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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Quantitative Finance / Taylor & Francis Journals

0.31

Impact Factor

0.47

5-Years IF

28

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.09000 (%)0.03
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.19000 (%)0.07
19960.23000 (%)0.09
19970.27000 (%)0.09
19980.27000 (%)0.1
19990.31000 (%)0.13
20000.390100 (%)0.15
20010.416666240.369840017 (1.7%)190.290.16
20020.380.430.3863129470.364186625662517 (4.1%)80.130.19
20030.50.450.568197950.48320129651296512 (3.8%)20.030.19
20040.350.510.4682651050.444413146197795 (1.1%)90.130.21
20050.340.540.51503151850.593951364626513610 (2.5%)40.080.22
20060.420.520.55453602150.6199118493151747 (3.5%)100.220.21
20070.310.450.37634231910.4517495292941101 (%)60.10.18
20080.140.480.35644872550.52267108152941022 (%)130.20.2
20090.230.480.43805672930.52201127292901244 (2%)20.030.19
20100.310.440.341146812860.42348144453021042 (%)120.110.16
20110.220.530.29917723190.4116619442366107 (%)140.150.21
20120.320.580.421669384600.49173205664121741 (%)70.040.22
20130.30.710.4614010786250.58141257775152361 (%)180.130.25
20140.310.810.4715312317730.635230696591278 (%)120.080.28
 
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]

YearTitleCited
2001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

298
2005Empirical modelling of contagion: a review of methodologies. (2005). Gonzalez-Hermosillo, Brenda ; Martin, Vance ; Fry, Renee . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

126
2004Network topology of the interbank market. (2004). Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael ; Summer, Martin . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

117
2001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, C. H.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

Full description at Econpapers || Download paper

115
2001What good is a volatility model?. (2001). Patton, A. J. ; Engle, R. F.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

76
2001Asset price and wealth dynamics under heterogeneous expectations. (2001). Chiarella, C. ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526.

Full description at Econpapers || Download paper

72
2002Dynamics of implied volatility surfaces. (2002). da Fonseca, Jose ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

Full description at Econpapers || Download paper

63
2002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

58
2003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

Full description at Econpapers || Download paper

58
2010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

Full description at Econpapers || Download paper

56
2002A simulation analysis of the microstructure of double auction markets. (2002). Chiarella, Carl ; Iori, Giulia . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

56
2001High-frequency cross-correlation in a set of stocks. (2001). Lillo, F. ; Mantegna, R. N. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

Full description at Econpapers || Download paper

49
2003Statistical theory of the continuous double auction. (2003). Farmer, Doyne J ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

47
2001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

46
2004What really causes large price changes?. (2004). Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

Full description at Econpapers || Download paper

46
2001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

Full description at Econpapers || Download paper

40
2010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

Full description at Econpapers || Download paper

35
2003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

Full description at Econpapers || Download paper

34
2008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; Grasselli, Martino ; da Fonseca, Jose . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

Full description at Econpapers || Download paper

34
2004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

34
2001Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387.

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33
2008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

32
2010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

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31
2011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

31
2010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

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30
2004A spot market model for pricing derivatives in electricity markets. (2004). Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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30
2001Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). LeBaron, B.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631.

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29
2001Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308.

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29
2003Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Sornette, D. ; Malevergne, Y.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250.

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28
2008Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

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27
2013Modelling microstructure noise with mutually exciting point processes. (2013). Bacry, E. ; Delattre, S. ; Hoffmann, M. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

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27
2010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

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27
2005Tobin tax and market depth. (2005). Stauffer, D. ; Ehrenstein, G. ; Westerhoff, F.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218.

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26
2005Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364.

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26
2001Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44.

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26
2001Price fluctuations, market activity and trading volume. (2001). Stanley, H. E. ; Gabaix, X. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269.

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26
2003Fundamentalists clashing over the book: a study of order-driven stock markets. (2003). Pellizzari, Paolo . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480.

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25
2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501.

Full description at Econpapers || Download paper

25
2007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

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25
2012Leverage causes fat tails and clustered volatility. (2012). Geanakoplos, John ; Thurner, Stefan . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

Full description at Econpapers || Download paper

22
2002The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, Doyne J ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392.

