Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Journal of Empirical Finance / Elsevier

[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
19900.09010000.04
19910.09000000.04
19920.09000000.04
19930.16620.33850000.05
19940.170.11101650.3125261020.20.05
19950.440.21430120.418616714.330.210.08
19960.790.241848531.1759241915.850.280.1
19970.440.31361410.676663214030.230.11
19981.030.291778620.7939331323.110.060.11
19991.070.34231011311.340030329.470.30.15
20000.70.42191201621.3544140287.130.160.16
20011.020.44251452301.593384243070.280.17
20020.70.45261712321.3635244316.570.270.2
20030.760.47261973781.92864513902610.2
20041.580.53322294481.9648352822.4120.380.22
20051.530.56302594591.7740058893.4100.330.23
20061.320.55242836112.1635062823.7200.830.22
20071.070.47353185541.7442354585.2170.490.19
20081.530.5493676181.6837259902.2110.220.21
20091.210.51604276471.52373841025.9130.220.21
20100.980.47624896711.372051091079.380.130.17
20110.680.55625517261.32163122836130.210.22
20120.770.67275788991.5630124957.470.260.26
20130.910.925062810331.641089816.240.080.34
20140.170.68176455800.90771300.24
 
 
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
1993A long memory property of stock market returns and a new model. (1993). Granger, Clive ; Engle, Robert ; DING, Zhuanxin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

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646
1996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

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417
1997Intraday periodicity and volatility persistence in financial markets. (1997). Bollerslev, Tim ; Andersen, Torben. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

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288
1996The econometrics of financial markets. (1996). pagan, adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

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193
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

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172
2003Emerging markets finance. (2003). Harvey, Campbell ; Bekaert, Geert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

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156
1998Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

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141
1993Common stock offerings across the business cycle : Theory and evidence. (1993). nanda, vikram ; masulis, ronald ; Choe, Hyuk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31.

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117
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

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115
2007Measuring financial contagion: A Copula approach. (2007). Rodríguez, Juan ; Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

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115
2003A simple measure of the intensity of capital controls. (2003). Edison, Hali ; Warnock, Francis E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103.

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110
2003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

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107
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Phillips, Peter ; Loretan, Mico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248.

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102
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsäcker, Jakob ; Olsen, Richard ; Dacorogna, Michel ; von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

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95
1997High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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91
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). Laurent, Sébastien ; Giot, Pierre. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

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90
1997The incremental volatility information in one million foreign exchange quotations. (1997). xu, xinzhong ; Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340.

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74
2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Granger, Clive ; Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

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69
2005Testing for contagion: a conditional correlation analysis. (2005). cipollini, andrea ; Caporale, Guglielmo Maria ; Spagnolo, Nicola . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

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68
2004Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

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67
2001The specification of conditional expectations. (2001). Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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64
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. (1997). Engle, Robert ; Russell, Jeffrey R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212.

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63
2003Predicting emerging market currency crashes. (2003). Perraudin, William ; Kumar, Mohan ; Moorthy, Uma. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454.

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62
2002Market timing and return prediction under model instability. (2002). Timmermann, Allan ; Pesaran, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

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61
1999A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331.

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57
1997Public information releases, private information arrival and volatility in the foreign exchange market. (1997). Shrieves, Ronald ; Degennaro, Ramon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315.

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56
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Bollerslev, Tim ; Andersen, Torben ; Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477.

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55
2000Sensitivity analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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54
1994Alternative constructions of Tobins q: An empirical comparison. (1994). Wiles, Kenneth W. ; Perfect, Steven B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341.

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53
2006Instability of return prediction models. (2006). Timmermann, Allan ; Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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53
2007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Keilbach, Max ; Engel, Dirk. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

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49
1999Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27.

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48
1998International evidence on the stock market and aggregate economic activity. (1998). Cheung, Yin-Wong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296.

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47
2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Koopman, Siem Jan ; Jungbacker, Borus ; Hol, Eugenie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

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45
2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?. (2002). Melvin, Michael ; Covrig, Vicentiu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285.

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44
2001Testing for mean-variance spanning: a survey. (2001). Nijman, Theo ; de Roon, Frans A.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155.

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44
1995The structure of international stock returns and the integration of capital markets. (1995). Rouwenhorst, K. ; Wessels, Roberto E. ; Heston, Steven L.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197.

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43
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1. (1998). Startz, Richard ; Nelson, Charles ; Kim, Chang-Jin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154.

