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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 citations

 

 
 

Papers / arXiv.org

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2011), 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
19910.10000.05
19920.090000.05
19930.10000.05
19940.120000.04
19950.170000.09
19960.20000.09
19970.2115810030.20.09
19980.40.22447815633.30.13
19990.070.2953945947540.080.15
20000.070.47414397710040.050.15
20010.110.38972521271450120.120.18
20020.160.411132381712748.1190.170.2
20030.130.441071312102857.140.040.2
20040.110.461502502202524130.090.2
20050.140.461881962573537.1130.070.25
20060.160.492451413385322.670.030.22
20070.090.422882234333943.6190.070.19
20080.110.433041965336028.3170.060.19
20090.120.43461915927044.3270.080.19
20100.130.334981806508643240.050.16
20110.140.556417684411654.3840.150.27
 
 
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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2002On the coherence of Expected Shortfall
RePEc:arx:papers:cond-mat/0104295 [Citation Analysis]
73
2007The Product Space Conditions the Development of Nations
RePEc:arx:papers:0708.2090 [Citation Analysis]
59
2004The long memory of the efficient market
RePEc:arx:papers:cond-mat/0311053 [Citation Analysis]
35
1998Universal features in the growth dynamics of complex organizations
RePEc:arx:papers:cond-mat/9804100 [Citation Analysis]
34
1997Scaling in stock market data: stable laws and beyond
RePEc:arx:papers:cond-mat/9705087 [Citation Analysis]
29
2003Fluctuations and response in financial markets: the subtle nature of `random price changes
RePEc:arx:papers:cond-mat/0307332 [Citation Analysis]
29
2001Expected Shortfall: a natural coherent alternative to Value at Risk
RePEc:arx:papers:cond-mat/0105191 [Citation Analysis]
29
2004What really causes large price changes?
RePEc:arx:papers:cond-mat/0312703 [Citation Analysis]
28
1999Scaling of the distribution of price fluctuations of individual companies
RePEc:arx:papers:cond-mat/9907161 [Citation Analysis]
27
2001Testing the Gaussian Copula Hypothesis for Financial Assets Dependences
RePEc:arx:papers:cond-mat/0111310 [Citation Analysis]
26
1997Scaling behavior in economics: I. Empirical results for company growth
RePEc:arx:papers:cond-mat/9702082 [Citation Analysis]
25
2002Expected Shortfall and Beyond
RePEc:arx:papers:cond-mat/0203558 [Citation Analysis]
24
2008How markets slowly digest changes in supply and demand
RePEc:arx:papers:0809.0822 [Citation Analysis]
24
2001Significance of log-periodic precursors to financial crashes
RePEc:arx:papers:cond-mat/0106520 [Citation Analysis]
24
1999Scaling of the distribution of fluctuations of financial market indices
RePEc:arx:papers:cond-mat/9905305 [Citation Analysis]
24
2005The Growth of Business Firms: Theoretical Framework and Empirical Evidence
RePEc:arx:papers:physics/0512005 [Citation Analysis]
22
2001Quantifying Stock Price Response to Demand Fluctuations
RePEc:arx:papers:cond-mat/0106657 [Citation Analysis]
22
2009Colloquium: Statistical mechanics of money, wealth, and income
RePEc:arx:papers:0905.1518 [Citation Analysis]
21
2010Optimal execution strategies in limit order books with general shape functions
RePEc:arx:papers:0708.1756 [Citation Analysis]
21
2000Statistical Properties of Share Volume Traded in Financial Markets
RePEc:arx:papers:cond-mat/0008113 [Citation Analysis]
20
2005The Production Function
RePEc:arx:papers:physics/0511191 [Citation Analysis]
20
2001Expected Shortfall as a Tool for Financial Risk Management
RePEc:arx:papers:cond-mat/0102304 [Citation Analysis]
19
2001Agent-based simulation of a financial market
RePEc:arx:papers:cond-mat/0103600 [Citation Analysis]
18
2005Structure and Evolution of the World Trade Network
RePEc:arx:papers:physics/0502066 [Citation Analysis]
18
2004The Predictive Power of Zero Intelligence in Financial Markets
RePEc:arx:papers:cond-mat/0309233 [Citation Analysis]
18
2001Analyzing and modelling 1+1d markets
RePEc:arx:papers:cond-mat/0106114 [Citation Analysis]
17
1999The statistical properties of the volatility of price fluctuations
RePEc:arx:papers:cond-mat/9903369 [Citation Analysis]
16
2001Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States
RePEc:arx:papers:cond-mat/0103544 [Citation Analysis]
16
2000Fractional calculus and continuous-time finance II: the waiting-time distribution
RePEc:arx:papers:cond-mat/0006454 [Citation Analysis]
16
2004Fitness-dependent topological properties of the World Trade Web
RePEc:arx:papers:cond-mat/0403051 [Citation Analysis]
15
2005Utility maximization in incomplete markets
RePEc:arx:papers:math/0508448 [Citation Analysis]
15
2003Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms
RePEc:arx:papers:cond-mat/0310061 [Citation Analysis]
15
2011The Verdoorn Law in the Portuguese Regions: A Panel Data Analysis