Full description at Econpapers || Download paper

22
2002Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198.

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22
2002The US 2000-2002 market descent: How much longer and deeper?. (2002). Sornette, D. ; W-X. Zhou, . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:468-481.

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21
2001A statistical analysis of log-periodic precursors to financial crashes*. (2001). Feigenbaum, J. A.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360.

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20
2002Probability distribution of returns in the Heston model with stochastic volatility. (2002). Dragulescu, A. A. ; Yakovenko, V. M.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453.

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20
2004Sampling from Archimedean copulas. (2004). Whelan, Niall . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:339-352.

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20
Fast strong approximation Monte Carlo schemes for stochastic volatility models. (2006). Kahl, Christian ; Jackel, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536.

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20
2002Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69.

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19
2005Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342.

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19
2005Multiple equilibria in a monopoly market with heterogeneous agents and externalities. (2005). Vannimenus, Jean ; Gordon, Mirta B.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568.

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19

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2001Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236.

Full description at Econpapers || Download paper

137
2004Network topology of the interbank market. (2004). Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael ; Summer, Martin . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684.

Full description at Econpapers || Download paper

75
2005Empirical modelling of contagion: a review of methodologies. (2005). Gonzalez-Hermosillo, Brenda ; Martin, Vance ; Fry, Renee . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24.

Full description at Econpapers || Download paper

72
2010Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157.

Full description at Econpapers || Download paper

42
2010No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759.

Full description at Econpapers || Download paper

31
2011Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

Full description at Econpapers || Download paper

29
2003Statistical theory of the continuous double auction. (2003). Farmer, Doyne J ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514.

Full description at Econpapers || Download paper

28
2013Modelling microstructure noise with mutually exciting point processes. (2013). Bacry, E. ; Delattre, S. ; Hoffmann, M. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77.

Full description at Econpapers || Download paper

27
2010Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

Full description at Econpapers || Download paper

26
2002Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256.

Full description at Econpapers || Download paper

24
2008High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224.

Full description at Econpapers || Download paper

23
2010Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485.

Full description at Econpapers || Download paper

22
2008A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; Grasselli, Martino ; da Fonseca, Jose . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604.

Full description at Econpapers || Download paper

22
2001Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37.

Full description at Econpapers || Download paper

22
2012Leverage causes fat tails and clustered volatility. (2012). Geanakoplos, John ; Thurner, Stefan . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707.

Full description at Econpapers || Download paper

21
2001Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, C. H.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167.

Full description at Econpapers || Download paper

18
2001What good is a volatility model?. (2001). Patton, A. J. ; Engle, R. F.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245.

Full description at Econpapers || Download paper

17
2004What really causes large price changes?. (2004). Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio ; Farmer, Doyne J.. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397.

Full description at Econpapers || Download paper

17
2001High-frequency cross-correlation in a set of stocks. (2001). Lillo, F. ; Mantegna, R. N. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104.

Full description at Econpapers || Download paper

15
2011Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

Full description at Econpapers || Download paper

14
2011Liberalisation and stock market co-movement between emerging economies. (2011). Beine, Michel . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312.

Full description at Econpapers || Download paper

13
2007Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36.

Full description at Econpapers || Download paper

13
2003Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116.

Full description at Econpapers || Download paper

12
2013Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742.

Full description at Econpapers || Download paper

12
2004Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190.

Full description at Econpapers || Download paper

12
2002The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, Doyne J ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392.

Full description at Econpapers || Download paper

12
2002Dynamics of implied volatility surfaces. (2002). da Fonseca, Jose ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60.

Full description at Econpapers || Download paper

12
2012The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419.

Full description at Econpapers || Download paper

11
2002A simulation analysis of the microstructure of double auction markets. (2002). Chiarella, Carl ; Iori, Giulia . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353.

Full description at Econpapers || Download paper

11
2003Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14.

Full description at Econpapers || Download paper

11
2008Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57.

Full description at Econpapers || Download paper

11
2001Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471.

Full description at Econpapers || Download paper

11
2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501.

Full description at Econpapers || Download paper

11
2008Liquidity risk theory and coherent measures of risk. (2008). Acerbi, Carlo ; Scandolo, Giacomo . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:7:p:681-692.

