Most cited documents in this series:

Year	Title	Cited
2009	The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges RePEc:cfi:fseres:cf164 [Citation Analysis]	21
2009	Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models RePEc:cfi:fseres:cf156 [Citation Analysis]	21
2009	Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? RePEc:cfi:fseres:cf158 [Citation Analysis]	14
2005	Multi-Period Corporate Default Prediction With Stochastic Covariates RePEc:cfi:fseres:cf047 [Citation Analysis]	6
2009	A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk RePEc:cfi:fseres:cf159 [Citation Analysis]	6
2005	Trade Credit, Bank Loans, and Monitoring: Evidence from Japan RePEc:cfi:fseres:cf054 [Citation Analysis]	5
2005	Saving and Interest Rates in Japan: Why They Have Fallen and Why They Will Remain Low RePEc:cfi:fseres:cf028 [Citation Analysis]	5
2005	Bank Health and Investment: An Analysis of Unlisted Companies in Japan RePEc:cfi:fseres:cf029 [Citation Analysis]	4
2009	Multivariate Stochastic Volatility with Cross Leverage RePEc:cfi:fseres:cf191 [Citation Analysis]	4
2004	Cost of Enforcement in Developing Countries with Credit Market Imperfection RePEc:cfi:fseres:cf004 [Citation Analysis]	3
2009	Non-Traditional Monetary Polices: G7 Central Banks during 2007-2009 and the Bank of Japan during 1998-2006 RePEc:cfi:fseres:cf180 [Citation Analysis]	3
2010	Realized Volatility Risk RePEc:cfi:fseres:cf197 [Citation Analysis]	3
2004	On Detail-Free Mechanism Design and Rationality RePEc:cfi:fseres:cf010 [Citation Analysis]	3
2006	Collective Risk Control And Group Security: The Unexpected Consequences of Differential Risk Aversion RePEc:cfi:fseres:cf060 [Citation Analysis]	2
2011	The Great Intervention and Massive Money Injection: The Japanese Experience 2003-2004 RePEc:cfi:fseres:cf266 [Citation Analysis]	2
2004	Testing for Linearity in Regressions with I (1) processes RePEc:cfi:fseres:cf014 [Citation Analysis]	2
2005	Monte Carlo Simulation with Asymptotic Method (Published in Journal of Japan Statistical Society, Vol.35-2, 171-203, 2005. ) RePEc:cfi:fseres:cf030 [Citation Analysis]	2
2010	Role of Linking Mechanisms in Multitask Agency with Hidden Information RePEc:cfi:fseres:cf209 [Citation Analysis]	2
2011	Bubbles, Banks, and Financial Stability RePEc:cfi:fseres:cf253 [Citation Analysis]	2
2010	Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns RePEc:cfi:fseres:cf202 [Citation Analysis]	2
2009	Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan RePEc:cfi:fseres:cf192 [Citation Analysis]	2
2006	The Role of Trade Credit for Small Firms: An Implication from Japans Banking Crisis RePEc:cfi:fseres:cf078 [Citation Analysis]	2
2009	Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors RePEc:cfi:fseres:cf198 [Citation Analysis]	1
	repec:cfi:fseres:cf099 [Citation Analysis]	1
2009	IMF Bank-Restructuring Efficiency Outcomes: Evidence from East Asia RePEc:cfi:fseres:cf148 [Citation Analysis]	1
2005	Monetary Policy during Japans Lost Decade RePEc:cfi:fseres:cf035 [Citation Analysis]	1
2006	A Dynamic Theory of Debt Restructuring RePEc:cfi:fseres:cf072 [Citation Analysis]	1
2010	New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009.) RePEc:cfi:fseres:cf212 [Citation Analysis]	1
2008	Technology Shocks and Asset Price Dynamics:The Role of Housing in General Equilibrium RePEc:cfi:fseres:cf119 [Citation Analysis]	1
2007	Pioneering Modern Corporate Governance: a View from London in 1900 (Subsequently published in Enterprise and Society, vol. 8, no. 3, September 2007, pp. 642-86. ) RePEc:cfi:fseres:cf093 [Citation Analysis]	1
2011	Efficient Combinatorial Exchanges RePEc:cfi:fseres:cf258 [Citation Analysis]	1
2009	The Determinants of Bank Capital Ratios in a Developing Economy RePEc:cfi:fseres:cf147 [Citation Analysis]	1
2010	Pricing Barrier and Average Options under Stochastic Volatility Environment RePEc:cfi:fseres:cf176 [Citation Analysis]	1
2006	Relative Performance Evaluation between Multitask Agents RePEc:cfi:fseres:cf067 [Citation Analysis]	1
2008	A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in International Journal of Theoretical and Applie RePEc:cfi:fseres:cf116 [Citation Analysis]	1
2009	Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return RePEc:cfi:fseres:cf157 [Citation Analysis]	1
2011	An Asymptotic Expansion with Push-Down of Malliavin Weights RePEc:cfi:fseres:cf194 [Citation Analysis]	1
2006	Group Provision Against Adversity: Security By Insurance vs. Protection RePEc:cfi:fseres:cf086 [Citation Analysis]	1
2009	Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes RePEc:cfi:fseres:cf144 [Citation Analysis]	1
2006	Banking in General Equilibrium with an Application to Japan RePEc:cfi:fseres:cf066 [Citation Analysis]	1
2007	Consumption Insurance and Risk-Coping Strategies under Non-Separable Utility: Evidence from the Kobe Earthquake RePEc:cfi:fseres:cf106 [Citation Analysis]	1
2004	Decentralized Trade, Random Utility and the Evolution of Social Welfare (Journal of Economic Theory, 2008, Vol.140, .No. 1, 328-338. ) RePEc:cfi:fseres:cf009 [Citation Analysis]	1
2005	Scanning Multivariate Conditional Densities with Probability Integral Transforms RePEc:cfi:fseres:cf045 [Citation Analysis]	1
2006	Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates RePEc:cfi:fseres:cf082 [Citation Analysis]	1
2011	A General Computation Scheme for a High-Order Asymptotic Expansion Method RePEc:cfi:fseres:cf242 [Citation Analysis]	1
2008	Timing of Convertible Debt Financing and Investment RePEc:cfi:fseres:cf131 [Citation Analysis]	1
2009	Modelling Conditional Correlations for Risk Diversification in Crude Oil Markets RePEc:cfi:fseres:cf162 [Citation Analysis]	1
2006	Intra-day Seasonality in Activities of the Foreign Exchange Markets: Evidence from the Electronic Broking System (Subsequently published in Journal of the Japanese and International Economies, Volume RePEc:cfi:fseres:cf064 [Citation Analysis]	1
2009	Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Students t-distribution RePEc:cfi:fseres:cf199 [Citation Analysis]	1
2007	Block Sampler and Posterior Mode Estimation for A Nonlinear and Non-Gaussian State-Space Model with Correlated Errors RePEc:cfi:fseres:cf104 [Citation Analysis]	1

