0.61
Impact Factor
0.56
5-Years IF
12
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 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.27 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.31 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.39 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2001 | 0.41 | 0 | 0 | 0 | (%) | 0.16 | ||||||||||
| 2002 | 0.43 | 0 | 0 | 0 | (%) | 0.19 | ||||||||||
| 2003 | 0.45 | 0 | 1 | 0 | 0 | (%) | 0.19 | |||||||||
| 2004 | 0.51 | 0 | 2 | 0 | 0 | (%) | 0.21 | |||||||||
| 2005 | 0.54 | 19 | 19 | 13 | 0.68 | 203 | 0 | 0 | 25 (12.3%) | 12 | 0.63 | 0.22 | ||||
| 2006 | 0.74 | 0.52 | 0.74 | 22 | 41 | 21 | 0.51 | 81 | 19 | 14 | 19 | 14 | 10 (12.3%) | 5 | 0.23 | 0.21 |
| 2007 | 0.46 | 0.45 | 0.46 | 21 | 62 | 31 | 0.5 | 52 | 41 | 19 | 41 | 19 | 11 (21.2%) | 6 | 0.29 | 0.18 |
| 2008 | 0.33 | 0.48 | 0.61 | 23 | 85 | 52 | 0.61 | 94 | 43 | 14 | 62 | 38 | 21 (22.3%) | 11 | 0.48 | 0.2 |
| 2009 | 0.23 | 0.48 | 0.4 | 26 | 111 | 56 | 0.5 | 95 | 44 | 10 | 85 | 34 | 14 (14.7%) | 9 | 0.35 | 0.19 |
| 2010 | 0.39 | 0.44 | 0.47 | 27 | 138 | 62 | 0.45 | 111 | 49 | 19 | 111 | 52 | 15 (13.5%) | 7 | 0.26 | 0.16 |
| 2011 | 0.6 | 0.53 | 0.55 | 24 | 162 | 89 | 0.55 | 27 | 53 | 32 | 119 | 65 | 5 (18.5%) | 2 | 0.08 | 0.21 |
| 2012 | 0.47 | 0.58 | 0.45 | 24 | 186 | 83 | 0.45 | 56 | 51 | 24 | 121 | 55 | 6 (10.7%) | 3 | 0.13 | 0.22 |
| 2013 | 0.42 | 0.71 | 0.6 | 35 | 221 | 133 | 0.6 | 30 | 48 | 20 | 124 | 74 | 1 (3.3%) | 6 | 0.17 | 0.25 |
| 2014 | 0.61 | 0.81 | 0.56 | 25 | 246 | 134 | 0.54 | 6 | 59 | 36 | 136 | 76 | 1 (16.7%) | 3 | 0.12 | 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 |
|---|---|---|
| 2005 | Option pricing and Esscher transform under regime switching. (2005). Chan, Leunglung ; Elliott, Robert J.. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers || Download paper | 49 |
| 2009 | A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers || Download paper | 37 |
| 2005 | A risk assessment model for banks. (2005). Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers || Download paper | 29 |
| 2005 | Relative arbitrage in volatility-stabilized markets. (2005). Karatzas, Ioannis ; Fernholz, Robert . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers || Download paper | 28 |
| 2005 | Determinants of stock market volatility and risk premia. (2005). Jin, Hehui ; Kurz, Mordecai ; Motolese, Maurizio . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers || Download paper | 26 |
| 2010 | The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). Rasonyi, Miklos ; Schachermayer, Walter ; Guasoni, Paolo . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers || Download paper | 23 |
| 2008 | Optimal portfolio allocation with higher moments. (2008). Zapatero, Fernando . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers || Download paper | 21 |
| 2005 | On user costs of risky monetary assets. (2005). Wu, Shu . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers || Download paper | 20 |
| 2010 | Robust consumption and portfolio choice for time varying investment opportunities. (2010). Liu, Hening . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers || Download paper | 15 |
| 2010 | A financial stability index for Colombia. (2010). Estrada, Dairo ; Morales, Miguel . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers || Download paper | 14 |
| 2005 | American options: the EPV pricing model. (2005). Levendorskii, Sergei . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers || Download paper | 14 |
| 2009 | Entrepreneurship and firm heterogeneity with limited enforcement. (2009). Monge-Naranjo, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:465-494. Full description at Econpapers || Download paper | 14 |
| 2005 | On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles R. ; Barner, Martin ; Feri, Francesco . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers || Download paper | 12 |
| 2009 | Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers || Download paper | 12 |
| 2008 | Short-term relative arbitrage in volatility-stabilized markets. (2008). Banner, Adrian ; Fernholz, Daniel . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers || Download paper | 11 |
| 2006 | Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia. (2006). Fan, Min. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:259-285. Full description at Econpapers || Download paper | 10 |
| 2006 | A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Goodhart, Charles ; Sunirand, Pojanart . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21. Full description at Econpapers || Download paper | 10 |
| 2006 | Risk measure pricing and hedging in incomplete markets. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers || Download paper | 10 |
| 2006 | Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change. (2006). Osterrieder, Jrg ; Rheinlnder, Thorsten. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:287-301. Full description at Econpapers || Download paper | 10 |
| 2010 | Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers || Download paper | 10 |