RePEc:arx:papers:1110.5544 [Citation Analysis]
15
2009The Building Blocks of Economic Complexity
RePEc:arx:papers:0909.3890 [Citation Analysis]
15
2000Statistical mechanics of money
RePEc:arx:papers:cond-mat/0001432 [Citation Analysis]
15
2011Pollution permits, Strategic Trading and Dynamic Technology Adoption
RePEc:arx:papers:1103.2914 [Citation Analysis]
13
2004Pareto Law in a Kinetic Model of Market with Random Saving Propensity
RePEc:arx:papers:cond-mat/0301289 [Citation Analysis]
13
2011Sectoral Convergence in Output Per Worker Between Portuguese Regions
RePEc:arx:papers:1110.5552 [Citation Analysis]
13
2004Optimal investment with random endowments in incomplete markets
RePEc:arx:papers:math/0405293 [Citation Analysis]
13
1997A Prototype Model of Stock Exchange
RePEc:arx:papers:cond-mat/9709118 [Citation Analysis]
13
2007On the Topological Properties of the World Trade Web: A Weighted Network Analysis
RePEc:arx:papers:0708.4359 [Citation Analysis]
13
2002Statistical theory of the continuous double auction
RePEc:arx:papers:cond-mat/0210475 [Citation Analysis]
13
2004Networks of equities in financial markets
RePEc:arx:papers:cond-mat/0401300 [Citation Analysis]
13
2008Stock price jumps: news and volume play a minor role
RePEc:arx:papers:0803.1769 [Citation Analysis]
12
2002Probability distribution of returns in the Heston model with stochastic volatility
RePEc:arx:papers:cond-mat/0203046 [Citation Analysis]
12
2007Kinetic Exchange Models for Income and Wealth Distributions
RePEc:arx:papers:0709.1543 [Citation Analysis]
12
2000The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
RePEc:arx:papers:cond-mat/0004263 [Citation Analysis]
12
2003Critical Market Crashes
RePEc:arx:papers:cond-mat/0301543 [Citation Analysis]
12
2000From Minority Games to real markets
RePEc:arx:papers:cond-mat/0011042 [Citation Analysis]
12
1997Physics of Finance
RePEc:arx:papers:hep-th/9710148 [Citation Analysis]
12

Citing documents used to compute impact factor 116:
YearTitleSee
2011Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization.
RePEc:ner:dauphi:urn:hdl:123456789/7101
[Citation Analysis]
2011Optimal trade execution and price manipulation in order books with time-varying liquidity
RePEc:arx:papers:1109.2631
[Citation Analysis]
2011Liquidity risk, price impacts and the replication problem
RePEc:spr:finsto:v:15:y:2011:i:3:p:399-419
[Citation Analysis]
2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
RePEc:arx:papers:1101.3926
[Citation Analysis]
2011A Map of the Brazilian Stock Market
RePEc:arx:papers:1107.4146
[Citation Analysis]
2011Pruning a Minimum Spanning Tree
RePEc:arx:papers:1109.0642
[Citation Analysis]
2011Cluster formation and evolution in networks of financial market indices
RePEc:arx:papers:1111.5069
[Citation Analysis]
2011Levy subordinator model: A two parameter model of default dependency
RePEc:pra:mprapa:26274
[Citation Analysis]
2011From microscopic taxation and redistribution models to macroscopic income distributions
RePEc:arx:papers:1109.0606
[Citation Analysis]
2011Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread
RePEc:spr:jeicoo:v:6:y:2011:i:2:p:93-120
[Citation Analysis]
2011The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
RePEc:arx:papers:1107.0190
[Citation Analysis]
2011The Japanese economy in crises: A time series segmentation study
RePEc:zbw:ifwedp:201124
[Citation Analysis]
2011Computational LPPL Fit to Financial Bubbles
RePEc:arx:papers:1003.2920
[Citation Analysis]
2011Entropy and equilibrium state of free market models
RePEc:arx:papers:1108.5725
[Citation Analysis]
2011Stability of the World Trade Web over Time - An Extinction Analysis
RePEc:arx:papers:1104.4380
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:arx:papers:1112.2867
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:ssa:lemwps:2011/25
[Citation Analysis]
2011Econophysics: Bridges over a Turbulent Current
RePEc:arx:papers:1107.5373
[Citation Analysis]
2011Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
RePEc:arx:papers:1107.1831
[Citation Analysis]
2011Exchangeability type properties of asset prices
RePEc:arx:papers:0901.4914
[Citation Analysis]
2011Marginal density expansions for diffusions and stochastic volatility
RePEc:arx:papers:1111.2462
[Citation Analysis]
2011Investigating the distribution of personal income obtained from the recent U.S. data
RePEc:eee:ecmode:v:28:y:2011:i:3:p:1170-1173
[Citation Analysis]
2011Risk-averse asymptotics for reservation prices
RePEc:kap:annfin:v:7:y:2011:i:3:p:375-387
[Citation Analysis]
2011Distinguishing manipulated stocks via trading network analysis
RePEc:arx:papers:1110.2260
[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:uts:rpaper:297
[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:arx:papers:1109.6154
