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

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

0.48

Impact Factor

0.42

5-Years IF

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
1990		0.1			0				0		0		(%)			0.06
1991		0.09			0				0		0		(%)			0.05
1992		0.11			0				0		0		(%)			0.06
1993		0.14			0				0		0		(%)			0.07
1994		0.12			0				0		0		(%)			0.06
1995		0.16			0				0		0		(%)			0.1
1996		0.2			0				0		0		(%)			0.09
1997		0.21			0				0		0		(%)			0.09
1998		0.22		3	3			11	0		0		(%)			0.13
1999	0.33	0.28	0.33	27	30	8	0.27	143	3	1	3	1	25 (17.5%)	5	0.19	0.16
2000	0.37	0.37	0.37	17	47	18	0.38	133	30	11	30	11	25 (18.8%)	2	0.12	0.14
2001	0.55	0.36	0.53	25	72	37	0.51	271	44	24	47	25	70 (25.8%)	8	0.32	0.17
2002	0.43	0.37	0.38	14	86	32	0.37	72	42	18	72	27	25 (34.7%)	1	0.07	0.18
2003	0.69	0.4	0.5	27	113	56	0.5	116	39	27	86	43	37 (31.9%)	6	0.22	0.19
2004	0.8	0.42	0.74	31	144	135	0.94	165	41	33	110	81	53 (32.1%)	15	0.48	0.19
2005	0.4	0.43	0.58	27	171	110	0.64	226	58	23	114	66	20 (8.8%)	6	0.22	0.21
2006	0.48	0.45	0.56	15	186	102	0.55	93	58	28	124	69	16 (17.2%)	1	0.07	0.2
2007	0.38	0.39	0.42	26	212	80	0.38	69	42	16	114	48	12 (17.4%)	3	0.12	0.17
2008	0.32	0.39	0.47	27	239	123	0.51	138	41	13	126	59	30 (21.7%)	4	0.15	0.17
2009	0.36	0.37	0.54	24	263	139	0.53	62	53	19	126	68	18 (29%)	5	0.21	0.18
2010	0.49	0.33	0.47	21	284	145	0.51	111	51	25	119	56	15 (13.5%)	6	0.29	0.15
2011	0.36	0.41	0.5	12	296	140	0.47	23	45	16	113	57	6 (26.1%)			0.2
2012	0.79	0.46	0.57	24	320	156	0.49	26	33	26	110	63	5 (19.2%)	3	0.13	0.21
2013	0.33	0.5	0.65	18	338	183	0.54	17	36	12	108	70	4 (23.5%)	1	0.06	0.21
2014	0.36	0.54	0.41	11	349	141	0.4	20	42	15	99	41	1 (5%)	4	0.36	0.26
2015	0.48	0.6	0.42	15	364	103	0.28	12	29	14	86	36	5 (41.7%)	5	0.33	0.3

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:

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Gonzalez, Andres. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	109
2	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	87
3	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	82
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	80
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	66
6	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	42
7	2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers \|\| Download paper	40
8	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	40
9	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	35
10	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	34
11	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	30
12	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	27
13	2003	Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers \|\| Download paper	24
14	2001	Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers \|\| Download paper	24
15	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	24
16		Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers \|\| Download paper	24
17	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	22
18	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	22
19	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	20
20	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	19
21	2003	A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers \|\| Download paper	16
22	2000	Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models. (2000). Hwang, Soosung ; Hall, Anthony ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31. Full description at Econpapers \|\| Download paper	15
23	2001	Testing for Time Dependence in Parameters. (2001). Hurn, Stan ; Enders, Walter ; Becker, Ralf . In: Research Paper Series. RePEc:uts:rpaper:58. Full description at Econpapers \|\| Download paper	15
24	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	15
25	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	14
26	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers \|\| Download paper	14
27	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	14
28	2001	Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55. Full description at Econpapers \|\| Download paper	13
29	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	13
30	1999	Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers \|\| Download paper	13
31	1999	Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:5. Full description at Econpapers \|\| Download paper	12
32	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	12
33	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	12
34	2014	Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	12
35	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	12
36	2004	Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129. Full description at Econpapers \|\| Download paper	12
37	1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers \|\| Download paper	12
38	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	11
39	2002	Benchmark Model with Intensity Based Jumps. (2002). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:81. Full description at Econpapers \|\| Download paper	11
40	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers \|\| Download paper	10
41	2007	Some Effects of Transaction Taxes Under Different Microstructures. (2007). Westerhoff, Frank ; Pellizzari, Paolo ; Pelizzari, Paolo. In: Research Paper Series. RePEc:uts:rpaper:212. Full description at Econpapers \|\| Download paper	10
42		Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework. (2005). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:166. Full description at Econpapers \|\| Download paper	10
43	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie . In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	10
44	2001	Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2001). Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:71. Full description at Econpapers \|\| Download paper	10
45	2003	A Structure for General and Specific Market Risk. (2003). Platen, Eckhard ; Stahl, Gerhard . In: Research Paper Series. RePEc:uts:rpaper:91. Full description at Econpapers \|\| Download paper	10
46	2002	A Discrete Time Benchmark Approach for Finance and Insurance. (2002). Platen, Eckhard ; Buhlmann, Hans . In: Research Paper Series. RePEc:uts:rpaper:74. Full description at Econpapers \|\| Download paper	9
47	2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers \|\| Download paper	9
48	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	9
49	2001	Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:53. Full description at Econpapers \|\| Download paper	9
50	2006	Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models. (2006). RÃÂ¶thig, Andreas ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:172. Full description at Econpapers \|\| Download paper	9

