0.5
Impact Factor
0.47
5-Years IF
14
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.09 | 0 | 0 | 0 | (%) | 0.03 | ||||||||||
| 1991 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.19 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.27 | 0 | 1 | 0 | 0 | (%) | 0.09 | |||||||||
| 1998 | 0.27 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.31 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 3 | 0 | 0 | (%) | 0.15 | |||||||||
| 2001 | 0.41 | 0 | 1 | 0 | 0 | (%) | 0.16 | |||||||||
| 2002 | 0.43 | 0 | 1 | 0 | 0 | (%) | 0.19 | |||||||||
| 2003 | 0.45 | 0 | 2 | 0 | 0 | (%) | 0.19 | |||||||||
| 2004 | 0.51 | 27 | 27 | 5 | 0.19 | 291 | 0 | 0 | 9 (3.1%) | 5 | 0.19 | 0.21 | ||||
| 2005 | 0.85 | 0.54 | 0.85 | 25 | 52 | 28 | 0.54 | 155 | 27 | 23 | 27 | 23 | 6 (3.9%) | 2 | 0.08 | 0.22 |
| 2006 | 0.58 | 0.52 | 0.58 | 28 | 80 | 42 | 0.53 | 148 | 52 | 30 | 52 | 30 | 7 (4.7%) | 6 | 0.21 | 0.21 |
| 2007 | 0.36 | 0.45 | 0.58 | 29 | 109 | 49 | 0.45 | 79 | 53 | 19 | 80 | 46 | 6 (7.6%) | 1 | 0.03 | 0.18 |
| 2008 | 0.26 | 0.48 | 0.51 | 26 | 135 | 65 | 0.48 | 89 | 57 | 15 | 109 | 56 | 3 (3.4%) | 6 | 0.23 | 0.2 |
| 2009 | 0.27 | 0.48 | 0.65 | 26 | 161 | 91 | 0.57 | 74 | 55 | 15 | 135 | 88 | 4 (5.4%) | 3 | 0.12 | 0.19 |
| 2010 | 0.4 | 0.44 | 0.35 | 30 | 191 | 74 | 0.39 | 52 | 52 | 21 | 134 | 47 | 2 (3.8%) | 4 | 0.13 | 0.16 |
| 2011 | 0.3 | 0.53 | 0.39 | 26 | 217 | 106 | 0.49 | 56 | 56 | 17 | 139 | 54 | 5 (8.9%) | 3 | 0.12 | 0.21 |
| 2012 | 0.38 | 0.58 | 0.4 | 25 | 242 | 121 | 0.5 | 49 | 56 | 21 | 137 | 55 | 5 (10.2%) | 2 | 0.08 | 0.22 |
| 2013 | 0.71 | 0.71 | 0.55 | 23 | 265 | 155 | 0.58 | 22 | 51 | 36 | 133 | 73 | 3 (13.6%) | 4 | 0.17 | 0.25 |
| 2014 | 0.5 | 0.81 | 0.47 | 52 | 317 | 160 | 0.5 | 23 | 48 | 24 | 130 | 61 | 3 (13%) | 7 | 0.13 | 0.28 |
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y 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 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %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 |
|
50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2004 | Asymmetric information, bank lending and implicit contracts: the winners curse. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:11-23. Full description at Econpapers || Download paper | 90 |
| 2004 | On more robust estimation of skewness and kurtosis. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:56-73. Full description at Econpapers || Download paper | 52 |
| 2004 | Maximizing the expected net future value as an alternative strategy to gamma discounting. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:85-89. Full description at Econpapers || Download paper | 33 |
| 2004 | Limited stock market participation and the equity premium. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:24-34. Full description at Econpapers || Download paper | 32 |
| 2006 | Modeling dynamic conditional correlations in WTI oil forward and futures returns. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:114-132. Full description at Econpapers || Download paper | 29 |
| 2005 | tays as good as cay. (2005). Brennan, Michael J. ; Xia, Yihong . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:1:p:1-14. Full description at Econpapers || Download paper | 25 |
| 2004 | Reported and secret interventions in the foreign exchange markets. (2004). LECOURT, Christelle . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:4:p:215-225. Full description at Econpapers || Download paper | 23 |
| 2006 | The interaction between technical currency trading and exchange rate fluctuations. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:3:p:212-233. Full description at Econpapers || Download paper | 22 |
| 2005 | The long-run equity risk premium. (2005). Graham, John R.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:185-194. Full description at Econpapers || Download paper | 20 |
| 2006 | Explosive bubbles in the cointegrated VAR model. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:154-162. Full description at Econpapers || Download paper | 19 |
| 2005 | A note on sufficient conditions for no arbitrage. (2005). Madan, Dilip B. ; Carr, Peter . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:125-130. Full description at Econpapers || Download paper | 18 |
| 2009 | Automatic variance ratio test under conditional heteroskedasticity. (2009). . In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:3:p:179-185. Full description at Econpapers || Download paper | 17 |
| 2008 | Time-series predictability in the disaster model. (2008). Gourio, Franois . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:4:p:191-203. Full description at Econpapers || Download paper | 17 |