[Citation Analysis]
2011Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834
[Citation Analysis]
2011A method for pricing American options using semi-infinite linear programming
RePEc:arx:papers:1103.4483
[Citation Analysis]
2011Machine Learning Markets
RePEc:arx:papers:1106.4509
[Citation Analysis]
2011Response of double-auction markets to instantaneous Selling-Buying signals with stochastic Bid-Ask spread
RePEc:arx:papers:1011.0748
[Citation Analysis]
2011The Existence of Dominating Local Martingale Measures
RePEc:arx:papers:1111.3885
[Citation Analysis]
2011Rough paths in idealized financial markets
RePEc:arx:papers:1005.0279
[Citation Analysis]
2011On the game interpretation of a shadow price process in utility maximization problems under transaction costs
RePEc:arx:papers:1112.2406
[Citation Analysis]
2011The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series
RePEc:arx:papers:1107.0480
[Citation Analysis]
2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX
RePEc:ucm:doicae:1117
[Citation Analysis]
2011How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291
[Citation Analysis]
2011Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 VIX
RePEc:dgr:eureir:1765022806
[Citation Analysis]
2011Parametric Inference and Dynamic State Recovery from Option Panels
RePEc:aah:create:2012-11
[Citation Analysis]
2011Investment/consumption problem in illiquid markets with regimes switching
RePEc:hal:wpaper:hal-00610214
[Citation Analysis]
2011Dividend problem with Parisian delay for a spectrally negative L\evy risk process
RePEc:arx:papers:1004.3310
[Citation Analysis]
2011RETHINKING MACROECONOMICS: WHAT FAILED, AND HOW TO REPAIR IT
RePEc:bla:jeurec:v:9:y:2011:i:4:p:591-645
[Citation Analysis]
2011A directional-change events approach for studying financial time series
RePEc:zbw:ifwedp:201128
[Citation Analysis]
2011Asset returns and volatility clustering in financial time series
RePEc:arx:papers:1002.0284
[Citation Analysis]
2011Randomised Mixture Models for Pricing Kernels
RePEc:arx:papers:1112.2059
[Citation Analysis]
2011“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates
RePEc:kap:apfinm:v:18:y:2011:i:1:p:69-87
[Citation Analysis]
2011Risk-sensitive Portfolio Optimization with Two-factor Having a Memory Effect
RePEc:kap:apfinm:v:18:y:2011:i:4:p:385-403
[Citation Analysis]
2011Impact of the first to default time on Bilateral CVA
RePEc:arx:papers:1106.3496
[Citation Analysis]
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
RePEc:arx:papers:1112.1521
[Citation Analysis]
2011Mortality density forecasts: An analysis of six stochastic mortality models
RePEc:eee:insuma:v:48:y:2011:i:3:p:355-367
[Citation Analysis]
2011The two-price model revisited. A Minskian-Kaleckian reading of the process of financialization
RePEc:pra:mprapa:32033
[Citation Analysis]
2011Approaching Economic Issues through Epidemiology–An Introduction to Business Epidemiology
RePEc:rjr:romjef:v::y:2011:i:1:p:257-276
[Citation Analysis]
2011Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?
RePEc:eee:insuma:v:48:y:2011:i:2:p:287-303
[Citation Analysis]
2011Adjoint expansions in local Lévy models
RePEc:pra:mprapa:34571
[Citation Analysis]
2011Anti-Robust and Tonsured Statistics
RePEc:arx:papers:1110.4648
[Citation Analysis]
2011Diagnosis and Prediction of Market Rebounds in Financial Markets
RePEc:arx:papers:1003.5926
[Citation Analysis]
2011The impact of oil price fluctuations on stock markets in developed and emerging economies
RePEc:pra:mprapa:31753
[Citation Analysis]
2011The impact of oil price fluctuations on stock markets in developed and emerging economies
RePEc:dpc:wpaper:2311
[Citation Analysis]
2011The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies
RePEc:nan:wpaper:1103
[Citation Analysis]
2011Return and volatility transmission between world oil prices and stock markets of the GCC countries
RePEc:eee:ecmode:v:28:y:2011:i:4:p:1815-1825
[Citation Analysis]
2011The product life cycle of durable goods
RePEc:pra:mprapa:33174
[Citation Analysis]
2011From microscopic taxation and redistribution models to macroscopic income distributions
RePEc:arx:papers:1109.0606
[Citation Analysis]
2011The Product Life Cycle of Durable Goods
RePEc:arx:papers:1109.0828
[Citation Analysis]
2011Econophysics: agent-based models
RePEc:hal:journl:hal-00621059
[Citation Analysis]
2011Entropy and equilibrium state of free market models
RePEc:arx:papers:1108.5725
[Citation Analysis]
2011The experience curve and the market size of competitive consumer durable markets
RePEc:pra:mprapa:33370
[Citation Analysis]
2011An almost linear stochastic map related to the particle system models of social sciences
RePEc:arx:papers:1101.3617
[Citation Analysis]
2011Exponential wealth distribution: a new approach from functional iteration theory
RePEc:arx:papers:1103.1501
