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FAME Research Paper Series / International Center for Financial Asset Management and Engineering


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Impact Factor

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5-Years IF

12

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.1
19960.22000 (%)0.09
19970.22000 (%)0.09
19980.242210.51000 (%)0.12
19991.50.31.57940.44322323 (%)10.140.15
20000.440.360.44132250.234694941 (2.2%)10.080.14
20010.550.360.641537180.49112201122142 (1.8%)30.20.16
20020.50.370.433370160.2387281437161 (1.1%)0.18
20030.270.390.2931101280.28173481370203 (1.7%)70.230.19
20040.30.40.3222123360.2977641999322 (2.6%)30.140.18
20050.360.420.2836159440.28155531911432 (%)70.190.2
20060.410.450.42159690.43582413757 (%)0.19
20070.310.380.29159420.26361112235 (%)0.16
20080.390.39159460.2908935 (%)0.17
20090.360.31159440.2805818 (%)0.17
20100.340.33159520.3303612 (%)0.15
20110.4159500.3100 (%)0.19
20120.44159410.2600 (%)0.2
20130.49159270.1700 (%)0.2
20140.52159370.2300 (%)0.23
20150.54159390.2500 (%)0.24
20160.6159350.2200 (%)0.27
20170.64159250.1600 (%)0.28
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12001Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

Full description at Econpapers || Download paper

73
22003European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84.

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52
32003Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

Full description at Econpapers || Download paper

50
42005Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman. In: FAME Research Paper Series. RePEc:fam:rpseri:rp130.

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35
51999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Viceira, Luis ; Chacko, George . In: FAME Research Paper Series. RePEc:fam:rpseri:rp11.

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24
62004Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

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21
72000European Financial Markets After EMU: A First Assessment. (2000). von Thadden, Ernst-Ludwig ; Giavazzi, Francesco ; Danthine, Jean-Pierre. In: FAME Research Paper Series. RePEc:fam:rpseri:rp13.

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18
82005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

Full description at Econpapers || Download paper

17
92001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38.

Full description at Econpapers || Download paper

16
102002Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65.

Full description at Econpapers || Download paper

16
112005Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp156.

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13
122003Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Padula, Mario ; Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81.

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12
132005Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp146.

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12
142003Are practitioners right? On the relative importance of industrial factors in international stock returns. (2003). Isakov, Dusan ; Sonney, Frederic . In: FAME Research Paper Series. RePEc:fam:rpseri:rp72.

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11
152004A Simple Alternative House Price Index Method. (2004). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp119.

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10
162004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS. (2004). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp108.

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10
171998Who Should Buy Long-Term Bonds?. (1998). Viceira, Luis ; Campbell, John. In: FAME Research Paper Series. RePEc:fam:rpseri:rp5.

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10
182003Profitable Innovation Without Patent Protection: The Case of Derivatives.. (2003). Schroth, Enrique ; Herrera, Helios. In: FAME Research Paper Series. RePEc:fam:rpseri:rp76.

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10
192005Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp155.

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10
202002Mutual Fund Flows and Performance in Rational Markets. (2002). Green, Richard ; Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100.

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9
212005Multiariate Wavelet-based sahpe preserving estimation for dependant observation. (2005). Scaillet, Olivier ; Cosma, Antonio ; von Sachs, Rainer . In: FAME Research Paper Series. RePEc:fam:rpseri:rp144.

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9
222000Extreme Value Theory for Tail-Related Risk Measures. (2000). Gilli, Manfred ; Kellezi, Evis . In: FAME Research Paper Series. RePEc:fam:rpseri:rp18.

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8
232003The capital structure of Swiss companies: an empirical analysis using dynamic panel data. (2003). Hoesli, Martin ; Bender, Andre ; Gaud, Philippe ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp68.

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8
242005Testing for Stochastic Dominance Efficiency. (2005). Scaillet, Olivier ; Topaloglou, Nikolas. In: FAME Research Paper Series. RePEc:fam:rpseri:rp154.

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8
252002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities. (2002). vanini, paolo ; Trojani, Fabio ; Leippold, Markus. In: FAME Research Paper Series. RePEc:fam:rpseri:rp48.

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8
262000EMU and Portfolio Diversification Opportunities. (2000). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp31.

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7
272002Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69.

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7
282004Capital Structure, Credit Risk, and Macroeconomic Conditions. (2004). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan. In: FAME Research Paper Series. RePEc:fam:rpseri:rp125.

