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

 

  
 

Quantitative Finance / Taylor and Francis Journals

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
19900.080000.04
19910.080000.04
19920.080000.04
19930.090000.05
19940.10000.05
19950.190000.07
19960.230000.1
19970.290000.1
19980.290000.11
19990.340000.15
20000.430000.17
20010.456646600160.240.17
20020.320.46632016621060.10.21
20030.40.486815412951020.030.21
20040.320.556818813142090.130.23
20050.290.5750154136402.540.080.24
20060.260.5445731183119.430.070.22
20070.230.4863559522040.060.19
20080.070.564991088080.130.22
20090.170.51804512721010.010.21
20100.240.461135914435050.040.17
20110.130.648725193260130.150.26
 
 
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
2001Empirical properties of asset returns: stylized facts and statistical issues
RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236 [Citation Analysis]		85
2001Financial markets as nonlinear adaptive evolutionary systems
RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167 [Citation Analysis]		70
2001What good is a volatility model?
RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245 [Citation Analysis]		48
2005Empirical modelling of contagion: a review of methodologies
RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24 [Citation Analysis]		43
2002Dynamics of implied volatility surfaces
RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60 [Citation Analysis]		42
2003Dependence structures for multivariate high-frequency data in finance
RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14 [Citation Analysis]		41
2004Network topology of the interbank market
RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684 [Citation Analysis]		37
2001Asset price and wealth dynamics under heterogeneous expectations
RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526 [Citation Analysis]		32
2002Statistical properties of stock order books: empirical results and models
RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256 [Citation Analysis]		25
2001Significance of log-periodic precursors to financial crashes
RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471 [Citation Analysis]		24
2001High-frequency cross-correlation in a set of stocks
RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104 [Citation Analysis]		23
2002A simulation analysis of the microstructure of double auction markets
RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353 [Citation Analysis]		22
2001Pricing weather derivatives by marginal value
RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308 [Citation Analysis]		21
2001Stochastic volatility as a simple generator of apparent financial power laws and long memory
RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631 [Citation Analysis]		20
2001Infectious defaults
RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387 [Citation Analysis]		20
2001Optimal positioning in derivative securities
RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37 [Citation Analysis]		18
2004Fluctuations and response in financial markets: the subtle nature of random price changes
RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190 [Citation Analysis]		18
2004What really causes large price changes?
RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397 [Citation Analysis]		18
2010Optimal execution strategies in limit order books with general shape functions
RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157 [Citation Analysis]		16
2001Stochastic volatility, power laws and long memory
RePEc:taf:quantf:v:1:y:2001:i:6:p:558-559 [Citation Analysis]		16
2001Information and option pricings
RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44 [Citation Analysis]		15
2003Systematic risk and timescales
RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116 [Citation Analysis]		15
2008A multifactor volatility Heston model
RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604 [Citation Analysis]		15
2003Testing the Gaussian copula hypothesis for financial assets dependences
RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250 [Citation Analysis]		15
2004A spot market model for pricing derivatives in electricity markets
RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122 [Citation Analysis]		14
2002Asymptotics and calibration of local volatility models
RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69 [Citation Analysis]		14
2005Order book approach to price impact
RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364 [Citation Analysis]		13

