providing citation data for Economics since 2001
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CDO: Cumulative number of documents published until year y CCU: Cumulative number of citations to papers published until year y CIF: Cumulative impact factor CIT: Number of citations to papers published 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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 2001 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 172 |
| 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 84 |
| 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 64 |
| 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 54 |
| 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 51 |
| 2001 | Asset price and wealth dynamics under heterogeneous expectations. (2001). Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers || Download paper | 49 |
| 2002 | Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 46 |
| 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 45 |
| 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 36 |
| 2001 | High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers || Download paper | 33 |
| 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers || Download paper | 31 |
| 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 29 |
| 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 28 |
| 2001 | Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers || Download paper | 28 |
| 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 28 |
| 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 28 |
| 2001 | Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers || Download paper | 26 |
| 2001 | Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers || Download paper | 25 |
| 2008 | A multifactor volatility Heston model. (2008). DA FONSECA, José ; Tebaldi, Claudio ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 24 |
| 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 23 |
| 2001 | Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers || Download paper | 23 |
| 2003 | Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers || Download paper | 23 |
| 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 20 |
| 2001 | Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269. Full description at Econpapers || Download paper | 20 |
| 2003 | Fundamentalists clashing over the book: a study of order-driven stock markets. (2003). Pellizzari, Paolo ; LiCalzi, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480. Full description at Econpapers || Download paper | 20 |
| 2004 | A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers || Download paper | 20 |
| 2005 | Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers || Download paper | 19 |
| 2003 | Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers || Download paper | 18 |
| 2001 | Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers || Download paper | 18 |
| 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 17 |
| 2001 | Scaling and universality in economics: empirical results and theoretical interpretation. (2001). Stanley, H. E. ; Plerou, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:563-567. Full description at Econpapers || Download paper | 17 |
| 2002 | Probability distribution of returns in the Heston model with stochastic volatility. (2002). Dragulescu, A. A. ; Yakovenko, V. M.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers || Download paper | 17 |
| 2004 | On the estimation of cost of capital and its reliability. (2004). Wong, Wing-Keung ; Chan, Raymond . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372. Full description at Econpapers || Download paper | 16 |
| 2001 | Stochastic volatility, power laws and long memory. (2001). Mandelbrot, Benoît. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:558-559. Full description at Econpapers || Download paper | 16 |
| 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 15 |
| 2005 | Multiple equilibria in a monopoly market with heterogeneous agents and externalities. (2005). Phan, Denis ; Nadal, Jean-Pierre ; Vannimenus, Jean ; Gordon, Mirta B.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568. Full description at Econpapers || Download paper | 15 |
| 2001 | Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers || Download paper | 15 |
| 2002 | Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69. Full description at Econpapers || Download paper | 15 |
| 2004 | Sampling from Archimedean copulas. (2004). Whelan, Niall . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:339-352. Full description at Econpapers || Download paper | 15 |
| 2007 | Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers || Download paper | 15 |
| 2008 | Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers || Download paper | 15 |
| 2004 | Volatility processes and volatility forecast with long memory. (2004). Zumbach, Gilles . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:70-86. Full description at Econpapers || Download paper | 14 |