| 2010 | Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Souza-Sobrinho, Nelson . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32. Full description at Econpapers || Download paper | 9 |
| 2008 | Who controls Allianz?. (2008). Dorofeenko, Victor . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103. Full description at Econpapers || Download paper | 9 |
| 2010 | On dividend restrictions and the collapse of the interbank market. (2010). Vardoulakis, A. ; Peiris, M. ; Tsomocos, D. ; Goodhart, C.. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers || Download paper | 9 |
| 2009 | A conversation with 590 Nascent Entrepreneurs. (2009). Campbell, Jeffrey . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:313-340. Full description at Econpapers || Download paper | 8 |
| 2009 | Small caps in international equity portfolios: the effects of variance risk. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:15-48. Full description at Econpapers || Download paper | 8 |
| 2006 | The Discounted Economic Stock of Money with VAR Forecasting. (2006). Keating, John ; Chae, Unja. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:229-258. Full description at Econpapers || Download paper | 8 |
| 2009 | Minority self-employment in the United States and the impact of affirmative action programs. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers || Download paper | 8 |
| 2012 | Stochastic volatility and stochastic leverage. (2012). Veraart, Almut . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers || Download paper | 8 |
| 2008 | Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Fabozzi, Frank ; Sun, Wei ; Rachev, Svetlozar ; Kalev, Petko . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers || Download paper | 7 |
| 2007 | Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). Ramezani, Cyrus ; Zeng, Yong . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507. Full description at Econpapers || Download paper | 7 |
| 2013 | An evolutionary CAPM under heterogeneous beliefs. (2013). Chiarella, Carl ; He, Xue-Zhong ; Dieci, Roberto ; Li, Kai . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers || Download paper | 7 |
| 2007 | Pursuing financial stability under an inflation-targeting regime. (2007). Brdsen, Gunnar ; Lindquist, Kjersti-Gro . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:131-153. Full description at Econpapers || Download paper | 7 |
| Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan ; Young, Virginia . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers || Download paper | 7 | |
| 2012 | Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers || Download paper | 7 |
| 2007 | An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade, Agustin ; Osorio, Daniel . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105. Full description at Econpapers || Download paper | 7 |
| 2009 | Small firms in the SSBF. (2009). Herranz, Neus ; Krasa, Stefan . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:341-359. Full description at Econpapers || Download paper | 7 |
| 2007 | Financial distress, bankruptcy law and the business cycle. (2007). Sussman, Oren . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:5-35. Full description at Econpapers || Download paper | 7 |
| 2006 | The modified mixture of distributions model: a revisit. (2006). Fong, Wai ; Wong, Wing. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:2:p:167-178. Full description at Econpapers || Download paper | 7 |
| 2006 | Stochastic equilibria for economies under uncertainty with intertemporal substitution. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:101-122. Full description at Econpapers || Download paper | 6 |
| 2010 | An economy with personal currency: theory and experimental evidence. (2010). Huber, Juergen ; Sunder, Shyam ; Shubik, Martin ; Angerer, Martin . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:475-509. Full description at Econpapers || Download paper | 6 |
| 2010 | On the neutrality of debt in investment intensity. (2010). Wong, Kit . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:335-356. Full description at Econpapers || Download paper | 6 |
| 2008 | Capital market equilibrium without riskless assets: heterogeneous expectations. (2008). Won, D. ; Yannelis, N. ; Hahn, G.. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:183-195. Full description at Econpapers || Download paper | 6 |
| 2011 | Diversity and arbitrage in a regulatory breakup model. (2011). Fouque, Jean-Pierre ; Strong, Winslow . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:349-374. Full description at Econpapers || Download paper | 6 |
| 2006 | Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von NeumannâGale Model. (2006). Dempster, M. ; Taksar, M.. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355. Full description at Econpapers || Download paper | 6 |
| 2008 | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. (2008). Vries, Casper ; Yang, Xiaoguang . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:3:p:345-367. Full description at Econpapers || Download paper | 6 |