| 2005 | Another look at the relationship between cross-market correlation and volatility. (2005). Wang, Yaw-Huei . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88. Full description at Econpapers || Download paper | 15 |
| 2004 | Institutional trading and stock returns. (2004). Cai, Fang ; Zheng, Lu. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:178-189. Full description at Econpapers || Download paper | 14 |
| 2007 | The navigation of an iceberg: The optimal use of hidden orders. (2007). Esser, Angelika ; Monch, Burkart. In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:2:p:68-81. Full description at Econpapers || Download paper | 13 |
| 2005 | Solving models with external habit. (2005). . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:210-226. Full description at Econpapers || Download paper | 13 |
| 2011 | Gold and the US dollar: Hedge or haven?. (2011). . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131. Full description at Econpapers || Download paper | 13 |
| 2005 | tays as good as cay: Reply. (2005). Lettau, Martin . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:1:p:15-22. Full description at Econpapers || Download paper | 13 |
| 2005 | Portfolio selection with two-stage preferences. (2005). . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164. Full description at Econpapers || Download paper | 12 |
| 2007 | Exploring the components of credit risk in credit default swaps. (2007). Fabozzi, Frank J. ; Cheng, Xiaolin . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:1:p:10-18. Full description at Econpapers || Download paper | 11 |
| 2012 | Measuring economic uncertainty and its impact on the stock market. (2012). Dzielinski, Michal . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:3:p:167-175. Full description at Econpapers || Download paper | 11 |
| 2008 | Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. (2008). svirta, Timo Ter ; Nakatani, Tomoaki ; Tersvirta, Timo . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:2:p:88-95. Full description at Econpapers || Download paper | 11 |
| 2006 | On the sequencing of projects, reputation building, and relationship finance. (2006). Smith, David C. ; Egli, Dominik. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:1:p:23-39. Full description at Econpapers || Download paper | 11 |
| 2007 | S&P 500 implied volatility and monetary policy announcements. (2007). . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:4:p:227-232. Full description at Econpapers || Download paper | 11 |
| 2006 | On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. (2006). Zhao, Xinlei . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:253-266. Full description at Econpapers || Download paper | 11 |
| 2006 | Disentangling risk aversion and intertemporal substitution through a reference level. (2006). Semenov, Andrei ; Garcia, Rene ; Renault, Eric . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:3:p:181-193. Full description at Econpapers || Download paper | 10 |
| 2008 | Option pricing in a Garch model with tempered stable innovations. (2008). Mercuri, Lorenzo . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:172-182. Full description at Econpapers || Download paper | 10 |
| 2009 | Time-inconsistency of VaR and time-consistent alternatives. (2009). Stadje, Mitja ; Cheridito, Patrick . In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:1:p:40-46. Full description at Econpapers || Download paper | 10 |
| 2009 | Extreme return-volume dependence in East-Asian stock markets: A copula approach. (2009). Ning, Cathy ; Wirjanto, Tony S.. In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:4:p:202-209. Full description at Econpapers || Download paper | 10 |
| 2011 | Financial volatility forecasting with range-based autoregressive volatility model. (2011). Li, Hongquan ; Hong, Yongmiao . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:2:p:69-76. Full description at Econpapers || Download paper | 10 |
| 2008 | On measuring concentration in banking systems. (2008). Alegria, Carlos ; Schaeck, Klaus . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:59-67. Full description at Econpapers || Download paper | 9 |
| 2012 | Google Internet search activity and volatility prediction in the market for foreign currency. (2012). Smith, Geoffrey Peter . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:2:p:103-110. Full description at Econpapers || Download paper | 9 |