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11
2010A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194.

Full description at Econpapers || Download paper

10
2013Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94.

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10
2010International trade and financial integration: a weighted network analysis. (2010). Fagiolo, Giorgio ; Schiavo, Stefano ; Reyes, Javier . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399.

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10
2009Modelling spikes and pricing swing options in electricity markets. (2009). Hambly, Ben ; Kluge, Tino ; Howison, Sam . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:8:p:937-949.

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10
2004A spot market model for pricing derivatives in electricity markets. (2004). Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

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10
2001Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44.

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10
2008Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

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10
2001Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387.

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9
2009A multi-quality model of interest rates. (2009). Tanaka, Keiichi ; Wong, Tony ; Kijima, Masaaki . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:2:p:133-145.

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9
2009Arbitrage-free smoothing of the implied volatility surface. (2009). Fengler, Matthias . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:4:p:417-428.

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9
2009An empirical analysis of multivariate copula models. (2009). Kock, Christian ; Schluter, Stephan ; Fischer, Matthias ; Weigert, Florian . In: Quantitative Finance. RePEc:taf:quantf:v:9:y:2009:i:7:p:839-854.

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9
2005Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342.

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9
2005Estimating value-at-risk: a point process approach. (2005). Davison, A. C. ; Chavez-Demoulin, V. ; McNeil, A. J.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:227-234.

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9
2010Asymmetry of information flow between volatilities across time scales. (2010). Whitcher, Brandon ; Gencay, Ramazan ; Gradojevic, Nikola ; Selcuk, Faruk . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:8:p:895-915.

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9
2010Financial literacy and portfolio diversification. (2010). Abreu, Margarida . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:515-528.

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8
2001A statistical analysis of log-periodic precursors to financial crashes*. (2001). Feigenbaum, J. A.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360.

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8

Citing documents used to compute impact factor 96:

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YearTitleSee
2014The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate. (2014). Zhang, Weiguo ; Chen, Xiaoyan ; Xiao, Weilin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:320-337.

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2014Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Gu, Gao-Feng ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1405.1247.

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[Citation Analysis]
2014One-level limit order books with sparsity and memory. (2014). Jonathan A. Ch'avez-Casillas, ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1407.5684.

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2014When chasing the offender hurts the victim: Collateral damage from insider legislation.. (2014). Palan, Stefan ; Stockl, Thomas . In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2014-03.

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2014Hydrodynamic limit of order book dynamics. (2014). Dieker, A. B. ; Gao, Xuefeng ; Deng, S. J. ; Dai, J. G.. In: Papers. RePEc:arx:papers:1411.7502.

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2014A Semiparametric Conditional Duration Model. (2014). Amanullah, ; Wang, Yun ; Long, Xiangdong ; Dungey, Mardi . In: Working Papers. RePEc:ucr:wpaper:201408.

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2014A semiparametric conditional duration model. (2014). Amanullah, ; Wang, Yun ; Long, Xiangdong ; Dungey, Mardi . In: Economics Letters. RePEc:eee:ecolet:v:124:y:2014:i:3:p:362-366.

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2014Do Japanese candlesticks help solve the trader’s dilemma?. (2014). Detollenaere, Benoit ; Mazza, Paolo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:48:y:2014:i:c:p:386-395.

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2014Gaussian 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.

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2014The adaptive nature of liquidity taking in limit order books. (2014). Taranto, Damian Eduardo ; Bormetti, Giacomo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1403.0842.

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2014The timeline of trading frictions in the European carbon market. (2014). Pardo, angel ; Medina, Vicente ; Pascual, Roberto . In: Energy Economics. RePEc:eee:eneeco:v:42:y:2014:i:c:p:378-394.

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2014The long-run relationship of gold and silver and the influence of bubbles and financial crises. (2014). Baur, Dirk ; Tran, Duy. In: Empirical Economics. RePEc:spr:empeco:v:47:y:2014:i:4:p:1525-1541.

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2014Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion. (2014). Grant, Angelia L. ; Joshua C. C. Chan, . In: CAMA Working Papers. RePEc:een:camaaa:2014-51.