| 2005 | Race to the top or bottom? Corporate governance, freedom of reincorporation and competition in law. (2005). Fluck, Zsuzsanna . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:349-378. Full description at Econpapers || Download paper | 5 |
| 2008 | Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. (2008). Himonas, Alex ; Chen, YU ; Cosimano, Thomas . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:3:p:305-344. Full description at Econpapers || Download paper | 5 |
| 2011 | Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos ; Jochec, Marek . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers || Download paper | 5 |
| 2005 | The non-neutrality of debt in investment timing: a new NPV rule. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:433-445. Full description at Econpapers || Download paper | 5 |
| 2009 | Self-employment rates and business size: the roles of occupational choice and credit market frictions. (2009). Athreya, Kartik . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:495-519. 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 |
|---|---|---|
| 2005 | Option pricing and Esscher transform under regime switching. (2005). Chan, Leunglung ; Elliott, Robert J.. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers || Download paper | 23 |
| 2010 | The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). Rasonyi, Miklos ; Schachermayer, Walter ; Guasoni, Paolo . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers || Download paper | 15 |
| 2005 | Relative arbitrage in volatility-stabilized markets. (2005). Karatzas, Ioannis ; Fernholz, Robert . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers || Download paper | 14 |
| 2009 | A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers || Download paper | 14 |
| 2005 | A risk assessment model for banks. (2005). Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers || Download paper | 11 |
| 2010 | Robust consumption and portfolio choice for time varying investment opportunities. (2010). Liu, Hening . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers || Download paper | 11 |
| 2008 | Optimal portfolio allocation with higher moments. (2008). Zapatero, Fernando . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers || Download paper | 11 |
| 2010 | A financial stability index for Colombia. (2010). Estrada, Dairo ; Morales, Miguel . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers || Download paper | 10 |
| 2008 | Short-term relative arbitrage in volatility-stabilized markets. (2008). Banner, Adrian ; Fernholz, Daniel . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers || Download paper | 8 |
| 2013 | An evolutionary CAPM under heterogeneous beliefs. (2013). Chiarella, Carl ; He, Xue-Zhong ; Dieci, Roberto ; Li, Kai . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers || Download paper | 7 |
| 2012 | Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers || Download paper | 7 |
| 2006 | Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change. (2006). Osterrieder, Jrg ; Rheinlnder, Thorsten. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:287-301. Full description at Econpapers || Download paper | 7 |
| 2009 | Entrepreneurship and firm heterogeneity with limited enforcement. (2009). Monge-Naranjo, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:465-494. Full description at Econpapers || Download paper | 6 |
| 2012 | Stochastic volatility and stochastic leverage. (2012). Veraart, Almut . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers || Download paper | 6 |
| 2010 | On dividend restrictions and the collapse of the interbank market. (2010). Vardoulakis, A. ; Peiris, M. ; Tsomocos, D. ; Goodhart, C.. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers || Download paper | 6 |
| 2005 | Determinants of stock market volatility and risk premia. (2005). Jin, Hehui ; Kurz, Mordecai ; Motolese, Maurizio . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers || Download paper | 6 |
| 2012 | A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers || Download paper | 5 |
| 2010 | Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers || Download paper | 5 |
| 2012 | Affine fractional stochastic volatility models. (2012). Renault, E. ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers || Download paper | 5 |
| 2011 | Diversity and arbitrage in a regulatory breakup model. (2011). Fouque, Jean-Pierre ; Strong, Winslow . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:349-374. Full description at Econpapers || Download paper | 5 |
| 2005 | On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles R. ; Barner, Martin ; Feri, Francesco . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers || Download paper | 5 |
| 2012 | A Gaussian calculus for inference from high frequency data. (2012). Mykland, Per . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:235-258. Full description at Econpapers || Download paper | 4 |
| 2009 | A conversation with 590 Nascent Entrepreneurs. (2009). Campbell, Jeffrey . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:313-340. Full description at Econpapers || Download paper | 4 |