| 2010 | Martingalized historical approach for option pricing. (2010). Chorro, C. ; Guegan, D.. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:1:p:24-28. Full description at Econpapers || Download paper | 8 |
| 2004 | How do stock prices respond to fundamental shocks?. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:90-99. Full description at Econpapers || Download paper | 8 |
| 2006 | Exchange rates and order flow in the long run. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:235-243. Full description at Econpapers || Download paper | 8 |
| 2004 | The effect of market conditions on capital structure adjustment. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:47-55. Full description at Econpapers || Download paper | 8 |
| 2005 | Hedging the smirk. (2005). Bates, David S.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:195-200. Full description at Econpapers || Download paper | 8 |
| 2005 | Cointegration analysis of the Fed model. (2005). Koivu, Matti ; Ziemba, William T. ; Pennanen, Teemu . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:248-259. Full description at Econpapers || Download paper | 8 |
| 2008 | Patterns in cross market liquidity. (2008). Spiegel, Matthew . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:2-10. Full description at Econpapers || Download paper | 7 |
| 2010 | Understanding the risk of leveraged ETFs. (2010). . In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:3:p:135-139. Full description at Econpapers || Download paper | 7 |
| 2004 | On the consequences of state dependent preferences for the pricing of financial assets. (2004). Giannikos, Christos ; Donaldson, John B. ; Guirguis, Hany . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:143-153. Full description at Econpapers || Download paper | 6 |
| 2011 | The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps. (2011). . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:163-170. Full description at Econpapers || Download paper | 6 |
| 2005 | Industry momentum and common factors. (2005). Du, Ding ; Denning, Karen . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:107-124. Full description at Econpapers || Download paper | 6 |
| 2008 | On the qualitative effect of volatility and duration on prices of Asian options. (2008). Carr, Peter ; XIAO, YAJUN . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:162-171. Full description at Econpapers || Download paper | 6 |
| 2013 | Leverage vs. feedback: Which Effect drives the oil market?. (2013). Chevallier, Julien ; Aboura, Sofiane . In: Finance Research Letters. RePEc:eee:finlet:v:10:y:2013:i:3:p:131-141. Full description at Econpapers || Download paper | 6 |
| 2004 | Myopic loss aversion and the equity premium puzzle reconsidered. (2004). Tee, Hong Wee ; Durand, Robert B. ; Lloyd, Paul. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:171-177. Full description at Econpapers || Download paper | 6 |
| 2009 | Revisiting stock market index correlations. (2009). Dalkir, Mehmet . In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:1:p:23-33. Full description at Econpapers || Download paper | 6 |
| 2007 | Rare events and annuity market participation. (2007). Lopes, Paula . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:2:p:82-91. Full description at Econpapers || Download paper | 5 |
| 2005 | Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis. (2005). . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:227-233. Full description at Econpapers || Download paper | 5 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2004 | On more robust estimation of skewness and kurtosis. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:56-73. Full description at Econpapers || Download paper | 20 |
| 2006 | Modeling dynamic conditional correlations in WTI oil forward and futures returns. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:114-132. Full description at Econpapers || Download paper | 17 |
| 2004 | Asymmetric information, bank lending and implicit contracts: the winners curse. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:11-23. Full description at Econpapers || Download paper | 16 |
| 2011 | Gold and the US dollar: Hedge or haven?. (2011). . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131. Full description at Econpapers || Download paper | 12 |
| 2004 | Maximizing the expected net future value as an alternative strategy to gamma discounting. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:85-89. Full description at Econpapers || Download paper | 11 |
| 2005 | A note on sufficient conditions for no arbitrage. (2005). Madan, Dilip B. ; Carr, Peter . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:125-130. Full description at Econpapers || Download paper | 11 |