[Citation Analysis]
2011Econophysics: Bridges over a Turbulent Current
RePEc:arx:papers:1107.5373
[Citation Analysis]
2011Market clearing by maximum entropy in agent models of stock markets
RePEc:spr:jeicoo:v:6:y:2011:i:2:p:121-138
[Citation Analysis]
2011The Product Life Cycle of Durable Goods
RePEc:zbw:esprep:50530
[Citation Analysis]
2011Firm dynamics in a closed, conserved economy: A model of size distribution of employment and related statistics
RePEc:arx:papers:1112.2168
[Citation Analysis]
2011Investigating the distribution of personal income obtained from the recent U.S. data
RePEc:eee:ecmode:v:28:y:2011:i:3:p:1170-1173
[Citation Analysis]
2011Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management
RePEc:nea:journl:y:2011:i:11:p:85-105
[Citation Analysis]
2011Hedging under arbitrage
RePEc:arx:papers:1003.4797
[Citation Analysis]
2011The Lehman Brothers Effect and Bankruptcy Cascades
RePEc:arx:papers:1002.1070
[Citation Analysis]
2011Anomalous price impact and the critical nature of liquidity in financial markets
RePEc:arx:papers:1105.1694
[Citation Analysis]
2011Why is order flow so persistent?
RePEc:arx:papers:1108.1632
[Citation Analysis]
2011Identification of clusters of investors from their real trading activity in a financial market
RePEc:arx:papers:1107.3942
[Citation Analysis]
2011The network of global corporate control
RePEc:arx:papers:1107.5728
[Citation Analysis]
2011Co-movements in commodity prices: a note based on network analysis
RePEc:qut:dpaper:274
[Citation Analysis]
2011Exchangeability type properties of asset prices
RePEc:arx:papers:0901.4914
[Citation Analysis]
2011Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
RePEc:arx:papers:1106.0020
[Citation Analysis]
2011A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives
RePEc:arx:papers:1012.0348
[Citation Analysis]
2011Sensitivity analysis of the early exercise boundary for American style of Asian options
RePEc:arx:papers:1101.3071
[Citation Analysis]
2011Endogenous equilibria in liquid markets with frictions and boundedly rational agents
RePEc:vnm:wpdman:7
[Citation Analysis]
2011Default and Systemic Risk in Equilibrium
RePEc:arx:papers:1108.1133
[Citation Analysis]
2011A Bayesian nonparametric approach to modeling market share dynamics
RePEc:cca:wpaper:217
[Citation Analysis]
2011How business is done and thedoing businessindicators : the investment climate when firms have climate control
RePEc:wbk:wbrwps:5563
[Citation Analysis]
2011Explaining the Diversification Path of Exporters in Brazil: How Similar and Sophisticated are New Products?
RePEc:sus:susewp:2611
[Citation Analysis]
2011Does comparative advantage explain countries’ diversification level?
RePEc:spr:weltar:v:147:y:2011:i:3:p:507-526
[Citation Analysis]
2011The network structure of economic output
RePEc:kap:jecgro:v:16:y:2011:i:4:p:309-342
[Citation Analysis]
2011The Heckscher-Ohlin model and the network structure of international trade
RePEc:eee:reveco:v:20:y:2011:i:2:p:135-145
[Citation Analysis]
2011Adiabaticity conditions for volatility smile in Black-Scholes pricing model
RePEc:spr:eurphb:v:79:y:2011:i:1:p:47-53
[Citation Analysis]
2011Computational LPPL Fit to Financial Bubbles
RePEc:arx:papers:1003.2920
[Citation Analysis]
2011Randomised Mixture Models for Pricing Kernels
RePEc:arx:papers:1112.2059
[Citation Analysis]
2011Stochastic Price Dynamics Implied By the Limit Order Book
RePEc:arx:papers:1105.4789
[Citation Analysis]
2011Pruning a Minimum Spanning Tree
RePEc:arx:papers:1109.0642
[Citation Analysis]
2011A Map of the Brazilian Stock Market
RePEc:arx:papers:1107.4146
[Citation Analysis]
2011Cluster formation and evolution in networks of financial market indices
RePEc:arx:papers:1111.5069
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:ssa:lemwps:2011/25
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:arx:papers:1112.2867
[Citation Analysis]
2011Two-factor capital structure models for equity and credit
RePEc:arx:papers:1110.5846
[Citation Analysis]
2011Random digraphs with given expected degree sequences: A model for economic networks
RePEc:eee:jeborg:v:78:y:2011:i:3:p:396-411
[Citation Analysis]
2011The near-extreme density of intraday log-returns
RePEc:arx:papers:1106.0039
[Citation Analysis]
2011A directional-change events approach for studying financial time series
RePEc:zbw:ifwedp:201128
[Citation Analysis]
2011Volatility forecasting and microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:257-271
[Citation Analysis]
2011Forward Exponential Performances: Pricing and Optimal Risk Sharing
RePEc:arx:papers:1109.3908
[Citation Analysis]
2011Continuous-time mean-variance portfolio optimization in a jump-diffusion market
RePEc:spr:decfin:v:34:y:2011:i:1:p:21-40
[Citation Analysis]
2011Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?