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42
2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Melvin, Michael ; Grammig, Joachim ; Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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42
2009International comovement of stock market returns: A wavelet analysis. (2009). Rua, António ; Nunes, Luis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

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41
1993International asset pricing with alternative distributional specifications. (1993). Zhou, Guofu ; Harvey, Campbell. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131.

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41
1997The analysis of foreign exchange data using waveform dictionaries. (1997). Ramsey, James B. ; Zhang, Zhifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372.

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39
2001Testing and comparing Value-at-Risk measures. (2001). Inoue, Atsushi ; Christoffersen, Peter ; Hahn, Jinyong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342.

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39
1993The performance of international asset allocation strategies using conditioning information. (1993). Solnik, Bruno . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55.

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38
2003Realized volatility in the futures markets. (2003). Thomakos, Dimitrios ; Wang, Tao . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353.

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38
2000Coincident and leading indicators of the stock market. (2000). Potter, Simon ; Chauvet, Marcelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111.

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36
2003Diversification benefits of emerging markets subject to portfolio constraints. (2003). Wang, Zhenyu ; Sarkar, Asani ; Li, Kai. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:57-80.

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36
1995Speculative bubbles with stochastic explosive roots: The failure of unit root testing. (1995). Charemza, Wojciech ; Deadman, Derek F.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:2:y:1995:i:2:p:153-163.

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35
2001Why long horizons? A study of power against persistent alternatives. (2001). Campbell, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491.

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35
2007Order dynamics: Recent evidence from the NYSE. (2007). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

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35

Citing documents used to compute impact factor 13:

YearTitleSee
2014Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand. (2014). Vithessonthi, Chaiporn. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:29:y:2014:i:c:p:170-194.

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[Citation Analysis]
2014Electronic currencies for purposive degrowth?. (2014). Vitari, Claudio . In: Working paper serie RMT - Grenoble Ecole de Management. RePEc:hal:gemwpa:hal-00975432.

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[Citation Analysis]
2014Value of strategic alliances: Evidence from the bond market. (2014). Chou, Ting-Kai ; Tsai, Shu-Huan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:42-59.

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[Citation Analysis]
2014Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Maheu, John ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:55243.

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[Citation Analysis]
2014Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom. In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027.

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[Citation Analysis]
2014Price discovery for cross-listed firms with foreign IPOs. (2014). Alhaj-Yaseen, Yaseen S. ; Barkoulas, John T. ; Lam, Eddery . In: International Review of Financial Analysis. RePEc:eee:finana:v:31:y:2014:i:c:p:80-87.

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[Citation Analysis]
2014Multifractality and value-at-risk forecasting of exchange rates. (2014). Batten, Jonathan ; Wagner, Niklas ; Kinateder, Harald . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:71-81.

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[Citation Analysis]
2014Value of strategic alliances: Evidence from the bond market. (2014). Chou, Ting-Kai ; Tsai, Shu-Huan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:42-59.

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[Citation Analysis]
2014Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). Wongswan, Jon ; Warnock, Francis E. ; Thomas, Charles P. ; CharlesP. Thomas, ; Curcuru, Stephanie E.. In: NBER Working Papers. RePEc:nbr:nberwo:19963.

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[Citation Analysis]
2014Productivity, commodity prices and the real exchange rate: The long-run behavior of the Canada–US exchange rate. (2014). Choudhri, Ehsan ; Schembri, Lawrence L.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:537-551.

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[Citation Analysis]
2014Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E. ; Thomas, Charles P. ; CharlesP. Thomas, . In: International Finance Discussion Papers. RePEc:fip:fedgif:1103.

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[Citation Analysis]
2014Do global factors impact BRICS stock markets? A quantile regression approach. (2014). Nguyen, Duc Khuong ; Reboredo, Juan Carlos ; Hammoudeh, Shawkat ; Mensi, Walid . In: Working Papers. RePEc:ipg:wpaper:2014-159.

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[Citation Analysis]
2014[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

YearTitleSee
2013Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; Verstegen, Kurt ; DE CEUSTER, Marc . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411.

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[Citation Analysis]
2013Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis. (2013). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS ; Florackis, Chris . In: Working Papers. RePEc:gla:glaewp:2013_13.

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[Citation Analysis]
2013Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data. (2013). Gurgul, Piotr ; Syrek, Robert . In: Managing Global Transitions. RePEc:mgt:youmgt:v:11:y:2013:i:4:p:353-373.

