Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.08000000.04
19910.08000000.04
19920.09000000.05
19930.1000000.04
19940.12000000.05
19950.16000000.09
19960.19000000.09
19970.2000000.09
19980.213300000.13
19990.27273040.13763030.110.16
20000.330.391747160.349630106020.120.16
20010.390.372572290.4203441747.180.320.17
20020.260.381486190.2249421154.510.070.18
20030.540.427113420.3783392157.140.150.19
20040.730.43311441220.85115413056.7130.420.19
20050.410.45271711030.6119582458.350.190.24
20060.410.4615186840.4541582437.50.2
20070.260.3926212640.331421127.330.120.17
20080.220.4127239930.395941944.430.110.18
20090.210.3724263940.3626531163.640.170.18
20100.250.3321284850.359511330.830.140.16
20110.290.4512296890.37451330.80.23
20120.850.46243201080.34633282530.130.24
 
 
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

 

Most cited documents in this series:

YearTitleCited
2001Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56.

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64
2004A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138.

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63
2001Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72.

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55
2005Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; TERaSVIRTA, Timo . In: Research Paper Series. RePEc:uts:rpaper:165.

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39
2000Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:35.

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37
Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231.

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33
2001A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48.

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31
2005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168.

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28
2010Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267.

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28
2001Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:49.

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24
2003Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103.

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24
2006Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175.

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20
Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; BoHM, Volker . In: Research Paper Series. RePEc:uts:rpaper:46.

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20
2002An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84.

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18
2001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55.

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15
2003A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113.

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14
1999Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:18.

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12
2006Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc. In: Research Paper Series. RePEc:uts:rpaper:180.

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11
2004Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129.

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11
1999Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:5.

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10
2001Testing for Time Dependence in Parameters. (2001). Hurn, Stan ; Enders, Walter ; Becker, Ralf . In: Research Paper Series. RePEc:uts:rpaper:58.

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10
2002Benchmark Model with Intensity Based Jumps. (2002). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:81.

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10
2010M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280.

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10
1999Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13.

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10
2002Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:78.

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10
1999An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6.

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10
2005On the Role of the Growth Optimal Portfolio in Finance. (2005). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:144.

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10
2003A Structure for General and Specific Market Risk. (2003). Platen, Eckhard ; Stahl, Gerhard . In: Research Paper Series. RePEc:uts:rpaper:91.

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9
2007Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194.

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9
2006Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc. In: Research Paper Series. RePEc:uts:rpaper:184.

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8
2001Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63.

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8
Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework. (2005). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:166.

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8
2008Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214.

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8
2000Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return. (2000). Hwang, Soosung ; Hall, Anthony ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31.

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7
2005Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162.

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7
2001On Filtering in Markovian Term Structure Models (An Approximation Approach). (2001). Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang . In: Research Paper Series. RePEc:uts:rpaper:65.

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7
2010Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281.

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7
2004Intraday Empirical Analysis and Modeling of Diversified World Stock Indices. (2004). Platen, Eckhard ; Kelly, Leah ; Breymann, Wolfgang . In: Research Paper Series. RePEc:uts:rpaper:125.

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7
2007Some Effects of Transaction Taxes Under Different Microstructures. (2007). Westerhoff, Frank ; Pellizzari, Paolo ; Pelizzari, Paolo. In: Research Paper Series. RePEc:uts:rpaper:212.

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6
2001Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps. (2001). Platen, Eckhard ; Kubilius, Kestutis. In: Research Paper Series. RePEc:uts:rpaper:54.

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6
2004A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141.

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6
2001Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:53.

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6
2002A Discrete Time Benchmark Approach for Finance and Insurance. (2002). Platen, Eckhard ; Buhlmann, Hans . In: Research Paper Series. RePEc:uts:rpaper:74.

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6
2004Two-Factor Model for Low Interest Rate Regimes. (2004). Platen, Eckhard ; Miller, Shane. In: Research Paper Series. RePEc:uts:rpaper:130.

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6
2004A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139.

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6
2003Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling. (2003). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:101.

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6
1999A Multicurrency Extension of the Lognormal Interest Rate Market Models. (1999). Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:20.

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6
2004A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew . In: Research Paper Series. RePEc:uts:rpaper:118.

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6
1999Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27.

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6
1999Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10.

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5

Citing documents used to compute impact factor 28:

YearTitleSee
2012Structural 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.

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[Citation Analysis]
2012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1210.2337.

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[Citation Analysis]
2012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319.

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[Citation Analysis]
2012A parsimonious model for intraday European option pricing. (2012). Scalas, Enrico ; Politi, Mauro . In: Economics Discussion Papers. RePEc:zbw:ifwedp:201214.

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[Citation Analysis]
2012The Affine Nature of Aggregate Wealth Dynamics. (2012). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:322.

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[Citation Analysis]
2012Modeling of Oil Prices. (2012). Platen, Eckhard ; Du, Ke ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:321.

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[Citation Analysis]
2012A Tractable Model for Indices Approximating the Growth Optimal Portfolio. (2012). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:318.

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[Citation Analysis]
2012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319.

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[Citation Analysis]
2012The Fundamental Theorem of Utility Maximization and Num\eraire Portfolio. (2012). Deng, Jun ; Choulli, Tahir ; Ma, Junfeng . In: Papers. RePEc:arx:papers:1211.4598.

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[Citation Analysis]
2012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Papers. RePEc:arx:papers:1210.2337.

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[Citation Analysis]
2012PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Biagini, Francesca ; WIDENMANN, JAN . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:04:p:1250025-1-1250025-32.