| 2012 | Measuring economic uncertainty and its impact on the stock market. (2012). Dzielinski, Michal . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:3:p:167-175. Full description at Econpapers || Download paper | 11 |
| 2006 | The interaction between technical currency trading and exchange rate fluctuations. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:3:p:212-233. Full description at Econpapers || Download paper | 9 |
| 2012 | Google Internet search activity and volatility prediction in the market for foreign currency. (2012). Smith, Geoffrey Peter . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:2:p:103-110. Full description at Econpapers || Download paper | 9 |
| 2005 | tays as good as cay. (2005). Brennan, Michael J. ; Xia, Yihong . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:1:p:1-14. Full description at Econpapers || Download paper | 9 |
| 2011 | Financial volatility forecasting with range-based autoregressive volatility model. (2011). Li, Hongquan ; Hong, Yongmiao . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:2:p:69-76. Full description at Econpapers || Download paper | 9 |
| 2009 | Extreme return-volume dependence in East-Asian stock markets: A copula approach. (2009). Ning, Cathy ; Wirjanto, Tony S.. In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:4:p:202-209. Full description at Econpapers || Download paper | 8 |
| 2006 | Explosive bubbles in the cointegrated VAR model. (2006). . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:154-162. Full description at Econpapers || Download paper | 8 |
| 2005 | Portfolio selection with two-stage preferences. (2005). . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164. Full description at Econpapers || Download paper | 8 |
| 2009 | Time-inconsistency of VaR and time-consistent alternatives. (2009). Stadje, Mitja ; Cheridito, Patrick . In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:1:p:40-46. Full description at Econpapers || Download paper | 8 |
| 2009 | Automatic variance ratio test under conditional heteroskedasticity. (2009). . In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:3:p:179-185. Full description at Econpapers || Download paper | 7 |
| 2005 | The long-run equity risk premium. (2005). Graham, John R.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:185-194. Full description at Econpapers || Download paper | 6 |
| 2008 | Option pricing in a Garch model with tempered stable innovations. (2008). Mercuri, Lorenzo . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:172-182. Full description at Econpapers || Download paper | 6 |
| 2008 | Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. (2008). svirta, Timo Ter ; Nakatani, Tomoaki ; Tersvirta, Timo . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:2:p:88-95. Full description at Econpapers || Download paper | 6 |
| 2005 | Another look at the relationship between cross-market correlation and volatility. (2005). Wang, Yaw-Huei . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88. Full description at Econpapers || Download paper | 6 |
| 2013 | Leverage vs. feedback: Which Effect drives the oil market?. (2013). Chevallier, Julien ; Aboura, Sofiane . In: Finance Research Letters. RePEc:eee:finlet:v:10:y:2013:i:3:p:131-141. Full description at Econpapers || Download paper | 6 |
| 2007 | Exploring the components of credit risk in credit default swaps. (2007). Fabozzi, Frank J. ; Cheng, Xiaolin . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:1:p:10-18. Full description at Econpapers || Download paper | 5 |
| 2012 | Foreign exposure through domestic equities. (2012). Cai, Fang ; Warnock, Francis E.. In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:1:p:8-20. Full description at Econpapers || Download paper | 5 |
| 2012 | Robust estimation of covariance and its application to portfolio optimization. (2012). Huo, Lijuan ; Kim, Yunmi . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:3:p:121-134. Full description at Econpapers || Download paper | 5 |
| 2004 | How do stock prices respond to fundamental shocks?. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:90-99. Full description at Econpapers || Download paper | 5 |
| 2006 | On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. (2006). Zhao, Xinlei . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:253-266. Full description at Econpapers || Download paper | 5 |
| 2005 | Hedging the smirk. (2005). Bates, David S.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:195-200. Full description at Econpapers || Download paper | 5 |