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[Citation Analysis]
2013Does purchasing power parity hold sometimes? Regime switching in real exchange rates. (2013). Yoon, Gawon ; Lee, Hwa-Taek. In: Applied Economics. RePEc:taf:applec:45:y:2013:i:16:p:2279-2294.

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[Citation Analysis]

Recent citations received in: 2012

YearTitleSee
2012Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bień-Barkowska, Katarzyna ; Bien-Barkowska, Katarzyna . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:12:y:2012:p:35-52.

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[Citation Analysis]
2012Quantiles autocorrelation in stock markets returns. (2012). Da costa, Alexandre Silva ; Ceretta, Paulo Sergio ; Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00469.

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[Citation Analysis]
2012Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis. (2012). Karolyi, Andrew G.. In: Emerging Markets Review. RePEc:eee:ememar:v:13:y:2012:i:4:p:516-547.

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[Citation Analysis]
2012Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand. (2012). Loretan, Mico ; Gyntelberg, Jacob ; Tientip, Subhanij . In: IMF Working Papers. RePEc:imf:imfwpa:12/214.

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[Citation Analysis]
2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. (2012). Yuan, Yu ; Stambaugh, Robert F.. In: NBER Working Papers. RePEc:nbr:nberwo:18560.

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[Citation Analysis]
2012On detection of volatility spillovers in simultaneously open stock markets. (2012). Kohonen, Anssi. In: MPRA Paper. RePEc:pra:mprapa:37504.

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[Citation Analysis]
2012State-dependent Momentum in International Stock Markets. (2012). Baur, Dirk ; Dimpfl, Thomas . In: Working Paper Series. RePEc:uts:wpaper:169.

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[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Study on the Support Systems for Corporate Governance. (2011). BRANDAS, Claudiu . In: Informatica Economica. RePEc:aes:infoec:v:15:y:2011:i:4:p:55-63.

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[Citation Analysis]
2011The Impact of Macro News on Volatility of Stock Exchanges. (2011). Będowska-Sójka, Barbara ; Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:11:y:2011:p:99-110.

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[Citation Analysis]
2011Diversification in Private Equity Funds: On Knowledge-sharing, Risk-aversion and Limited-attention. (2011). Humphery-Jenner, Mark ; Humphèry, Mark ; Humphery von Jenner, Mark. In: Discussion Paper. RePEc:dgr:kubcen:2011046.

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[Citation Analysis]
2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails. (2011). Lucas, André ; Koopman, Siem Jan ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20110175.

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[Citation Analysis]
2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails. (2011). André Lucas, ; Koopman, Siem Jan ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:2011175.

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[Citation Analysis]
2011Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach. (2011). YEN, JEROME ; Lai, Kin Keung ; He, Kaijian . In: Energy Economics. RePEc:eee:eneeco:v:33:y:2011:i:5:p:903-911.

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[Citation Analysis]
2011Value creation and pricing in buyouts: Empirical evidence from Europe and North America. (2011). Achleitner, Ann-Kristin ; Braun, Reiner ; Engel, Nico . In: Review of Financial Economics. RePEc:eee:revfin:v:20:y:2011:i:4:p:146-161.

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[Citation Analysis]
2011A review of the seasonal affective disorder hypothesis. (2011). Khaled, Mohammed S. ; Keef, Stephen P.. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:40:y:2011:i:6:p:959-967.

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[Citation Analysis]
2011Time-Varying Beta Estimators in the Mexican Emerging Market. (2011). Zarraga, Ainhoa ; Orbe, Susan ; Alonso, Ainhoa Zarraga ; Mandaluniz, Susan Orbe ; Domenech, Belen Nieto . In: BILTOKI. RePEc:ehu:biltok:5283.

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[Citation Analysis]
2011Multiple agency perspective, family control, and private information abuse in an emerging economy. (2011). Filatotchev, Igor ; Zhang, Xiaoxiang ; Piesse, Jenifer . In: Asia Pacific Journal of Management. RePEc:kap:asiapa:v:28:y:2011:i:1:p:69-93.

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[Citation Analysis]
2011The financial crisis and hedge fund returns. (2011). Bollen, Nicolas . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

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[Citation Analysis]
2011Testing Conditional Factor Models. (2011). Kristensen, Dennis ; Ang, Andrew. In: NBER Working Papers. RePEc:nbr:nberwo:17561.

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[Citation Analysis]
2011Agglomeration Economies and Local Comovement of Stock Returns. (2011). Fu, Shihe ; Shan, Liwei . In: MPRA Paper. RePEc:pra:mprapa:31887.

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[Citation Analysis]

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