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Gonzalez, Andres. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	48
2	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	18
3	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	12
4	2014	Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	11
5	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	10
6	2013	Herding, Trend Chasing and Market Volatility. (2013). Li, Kai ; He, Xuezhong ; Di Guilmi, Corrado. In: Research Paper Series. RePEc:uts:rpaper:337. Full description at Econpapers \|\| Download paper	7
7	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie . In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	7
8	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	6
9	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	6
10	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	6
11	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	6
12	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	5
13	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	5
14	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	5
15	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	4
16	2006	Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation. (2006). Satchel, Stephen ; Xia, Wei . In: Research Paper Series. RePEc:uts:rpaper:181. Full description at Econpapers \|\| Download paper	4
17	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	4
18	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	4
19	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	4
20	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	4
21	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	4
22	2012	Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316. Full description at Econpapers \|\| Download paper	4
23	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	4
24	2015	Optimal Time Series Momentum. (2015). Li, Kai ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:353. Full description at Econpapers \|\| Download paper	3
25	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	3
26	2010	Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Maina, Samuel Chege . In: Research Paper Series. RePEc:uts:rpaper:283. Full description at Econpapers \|\| Download paper	3
27	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	3
28	2014	Time Series Momentum and Market Stability. (2014). Li, Kai ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:341. Full description at Econpapers \|\| Download paper	3
29	2007	Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution. (2007). Chan, Jennifer ; Choy, S.T. Boris ; Makov, Udi . In: Research Paper Series. RePEc:uts:rpaper:196. Full description at Econpapers \|\| Download paper	3
30	2001	Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2001). Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:71. Full description at Econpapers \|\| Download paper	3
31	2006	Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models. (2006). RÃÂ¶thig, Andreas ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:172. Full description at Econpapers \|\| Download paper	3
32	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	3
33	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	3
34	2015	Market Sentiment and Paradigm Shifts. (2015). Li, Kai ; He, Xuezhong ; Tu, Jun ; Chu, Liya . In: Research Paper Series. RePEc:uts:rpaper:356. Full description at Econpapers \|\| Download paper	3
35	2000	Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models. (2000). Hwang, Soosung ; Hall, Anthony ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31. Full description at Econpapers \|\| Download paper	3
36	2009	A Benchmark Approach to Investing and Pricing. (2009). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:253. Full description at Econpapers \|\| Download paper	3
37	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	3
38	2013	Learning and Evolution of Trading Strategies in Limit Order Markets. (2013). Wei, Lijian ; He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:335. Full description at Econpapers \|\| Download paper	2
39	2012	The Affine Nature of Aggregate Wealth Dynamics. (2012). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:322. Full description at Econpapers \|\| Download paper	2
40	2004	CAPM and Option Pricing with Elliptical Disbributions. (2004). Valdez, Emiliano ; Hamada, Mahmoud. In: Research Paper Series. RePEc:uts:rpaper:120. Full description at Econpapers \|\| Download paper	2
41	2015	The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers \|\| Download paper	2
42	2016	Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:367. Full description at Econpapers \|\| Download paper	2
43	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	2
44	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	2
45	2011	Limit Distribution of Evolving Strategies in Financial Markets. (2011). Di Guilmi, Corrado ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:294. Full description at Econpapers \|\| Download paper	2
46	2002	A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong . In: Research Paper Series. RePEc:uts:rpaper:80. Full description at Econpapers \|\| Download paper	2
47	2012	Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model. (2012). Baldeaux, Jan ; Badran, Alexander . In: Research Paper Series. RePEc:uts:rpaper:306. Full description at Econpapers \|\| Download paper	2
48	2013	Liability Driven Investments under a Benchmark Based Approach. (2013). Platen, Eckhard ; Baldeaux, Jan. In: Research Paper Series. RePEc:uts:rpaper:325. Full description at Econpapers \|\| Download paper	2
49	2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers \|\| Download paper	2
50	2015	Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:366. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 14:

Year	Title
2015	Minimizing alcohol harm: A systematic social marketing review (2000â2014). (2015). Kubacki, Krzysztof ; Buyucek, Nuray ; Pang, BO ; Rundle-Thiele, Sharyn . In: Journal of Business Research. RePEc:eee:jbrese:v:68:y:2015:i:10:p:2214-2222. Full description at Econpapers \|\| Download paper
2015	Learning, information processing and order submission in limit order markets. (2015). He, Xuezhong ; Chiarella, Carl ; Wei, Lijian . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:61:y:2015:i:c:p:245-268. Full description at Econpapers \|\| Download paper
2015	Booms, Busts and Behavioural Heterogeneity in Stock Prices. (2015). Hommes, Cars. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150088. Full description at Econpapers \|\| Download paper
2015	Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34. Full description at Econpapers \|\| Download paper
2015	A quantitative description for efficient financial markets. (2015). Immonen, Eero . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:433:y:2015:i:c:p:171-181. Full description at Econpapers \|\| Download paper
2015	Nonlinear Expectation Formation in the U.S. Stock Market. (2015). Reitz, Stefan ; Pierdzioch, Christian ; Rulke, Jan-Christoph . In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy. RePEc:zbw:vfsc15:113210. Full description at Econpapers \|\| Download paper
2015	The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers \|\| Download paper
2015	Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey. (2015). Reitz, Stefan ; Pierdzioch, Christian ; Ruelke, Jan-Christoph . In: Kiel Working Papers. RePEc:zbw:ifwkwp:1947r. Full description at Econpapers \|\| Download paper
2015	Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment. (2015). Bao, Te ; Tuinstra, J ; Anufriev, M. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-09. Full description at Econpapers \|\| Download paper
2015	Market Making with Model Uncertainty. (2015). Su, Hee ; Ye, Yinyu . In: Papers. RePEc:arx:papers:1509.07155. Full description at Econpapers \|\| Download paper
2015	Capturing the Impact of Unobserved Sector-Wide Shocks on Stock Returns with Panel Data Model. (2015). Hong, Kihoon Jimmy ; Zhang, Xiaohui ; Peng, Bin . In: The Economic Record. RePEc:bla:ecorec:v:91:y:2015:i:295:p:495-508. Full description at Econpapers \|\| Download paper
2015	Bond Indenture Consent Solicitations as a Debt Management Tool. (2015). Anderson-Parson, Jamie A ; Byerly, Robin T ; Keasler, Terrill R. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:3:y:2015:i:3:p:230-243:d:53027. Full description at Econpapers \|\| Download paper
2015	Modelling the Animal Spirits of Banks Lending Behaviour. (2015). Zhi, Tianhao ; Di Guilmi, Corrado ; Chiarella, Carl. In: Working Paper Series. RePEc:uts:wpaper:183. Full description at Econpapers \|\| Download paper
2015	Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market. (2015). Rekik, Yosra Mefteh ; Boujelbene, Younes . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:6:y:2015:i:2:p:33-43. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	Sustainable Street Lighting Design Supported by Hypergraph-Based Computational Model. (2015). Sedziwy, Adam . In: Sustainability. RePEc:gam:jsusta:v:8:y:2015:i:1:p:13-:d:61509. Full description at Econpapers \|\| Download paper
2015	Sustainable Street Lighting Design Supported by Hypergraph-Based Computational Model. (2015). Sedziwy, Adam . In: Sustainability. RePEc:gam:jsusta:v:8:y:2015:i:1:p:13:d:61509. Full description at Econpapers \|\| Download paper
2015	StudentsÃ¢â¬â¢ Project-Based Learning: Local Commercial Products and Marketing Mix. (2015). Khairiree, Krongthong ; Meenanun, Chonnart . In: Proceedings of International Academic Conferences. RePEc:sek:iacpro:2604495. Full description at Econpapers \|\| Download paper
2015	The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers \|\| Download paper
2015	Volatility Clustering: A Nonlinear Theoretical Approach. (2015). Li, Kai ; He, Xuezhong ; Wan, Chuncheng . In: Research Paper Series. RePEc:uts:rpaper:365. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Booms, busts and behavioural heterogeneity in stock prices. (2014). Hommes, C H ; In, D. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:14-14. Full description at Econpapers \|\| Download paper
2014	Herding, trend chasing and market volatility. (2014). Li, Kai ; He, Xuezhong ; Di Guilmi, Corrado. 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
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
2014	Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics. (2014). Ghonghadze, Jaba ; Franke, Reiner . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:4. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Learning and Evolution of Trading Strategies in Limit Order Markets. (2013). Wei, Lijian ; He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:335. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods. (2012). Platen, Eckhard ; Baldeaux, Jan. In: Papers. RePEc:arx:papers:1204.1126. Full description at Econpapers \|\| Download paper
2012	Modeling of Oil Prices. (2012). Platen, Eckhard ; Du, Ke ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:321. Full description at Econpapers \|\| Download paper
2012	PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Biagini, Francesca . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:04:p:1250025-1-1250025-32. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	91
2	Papers / arXiv.org	65
3	Journal of Economic Dynamics and Control / Elsevier	17
4	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	15
5	MPRA Paper / University Library of Munich, Germany	10
6		8
7	Journal of Economic Behavior & Organization / Elsevier	8
8	Quantitative Finance / Taylor & Francis Journals	7
9	Energy Economics / Elsevier	6
10	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	6
11	Insurance: Mathematics and Economics / Elsevier	6

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.