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6
292005Monte Carlo Simulations for Real Estate Valuation. (2005). Hoesli, Martin ; Bender, Andre ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp148.

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6
302000International CAPM with Regime Switching GARCH Parameters. (2000). Cappiello, Lorenzo ; FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp17.

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6
312003Competition Between Stock Exchanges: A Survey. (2003). Ramos, Sofia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp77.

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6
322005Spatial Dependence, Housing Submarkets, and House Prices. (2005). Hoesli, Martin ; Bourassa, Steven ; Cantoni, Eva . In: FAME Research Paper Series. RePEc:fam:rpseri:rp151.

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6
332002Implicit Forward Rents as Predictors of Future Rents. (2002). Hoesli, Martin ; Soderberg, Bo ; Englund, Peter ; GUNNELIN, ke. In: FAME Research Paper Series. RePEc:fam:rpseri:rp59.

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6
342005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp132.

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6
352005Theory and Calibration of Swap Market Models. (2005). Scaillet, Olivier ; Galluccio, Stefano ; J.-M. Ly, ; Huang, Z.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp107.

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6
362001Portfolio Diversification: Alive and Well in Euroland!. (2001). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp32.

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6
372002Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng. In: FAME Research Paper Series. RePEc:fam:rpseri:rp67.

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5
382002Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds. (2002). FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp95.

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5
392005Repurchasing Shares on a Second Trading Line. (2005). Perignon, Christophe ; Isakov, Dusan ; Chung, Dennis Y.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp162.

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5
402003What’s in a View?. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp79.

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5
412000Prospect Theory and Asset Prices. (2000). HUANG, MING ; Santos, Tano ; Barberis, Nicholas . In: FAME Research Paper Series. RePEc:fam:rpseri:rp16.

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4
422002Irreversible Investment with Regime Shifts. (2002). Miao, Jianjun ; Morellec, Erwan ; Guo, Xin. In: FAME Research Paper Series. RePEc:fam:rpseri:rp99.

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4
432001Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001. (2001). Hamelink, Foort ; Hillion, Pierre ; Harasty, Helene . In: FAME Research Paper Series. RePEc:fam:rpseri:rp35.

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4
442003The Price of Aesthetic Externalities. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp98.

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4
452004Nonparametric Estimation of Conditional Expected Shortfall. (2004). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp112.

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4
462002Optimal Investment With Default Risk. (2002). Jin, Xiangrong ; Hou, Yuanfeng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp46b.

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4
472005Are European Corporate Bond and Default Swap Markets Segmented?. (2005). Cossin, Didier ; Lu, Hongze. In: FAME Research Paper Series. RePEc:fam:rpseri:rp133.

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4
482003Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases. (2003). Scaillet, Olivier ; Menoncin, Francesco ; Battocchio, Paolo . In: FAME Research Paper Series. RePEc:fam:rpseri:rp66.

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4
492004On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. (2004). Giannikos, Christos ; Danthine, Jean-Pierre ; Guirguis, Hany ; Donaldson, John B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp73.

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3
502001Liquidity and Credit Risk. (2001). Ericsson, Jan ; Renault, Olivier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp42.

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3

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


#YearTitleCited
12001Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

Full description at Econpapers || Download paper

18
22002Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65.

Full description at Econpapers || Download paper

7
32005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

Full description at Econpapers || Download paper

7
42005Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman. In: FAME Research Paper Series. RePEc:fam:rpseri:rp130.

Full description at Econpapers || Download paper

6
52003Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

Full description at Econpapers || Download paper

5
62004Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

Full description at Econpapers || Download paper

5
72001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38.

Full description at Econpapers || Download paper

4
81999Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse. (1999). Hamelink, Foort. In: FAME Research Paper Series. RePEc:fam:rpseri:rp6.

Full description at Econpapers || Download paper

2
92005Multiariate Wavelet-based sahpe preserving estimation for dependant observation. (2005). Scaillet, Olivier ; Cosma, Antonio ; von Sachs, Rainer . In: FAME Research Paper Series. RePEc:fam:rpseri:rp144.

Full description at Econpapers || Download paper

2
101999Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?. (1999). Isakov, Dusan ; HOLLISTEIN, Marc. In: FAME Research Paper Series. RePEc:fam:rpseri:rp2.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:


YearTitle

Recent citations (cites in year: CiY)


10 most frequent citing series


#SeriesCites

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2th 2018. Contact: CitEc Team