| 2001 | A statistical analysis of log-periodic precursors to financial crashes*. (2001). Feigenbaum, James. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360. Full description at Econpapers || Download paper | 14 |
| Fast strong approximation Monte Carlo schemes for stochastic volatility models. (2006). Kahl, Christian ; Jackel, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536. Full description at Econpapers || Download paper | 14 | |
| 2002 | Semi-parametric modelling in finance: theoretical foundations. (2002). Bingham, N. H. ; Kiesel, Rudiger . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:241-250. Full description at Econpapers || Download paper | 14 |
| 2001 | Large returns, conditional correlation and portfolio diversification: a value-at-risk approach. (2001). Granger, Clive ; C. W. J. GRANGER, ; Silvapulle, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:542-551. Full description at Econpapers || Download paper | 13 |
| 2005 | Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers || Download paper | 13 |
| 2005 | Empirical estimation of tail dependence using copulas: application to Asian markets. (2005). GUEGAN, Dominique ; Caillault, Cyril. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:5:p:489-501. Full description at Econpapers || Download paper | 13 |
| 2001 | Asset allocation and derivatives. (2001). Lo, Andrew ; Haugh, M. B.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:45-72. Full description at Econpapers || Download paper | 13 |
| 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 13 |
Citing documents used to compute impact factor 63:
| Year | Title | See |
|---|---|---|
| 2012 | The unexpected global financial crisis : researching its root cause. (2012). Lin, Justin ; Treichel, Volker . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:5937. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Large deviations for the extended Heston model: the large-time case. (2012). Jacquier, Antoine ; Mijatovic, Aleksandar . In: Papers. RePEc:arx:papers:1203.5020. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Kernel Search: An application to the index tracking problem. (2012). Guastaroba, G. ; Speranza, M. G.. In: European Journal of Operational Research. RePEc:eee:ejores:v:217:y:2012:i:1:p:54-68. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Analyzing long-term average adjustment of financial ratios with spatial interactions. (2012). mur, jesus ; Lacambra, Jesus Mur ; Mate-Sanchez, Mariluz ; López Hernández, Fernando A., . In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:4:p:1370-1376. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity. (2012). Yu, Philip ; Chen, Cathy W. S. ; Lin, Simon . In: Computational Economics. RePEc:kap:compec:v:40:y:2012:i:1:p:19-48. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks. (2012). Zhu, Hui-Ming ; Li, Su-Fang ; Yu, Keming . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:6:p:1951-1958. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Ensemble vs. time averages in financial time series analysis. (2012). Gunaratne, Gemunu H. ; Seemann, Lars ; McCauley, Joseph L. ; Hua, Jia-Chen . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:23:p:6024-6032. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Dependence modeling in non-life insurance using the Bernstein copula. (2012). Eling, Martin ; Diers, Dorothea ; Marek, Sebastian D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:430-436. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece. (2012). Ferreira, Paulo. In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2012_24. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Strict local martingale deflators and valuing American call-type options. (2012). Bayraktar, Erhan ; Kardaras, Constantinos ; Xing, Hao . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Income drawdown option with minimum guarantee. (2012). Gozzi, Fausto ; Vigna, Elena ; Federico, Salvatore ; Di Giacinto, Marina . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:272. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Nonlinear liquidity adjustments in the euro area overnight money market. (2012). Durré, Alain ; Beaupain, Renaud. In: Working Paper Series. RePEc:ecb:ecbwps:20121500. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting,
Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending. (2012). Brigo, Damiano. In: Papers. RePEc:arx:papers:1111.1331. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Financial instability from local market measures. (2012). Livan, Giacomo ; Marsili, Matteo ; Bardoscia, Marco . In: Papers. RePEc:arx:papers:1207.0356. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING. (2012). Leccadito, Arturo ; Tunaru, Radu S. ; TOSCANO, PIETRO . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:08:p:1250058-1-1250058-36. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A dynamic default dependence model. (2012). Nappo, Giovanna ; Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_892_12. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Efficient and accurate log-L\evy approximations to L\evy driven LIBOR