| 2007 | Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). Ramezani, Cyrus ; Zeng, Yong . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507. Full description at Econpapers || Download paper | 4 |
| 2005 | American options: the EPV pricing model. (2005). Levendorskii, Sergei . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers || Download paper | 4 |
| 2009 | Self-employment rates and business size: the roles of occupational choice and credit market frictions. (2009). Athreya, Kartik . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:495-519. Full description at Econpapers || Download paper | 4 |
| 2010 | An economy with personal currency: theory and experimental evidence. (2010). Huber, Juergen ; Sunder, Shyam ; Shubik, Martin ; Angerer, Martin . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:475-509. Full description at Econpapers || Download paper | 4 |
| 2013 | A second-order stock market model. (2013). Karatzas, Ioannis ; Ichiba, Tomoyuki ; Fernholz, Robert . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:439-454. Full description at Econpapers || Download paper | 4 |
| 2012 | On the necessity of five risk measures. (2012). Guegan, Dominique ; Tarrant, Wayne . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:533-552. Full description at Econpapers || Download paper | 4 |
| 2013 | Pricing of payment cards, competition, and efficiency: a possible guide for SEPA. (2013). Schmiedel, Heiko ; Bolt, Wilko . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:1:p:5-25. Full description at Econpapers || Download paper | 3 |
| 2008 | Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. (2008). Himonas, Alex ; Chen, YU ; Cosimano, Thomas . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:3:p:305-344. Full description at Econpapers || Download paper | 3 |
| 2012 | Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. (2012). Viens, Frederi ; Kim, Ha-Young . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:405-425. Full description at Econpapers || Download paper | 3 |
| 2008 | Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Fabozzi, Frank ; Sun, Wei ; Rachev, Svetlozar ; Kalev, Petko . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers || Download paper | 3 |
| 2012 | More punishment, less default?. (2012). Quintin, Erwan . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:427-454. Full description at Econpapers || Download paper | 3 |
| 2012 | Estimation and pricing under long-memory stochastic volatility. (2012). Chronopoulou, Alexandra ; Viens, Frederi . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers || Download paper | 3 |
| 2013 | Private payment systems, collateral, and interest rates. (2013). Kahn, Charles . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:1:p:83-114. Full description at Econpapers || Download paper | 3 |
| 2011 | Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos ; Jochec, Marek . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers || Download paper | 3 |
| 2012 | The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. (2012). Faria, Gonalo ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:507-531. Full description at Econpapers || Download paper | 3 |
| 2010 | On the neutrality of debt in investment intensity. (2010). Wong, Kit . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:335-356. Full description at Econpapers || Download paper | 3 |
| 2006 | Risk measure pricing and hedging in incomplete markets. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers || Download paper | 3 |
| 2012 | Option pricing under a stressed-beta model. (2012). Tashman, Adam ; Fouque, Jean-Pierre . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:183-203. Full description at Econpapers || Download paper | 3 |
| 2009 | Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers || Download paper | 3 |
| 2013 | Optimal portfolio choice for a behavioural investor in continuous-time markets. (2013). Rodrigues, Andrea ; Rasonyi, Miklos . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:291-318. Full description at Econpapers || Download paper | 3 |
| 2011 | Central bank haircut policy. (2011). Chapman, James ; Molico, Miguel . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers || Download paper | 2 |
| 2008 | Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan ; Young, Virginia . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers || Download paper | 2 |
| 2008 | Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. (2008). Vries, Casper ; Yang, Xiaoguang . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:3:p:345-367. Full description at Econpapers || Download paper | 2 |
| 2007 | Pursuing financial stability under an inflation-targeting regime. (2007). Brdsen, Gunnar ; Lindquist, Kjersti-Gro . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:131-153. Full description at Econpapers || Download paper | 2 |
| 2009 | The impact of prior performance on the risk-taking of mutual fund managers. (2009). Verhofen, Michael . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:69-90. Full description at Econpapers || Download paper | 2 |