Citing documents used to compute impact factor 31:

Year	Title	See
2011	Implied Volatility Surface: Construction Methodologies and Characteristics RePEc:arx:papers:1107.1834	[Citation Analysis]
2011	Optimally Empty Promises and Endogenous Supervision RePEc:cla:levarc:786969000000000270	[Citation Analysis]
2011	Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries RePEc:eee:finana:v:20:y:2011:i:3:p:152-164	[Citation Analysis]
2011	Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation RePEc:arx:papers:1112.1521	[Citation Analysis]
2011	Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA RePEc:cfi:fseres:cf265	[Citation Analysis]
2011	Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates RePEc:ucm:doicae:1113	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:ucm:doicae:1120	[Citation Analysis]
2011	Currency Hedging Strategies Using Dynamic Multivariate GARCH RePEc:ucm:doicae:1133	[Citation Analysis]
2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures RePEc:ucm:doicae:1132	[Citation Analysis]
2011	Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan RePEc:ucm:doicae:1131	[Citation Analysis]
2011	Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan RePEc:ucm:doicae:1128	[Citation Analysis]
2011	GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies RePEc:ucm:doicae:1127	[Citation Analysis]
2011	Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures RePEc:cbt:econwp:11/26	[Citation Analysis]
2011	GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies RePEc:cbt:econwp:11/28	[Citation Analysis]
2011	International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord RePEc:ucm:doicae:1101	[Citation Analysis]
2011	Risk Management of Precious Metals RePEc:ucm:doicae:1104	[Citation Analysis]
2011	Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures RePEc:dgr:eureir:1765022807	[Citation Analysis]
2011	Risk management of precious metals RePEc:eee:quaeco:v:51:y:2011:i:4:p:435-441	[Citation Analysis]
2011	Liquidity risk, credit risk, market risk and bank capital RePEc:eme:ijmfpp:v:7:y:2011:i:2:p:134-152	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:ucm:doicae:1135	[Citation Analysis]
2011	International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord RePEc:dgr:eureir:1765022237	[Citation Analysis]
2011	International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord RePEc:cbt:econwp:11/05	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:kyo:wpaper:795	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:cbt:econwp:11/32	[Citation Analysis]
2011	The Rise and Fall of S&P500 Variance Futures RePEc:dgr:eureir:1765026880	[Citation Analysis]
2011	Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns RePEc:ucm:doicae:1134	[Citation Analysis]
2011	Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation RePEc:dgr:eureir:1765023582	[Citation Analysis]
2011	Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management RePEc:eee:jimfin:v:30:y:2011:i:7:p:1387-1405	[Citation Analysis]
2011	Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range RePEc:dgr:eureir:1765023795	[Citation Analysis]
2011	Cost efficiency, determinants, and risk preferences in banking: A case of stochastic frontier analysis in the Philippines RePEc:eee:asieco:v:22:y:2011:i:1:p:23-35	[Citation Analysis]
2011	Analysing Risk Management in Banks: Evidence of Bank Efficiency and Macroeconomic Impact RePEc:pra:mprapa:33590	[Citation Analysis]

Cites in year: CiY