Most cited documents in this series:

Year	Title	Cited
2001	Arbitrage in Continuous Complete Markets RePEc:uts:rpaper:72 [Citation Analysis]	44
2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations RePEc:uts:rpaper:56 [Citation Analysis]	33
2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker RePEc:uts:rpaper:35 [Citation Analysis]	30
2001	Speculative Behaviour and Complex Asset Price Dynamics RePEc:uts:rpaper:49 [Citation Analysis]	25
2001	A Minimal Financial Market Model RePEc:uts:rpaper:48 [Citation Analysis]	24
2003	Modeling the Volatility and Expected Value of a Diversified World Index RePEc:uts:rpaper:103 [Citation Analysis]	22
2004	A Benchmark Approach to Finance RePEc:uts:rpaper:138 [Citation Analysis]	17
2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics RePEc:uts:rpaper:231 [Citation Analysis]	16
2001	Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case RePEc:uts:rpaper:55 [Citation Analysis]	15
2005	Panel Smooth Transition Regression Models RePEc:uts:rpaper:165 [Citation Analysis]	14
2006	Volatility Forecast Comparison using Imperfect Volatility Proxies RePEc:uts:rpaper:175 [Citation Analysis]	13
2000	Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices RePEc:uts:rpaper:46 [Citation Analysis]	12
1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model RePEc:uts:rpaper:18 [Citation Analysis]	12
2003	A Benchmark Framework for Risk Management RePEc:uts:rpaper:113 [Citation Analysis]	12
2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations RePEc:uts:rpaper:168 [Citation Analysis]	12
2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies RePEc:uts:rpaper:84 [Citation Analysis]	11
2004	Diversified Portfolios with Jumps in a Benchmark Framework RePEc:uts:rpaper:129 [Citation Analysis]	11
2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model RePEc:uts:rpaper:78 [Citation Analysis]	10
2002	Benchmark Model with Intensity Based Jumps RePEc:uts:rpaper:81 [Citation Analysis]	9
1999	Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model RePEc:uts:rpaper:5 [Citation Analysis]	8
1999	An Introduction to Numerical Methods for Stochastic Differential Equations RePEc:uts:rpaper:6 [Citation Analysis]	8
2004	Intraday Empirical Analysis and Modeling of Diversified World Stock Indices RePEc:uts:rpaper:125 [Citation Analysis]	7
	repec:uts:rpaper:162 [Citation Analysis]	7
2005	Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework RePEc:uts:rpaper:166 [Citation Analysis]	6
2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index RePEc:uts:rpaper:180 [Citation Analysis]	6
1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing RePEc:uts:rpaper:27 [Citation Analysis]	6
2003	Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling RePEc:uts:rpaper:101 [Citation Analysis]	6
2004	Two-Factor Model for Low Interest Rate Regimes RePEc:uts:rpaper:130 [Citation Analysis]	6
2003	A Structure for General and Specific Market Risk RePEc:uts:rpaper:91 [Citation Analysis]	6
2002	A Discrete Time Benchmark Approach for Finance and Insurance RePEc:uts:rpaper:74 [Citation Analysis]	6
2000	Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return RePEc:uts:rpaper:31 [Citation Analysis]	5
2005	On the Distributional Characterization of Log-returns of a World Stock Index RePEc:uts:rpaper:153 [Citation Analysis]	5
2005	On the Strong Approximation of Jump-Diffusion Processes RePEc:uts:rpaper:157 [Citation Analysis]	5
2008	Hedging for the Long Run RePEc:uts:rpaper:214 [Citation Analysis]	5
2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index RePEc:uts:rpaper:184 [Citation Analysis]	5
2001	Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case RePEc:uts:rpaper:53 [Citation Analysis]	5
2003	An Alternative Interest Rate Term Structure Model RePEc:uts:rpaper:97 [Citation Analysis]	5
2001	On Filtering in Markovian Term Structure Models (An Approximation Approach) RePEc:uts:rpaper:65 [Citation Analysis]	4
2005	On the Role of the Growth Optimal Portfolio in Finance RePEc:uts:rpaper:144 [Citation Analysis]	4
2004	Understanding the Implied Volatility Surface for Options on a Diversified Index RePEc:uts:rpaper:128 [Citation Analysis]	4
2004	A Survey of the Integral Representation of American Option Prices RePEc:uts:rpaper:118 [Citation Analysis]	4
2000	Risk Premia and Financial Modelling Without Measure Transformation RePEc:uts:rpaper:45 [Citation Analysis]	4
2004	On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance RePEc:uts:rpaper:114 [Citation Analysis]	4
2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment RePEc:uts:rpaper:141 [Citation Analysis]	4
2001	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps RePEc:uts:rpaper:54 [Citation Analysis]	4
2001	Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm RePEc:uts:rpaper:68 [Citation Analysis]	4
1999	Classes of Interest Rate Models Under the HJM Framework RePEc:uts:rpaper:13 [Citation Analysis]	4
2001	Testing for Time Dependence in Parameters RePEc:uts:rpaper:58 [Citation Analysis]	4
2003	Fair Pricing of Weather Derivatives RePEc:uts:rpaper:106 [Citation Analysis]	4
2008	On Financial Markets where only Buy-And-Hold Trading is Possible RePEc:uts:rpaper:213 [Citation Analysis]	3

Citing documents used to compute impact factor 7:

Year	Title	See
2010	Time-Varying Beta: A Boundedly Rational Equilibrium Approach RePEc:uts:rpaper:275	[Citation Analysis]
2010	From discrete to continuous time evolutionary finance models RePEc:eee:dyncon:v:34:y:2010:i:5:p:913-931	[Citation Analysis]
2010	Financial crises and interacting heterogeneous agents RePEc:eee:dyncon:v:34:y:2010:i:6:p:1105-1122	[Citation Analysis]
2010	Time-Varying Beta: A Boundedly Rational Equilibrium Approach RePEc:uts:rpaper:275	[Citation Analysis]
2010	On the specification of noise in two agent-based asset pricing models RePEc:eee:dyncon:v:34:y:2010:i:6:p:1140-1152	[Citation Analysis]
2010	Connecting the dots: a yield curve perspective on New Zealand’s interest rates RePEc:nzb:nzbbul:sept2010:1	[Citation Analysis]
2010	A fast Fourier transform technique for pricing American options under stochastic volatility RePEc:kap:revdev:v:13:y:2010:i:1:p:1-24	[Citation Analysis]

Cites in year: CiY