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2014Improved method for static replication under the CEV model. (2014). Tsai, Wei-Che . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:3:p:194-202.

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2014Set-valued shortfall and divergence risk measures. (2014). Hamel, Andreas H. ; Ararat, cCaugin ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1405.4905.

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2014Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Roueff, Franccois ; Fr'ed'eric Abergel, . In: Papers. RePEc:arx:papers:1301.5007.

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2014Market impact as anticipation of the order flow imbalance. (2014). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1402.1288.

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2014Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data. (2014). Sornette, Didier ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1308.6756.

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2014Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369.

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2014Stationarity of Bivariate Dynamic Contagion Processes. (2014). Dassios, Angelos ; Dong, Xin . In: Papers. RePEc:arx:papers:1405.5842.

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2014Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois . In: Post-Print. RePEc:hal:journl:hal-00777941.

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2014Conditional correlation in asset return and GARCH intensity model. (2014). Choe, Geon ; Lee, Kyungsub . In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:98:y:2014:i:3:p:197-224.

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2014A Markov Chain Model for Contagion. (2014). Dassios, Angelos ; Zhao, Hongbiao . In: Risks. RePEc:gam:jrisks:v:2:y:2014:i:4:p:434-455:d:42003.

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2014Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096.

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2014A Markov chain model for contagion. (2014). Dassios, Angelos ; Zhao, Hongbiao . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60155.

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2014Are Sovereign Wealth Funds contrarian investors?. (2014). Ciarlone, Alessio ; Miceli, Valeria . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_972_14.

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2014Two 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.

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2014Self-organization and phase transition in financial markets with multiple choices. (2014). Zhong, Chen-Yang ; Xu, Wen-Juan ; Qiu, Tian ; Huang, Ping . In: Papers. RePEc:arx:papers:1312.0690.

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2014Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments. (2014). Fox, Charles ; Kim, Woo Chang ; Cheridito, Patrick ; Fabozzi, Frank J.. In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:154-158.

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2014Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model. (2014). Dewandaru, Ginanjar ; Bacha, Obiyathulla ; Masih, A. Mansur M., . In: MPRA Paper. RePEc:pra:mprapa:56965.

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2014CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS. (2014). SIU, CHI CHUNG ; Kijima, Masaaki . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:17:y:2014:i:03:p:1450021-1-1450021-41.

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2014Can gold hedge and preserve value when the US dollar depreciates?. (2014). Reboredo, Juan C. ; Rivera-Castro, Miguel A.. In: Economic Modelling. RePEc:eee:ecmode:v:39:y:2014:i:c:p:168-173.

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2014Gold and exchange rates: Downside risk and hedging at different investment horizons. (2014). Reboredo, Juan C. ; Rivera-Castro, Miguel A.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:34:y:2014:i:c:p:267-279.

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2014Analytical expansions for parabolic equations. (2014). Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1312.3314.

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2014Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time. (2014). Hayo, Bernd ; Niehof, Britta . In: MAGKS Papers on Economics. RePEc:mar:magkse:201455.

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2014$L_p$ regularized portfolio optimization. (2014). Caccioli, Fabio ; Still, Susanne ; Marsili, Matteo ; Kondor, Imre . In: Papers. RePEc:arx:papers:1404.4040.

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2014Optimal Execution with Dynamic Order Flow Imbalance. (2014). Bechler, Kyle ; Ludkovski, Mike . In: Papers. RePEc:arx:papers:1409.2618.

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2014Market impacts and the life cycle of investors orders. (2014). Iuga, Adrian ; Lasnier, Matthieu ; Bacry, Emmanuel ; Lehalle, Charles-Albert . In: Papers. RePEc:arx:papers:1412.0217.

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2014Portfolio management with robustness in both prediction and decision: A mixture model based learning approach. (2014). Li, Duan ; Zhu, Shushang ; Fan, Minjie . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:1-25.

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2014A stochastic control approach for options market making. (2014). Abergel, Frederic ; el Aoud, Sofiene . In: Working Papers. RePEc:hal:wpaper:hal-01061852.

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2014Bayesian analysis of tail asymmetry based on a threshold extreme value model. (2014). Chan, Raymond K. S., ; So, Mike K. P., . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:568-587.

