431188400.13
20000.010.37108491881020.020.16
20010.010.3894212123010.010.16
20020.010.417321202300.2
20030.010.4379201671020.030.2
20040.020.4992151523020.020.22
20050.010.5290201712010.010.24
20060.030.595361826060.060.23
20070.030.429530185600.19
20080.070.4310331190130100.10.21
20090.060.431781819812030.020.19
20100.030.361105281800.15
 
 
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
1981Martingales and stochastic integrals in the theory of continuous trading
RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260 [Citation Analysis]
146
2000Weak convergence of multivariate fractional processes
RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120 [Citation Analysis]
25
1990Nonparametric regression with long-range dependence
RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351 [Citation Analysis]
18
1998Selecting the optimal sample fraction in univariate extreme value estimation
RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172 [Citation Analysis]
16
1983A stochastic calculus model of continuous trading: Complete markets
RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316 [Citation Analysis]
16
1996Multivariate regression estimation local polynomial fitting for time series
RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101 [Citation Analysis]
14
1994Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216 [Citation Analysis]
13
1991Time-dependent coefficients in a Cox-type regression model
RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180 [Citation Analysis]
12
1985Some mixing properties of time series models
RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303 [Citation Analysis]
12
2006Limit theorems for multipower variation in the presence of jumps
RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806 [Citation Analysis]
11
1995A class of micropulses and antipersistent fractional Brownian motion
RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18 [Citation Analysis]
11
2008Asymptotic properties of realized power variations and related functionals of semimartingales
RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559 [Citation Analysis]
11
2008A note on the central limit theorem for bipower variation of general functions
RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070 [Citation Analysis]
10
1986Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations
RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89 [Citation Analysis]
10
2002Regular variation of GARCH processes
RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115 [Citation Analysis]
10
1999A new weak dependence condition and applications to moment inequalities
RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342 [Citation Analysis]
10
1998Additional logarithmic utility of an insider
RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286 [Citation Analysis]
8
2007Stability of utility-maximization in incomplete markets
RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662 [Citation Analysis]
8
2000Optimal portfolios for logarithmic utility
RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48 [Citation Analysis]
8
1991Option hedging for semimartingales
RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363 [Citation Analysis]
7
1998Optimal trading strategy for an investor: the case of partial information
RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97 [Citation Analysis]
7
2004Dynamic coherent risk measures
RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200 [Citation Analysis]
6
1996On the Kullback-Leibler information divergence of locally stationary processes
RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168 [Citation Analysis]
6
1977Estimation of a time series model from unequally spaced data
RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24 [Citation Analysis]
6
1991The distributions of certain record statistics from a random number of observations
RePEc:eee:spapps:v:38:y:1991:i:1:p:167-183 [Citation Analysis]
6
1995Utility maximization with partial information
RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273 [Citation Analysis]
6
2009Microstructure noise in the continuous case: The pre-averaging approach
RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276 [Citation Analysis]
6
2006Asymptotic behaviour of the empirical process for exchangeable data
RePEc:eee:spapps:v:116:y:2006:i:2:p:337-344 [Citation Analysis]
6
1978Alternative models for stationary stochastic processes
RePEc:eee:spapps:v:8:y:1978:i:2:p:141-152 [Citation Analysis]
5
2003Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202 [Citation Analysis]
5
2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284 [Citation Analysis]
5
2003On the optimal stopping problem for one-dimensional diffusions
RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212 [Citation Analysis]
5
1988Admissible investment strategies in continuous trading
RePEc:eee:spapps:v:30:y:1988:i:2:p:291-301 [Citation Analysis]
5
1985More limit theory for the sample correlation function of moving averages
RePEc:eee:spapps:v:20:y:1985:i:2:p:257-279 [Citation Analysis]
5
1986The mixing property of bilinear and generalised random coefficient autoregressive models
RePEc:eee:spapps:v:23:y:1986:i:2:p:291-300 [Citation Analysis]
5
2007A forward scheme for backward SDEs
RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812 [Citation Analysis]
5
1997On polynomial mixing bounds for stochastic differential equations
RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127 [Citation Analysis]
4
1984Inference for earthquake models: A self-correcting model
RePEc:eee:spapps:v:17:y:1984:i:2:p:337-347 [Citation Analysis]
4
1979The central limit theorem for time series regression
RePEc:eee:spapps:v:9:y:1979:i:3:p:281-289 [Citation Analysis]
4
2005Optimal partially reversible investment with entry decision and general production function
RePEc:eee:spapps:v:115:y:2005:i:5:p:705-736 [Citation Analysis]
4
2001Asymptotics of empirical processes of long memory moving averages with infinite variance
RePEc:eee:spapps:v:91:y:2001:i:2:p:309-336 [Citation Analysis]
4
2006Malliavin Monte Carlo Greeks for jump diffusions
RePEc:eee:spapps:v:116:y:2006:i:1:p:101-129 [Citation Analysis]
4
1999Detection of multiple changes in a sequence of dependent variables
RePEc:eee:spapps:v:83:y:1999:i:1:p:79-102 [Citation Analysis]
4
1995The blockwise bootstrap for general empirical processes of stationary sequences
RePEc:eee:spapps:v:58:y:1995:i:2:p:247-265 [Citation Analysis]
4
1993Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182 [Citation Analysis]
4
2001Convergence of locally and globally interacting Markov chains
RePEc:eee:spapps:v:96:y:2001:i:1:p:99-121 [Citation Analysis]
4
1991Functional limit theorems for random quadratic forms
RePEc:eee:spapps:v:37:y:1991:i:1:p:81-98 [Citation Analysis]
4
1984Optimum portfolio diversification in a general continuous-time model
RePEc:eee:spapps:v:18:y:1984:i:1:p:81-98 [Citation Analysis]
3
1989Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224 [Citation Analysis]
3
1994An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
RePEc:eee:spapps:v:54:y:1994:i:2:p:297-307 [Citation Analysis]
3