repec:taf:quantf:v:6:y:2006:i:6:p:513-536 [Citation Analysis]		13
2003Statistical theory of the continuous double auction
RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514 [Citation Analysis]		13
2011Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen
RePEc:taf:quantf:v:11:y:2011:i:6:p:825-826 [Citation Analysis]		12
2003Fundamentalists clashing over the book: a study of order-driven stock markets
RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480 [Citation Analysis]		12
2004Testing for persistence in stock returns with GARCH-stable shocks
RePEc:taf:quantf:v:4:y:2004:i:3:p:256-265 [Citation Analysis]		12
2004Volatility processes and volatility forecast with long memory
RePEc:taf:quantf:v:4:y:2004:i:1:p:70-86 [Citation Analysis]		12
2005Multiple equilibria in a monopoly market with heterogeneous agents and externalities
RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568 [Citation Analysis]		12
2002Consistent pricing and hedging for a modified constant elasticity of variance model
RePEc:taf:quantf:v:2:y:2002:i:6:p:459-467 [Citation Analysis]		11
2004Sampling from Archimedean copulas
RePEc:taf:quantf:v:4:y:2004:i:3:p:339-352 [Citation Analysis]		11
2005Tobin tax and market depth
RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218 [Citation Analysis]		11
2002Probability distribution of returns in the Heston model with stochastic volatility
RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453 [Citation Analysis]		11
2004On the estimation of cost of capital and its reliability
RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372 [Citation Analysis]		10
2001Multifractal returns and hierarchical portfolio theory
RePEc:taf:quantf:v:1:y:2001:i:1:p:131-148 [Citation Analysis]		10
2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501 [Citation Analysis]		10
2005Static-arbitrage upper bounds for the prices of basket options
RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342 [Citation Analysis]		10
2001Price fluctuations, market activity and trading volume
RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269 [Citation Analysis]		10
2002Semi-parametric modelling in finance: theoretical foundations
RePEc:taf:quantf:v:2:y:2002:i:4:p:241-250 [Citation Analysis]		10
2010No-dynamic-arbitrage and market impact
RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759 [Citation Analysis]		10
2001Asset allocation and derivatives
RePEc:taf:quantf:v:1:y:2001:i:1:p:45-72 [Citation Analysis]		10
2002On the foundation of performance measures under asymmetric returns
RePEc:taf:quantf:v:2:y:2002:i:3:p:217-223 [Citation Analysis]		10
2010Portfolio selection with higher moments
RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485 [Citation Analysis]		9
2001A statistical analysis of log-periodic precursors to financial crashes*
RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360 [Citation Analysis]		9
2001Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
RePEc:taf:quantf:v:1:y:2001:i:5:p:542-551 [Citation Analysis]		9

Citing documents used to compute impact factor 26:
YearTitleSee
2011Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
RePEc:pra:mprapa:35561		[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]
2011Investment horizon effect on asset allocation between value and growth strategies
RePEc:eee:ecmode:v:28:y:2011:i:4:p:1489-1497		[Citation Analysis]
2011On the role of norm constraints in portfolio selection
RePEc:spr:comgts:v:8:y:2011:i:4:p:323-353		[Citation Analysis]
2011Loss-Based Risk Measures
RePEc:hal:wpaper:hal-00629929		[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]
2011Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics
RePEc:uts:rpaper:289		[Citation Analysis]
2011Three-Benchmarked Risk Minimization for Jump Diffusion Markets
RePEc:uts:rpaper:296		[Citation Analysis]
2011Analysis of multidimensional probability distributions with copula functions
RePEc:ris:apltrx:0077		[Citation Analysis]
2011The cost of counterparty risk and collateralization in longevity swaps
RePEc:pra:mprapa:35740		[Citation Analysis]
2011Diversification disasters
RePEc:eee:jfinec:v:99:y:2011:i:2:p:333-348		[Citation Analysis]
2011Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options
RePEc:arx:papers:1105.4567		[Citation Analysis]
2011High frequency correlation modelling
RePEc:hal:journl:hal-00621244		[Citation Analysis]
2011The asymmetric behavior and procyclical impact of asset correlations
RePEc:eee:jbfina:v:35:y:2011:i:10:p:2559-2568		[Citation Analysis]
2011Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis
RePEc:ris:ewikln:2011_005		[Citation Analysis]
2011Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures
RePEc:eee:quaeco:v:51:y:2011:i:2:p:173-188		[Citation Analysis]
2011Calibration of selfdecomposable Lévy models
RePEc:hum:wpaper:sfb649dp2011-073		[Citation Analysis]
2011A CDS Option Miscellany
RePEc:arx:papers:1201.0111		[Citation Analysis]
2011The solution to the forward-bias puzzle: Reply
RePEc:eee:intfin:v:21:y:2011:i:4:p:629-636		[Citation Analysis]
2011Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
RePEc:arx:papers:1201.0075		[Citation Analysis]
2011Computation of copulas by Fourier methods
RePEc:arx:papers:1108.1216		[Citation Analysis]
2011Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
RePEc:usg:econwp:2011:36		[Citation Analysis]
2011Sufficient conditions for expected utility to imply drawdown-based performance rankings
RePEc:eee:jbfina:v:35:y:2011:i:9:p:2311-2318		[Citation Analysis]
2011Stochastic Price Dynamics Implied By the Limit Order Book
RePEc:arx:papers:1105.4789		[Citation Analysis]
2011Multivariate semi-nonparametric distributions with dynamic conditional correlations
RePEc:eee:intfor:v:27:y::i:2:p:347-364		[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2011