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2014Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Concas, Giulio ; Cocco, Luisanna . In: Papers. RePEc:arx:papers:1406.6496.

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2014A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:343.

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2014Valuation perspectives and decompositions for variable annuities with GMWB riders. (2014). Hyndman, Cody B. ; Wenger, Menachem . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:283-290.

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2014Pricing and Hedging GMWB Riders in a Binomial Framework. (2014). Hyndman, Cody B. ; Wenger, Menachem . In: Papers. RePEc:arx:papers:1410.7453.

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2014Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products. (2014). Huang, Yao Tung ; Kwok, YueKuen . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:45:y:2014:i:c:p:19-43.

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2014Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction. (2014). Nishinari, Katsuhiro ; Ichiki, Shingo . In: Papers. RePEc:arx:papers:1411.2215.

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2014Quadratic hedging schemes for non-Gaussian GARCH models. (2014). Badescu, Alexandru ; Elliott, Robert J. ; Ortega, Juan-Pablo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:42:y:2014:i:c:p:13-32.

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2014Income drawdown option with minimum guarantee. (2014). Vigna, Elena ; Federico, Salvatore ; Di Giacinto, Marina ; Gozzi, Fausto . In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:3:p:610-624.

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2014Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework. (2014). Yao, Haixiang ; Lai, Yongzeng ; Ma, Qinghua ; Jian, Minjie . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:84-92.

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2014The impact of quantitative easing on the US term structure of interest rates. (2014). Li, Hao ; Jarrow, Robert . In: Review of Derivatives Research. RePEc:kap:revdev:v:17:y:2014:i:3:p:287-321.

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2014Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2014). Ziemba, Bill ; Lleo, Sebastien . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:60960.

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2014The limits of granularity adjustments. (2014). Fermanian, Jean-David . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:45:y:2014:i:c:p:9-25.

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2014Weak approximation of averaged diffusion processes. (2014). Gobet, Emmanuel ; Miri, Mohammed . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:475-504.

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2014How Fast Can Firms Grow?. (2014). Worch, Hagen ; Murmann, Johann Peter ; Korn, Jenny . In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:234:y:2014:i:2-3:p:210-233.

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2014Real and financial crises: A multi-agent approach. (2014). Gibson, Bill ; Setterfield, Mark . In: Working Papers. RePEc:tri:wpaper:1309.

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2014Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market. (2014). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1405.2220.

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2014Leverage-induced systemic risk under Basle II and other credit risk policies. (2014). Farmer, Doyne J. ; Thurner, Stefan ; Poledna, Sebastian ; Geanakoplos, John . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:199-212.

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2014Macroprudential Banking Regulation: Does One Size Fit All?. (2014). Neuberger, Doris ; Rissi, Roger . In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:1:y:2014:i:1:p:5-28.

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2014The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Lahura, Erick ; Garcia-Verdu, Santiago ; Moreno, Ramon ; Pincheira, Pablo ; Zerecero, Miguel ; Fuentes, Miguel ; Julio, Juan Manuel ; Rincon, Hernan . In: BIS Working Papers. RePEc:bis:biswps:462.

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2014The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Lahura, Erick ; Garcia-Verdu, Santiago ; Moreno, Ramon ; Pincheira, Pablo ; Zerecero, Miguel ; Fuentes, Miguel ; Julio, Juan Manuel . In: Borradores de Economia. RePEc:bdr:borrec:849.

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2014A Measure of Early Warning of Exchange-Rate Crises Based on the Hurst Coefficient and the Αlpha-Stable Parameter. (2014). Venegas-Martinez, Francisco ; Cruz-Ake, Salvador ; Rodriguez-Aguilar, Roman . In: MPRA Paper. RePEc:pra:mprapa:59046.

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2014The effects of intraday foreign exchange market operations in Latin America: results for Chile, Colombia, Mexico and Peru. (2014). Julio, Juan Manuel ; Pincheira, Pablo ; Fuentes, Miguel . In: BORRADORES DE ECONOMIA. RePEc:col:000094:012258.

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2014Stability analysis of financial contagion due to overlapping portfolios. (2014). Moore, Cristopher ; Shrestha, Munik ; Caccioli, Fabio ; Farmer, Doyne J.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:233-245.