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[Citation Analysis]
2012Valuation and parity formulas for exchange options. (2012). Kardaras, Constantinos . In: Papers. RePEc:arx:papers:1206.3220.

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[Citation Analysis]
2012How do Heterogeneous Beliefs Influence Asset Volatility?. (2012). Lin, Chien-Chih ; Ho, Hwai-Chung . In: Pacific Economic Review. RePEc:bla:pacecr:v:17:y:2012:i:4:p:601-616.

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[Citation Analysis]
2012The Fiscal Cost of Financial Instability. (2012). Di Guilmi, Corrado ; Chiarella, Carl. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:16:y:2012:i:4:n:3.

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[Citation Analysis]
2012Excess covariance and dynamic instability in a multi-asset model. (2012). Pin, Paolo ; Bottazzi, Giulio ; Anufriev, Mikhail ; Marsili, Matteo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:8:p:1142-1161.

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[Citation Analysis]
2012Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316.

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[Citation Analysis]
2012Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model. (2012). Li, Kai ; He, Xue-Zhong . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:36:y:2012:i:7:p:973-987.

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[Citation Analysis]
2012Speculation and Oil Price Formation. (2012). Fattouh, Bassam . In: Review of Environment, Energy and Economics - Re3. RePEc:fem:femre3:2012.02-04.

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[Citation Analysis]
2012Commodity and Equity Markets: Some Stylized Facts from a Copula Approach.. (2012). Lopez, Claude ; Delatte, Anne-Laure. In: MPRA Paper. RePEc:pra:mprapa:39860.

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[Citation Analysis]
2012The Role of Speculation in Oil Markets: What Have We Learned So Far?. (2012). Mahadeva, Lavan ; Kilian, Lutz ; Fattouh, Bassam . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8916.

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[Citation Analysis]
2012Futures basis, inventory and commodity price volatility: An empirical analysis. (2012). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Brooks, Chris ; Lazar, Emese . In: MPRA Paper. RePEc:pra:mprapa:39903.

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[Citation Analysis]
2012Long-run Trends or Short-run Fluctuations – What Establishes the Correlation between Oil and Food Prices?The Interplay of Standardized Tests and Incentives – An Econometric Analysis with Data from. (2012). Schmidt, Torsten ; Kratschel, Karoline . In: Ruhr Economic Papers. RePEc:rwi:repape:0357.

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[Citation Analysis]
2012On the links between stock and commodity markets volatility. (2012). Mignon, Valérie ; Joëts, Marc ; Creti, Anna ; Joets, Marc . In: Working Papers. RePEc:cii:cepidt:2012-20.

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[Citation Analysis]
2012On the links between stock and commodity markets volatility. (2012). Mignon, Valérie ; Joëts, Marc ; Creti, Anna ; Joets, Marc . In: EconomiX Working Papers. RePEc:drm:wpaper:2012-42.

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[Citation Analysis]
2012Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Huang, Dengshi ; Wei, Yu ; Wen, Xiaoqian . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

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[Citation Analysis]
2012Futures basis, inventory and commodity price volatility: An empirical analysis. (2012). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Brooks, Chris. In: Economic Modelling. RePEc:eee:ecmode:v:29:y:2012:i:6:p:2651-2663.

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[Citation Analysis]
2012On the diversification benefits of commodities from the perspective of euro investors. (2012). Dorfleitner, Gregor ; Belousova, Julia . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:36:y:2012:i:9:p:2455-2472.

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[Citation Analysis]
2012A Stochastic Approach to the Valuation of Barrier Options in Hestons Stochastic Volatility Model. (2012). Griebsch, Susanne ; Pilz, Kay . In: Research Paper Series. RePEc:uts:rpaper:309.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

YearTitleSee
2012Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods. (2012). Platen, Eckhard ; Baldeaux, Jan. In: Papers. RePEc:arx:papers:1204.1126.

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[Citation Analysis]
2012Modeling of Oil Prices. (2012). Platen, Eckhard ; Du, Ke ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:321.

Full description at Econpapers || Download paper

[Citation Analysis]
2012PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Biagini, Francesca ; WIDENMANN, JAN . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:04:p:1250025-1-1250025-32.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

YearTitleSee

Recent citations received in: 2010

YearTitleSee
2010Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics. (2010). Pallavicini, Andrea ; Moreni, Nicola . In: Papers. RePEc:arx:papers:1011.0828.

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[Citation Analysis]
2010Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect?. (2010). Cao, Bolong ; Shambora, William ; Jayasuriya, Shamila . In: Economics Bulletin. RePEc:ebl:ecbull:eb-10-00376.

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[Citation Analysis]
2010Index Investment and Financialization of Commodities. (2010). Xiong, Wei ; Tang, Ke. In: NBER Working Papers. RePEc:nbr:nberwo:16385.

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[Citation Analysis]

Recent citations received in: 2009

YearTitleSee
2009Towards a national default option for low-cost superannuation. (2009). Sy, Wilson. In: Accounting Research Journal. RePEc:eme:arjpps:v:22:y:2009:i:1:p:46-67.

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[Citation Analysis]
2009Alternative Defaultable Term Structure Models. (2009). Schlogl, Erik ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina ; Bruti-Liberati, Nicola. In: Research Paper Series. RePEc:uts:rpaper:242.

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[Citation Analysis]
2009A Benchmark Approach to Investing and Pricing. (2009). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:253.

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[Citation Analysis]
2009A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254.

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[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.