| 2011 | Family firms, debtholderâshareholder agency costs and the use of covenants in private debt. (2011). Liu, Hsin-Tsai ; Watts, Susan ; Bagnoli, Mark . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:4:p:477-509. Full description at Econpapers || Download paper | 2 |
| 2010 | Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Souza-Sobrinho, Nelson . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 36:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Risk-sensitive investment in a market with animal spirits. (2014). Andruszkiewicz, Grzegorz ; Lleo, S'ebastien ; Mark H. A. Davis, . In: Papers. RePEc:arx:papers:1407.5278. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Continuous-Time Portfolio Optimisation for a Behavioural Investor with
Bounded Utility on Gains. (2014). Rodrigues, Andrea Meireles ; Mikl'os R'asonyi, . In: Papers. RePEc:arx:papers:1309.0362. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal investment with bounded above utilities in discrete time markets. (2014). Rasonyi, Miklos . In: Papers. RePEc:arx:papers:1409.2023. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | . Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal Bid-Ask Spread in Limit-Order Books under Regime Switching Framework. (2014). Fard, Farzad Alavi . In: Review of Economics & Finance. RePEc:bap:journl:140403. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Intergenerational Risk-Sharing through Funded Pensions and Public Debt. (2014). Damiaan H. J. Chen, ; Romp, Ward E. ; Beetsma, Roel ; Ponds, Eduard . In: CESifo Working Paper Series. RePEc:ces:ceswps:_4624. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the hedging of options on exploding exchange rates. (2014). Ruf, Johannes ; Fisher, Travis ; Carr, Peter . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:115-144. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Capital distribution and portfolio performance in the mean-field Atlas
model. (2014). Jourdain, Benjamin ; Reygner, Julien . In: Papers. RePEc:arx:papers:1312.5660. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Capital distribution and portfolio performance in the mean-field Atlas model. (2014). Jourdain, Benjamin ; Reygner, Julien . In: Working Papers. RePEc:hal:wpaper:hal-00921151. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai . In: PhD Thesis. RePEc:uts:finphd:13. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Speculative behavior and the dynamics of interacting stock markets. (2014). Westerhoff, Frank ; Schmitt, Noemi . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:262-288. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Herding, trend chasing and market volatility. (2014). Di Guilmi, Corrado ; He, Xue-Zhong ; Li, Kai . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:349-373. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Trade classification accuracy for the BIST. (2014). Kryzanowski, Lawrence ; Aktas, Osman Ulas . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:33:y:2014:i:c:p:259-282. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Performance evaluation of optimized portfolio insurance strategies. (2014). MAHAYNI, ANTJE ; Balder, Sven ; Zieling, Daniel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:43:y:2014:i:c:p:212-225. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Impulse control of pension fund contributions, in a regime switching economy. (2014). Hainaut, Donatien . In: European Journal of Operational Research. RePEc:eee:ejores:v:239:y:2014:i:3:p:810-819. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading. (2014). Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2014-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Financial soundness indicators and financial crisis episodes. (2014). Tagkalakis, Athanasios ; Kasselaki, Maria . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:4:p:623-669. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Calibration of a stocks beta using options prices. (2014). Abergel, Frederic ; el Aoud, Sofiene . In: Working Papers. RePEc:hal:wpaper:hal-01006405. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Calibration of a stocks beta using options prices. (2014). el Aoud, Sofiene ; Abergel, Frederic . In: Post-Print. RePEc:hal:journl:hal-01006405. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Gaussian and logistic adaptations of smoothed safety first. (2014). Haley, M.. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:333-345. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A closed-form solution for options with ambiguity about stochastic volatility. (2014). Faria, Gonalo ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:2:p:125-159. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Ambiguïté, comportements et marchés financiers.. (2014). Jeleva, Meglena . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14064. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Ambiguïté, comportements et marchés financiers. (2014). Jeleva, Meglena ; Tallon, Jean-Marc . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01109639. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | TRANSACTION COSTS AND MARKET IMPACT IN INVESTMENT MANAGEMENT. (2014). Kociski, Marek . In: e-Finanse. RePEc:rze:efinan:v:10:y:2014:i:4:p:28-35. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dependence patterns among Banking Sectors in Asia: A Copula Approach. (2014). Premaratne, Gamini . In: MPRA Paper. RePEc:pra:mprapa:60119. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On financial contagion and implied market volatility. (2014). Kenourgios, Dimitris . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:21-30. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Two price economies in continuous time. (2014). Madan, Dilip ; Schoutens, Wim ; Pistorius, Martijn ; Yor, Marc ; Eberlein, Ernst . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:1:p:71-100. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Robust valuation and risk measurement under model uncertainty. (2014). Xu, Yuhong . In: Papers. RePEc:arx:papers:1407.8024. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | GARCH with omitted persistent covariate. (2014). Han, Heejoon ; Park, Joon Y.. In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:2:p:248-254. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A closed-form option pricing approximation formula for a fractional Heston model. (2014). Alos, Elisa ; Yang, Yan . In: Economics Working Papers. RePEc:upf:upfgen:1446. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asymptotic behaviour of the fractional Heston model. (2014). Jacquier, Antoine ; Roome, Patrick ; Guennoun, Hamza . In: Papers. RePEc:arx:papers:1411.7653. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On idiosyncratic stochasticity of financial leverage effects. (2014). Breto, Carles . In: Statistics & Probability Letters. RePEc:eee:stapro:v:91:y:2014:i:c:p:20-26. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A probabilistic numerical method for optimal multiple switching problems in high dimension. (2014). Aid, Rene ; Pham, Huyen ; Langrene, Nicolas ; Campi, Luciano . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63011. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Continuous time portfolio choice under monotone preferences with
quadratic penalty - stochastic interest rate case. (2014). Zawisza, Dariusz ; Trybula, Jakub . In: Papers. RePEc:arx:papers:1404.5408. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A note on the estimation of a Gamma-Variance process: Learning from a failure. (2014). Cervellera, Gian P. ; Tucci, Marco P.. In: Department of Economics University of Siena. RePEc:usi:wpaper:702. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2013
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2013 | Competition in bank-provided payment services. (2013). Humphrey, David ; Bolt, Wilko . In: Working Paper Series. RePEc:ecb:ecbwps:20131539. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Pricing participating products with Markov-modulated jumpâdiffusion process: An efficient numerical PIDE approach. (2013). Fard, Farzad Alavi ; Siu, Tak Kuen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:53:y:2013:i:3:p:712-721. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Competition in bank-provided payment services. (2013). Humphrey, David ; Bolt, Wilko . In: Working Papers. RePEc:fip:fedpwp:13-17. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | A semi-Markov approach to the stock valuation problem. (2013). DAmico, Guglielmo . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:589-610. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Card versus cash: empirical evidence of the impact of payment card interchange fees on end usersâ choice of payment methods. (2013). Ardizzi, Guerino . In: MPRA Paper. RePEc:pra:mprapa:48088. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Speculative behavior and the dynamics of interacting stock markets. (2013). Schmitt, Noemi . In: BERG Working Paper Series. RePEc:zbw:bamber:90. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2012 | A probabilistic numerical method for optimal multiple switching problem
and application to investments in electricity generation. (2012). Pham, Huyen ; Ren'e A"id, ; Nicolas Langren'e, ; Campi, Luciano . In: Papers. RePEc:arx:papers:1210.8175. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation. (2012). Pham, Huyen ; Aid, Rene ; Langrene, Nicolas ; Campi, Luciano . In: Working Papers. RePEc:hal:wpaper:hal-00747229. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?. (2012). Faria, Gonalo ; João Correia-da-Silva, ; João Correia-da-Silva, . In: FEP Working Papers. RePEc:por:fepwps:472. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2011 | Fundamental theorems of asset pricing for piecewise semimartingales of
stochastic dimension. (2011). Strong, Winslow . In: Papers. RePEc:arx:papers:1112.5340. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Introduction to the special issue on ownership, control and regulation. (2011). Bagnoli, Mark ; Watts, Susan . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:4:p:425-427. 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.