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2014Prices, debt and market structure in an agent-based model of the financial market. (2014). Riedler, Jesper ; Fischer, Thomas . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:95-120.

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2014A calibration procedure for analyzing stock price dynamics in an agent-based framework. (2014). Tedeschi, Gabriele ; Gallegati, Mauro ; Recchioni, Maria Cristina . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:26.

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2014Optimal investment and contingent claim valuation in illiquid markets. (2014). Pennanen, Teemu . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:4:p:733-754.

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2014Information Flows in the term structure of commodity prices. (2014). Lautier, Delphine ; Raynaud, Franck . In: Economics Papers from University Paris Dauphine. RePEc:dau:papers:123456789/13631.

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2014Contagion Effects of US Subprime Crisis on ASEAN-5 Stock Markets: Evidence from MGARCH-DCC Application. (2014). Chunxiu, Ma. In: MPRA Paper. RePEc:pra:mprapa:57004.

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2014Model-based pricing for financial derivatives. (2014). Ling, Shiqing . In: MPRA Paper. RePEc:pra:mprapa:56623.

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[Citation Analysis]
2014Testing for Leverage Effect in Financial Returns.. (2014). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022.

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2014Testing for Leverage Effect in Financial Returns. (2014). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2014Has Oil Pirce Predicted Stock Returns for Over a Century?. (2014). Narayan, Paresh K.. In: Working Papers. RePEc:pre:wpaper:201446.

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2014A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information. (2014). Yamamoto, Hiromitsu ; Kato, Takashi ; Sekine, Jun . In: Papers. RePEc:arx:papers:1406.4275.

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2014A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information. (2014). Yamamoto, Hiromitsu ; Kato, Takashi ; Sekine, Jun . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:2:p:151-174.

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2014Statistical Arbitrage in the Black-Scholes Framework. (2014). . In: Papers. RePEc:arx:papers:1406.5646.

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2014Tick Size Reduction and Price Clustering in a FX Order Book. (2014). Fr'ed'eric Abergel, ; Lallouache, Mehdi . In: Papers. RePEc:arx:papers:1307.5440.

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2014Agent-based models for latent liquidity and concave price impact. (2014). Toth, Bence ; Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo . In: Papers. RePEc:arx:papers:1311.6262.

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2014Simulating and analyzing order book data: The queue-reactive model. (2014). Lehalle, Charles-Albert ; Huang, Weibing ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1312.0563.

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[Citation Analysis]
2014The adaptive nature of liquidity taking in limit order books. (2014). Taranto, Damian Eduardo ; Bormetti, Giacomo ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1403.0842.

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[Citation Analysis]
2014Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369.

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[Citation Analysis]
2014Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096.

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[Citation Analysis]
2014Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes. (2014). Sakuma, Takayuki ; Yamada, Yuji . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:21:y:2014:i:1:p:1-14.

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2014.

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2014Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market. (2014). Gu, Gao-Feng ; Jiang, Zhi-Qiang ; Xiong, Xiong ; Zhang, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1404.1051.

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2014Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Gu, Gao-Feng ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1405.1247.

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2014Do ADR investors herd?: Evidence from advanced and emerging markets. (2014). Kutan, Ali M. ; Demirer, Rza ; Zhang, Huacheng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:30:y:2014:i:c:p:138-148.

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2014Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Zheng, BO ; Tan, Lei ; Chen, Jun-Jie . In: Papers. RePEc:arx:papers:1407.5258.

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2014What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors. (2014). Hammoudeh, Shawkat . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:418-440.

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2014Herding behaviour and volatility in the Athens Stock Exchange. (2014). Zapranis, Achilleas ; Messis, Petros . In: Journal of Risk Finance. RePEc:eme:jrfpps:v:15:y:2014:i:5:p:572-590.

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2014Risk diversification: a study of persistence with a filtered correlation-network approach. (2014). Nicol'o Musmeci, ; Aste, Tomaso ; di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1410.5621.

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2014Dependence Calibration and Portfolio Fit with FactorBased Time Changes. (2014). Luciano, Elisa ; Semeraro, Patrizia ; Marena, Marina . In: Carlo Alberto Notebooks. RePEc:cca:wpaper:307.