RePEc:eee:insuma:v:48:y:2011:i:2:p:287-303
[Citation Analysis]
2011A limit order book model for latency arbitrage
RePEc:arx:papers:1110.4811
[Citation Analysis]
2011Optimal investment with counterparty risk: a default-density model approach
RePEc:spr:finsto:v:15:y:2011:i:4:p:725-753
[Citation Analysis]
2011Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA
RePEc:cfi:fseres:cf265
[Citation Analysis]
2011The cost of counterparty risk and collateralization in longevity swaps
RePEc:pra:mprapa:35740
[Citation Analysis]
2011Impact of the first to default time on Bilateral CVA
RePEc:arx:papers:1106.3496
[Citation Analysis]
2011A projected gradient dynamical system modeling the dynamics of bargaining
RePEc:arx:papers:1105.1767
[Citation Analysis]
2011A projected gradient dynamical system modeling the dynamics of bargaining
RePEc:cma:wpaper:1101
[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011Anomalous price impact and the critical nature of liquidity in financial markets
RePEc:arx:papers:1105.1694
[Citation Analysis]
2011Why Money Trickles Up - Wealth & Income Distributions
RePEc:arx:papers:1105.2122
[Citation Analysis]
2011Impact of the first to default time on Bilateral CVA
RePEc:arx:papers:1106.3496
[Citation Analysis]
2011Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
RePEc:arx:papers:1106.3921
[Citation Analysis]
2011Multiplicative noise, fast convolution, and pricing
RePEc:arx:papers:1107.1451
[Citation Analysis]
2011Path properties and regularity of affine processes on general state spaces
RePEc:arx:papers:1107.1607
[Citation Analysis]
2011Implied Volatility Surface: Construction Methodologies and Characteristics
RePEc:arx:papers:1107.1834
[Citation Analysis]
2011Identification of clusters of investors from their real trading activity in a financial market
RePEc:arx:papers:1107.3942
[Citation Analysis]
2011A Map of the Brazilian Stock Market
RePEc:arx:papers:1107.4146
[Citation Analysis]
2011Ito calculus without probability in idealized financial markets
RePEc:arx:papers:1108.0799
[Citation Analysis]
2011Computation of copulas by Fourier methods
RePEc:arx:papers:1108.1216
[Citation Analysis]
2011Why is order flow so persistent?
RePEc:arx:papers:1108.1632
[Citation Analysis]
2011Additive habits with power utility: Estimates, asymptotics and equilibrium
RePEc:arx:papers:1108.2889
[Citation Analysis]
2011Pruning a Minimum Spanning Tree
RePEc:arx:papers:1109.0642
[Citation Analysis]
2011Evolutionary Model of Non-Durable Markets
RePEc:arx:papers:1109.5791
[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:arx:papers:1109.6154
[Citation Analysis]
2011Distinguishing manipulated stocks via trading network analysis
RePEc:arx:papers:1110.2260
[Citation Analysis]
2011Agglomeration and Interregional Mobility of Labor in Portugal
RePEc:arx:papers:1110.5534
[Citation Analysis]
2011Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III
RePEc:arx:papers:1110.5578
[Citation Analysis]
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
RePEc:arx:papers:1112.1521
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:arx:papers:1112.2867
[Citation Analysis]
2011Valuation of Zynga
RePEc:arx:papers:1112.6024
[Citation Analysis]
2011The Social Architecture of Capitalism
RePEc:arx:papers:cond-mat/0401053
[Citation Analysis]
2011A conjecture on the distribution of firm profit
RePEc:arx:papers:cond-mat/0407687
[Citation Analysis]
2011ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in Mathematics and Financial Economics)
RePEc:cfi:fseres:cf257
[Citation Analysis]
2011Realized Laplace transforms for estimation of jump diffusive volatility models
RePEc:eee:econom:v:164:y:2011:i:2:p:367-381
[Citation Analysis]
2011Effects of structural changes on the risk characteristics of REIT returns
RePEc:eee:reveco:v:20:y:2011:i:4:p:645-653
[Citation Analysis]
2011TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data
RePEc:hum:wpaper:sfb649dp2011-054
[Citation Analysis]
2011Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
RePEc:hum:wpaper:sfb649dp2011-055
[Citation Analysis]
2011Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
RePEc:hum:wpaper:sfb649dp2011-056
[Citation Analysis]
2011We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size agai
RePEc:hum:wpaper:sfb649dp2011-057
[Citation Analysis]
2011The Merit of High-Frequency Data in Portfolio Allocation
RePEc:hum:wpaper:sfb649dp2011-058
[Citation Analysis]
2011On heterogeneous latent class models with applications to the analysis of rating scores
RePEc:hum:wpaper:sfb649dp2011-062
[Citation Analysis]
2011Multivariate Volatility Modeling of Electricity Futures
RePEc:hum:wpaper:sfb649dp2011-063
[Citation Analysis]
2011Semiparametric Estimation with Generated Covariates
RePEc:hum:wpaper:sfb649dp2011-064
[Citation Analysis]
2011Linking corporate reputation and shareholder value using the publication of reputation rankings
RePEc:hum:wpaper:sfb649dp2011-065
[Citation Analysis]
2011Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators
RePEc:hum:wpaper:sfb649dp2011-067
[Citation Analysis]
2011The Labor Share: A Review of Theory and Evidence
RePEc:hum:wpaper:sfb649dp2011-069
[Citation Analysis]
2011Econometric analysis of volatile art markets
RePEc:hum:wpaper:sfb649dp2011-071
[Citation Analysis]
2011Financial Network Systemic Risk Contributions
RePEc:hum:wpaper:sfb649dp2011-072
[Citation Analysis]
2011Evolvement of uniformity and volatility in the stressed global financial village
RePEc:kie:kieliw:1739
[Citation Analysis]
2011The herd behavior index: A new measure for systemic risk in financial markets.