| 2004 | Institutional trading and stock returns. (2004). Cai, Fang ; Zheng, Lu. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:178-189. Full description at Econpapers || Download paper | 5 |
| 2008 | Time-series predictability in the disaster model. (2008). Gourio, Franois . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:4:p:191-203. Full description at Econpapers || Download paper | 5 |
| 2011 | The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps. (2011). . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:163-170. Full description at Econpapers || Download paper | 4 |
| 2006 | On the sequencing of projects, reputation building, and relationship finance. (2006). Smith, David C. ; Egli, Dominik. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:1:p:23-39. Full description at Econpapers || Download paper | 4 |
| 2011 | Measuring price discovery: The variance ratio, the R2, and the weighted price contribution. (2011). Jos, van Bommel . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:112-119. Full description at Econpapers || Download paper | 4 |
| 2007 | S&P 500 implied volatility and monetary policy announcements. (2007). . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:4:p:227-232. Full description at Econpapers || Download paper | 4 |
| 2010 | Understanding the risk of leveraged ETFs. (2010). . In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:3:p:135-139. Full description at Econpapers || Download paper | 4 |
| 2014 | The cost of firmsâ debt financing and the global financial crisis. (2014). Pianeselli, Daniele . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:2:p:74-83. Full description at Econpapers || Download paper | 4 |
| 2004 | Limited stock market participation and the equity premium. (2004). . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:24-34. Full description at Econpapers || Download paper | 4 |
| 2007 | The navigation of an iceberg: The optimal use of hidden orders. (2007). Esser, Angelika ; Monch, Burkart. In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:2:p:68-81. Full description at Econpapers || Download paper | 4 |
| 2013 | Time varying stock return predictability: Evidence from US sectors. (2013). McMillan, David G. ; Guidolin, Massimo ; Wohar, Mark E.. In: Finance Research Letters. RePEc:eee:finlet:v:10:y:2013:i:1:p:34-40. Full description at Econpapers || Download paper | 3 |
| 2010 | A random effects ordered probit model for rating migrations. (2010). ap Gwilym, Owain ; Alsakka, Rasha . In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:3:p:140-147. Full description at Econpapers || Download paper | 3 |
| 2010 | Martingalized historical approach for option pricing. (2010). Chorro, C. ; Guegan, D.. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:1:p:24-28. Full description at Econpapers || Download paper | 3 |
| 2006 | Quadratic term structure models in discrete time. (2006). Realdon, Marco . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:277-289. Full description at Econpapers || Download paper | 3 |
| 2014 | Are stock markets really so inefficient? The case of the âHalloween Indicatorâ. (2014). Dichtl, Hubert ; Drobetz, Wolfgang . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:2:p:112-121. Full description at Econpapers || Download paper | 3 |
| 2006 | The Fed model: A note. (2006). Estrada, Javier . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:1:p:14-22. Full description at Econpapers || Download paper | 3 |
| 2014 | Is gold a safe haven against equity market investment in emerging and developing countries?. (2014). Gurgun, Gozde . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:4:p:341-348. Full description at Econpapers || Download paper | 3 |
| 2013 | Composition of robust equity portfolios. (2013). Fabozzi, Frank J. ; Kim, Woo Chang . In: Finance Research Letters. RePEc:eee:finlet:v:10:y:2013:i:2:p:72-81. Full description at Econpapers || Download paper | 3 |
| 2005 | Cointegration analysis of the Fed model. (2005). Koivu, Matti ; Ziemba, William T. ; Pennanen, Teemu . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:248-259. Full description at Econpapers || Download paper | 3 |
| 2006 | The value, size, and momentum spread during distressed economic periods. (2006). Arshanapalli, Bala ; Nelson, William ; Fabozzi, Frank J.. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:244-252. Full description at Econpapers || Download paper | 3 |
| 2010 | Market symmetry in time-changed Brownian models. (2010). Mordecki, Ernesto ; Fajardo, Jose . In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:1:p:53-59. Full description at Econpapers || Download paper | 3 |