models. (2012). Papapantoleon, Antonis ; Schoenmakers, John ; Skovmand, David . In: Papers. RePEc:arx:papers:1106.0866. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Local Volatility Pricing Models for Long-dated FX Derivatives. (2012). Rayée, Grégory ; Gr'egory Ray'ee, ; Deelstra, Griselda . In: Papers. RePEc:arx:papers:1204.0633. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Inflation Derivatives Under Inflation Target Regimes. (2012). Raviv, Alon ; Hilscher, Jens ; AVRIEL, Mordecai . In: Working Papers. RePEc:brd:wpaper:43. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates. (2012). Grzelak, Lech ; Oosterlee, Cornelis W.. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:19:y:2012:i:1:p:1-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Correlation of financial markets in times of crisis. (2012). Franca, Italo De Paula, ; SANDOVAL, LEONIDAS . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:1:p:187-208. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for
a Quadratic Utility Function. (2012). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras . In: Papers. RePEc:arx:papers:1207.1003. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Humps in the Volatility Structure of the Crude Oil Futures Market. (2012). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:308. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A Multidimensional Exponential Utility Indifference Pricing Model with
Applications to Counterparty Risk. (2012). Liang, Gechun ; Henderson, Vicky . In: Papers. RePEc:arx:papers:1111.3856. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez . In: Papers. RePEc:arx:papers:1106.3279. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Liquidation in Limit Order Books with Controlled Intensity. (2012). Bayraktar, Erhan ; Ludkovski, Michael . In: Papers. RePEc:arx:papers:1105.0247. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An Optimal Execution Problem in Geometric Ornstein-Uhlenbeck Price
Process. (2012). Kato, Takashi . In: Papers. RePEc:arx:papers:1107.1787. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal posting price of limit orders: learning by trading. (2012). LEHALLE, Charles-Albert ; Laruelle, Sophie ; Pages, Gilles . In: Papers. RePEc:arx:papers:1112.2397. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Portfolio liquidation in dark pools in continuous time. (2012). Kratz, Peter ; Schoneborn, Torsten . In: Papers. RePEc:arx:papers:1201.6130. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal execution and price manipulations in time-varying limit order
books. (2012). Alfonsi, Aur'elien ; Jos'e Infante Acevedo, . In: Papers. RePEc:arx:papers:1204.2736. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal execution and price manipulations in time-varying limit order books. (2012). Alfonsi, Aurelien ; Acevedo, Jose Infante . In: Working Papers. RePEc:hal:wpaper:hal-00687193. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Hedging through a Limit Order Book with Varying Liquidity. (2012). Gencay, Ramazan ; Genay, Ramazan ; Agliardi, Rossella . In: Working Paper Series. RePEc:rim:rimwps:12_12. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal Trading Strategies in a Limit Order Market with Imperfect Liquidity. (2012). Iori, Giulia ; Kovaleva, P.. In: Working Papers. RePEc:cty:dpaper:12/05. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal order placement in limit order markets. (2012). Kukanov, Arseniy ; Cont, Rama . In: Working Papers. RePEc:hal:wpaper:hal-00737491. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | High Frequency Market Making. (2012). Webster, Kevin ; Carmona, Rene . In: Papers. RePEc:arx:papers:1210.5781. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Computing bounds on the expected payoff of Alternative Risk Transfer products. (2012). Medaglia, Andres L. ; Zuluaga, Luis F. ; Villegas, Andres M.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:2:p:271-281. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Computing arbitrage upper bounds on basket options in the presence of bidâask spreads. (2012). Pea, Javier ; Zuluaga, Luis F. ; Vera, Juan C.. In: European Journal of Operational Research. RePEc:eee:ejores:v:222:y:2012:i:2:p:369-376. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Banking Crises and Financial Integration. (2012). Caballero, Julian. In: Research Department Publications. RePEc:idb:wpaper:4816. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | De-noising option prices with the wavelet method. (2012). Haven, Emmanuel ; Liu, Xiaoquan ; Shen, Liya . In: European Journal of Operational Research. RePEc:eee:ejores:v:222:y:2012:i:1:p:104-112. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | The role of time value in convertible bond call policy. (2012). Barbi, Massimiliano ; Bajo, Emanuele. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:2:p:550-563. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | The valuation of equity warrants in a fractional Brownian environment. (2012). Zhang, Weiguo ; Xiao, Weilin ; Xu, Weijun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:4:p:1742-1752. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm. (2012). Zhang, Wei-Guo ; Xiao, Wei-Lin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:391:y:2012:i:24:p:6418-6431. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | When more is less: Using multiple constraints to reduce tail risk. (2012). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:10:p:2693-2716. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-034. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2012:14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Gas Storage Valuation: A Comparative Simulation Study. (2012). Schaeffler, Stephan . In: EWL Working Papers. RePEc:dui:wpaper:1201. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Gas storage valuation applying numerically constructed recombining trees. (2012). Weber, Christoph ; Felix, Bastian Joachim . In: European Journal of Operational Research. RePEc:eee:ejores:v:216:y:2012:i:1:p:178-187. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | How much should we pay for interconnecting electricity markets? A real options approach. (2012). Cartea, Ãlvaro ; Gonzalez-Pedraz, Carlos . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:1:p:14-30. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Lévy risk model with two-sided jumps and a barrier dividend strategy. (2012). YANG, Xuewei ; Bo, Lijun ; TANG, DAN ; Wang, Yongjin ; Song, Renming . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:2:p:280-291. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Comprehensive analysis of market conditions in the foreign exchange market. (2012). Sato, Aki-Hiro ; Hayashi, Takaki ; Hoyst, Janusz . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:7:y:2012:i:2:p:167-179. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Futures pricing in electricity markets based on stable CARMA spot models. (2012). Kluppelberg, Claudia ; Vos, Linda ; Muller, Gernot ; Benth, Fred Espen . In: Papers. RePEc:arx:papers:1201.1151. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Financial literacy around the world : an overview of the evidence with practical suggestions for the way forward. (2012). Zia, Bilal ; Xu, Lisa . In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:6107. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Hierarchical Archimedean Copulae: The HAC Package. (2012). Ristig, Alexander ; Okhrin, Ostap. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2012-036. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Dependence modeling in non-life insurance using the Bernstein copula. (2012). Eling, Martin ; Diers, Dorothea ; Marek, Sebastian D.. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:50:y:2012:i:3:p:430-436. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A varying-coefficient default model. (2012). Hwang, Ruey-Ching . In: International Journal of Forecasting. RePEc:eee:intfor:v:28:y:2012:i:3:p:675-688. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | If we can simulate it, we can insure it: An application to longevity risk management. (2012). Stentoft, Lars ; Boyer, M. Martin. In: CIRANO Working Papers. RePEc:cir:cirwor:2012s-08. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Variable annuities and the option to seek risk: Why should you diversify?. (2012). Mahayni, Antje ; Schneider, Judith C.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:9:p:2417-2428. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Which demands affect optimal international portfolio choices?. (2012). Chan, Chih-Ming ; Wen, Mei-Hui ; Lu, Jin-Ray . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:22:y:2012:i:5:p:1292-1306. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal dividend and equity issuance problem with proportional and fixed transaction costs. (2012). Guo, Junyi ; Peng, Xiaofan ; Chen, Mi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:51:y:2012:i:3:p:576-585. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach. (2012). Xiang, Guocheng ; Lai, Kin Keung ; He, Kaijian . In: Energies. RePEc:gam:jeners:v:5:y:2012:i:4:p:1018-1043:d:17268. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity. (2012). Gurtler, Marc ; Rauh, Ronald . In: Working Papers. RePEc:zbw:tbsifw:if41v1. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Structural stochastic volatility in asset pricing dynamics: Estimation and model contest. (2012). Westerhoff, Frank ; Franke, Reiner . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:8:p:1193-1211. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A note on transition density for the reflected OrnsteinâUhlenbeck process. (2012). YANG, Xuewei ; Xing, Xiaoyu . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:3:p:586-591. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Analytical pricing of American options. (2012). Zhang, Jin ; Cheng, Jun . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:2:p:157-192. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Option pricing with discrete time jump processes.. (2012). Ielpo, Florian ; Lalaharison, Hanjarivo ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:11037r. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Comments on: Some recent theory for autoregressive count time series. (2012). Doukhan, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:21:y:2012:i:3:p:447-450. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A directional-change event approach for studying financial time series. (2012). Dupuis, Alexandre ; Olsen, Richard ; Aloud, Monira ; Tsang, Edward . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201236. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Macroprudential banking regulation: Does one size fit all?. (2012). Neuberger, Doris ; Rissi, Roger . In: Thuenen-Series of Applied Economic Theory. RePEc:zbw:roswps:124. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | The volatility of consumption-based stochastic discount factors and economic cycles. (2011). Nieto, Belen ; Rubio, Gonzalo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:9:p:2197-2216. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Interest rates factor model. (2011). Kim, Min Jae ; Lee, Sangwook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:13:p:2531-2548. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Exports versus multinational production under nominal uncertainty. (2011). Lewis, Logan. In: International Finance Discussion Papers. RePEc:fip:fedgif:1038. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The international role of the dollar: Does it matter if this changes?. (2011). Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:522. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | A Poupança em Portugal. (2011). Portela, Miguel ; Bação, Pedro ; Alexandre, Fernando ; Bao, Pedro ; Conraria, Luis Aguiar . In: GEMF Working Papers. RePEc:gmf:wpaper:2011-19. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Policymaking in the Eurozone and the Core Vs. Perifphery Problem. (2011). Skaperdas, Stergios. In: Working Papers. RePEc:irv:wpaper:101112. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Role Reversal in Global Finance. (2011). Prasad, Eswar. In: IZA Discussion Papers. RePEc:iza:izadps:dp6032. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | International Liquidity: The Fiscal Dimension. (2011). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:17379. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Reserves and Baskets. (2011). Bordo, Michael ; James, Harold . In: NBER Working Papers. RePEc:nbr:nberwo:17492. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Role Reversal in Global Finance. (2011). Prasad, Eswar. In: NBER Working Papers. RePEc:nbr:nberwo:17497. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The International Monetary System: Living with Asymmetry. (2011). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:17641. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The large-maturity smile for the Heston model. (2011). Jacquier, Antoine ; Forde, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Comments on: Inference in multivariate Archimedean copula models. (2011). Hofert, Marius ; Embrechts, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:20:y:2011:i:2:p:263-270. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Currency blocs in the 21st century. (2011). Fischer, Christoph. In: Discussion Paper Series 1: Economic Studies. RePEc:zbw:bubdp1:201112. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2010
| Year | Title | See |
|---|---|---|
| 2010 | On the Dybvig-Ingersoll-Ross Theorem. (2010). Platen, Eckhard ; Kardaras, Constantinos . In: Papers. RePEc:arx:papers:0901.2080. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Students t-Distribution Based Option Sensitivities: Greeks for the
Gosset Formulae. (2010). Cassidy, Daniel T. ; Ouyed, Rachid ; Hamp, Michael J.. In: Papers. RePEc:arx:papers:1003.1344. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Pricing American options under stochastic volatility and stochastic interest rates. (2010). Scaillet, Olivier ; Medvedev, Alexey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:98:y:2010:i:1:p:145-159. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Local normalization: Uncovering correlations in non-stationary financial time series. (2010). Schafer, Rudi ; Guhr, Thomas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:389:y:2010:i:18:p:3856-3865. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Complex stock trading network among investors. (2010). Zhou, Wei-Xing ; Jiang, Zhi-Qiang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:389:y:2010:i:21:p:4929-4941. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien . In: Post-Print. RePEc:hal:journl:hal-00397652. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Systemic Stability of Housing and Mortgage Market: From the observable to the unobservable. (2010). Xiao, Qin. In: MPRA Paper. RePEc:pra:mprapa:23708. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2009
| Year | Title | See |
|---|---|---|
| 2009 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | Firm growth, European industry dynamics and domestic business cycles. (2009). Oberhofer, Harald. In: Working Papers. RePEc:inn:wpaper:2009-18. Full description at Econpapers || Download paper | [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.