RePEc:ner:leuven:urn:hdl:123456789/320654
[Citation Analysis]
2011Why money trickles up – wealth & income distributions
RePEc:pra:mprapa:30851
[Citation Analysis]
2011What the keynesian theory said about Portugal?
RePEc:pra:mprapa:32610
[Citation Analysis]
2011What said the neoclassical and endogenous growth theories about Portugal?
RePEc:pra:mprapa:32631
[Citation Analysis]
2011What said the new economic geography about Portugal? An alternative approach
RePEc:pra:mprapa:32795
[Citation Analysis]
2011Net migration and convergence in Portugal. An alternative analysis
RePEc:pra:mprapa:32801
[Citation Analysis]
2011Application of Keynesian and convergence theories in Portugal. Differences and similarities
RePEc:pra:mprapa:32910
[Citation Analysis]
2011Application of convergence theories and new economic geography in Portugal. An alternative analysis
RePEc:pra:mprapa:32986
[Citation Analysis]
2011Application of Keynesian and convergence theories in Portugal. An alternative approach
RePEc:pra:mprapa:32987
[Citation Analysis]
2011Application of Keynesian theory and new economic geography in Portugal. An alternative analysis
RePEc:pra:mprapa:32999
[Citation Analysis]
2011What said the economic theory about Portugal
RePEc:pra:mprapa:33021
[Citation Analysis]
2011The Keynesian theory and the manufactured industry in Portugal
RePEc:pra:mprapa:33363
[Citation Analysis]
2011The convergence theories and the manufactured industry in Portugal
RePEc:pra:mprapa:33365
[Citation Analysis]
2011The experience curve and the market size of competitive consumer durable markets
RePEc:pra:mprapa:33370
[Citation Analysis]
2011The Keynesian and the convergence theories in the Portuguese manufactured industry
RePEc:pra:mprapa:33371
[Citation Analysis]
2011The Keynesian and the convergence theories in the Portuguese manufactured industry. Another approach
RePEc:pra:mprapa:33373
[Citation Analysis]
2011The Keynesian theory and the geographic concentration in the Portuguese manufactured industry
RePEc:pra:mprapa:33404
[Citation Analysis]
2011The Keynesian theory and the geographic concentration in the Portuguese manufactured industry. Another analysis
RePEc:pra:mprapa:33406
[Citation Analysis]
2011The convergence theories and the geographic concentration in the Portuguese manufactured industry. Another approach
RePEc:pra:mprapa:33407
[Citation Analysis]
2011The convergence theories and the geographic concentration in the Portuguese manufactured industry
RePEc:pra:mprapa:33411
[Citation Analysis]
2011The economic theory and the Portuguese manufactured industry
RePEc:pra:mprapa:33491
[Citation Analysis]
2011The economic theory and the Portuguese manufactured industry. Another approach
RePEc:pra:mprapa:33492
[Citation Analysis]
2011A linear model of the new economic geography for Portugal
RePEc:pra:mprapa:33506
[Citation Analysis]
2011A non linear model of the new economic geography for Portugal
RePEc:pra:mprapa:33507
[Citation Analysis]
2011A model of the Keynesian theory for the Portuguese manufactured industry
RePEc:pra:mprapa:33632
[Citation Analysis]
2011A model of the Keynesian theory for the Portuguese manufactured industry. Another analysis
RePEc:pra:mprapa:33633
[Citation Analysis]
2011A model for net migration between the Portuguese regions
RePEc:pra:mprapa:33717
[Citation Analysis]
2011A model for net migration between the Portuguese regions. Another perspective
RePEc:pra:mprapa:33718
[Citation Analysis]
2011A model based on the Rybczynski equation for Portugal
RePEc:pra:mprapa:33734
[Citation Analysis]
2011A model based on the Rybczynski equation for Portugal. Another way
RePEc:pra:mprapa:33735
[Citation Analysis]
2011Evolutionary Model of Non-Durable Markets