| 2008 | The Stambaugh bias in panel predictive regressions. (2008). Hjalmarsson, Erik . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:47-58. Full description at Econpapers || Download paper | 3 |
| 2008 | On the qualitative effect of volatility and duration on prices of Asian options. (2008). Carr, Peter ; XIAO, YAJUN . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:162-171. Full description at Econpapers || Download paper | 3 |
Citing documents used to compute impact factor 24:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement. (2014). McMillan, David G.. In: International Review of Financial Analysis. RePEc:eee:finana:v:35:y:2014:i:c:p:90-101. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The bondâstock mix under time-varying interest rates and predictable stock returns. (2014). Leirvik, Thomas . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:3:p:231-237. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The value premium, aggregate risk innovations, and average stock returns. (2014). Lindaas, Knut F. ; Simlai, Prodosh . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:3:p:303-317. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A fear index to predict oil futures returns. (2014). Chevallier, Julien . In: Working Papers. RePEc:ipg:wpaper:2014-333. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Testing for asymmetric causality from U.S. equity returns to commodity futures returns. (2014). Uddin, Gazi Salah . In: Working Papers. RePEc:ipg:wpaper:2014-545. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Forecasting the density of oil futures. (2014). Sevi, Benoit ; Ielpo, Florian . In: Working Papers. RePEc:ipg:wpaper:2014-601. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Is the rating given to a European mutual fund a good indicator of its future performance?. (2014). Louargant, Christine . In: Economics Bulletin. RePEc:ebl:ecbull:eb-14-00283. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Daily seasonality in crude oil returns and volatilities. (2014). Auer, Benjamin R.. In: Energy Economics. RePEc:eee:eneeco:v:43:y:2014:i:c:p:82-88. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | 60 Years of portfolio optimization: Practical challenges and current trends. (2014). Fabozzi, Frank J. ; Tutuncu, Reha ; Kolm, Petter N.. In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:2:p:356-371. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Deciphering robust portfolios. (2014). Fabozzi, Frank J. ; Kim, Woo Chang . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:45:y:2014:i:c:p:1-8. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Debt Maturity Choices, Multi-stage Investments and Financing Constraints. (2014). Koussis, N.. In: Working Papers. RePEc:bol:bodewp:wp980. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Finite Element Model of the Innovation Diffusion: An Application to
Photovoltaic Systems. (2014). . In: INDEK Working Paper Series. RePEc:hhs:kthind:2014_006. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Investor attention, index performance, and return predictability. (2014). Vozlyublennaia, Nadia . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:41:y:2014:i:c:p:17-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A Modified Least-Squares Simulation Approach to Value American Barrier Options. (2014). Zhang, Lihua ; Shi, Xiang ; Xu, Weijun . In: Computational Economics. RePEc:kap:compec:v:44:y:2014:i:4:p:489-506. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). CharlesP. Thomas, ; Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E.. In: NBER Working Papers. RePEc:nbr:nberwo:19963. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). CharlesP. Thomas, ; Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E.. In: International Finance Discussion Papers. RePEc:fip:fedgif:1103. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Uncovered Equity Parity and rebalancing in international portfolios. (2014). CharlesP. Thomas, ; Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:47:y:2014:i:c:p:86-99. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Speculate against speculative demand. (2014). Kita, A. ; ap Gwilym, O.. In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:212-221. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Internet, noise trading and commodity futures prices. (2014). Vandone, Daniela ; Peri, Massimo ; Baldi, Lucia . In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:82-89. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Timing and eco(nomic) efficiency of climate-friendly investments in supply chains. (2014). Welling, Andreas ; Lukas, Elmar . In: European Journal of Operational Research. RePEc:eee:ejores:v:233:y:2014:i:2:p:448-457. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the investmentâuncertainty relationship: A game theoretic real option approach. (2014). Welling, Andreas ; Lukas, Elmar . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:1:p:25-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test. (2014). Lee, Chingnun ; Yang, Lixiong ; Shie, Fu Shuen . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:26:y:2014:i:c:p:198-226. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A spatialâtemporal analysis of East Asian equity market linkages. (2014). Tam, Pui Sun . In: Journal of Comparative Economics. RePEc:eee:jcecon:v:42:y:2014:i:2:p:304-327. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Bank bonds: size, systemic relevance and the sovereign. (2014). Zaghini, Andrea . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_966_14. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bank Bonds: Size, Systemic Relevance and the Sovereign. (2014). Zaghini, Andrea . In: International Finance. RePEc:bla:intfin:v:17:y:2014:i:2:p:161-184. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data. (2014). Urquhart, Andrew ; McGroarty, Frank . In: International Review of Financial Analysis. RePEc:eee:finana:v:35:y:2014:i:c:p:154-166. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bankruptcy risk induced by career concerns of regulators. (2014). Cadogan, Godfrey ; Cole, John A.. In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:3:p:259-271. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The Halloween Effect Evidence from Romania. (2014). . In: International Journal of Academic Research in Business and Social Sciences. RePEc:hur:ijarbs:v:4:y:2014:i:7:p:463-471. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Der Beitrag der Arbeitnehmervertreter zur fachlichen und geschlechtlichen Diversitaet von Aufsichtsraeten: Erkenntnisse einer qualitativ-explorativen Analyse (Worker directors and supervisory board di. (2014). Pull, Kerstin ; Duran, Mihael . In: Industrielle Beziehungen - Zeitschrift fuer Arbeit, Organisation und Management - The German Journal of Industrial Relations. RePEc:rai:indbez:doi:10.1688/indb-2014-04-duran. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bank bonds: Size, systemic relevance and the sovereign. (2014). . In: CFS Working Paper Series. RePEc:zbw:cfswop:454. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | On the predictability of stock prices: A case for high and low prices. (2013). Ranaldo, Angelo ; de Magistris, Paolo Santucci ; Caporin, Massimiliano . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Overconfident individual day traders: Evidence from the Taiwan futures market. (2013). Lin, Tse-Chun ; Kuo, Wei-Yu . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3548-3561. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Efficient Jacobian evaluations for estimating zero lower bound term structure models. (2013). Krippner, Leo . In: CAMA Working Papers. RePEc:een:camaaa:2013-77. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | A Fear Index to Predict Oil Futures Returns. (2013). Sevi, Benoit . In: Working Papers. RePEc:fem:femwpa:2013.62. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2012 | Heterogeneous gain learning and the dynamics of asset prices. (2012). LeBaron, Blake . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:83:y:2012:i:3:p:424-445. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach. (2012). Welling, Andreas ; Lukas, Elmar . In: FEMM Working Papers. RePEc:mag:wpaper:120030. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2011 | Portfolio separation properties of the skew-elliptical distributions, with generalizations. (2011). Framstad, N. C.. In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:12:p:1862-1866. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Are Euro exchange rates markets efficient? New evidence from a large panel. (2011). Cheung, Adrian Wai-kong ; Su, Jen-Je ; Choo, Astrophel Kim . In: Discussion Papers in Finance. RePEc:gri:fpaper:finance:201109. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting. (2011). Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros ; Louzis, Dimitrios P.. In: MPRA Paper. RePEc:pra:mprapa:35252. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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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.