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2014Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties. (2014). Zeller, Camila Borelli ; Balakrishnan, N. ; Vilca, Filidor . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:128:y:2014:i:c:p:73-85.

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2014The intra-day impact of communication on euro-dollar volatility and jumps. (2014). LECOURT, Christelle ; Gnabo, Jean-Yves ; Dewachter, Hans ; Erdemlioglu, Deniz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:43:y:2014:i:c:p:131-154.

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2014A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices. (2014). Kumar, Dilip ; Maheswaran, S.. In: Economic Modelling. RePEc:eee:ecmode:v:38:y:2014:i:c:p:33-44.

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2014Modeling and forecasting the additive bias corrected extreme value volatility estimator. (2014). Kumar, Dilip ; Maheswaran, S.. In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:166-176.

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Cites in year: CiY

Recent citations received in: 2014

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2014Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. (2014). Corazzini, Luca ; Costola, Michele . In: CREATES Research Papers. RePEc:aah:create:2014-33.

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2014Optimal Exercise for Derivative Securities. (2014). . In: Annual Review of Financial Economics. RePEc:anr:refeco:v:6:y:2014:p:459-487.

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2014Utility indifference pricing of derivatives written on industrial loss indexes. (2014). Leobacher, Gunther ; Ngare, Philip . In: Papers. RePEc:arx:papers:1404.0879.

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2014To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1407.0256.

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2014Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513.

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2014Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394.

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2014Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096.

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2014Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33.

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2014Non-parametric analysis of equity arbitrage. (2014). Vortelinos, Dimitrios I.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216.

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2014Centrality-based Capital Allocations. (2014). Craig, Ben ; Raupach, Peter . In: IMF Working Papers. RePEc:imf:imfwpa:14/237.

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2014Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo . In: Working Papers. RePEc:ofr:wpaper:14-06.

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2014Clustering of financial time series in risky scenarios. (2014). Durante, Fabrizio ; Pappada, Roberta ; Torelli, Nicola . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:8:y:2014:i:4:p:359-376.

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Recent citations received in: 2013

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2013Hawkes model for price and trades high-frequency dynamics. (2013). Bacry, E. ; J. F Muzy, . In: Papers. RePEc:arx:papers:1301.1135.

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2013Modelling systemic price cojumps with Hawkes factor models. (2013). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo ; Corsi, Fulvio . In: Papers. RePEc:arx:papers:1301.6141.

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2013Conditional correlation in asset return and GARCH intensity model. (2013). Choe, Geon Ho ; Lee, Kyungsub . In: Papers. RePEc:arx:papers:1311.4977.

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2013Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349.

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2013Equity, commodity and interest rate volatility derivatives. (2013). Balbas, Alejandro ; Blanco, Ivan ; Navarro, Eliseo . In: Business Economics Working Papers. RePEc:cte:idrepe:id-13-02.

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2013Correlated risks vs contagion in stochastic transition models. (2013). Gourieroux, Christian ; Gagliardini, Patrick . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:37:y:2013:i:11:p:2241-2269.

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2013Testing for financial crashes using the Log Periodic Power Law model. (2013). Bree, David S. ; Joseph, Nathan Lael . In: International Review of Financial Analysis. RePEc:eee:finana:v:30:y:2013:i:c:p:287-297.

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2013Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Ruas, Joo Pedro ; Vidal Nunes, João Pedro, ; Dias, Jose Carlos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072.

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2013Clarifications to questions and criticisms on the Johansen–Ledoit–Sornette financial bubble model. (2013). Sornette, Didier ; Zhou, Wei-Xing ; Yan, Wanfeng ; Woodard, Ryan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428.

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2013Continuous time trading of a small investor in a limit order market. (2013). Kuhn, Christoph ; Stroh, Maximilian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053.

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2013Some limit theorems for Hawkes processes and application to financial statistics. (2013). Bacry, E. ; Delattre, S. ; Hoffmann, M. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499.

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2013Stability and price scaling limit of a Hawkes-process based order book model. (2013). Jedidi, Aymen ; Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-00821607.