RePEc:pra:mprapa:33743
[Citation Analysis]
2011Integration and contagion in US housing markets
RePEc:pra:mprapa:34591
[Citation Analysis]
2011The cost of counterparty risk and collateralization in longevity swaps
RePEc:pra:mprapa:35740
[Citation Analysis]
2011Large covariance estimation by thresholding principal orthogonal complements
RePEc:pra:mprapa:38697
[Citation Analysis]
2011Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011
RePEc:ris:ewikln:2011_006
[Citation Analysis]
2011Modeling the International-Trade Network: A Gravity Approach
RePEc:ssa:lemwps:2011/25
[Citation Analysis]
2011Integration and Contagion in US Housing Markets
RePEc:ucd:wpaper:201131
[Citation Analysis]
2011The Small and Large Time Implied Volatilities in the Minimal Market Model
RePEc:uts:rpaper:297
[Citation Analysis]
2011Evolutionary Model of Non-Durable Markets
RePEc:zbw:esprep:50531
[Citation Analysis]
2011The Economic Theory and the Portuguese Manufactured Industry
RePEc:zbw:esprep:51350
[Citation Analysis]
2011The Experience Curve and the Market Size of Competitive Consumer Durable Markets
RePEc:zbw:esprep:59749
[Citation Analysis]
2011The Japanese economy in crises: A time series segmentation study
RePEc:zbw:ifwedp:201124
[Citation Analysis]
2011Modelling trades-through in a limited order book using Hawkes processes
RePEc:zbw:ifwedp:201132
[Citation Analysis]

Recent citations received in: 2010

YearTitleSee
2010Continuous-time trading and the emergence of probability
RePEc:arx:papers:0904.4364
[Citation Analysis]
2010Exotic derivatives under stochastic volatility models with jumps
RePEc:arx:papers:0912.2595
[Citation Analysis]
2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
RePEc:arx:papers:0912.5427
[Citation Analysis]
2010On refined volatility smile expansion in the Heston model
RePEc:arx:papers:1001.3003
[Citation Analysis]
2010Security Pricing with Information-Sensitive Discounting
RePEc:arx:papers:1001.3570
[Citation Analysis]
2010Convergence of Heston to SVI
RePEc:arx:papers:1002.3633
[Citation Analysis]
2010Dynamic risk measures
RePEc:arx:papers:1002.3794
[Citation Analysis]
2010Managing Derivative Exposure
RePEc:arx:papers:1004.1053
[Citation Analysis]
2010On the fractional Black-Scholes market with transaction costs
RePEc:arx:papers:1005.0211
[Citation Analysis]
2010The dual optimizer for the growth-optimal portfolio under transaction costs
RePEc:arx:papers:1005.5105
[Citation Analysis]
2010Completing CVA and Liquidity: Firm-Level Positions and Collateralized Trades
RePEc:arx:papers:1009.3361
[Citation Analysis]
2010Financial system and macroeconomic resilience: revisited
RePEc:bis:bisbps:53
[Citation Analysis]
2010Leverage Causes Fat Tails and Clustered Volatility
RePEc:cwl:cwldpp:1745
[Citation Analysis]
2010Optimal trade execution and absence of price manipulations in limit order book models
RePEc:hal:journl:hal-00397652
[Citation Analysis]
2010Partial equilibria with convex capital requirements: existence, uniqueness and stability
RePEc:kap:annfin:v:6:y:2010:i:1:p:107-135
[Citation Analysis]
2010Securities Pricing with Information-Sensitive Discounting
RePEc:kyo:wpaper:695
[Citation Analysis]
2010An economic model of contagion in interbank lending markets
RePEc:lec:leecon:11/06
[Citation Analysis]
2010Risk and Global Economic Architecture: Why Full Financial Integration May Be Undesirable
RePEc:nbr:nberwo:15718
[Citation Analysis]
2010Levy Subordinator Model of Default Dependency
RePEc:pra:mprapa:21386
[Citation Analysis]
2010Elementi di novità, meccanismi noti e cause di fondo della recente crisi
RePEc:pra:mprapa:21648
[Citation Analysis]
2010Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.
