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  Updated February, 5 2013 465.484 documents processed, 11.198.332 references and 4.512.497 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 (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
19900.010.0866281301010.020.04
19910.08665613200.04
19920.08843013200.04
19930.010.0910363150100.05
19940.11285218700.05
199500.1911960231100.07
19960.020.239058247500.1
19970.010.2910439209200.1
19980.030.2984551945010.010.11
19990.030.3410452188500.15
20000.010.43108681881020.020.17
20010.020.4594422125010.010.17
20020.020.467342202400.21
20030.020.4879411673020.030.21
20040.030.5592421525030.030.23
20050.030.5790381715010.010.24
20060.050.5495491829060.060.22
20070.030.489538185600.19
20080.080.510343190160100.10.22
20090.070.511783719814040.020.21
20100.070.46110728120020.020.17
20110.050.6412732881500.26
 
 
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
1981Martingales and stochastic integrals in the theory of continuous trading
RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260 [Citation Analysis]		238
2000Weak convergence of multivariate fractional processes
RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120 [Citation Analysis]		36
1983A stochastic calculus model of continuous trading: Complete markets
RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316 [Citation Analysis]		29
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]		26
1996Multivariate regression estimation local polynomial fitting for time series
RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101 [Citation Analysis]		24
1998Selecting the optimal sample fraction in univariate extreme value estimation
RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172 [Citation Analysis]		24
1990Nonparametric regression with long-range dependence
RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351 [Citation Analysis]		21
2006Limit theorems for multipower variation in the presence of jumps
RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806 [Citation Analysis]		20
1985Some mixing properties of time series models
RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303 [Citation Analysis]		19
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]		18
2004Dynamic coherent risk measures
RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200 [Citation Analysis]		17
2009Microstructure noise in the continuous case: The pre-averaging approach
RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276 [Citation Analysis]		17
1993Risk theory in a stochastic economic environment
RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361 [Citation Analysis]		17
2002Regular variation of GARCH processes
RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115 [Citation Analysis]		16
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]		15
1991Option hedging for semimartingales
RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363 [Citation Analysis]		15
1991Time-dependent coefficients in a Cox-type regression model
RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180 [Citation Analysis]		14
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]		13
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]		13
1995A class of micropulses and antipersistent fractional Brownian motion
RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18 [Citation Analysis]		13
1999A new weak dependence condition and applications to moment inequalities
RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342 [Citation Analysis]		12
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]		12
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]		11
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]		11
2000Optimal portfolios for logarithmic utility
RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48 [Citation Analysis]		10
1996On the Kullback-Leibler information divergence of locally stationary processes
RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168 [Citation Analysis]		10

repec:eee:spapps:v:115:y:2005:i:9:p:1557-1582 [Citation Analysis]		9
1999Detection of multiple changes in a sequence of dependent variables
RePEc:eee:spapps:v:83:y:1999:i:1:p:79-102 [Citation Analysis]		9
2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks
RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325 [Citation Analysis]		8
1995Utility maximization with partial information
RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273 [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
2003On the optimal stopping problem for one-dimensional diffusions
RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212 [Citation Analysis]		8
1992Maximum-likelihood estimation for hidden Markov models
RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143 [Citation Analysis]		8
1995Fractional ARIMA with stable innovations
RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47 [Citation Analysis]		8
1998Additional logarithmic utility of an insider
RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286 [Citation Analysis]		8
2001Convergence of locally and globally interacting Markov chains
RePEc:eee:spapps:v:96:y:2001:i:1:p:99-121 [Citation Analysis]		8
1975Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403 [Citation Analysis]		8
2001Distributions for the risk process with a stochastic return on investments
RePEc:eee:spapps:v:95:y:2001:i:2:p:329-341 [Citation Analysis]		7
1977Estimation of a time series model from unequally spaced data
RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24 [Citation Analysis]		7
1982On convolution tails
RePEc:eee:spapps:v:13:y:1982:i:3:p:263-278 [Citation Analysis]		7
2002Power tailed ruin probabilities in the presence of risky investments
RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228 [Citation Analysis]		7
1978Alternative models for stationary stochastic processes
RePEc:eee:spapps:v:8:y:1978:i:2:p:141-152 [Citation Analysis]		7
1999Ruin problems with assets and liabilities of diffusion type
RePEc:eee:spapps:v:81:y:1999:i:2:p:255-269 [Citation Analysis]		6
1986On smoothed probability density estimation for stationary processes
RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193 [Citation Analysis]		6
1978On the invertibility of time series models
RePEc:eee:spapps:v:8:y:1978:i:1:p:87-92 [Citation Analysis]		6
1988Mixing properties of ARMA processes
RePEc:eee:spapps:v:29:y:1988:i:2:p:309-315 [Citation Analysis]		6
1992M-estimation for autoregressions with infinite variance
RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180 [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
1997Present value distributions with applications to ruin theory and stochastic equations
RePEc:eee:spapps:v:71:y:1997:i:1:p:123-144 [Citation Analysis]		6
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]		6

Citing documents used to compute impact factor 15:
YearTitleSee
2011Optimal investment with counterparty risk: a default-density model approach
RePEc:spr:finsto:v:15:y:2011:i:4:p:725-753		[Citation Analysis]
2011The Existence of Dominating Local Martingale Measures
RePEc:arx:papers:1111.3885		[Citation Analysis]
2011The large-maturity smile for the Heston model
RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780		[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]
2011Ultra high frequency volatility estimation with dependent microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:160-175		[Citation Analysis]
2011Edgeworth expansions for realized volatility and related estimators
RePEc:eee:econom:v:160:y:2011:i:1:p:190-203		[Citation Analysis]
2011Estimating covariation: Epps effect, microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:33-47		[Citation Analysis]
2011Covariance measurement in the presence of non-synchronous trading and market microstructure noise
RePEc:eee:econom:v:160:y:2011:i:1:p:58-68		[Citation Analysis]
2011Subsampling high frequency data
RePEc:eee:econom:v:161:y:2011:i:2:p:262-283		[Citation Analysis]
2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
RePEc:eee:econom:v:162:y:2011:i:2:p:149-169		[Citation Analysis]
2011On the maximum of covariance estimators
RePEc:eee:jmvana:v:102:y:2011:i:6:p:1032-1046		[Citation Analysis]
2011Hedging of a credit default swaption in the CIR default intensity model
RePEc:spr:finsto:v:15:y:2011:i:3:p:541-572		[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]
2011Some Recent Aspects of Differential Game Theory
RePEc:spr:inrvec:v:1:y:2011:i:1:p:74-114		[Citation Analysis]
2011Some Recent Aspects of Differential Game Theory
RePEc:spr:dyngam:v:1:y:2011:i:1:p:74-114		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee

Recent citations received in: 2010

YearTitleSee
2010Threshold bipower variation and the impact of jumps on volatility forecasting
RePEc:eee:econom:v:159:y:2010:i:2:p:276-288		[Citation Analysis]
2010Threshold bipower variation and the impact of jumps on volatility forecasting
RePEc:hal:journl:peer-00741630		[Citation Analysis]

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]
2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
RePEc:eee:mateco:v:45:y:2009:i:11:p:738-750		[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]

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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