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2013Oil and gold price dynamics in a multivariate cointegration framework. (2013). Beckmann, Joscha . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:10:y:2013:i:3:p:453-468.

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2013Bubbles, shocks and elementary technical trading strategies. (2013). Fry, John . In: MPRA Paper. RePEc:pra:mprapa:47052.

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2013Price, Return and Volatility Linkages of Base Metal Futures traded in India. (2013). Mathur, Kritika . In: MPRA Paper. RePEc:pra:mprapa:47864.

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2013Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799.

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2013Equity Market Contagion during the Global Financial Crisis: Evidence from the World’s Eight Largest Economies. (2013). . In: Working Papers. RePEc:tas:wpaper:17213.

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2013Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Ziogas, Andrew ; Adolfsson, Thomas ; Ziveyi, Jonathan . In: Research Paper Series. RePEc:uts:rpaper:327.

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Recent citations received in: 2012

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2012Trading networks, abnormal motifs and stock manipulation. (2012). W.-X. Zhou, ; Jiang, Zhi-Qiang ; Zhang, Yong-Jie ; Xiong, Xiong ; Xie, Wen-Jie ; W. -X. Zhou, . In: Papers. RePEc:arx:papers:1301.0007.

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2012Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650.

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2012Analytical pricing of American options. (2012). Zhang, Jin ; Cheng, Jun . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:2:p:157-192.

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2012Option pricing with discrete time jump processes.. (2012). Guegan, Dominique ; Lalaharison, Hanjarivo ; Ielpo, Florian . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:11037r.

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2012Comments on: Some recent theory for autoregressive count time series. (2012). Doukhan, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:21:y:2012:i:3:p:447-450.

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2012A directional-change event approach for studying financial time series. (2012). Dupuis, Alexandre ; Olsen, Richard ; Aloud, Monira ; Tsang, Edward . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201236.

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2012Macroprudential banking regulation: Does one size fit all?. (2012). Rissi, Roger . In: Thuenen-Series of Applied Economic Theory. RePEc:zbw:roswps:124.

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Recent citations received in: 2011

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2011The volatility of consumption-based stochastic discount factors and economic cycles. (2011). Nieto, Belen ; Rubio, Gonzalo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:9:p:2197-2216.

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2011Interest rates factor model. (2011). Kim, Min Jae ; Lee, Sang Wook . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:13:p:2531-2548.

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2011Exports versus multinational production under nominal uncertainty. (2011). Lewis, Logan T.. In: International Finance Discussion Papers. RePEc:fip:fedgif:1038.

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2011The international role of the dollar: Does it matter if this changes?. (2011). Goldberg, Linda . In: Staff Reports. RePEc:fip:fednsr:522.

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2011A Poupança em Portugal. (2011). Alexandre, Fernando ; Bao, Pedro ; Portela, Miguel ; Conraria, Luis Aguiar . In: GEMF Working Papers. RePEc:gmf:wpaper:2011-19.

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2011Policymaking in the Eurozone and the Core Vs. Perifphery Problem. (2011). . In: Working Papers. RePEc:irv:wpaper:101112.

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2011Role Reversal in Global Finance. (2011). . In: IZA Discussion Papers. RePEc:iza:izadps:dp6032.

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2011International Liquidity: The Fiscal Dimension. (2011). . In: NBER Working Papers. RePEc:nbr:nberwo:17379.

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2011Reserves and Baskets. (2011). James, Harold . In: NBER Working Papers. RePEc:nbr:nberwo:17492.

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2011Role Reversal in Global Finance. (2011). . In: NBER Working Papers. RePEc:nbr:nberwo:17497.

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2011The International Monetary System: Living with Asymmetry. (2011). Obstfeld, Maurice . In: NBER Working Papers. RePEc:nbr:nberwo:17641.

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2011The large-maturity smile for the Heston model. (2011). Jacquier, Antoine ; Forde, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780.

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2011Comments on: Inference in multivariate Archimedean copula models. (2011). Hofert, Marius ; Embrechts, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:20:y:2011:i:2:p:263-270.

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2011Currency blocs in the 21st century. (2011). . In: Discussion Paper Series 1: Economic Studies. RePEc:zbw:bubdp1:201112.

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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.