RePEc:pra:mprapa:23082
[Citation Analysis]
2010Counterparty Risk Subject To ATE
RePEc:pra:mprapa:27782
[Citation Analysis]
2010Counterparty Risk Subject To ATE
RePEc:pra:mprapa:28067
[Citation Analysis]
2010Theoretical analysis of the bid-ask bounce and Related Phenomena
RePEc:pra:mprapa:35929
[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009On the Stickiness Property
RePEc:arx:papers:0801.0718
[Citation Analysis]
2009How to quantify the influence of correlations on investment diversification
RePEc:arx:papers:0805.3397
[Citation Analysis]
2009Analysis of Fourier transform valuation formulas and applications
RePEc:arx:papers:0809.3405
[Citation Analysis]
2009Implementing Loss Distribution Approach for Operational Risk
RePEc:arx:papers:0904.1805
[Citation Analysis]
2009Minimizing the expected market time to reach a certain wealth level
RePEc:arx:papers:0904.1903
[Citation Analysis]
2009Dynamic operational risk: modeling dependence and combining different sources of information
RePEc:arx:papers:0904.4074
[Citation Analysis]
2009Modeling operational risk data reported above a time-varying threshold
RePEc:arx:papers:0904.4075
[Citation Analysis]
2009Colloquium: Statistical mechanics of money, wealth, and income
RePEc:arx:papers:0905.1518
[Citation Analysis]
2009Heterogeneous Beliefs with Partial Observations
RePEc:arx:papers:0907.4950
[Citation Analysis]
2009The Structure and Growth of Weighted Networks
RePEc:arx:papers:0908.0348
[Citation Analysis]
2009Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
RePEc:arx:papers:0909.1478
[Citation Analysis]
2009Financial bubbles analysis with a cross-sectional estimator
RePEc:arx:papers:0909.2885
[Citation Analysis]
2009Scaling and memory in the non-poisson process of limit order cancelation
RePEc:arx:papers:0911.0057
[Citation Analysis]
2009Finitely additive probabilities and the Fundamental Theorem of Asset Pricing
RePEc:arx:papers:0911.5503
[Citation Analysis]
2009Variance Optimal Hedging for continuous time processes with independent increments and applications
RePEc:arx:papers:0912.0372
[Citation Analysis]
2009Superfamily classification of nonstationary time series based on DFA scaling exponents
RePEc:arx:papers:0912.2016
[Citation Analysis]
2009Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model
RePEc:arx:papers:0912.3031
[Citation Analysis]
2009Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
RePEc:arx:papers:0912.4404
[Citation Analysis]
2009The Structure and Growth of International Trade
RePEc:fce:doctra:0924
[Citation Analysis]
2009Systematic risk analysis: first steps towards a new definition of beta
RePEc:hal:journl:inria-00425077
[Citation Analysis]
2009THE INTRODUCTION OF EMERGING CURRENCIES INTO A PORTFOLIO: TOWARDS A MORE COMPLETE DIVERSIFICATION MODEL
RePEc:hal:wpaper:hal-00616581
[Citation Analysis]
2009Policies for Achieving Structural Transformation in the Caribbean: Private Sector Development Discussion Paper #2
RePEc:idb:brikps:72918
[Citation Analysis]
2009Does economics need a scientific revolution?
RePEc:pra:mprapa:14476
[Citation Analysis]
2009A fair price for motor fuel in the United States
RePEc:pra:mprapa:15039
[Citation Analysis]
2009Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange
RePEc:pra:mprapa:19887
[Citation Analysis]
2009The dynamics of social interaction with agents’ heterogeneity
RePEc:vnm:wpaper:189
[Citation Analysis]
2009Distribution of Labour Productivity in Japan over the Period 1996–-2006
RePEc:zbw:ifwedp:7481
[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008Sparse and stable Markowitz portfolios
RePEc:arx:papers:0708.0046
[Citation Analysis]
2008Investments in Random Environments
RePEc:arx:papers:0709.3630
[Citation Analysis]
2008Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments
RePEc:arx:papers:0801.4305
[Citation Analysis]
2008Intermittency and Localization
RePEc:arx:papers:0802.3541
[Citation Analysis]
2008Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
RePEc:arx:papers:0802.4311
[Citation Analysis]
2008Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
RePEc:arx:papers:0805.0540
[Citation Analysis]
2008Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
RePEc:arx:papers:0807.3464
[Citation Analysis]
2008Modelling real GDP per capita in the USA: cointegration test
RePEc:arx:papers:0811.0490
[Citation Analysis]
2008The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation
RePEc:arx:papers:0812.4052
[Citation Analysis]
2008The Great Risk Shift? Income Volatility in an International Perspective
RePEc:ces:ceswps:_2465
[Citation Analysis]
2008A Boltzmann-type Approach to the Formation of Wealth Distribution Curves
RePEc:knz:cofedp:0805
[Citation Analysis]
2008Happiness Inequality in the United States
RePEc:nbr:nberwo:14220
[Citation Analysis]
2008What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data
RePEc:nbr:nberwo:14465
[Citation Analysis]
2008An analytically tractable time-changed jump-diffusion default intensity model
RePEc:rdg:icmadp:icma-dp2008-06
[Citation Analysis]
2008Pricing by hedging and no-arbitrage beyond semimartingales
RePEc:spr:finsto:v:12:y:2008:i:4:p:441-468
[Citation Analysis]
2008Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
RePEc:zbw:ifwedp:7463
[Citation Analysis]
2008Power-Law and Log-Normal Distributions in Firm Size Displacement Data
RePEc:zbw:ifwedp:7466
[Citation Analysis]

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