Citing documents used to compute impact factor 8:
YearTitleSee
2010New tests for jumps in semimartingale models
RePEc:spr:sistpr:v:13:y:2010:i:1:p:15-41
[Citation Analysis]
2010Realising the future: forecasting with high-frequency-based volatility (HEAVY) models
RePEc:jae:japmet:v:25:y:2010:i:2:p:197-231
[Citation Analysis]
2010Quantitative Breuer-Major Theorems
RePEc:aah:create:2010-22
[Citation Analysis]
2010Nonparametric estimation for a stochastic volatility model
RePEc:spr:finsto:v:14:y:2010:i:1:p:49-80
[Citation Analysis]
2010Time consistency and moving horizons for risk measures
RePEc:arx:papers:0912.1396
[Citation Analysis]
2010Dynamic relations for sparsely sampled Gaussian processes
RePEc:spr:testjl:v:19:y:2010:i:1:p:1-29
[Citation Analysis]
2010Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations
RePEc:flo:wpaper:2010-05
[Citation Analysis]
2010Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
RePEc:aah:create:2010-29
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee

Recent citations received in: 2009

YearTitleSee
2009Multipower Variation for Brownian Semistationary Processes
RePEc:aah:create:2009-21
[Citation Analysis]
2009On the Economic Evaluation of Volatility Forecasts
RePEc:aah:create:2009-56
[Citation Analysis]
2009Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
RePEc:aah:create:2009-60
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Bipower-type estimation in a noisy diffusion setting
RePEc:aah:create:2008-25
[Citation Analysis]
2008Measuring downside risk — realised semivariance
RePEc:aah:create:2008-42
[Citation Analysis]
2008Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
RePEc:aah:create:2008-57
[Citation Analysis]
2008Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
RePEc:aah:create:2008-61
[Citation Analysis]
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:aah:create:2008-63
[Citation Analysis]
2008Exponential Utility Maximization under Partial Information
RePEc:icr:wpmath:24-2008
[Citation Analysis]
2008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:nuf:econwp:0810
[Citation Analysis]
2008Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:oxf:wpaper:397
[Citation Analysis]
2008On the duality principle in option pricing: semimartingale setting
RePEc:spr:finsto:v:12:y:2008:i:2:p:265-292
[Citation Analysis]
2008Bipower-type estimation in a noisy diffusion setting
RePEc:zbw:sfb475:200824
[Citation Analysis]

Recent citations received in: 2007

YearTitleSee

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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