YearTitleSee
2011The volatility of consumption-based stochastic discount factors and economic cycles
RePEc:eee:jbfina:v:35:y:2011:i:9:p:2197-2216		[Citation Analysis]
2011Exports versus multinational production under nominal uncertainty
RePEc:fip:fedgif:1038		[Citation Analysis]
2011The international role of the dollar: Does it matter if this changes?
RePEc:fip:fednsr:522		[Citation Analysis]
2011A Poupança em Portugal
RePEc:gmf:wpaper:2011-19		[Citation Analysis]
2011Policymaking in the Eurozone and the Core Vs. Perifphery Problem
RePEc:irv:wpaper:101112		[Citation Analysis]
2011Role Reversal in Global Finance
RePEc:iza:izadps:dp6032		[Citation Analysis]
2011The International Monetary System: Living with Asymmetry
RePEc:nbr:nberch:12596		[Citation Analysis]
2011International Liquidity: The Fiscal Dimension
RePEc:nbr:nberwo:17379		[Citation Analysis]
2011Reserves and Baskets
RePEc:nbr:nberwo:17492		[Citation Analysis]
2011Role Reversal in Global Finance
RePEc:nbr:nberwo:17497		[Citation Analysis]
2011The International Monetary System: Living with Asymmetry
RePEc:nbr:nberwo:17641		[Citation Analysis]
2011Comments on: Inference in multivariate Archimedean copula models
RePEc:spr:testjl:v:20:y:2011:i:2:p:263-270		[Citation Analysis]
2011Currency blocs in the 21st century
RePEc:zbw:bubdp1:201112		[Citation Analysis]

Recent citations received in: 2010

YearTitleSee
2010On the Dybvig-Ingersoll-Ross Theorem
RePEc:arx:papers:0901.2080		[Citation Analysis]
2010Students t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
RePEc:arx:papers:1003.1344		[Citation Analysis]
2010Pricing American options under stochastic volatility and stochastic interest rates
RePEc:eee:jfinec:v:98:y:2010:i:1:p:145-159		[Citation Analysis]
2010Optimal trade execution and absence of price manipulations in limit order book models
RePEc:hal:journl:hal-00397652		[Citation Analysis]
2010Systemic Stability of Housing and Mortgage Market: A state-dependent four-phase model
RePEc:pra:mprapa:23708		[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Firm growth, European industry dynamics and domestic business cycles
RePEc:inn:wpaper:2009-18		[Citation Analysis]

Recent citations received in: 2008

YearTitleSee
2008The Effect of Rating Agencies on Herd Behaviour
RePEc:bai:series:wp0022		[Citation Analysis]
2008Econometric Asset Pricing Modelling.
RePEc:bfr:banfra:223		[Citation Analysis]
2008The Effect of Rating Agencies on Herd Behaviour
RePEc:eei:rpaper:eeri_rp_2008_21		[Citation Analysis]
2008A Stochastic Receding Horizon Control Approach to Constrained Index Tracking
RePEc:kap:apfinm:v:15:y:2008:i:1:p:3-24		[Citation Analysis]
2008Power Laws in Economics and Finance
RePEc:nbr:nberwo:14299		[Citation Analysis]
2008ON THE ABSORBABILITY OF HERD BEHAVIOUR AND INFORMATIONAL CASCADES: AN EXPERIMENTAL ANALYSIS
RePEc:pra:mprapa:6884		[Citation Analysis]
2008A simple note on herd behaviour
RePEc:spr:joevec:v:18:y:2008:i:5:p:639-646		[Citation Analysis]
2008Why and how to integrate liquidity risk into a VaR-framework
RePEc:zbw:cefswp:200810		[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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