Citation analysis for Annals of Finance / Springer

Annals of Finance / Springer

0.46

Impact Factor

0.45

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		(%)			0.04
1991		0.1			0				0		0		(%)			0.04
1992		0.09			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.04
1995		0.19			0				0		0		(%)			0.07
1996		0.23			0				0		0		(%)			0.09
1997		0.26			0				0		0		(%)			0.09
1998		0.28			0				0		0		(%)			0.1
1999		0.32			0				0		0		(%)			0.13
2000		0.39			0				0		0		(%)			0.15
2001		0.39			0				0		0		(%)			0.14
2002		0.4			0				0		0		(%)			0.17
2003		0.43			0				0		0		(%)			0.18
2004		0.48			0	2			0		0		(%)			0.19
2005		0.52		19	19	13	0.68	290	0		0		25 (8.6%)	12	0.63	0.2
2006	0.74	0.51	0.74	22	41	20	0.49	105	19	14	19	14	11 (10.5%)	5	0.23	0.2
2007	0.44	0.45	0.44	21	62	26	0.42	59	41	18	41	18	12 (20.3%)	3	0.14	0.18
2008	0.33	0.48	0.63	23	85	51	0.6	132	43	14	62	39	25 (18.9%)	11	0.48	0.2
2009	0.23	0.49	0.44	26	111	58	0.52	68	44	10	85	37	14 (20.6%)	8	0.31	0.19
2010	0.35	0.46	0.5	27	138	66	0.48	170	49	17	111	55	15 (8.8%)	8	0.3	0.17
2011	0.49	0.49	0.52	24	162	89	0.55	65	53	26	119	62	9 (13.8%)	3	0.13	0.19
2012	0.59	0.52	0.44	24	186	81	0.44	109	51	30	121	53	12 (11%)	4	0.17	0.19
2013	0.44	0.58	0.57	35	221	126	0.57	87	48	21	124	71	8 (9.2%)	6	0.17	0.2
2014	0.63	0.6	0.54	25	246	134	0.54	48	59	37	136	74	8 (16.7%)	3	0.12	0.2
2015	0.4	0.61	0.58	18	264	154	0.58	33	60	24	135	78	10 (30.3%)	3	0.17	0.19
2016	0.74	0.68	0.6	19	283	168	0.59	11	43	32	126	75	2 (18.2%)	1	0.05	0.2
2017	0.46	0.73	0.45	18	301	130	0.43	11	37	17	121	55	3 (27.3%)	2	0.11	0.22

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	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	86
2	2005	Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers \|\| Download paper	40
3	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	35
4	2005	On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers \|\| Download paper	30
5	2010	The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers \|\| Download paper	29
6	2008	Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers \|\| Download paper	29
7		Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers \|\| Download paper	28
8	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	25
9	2010	Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers \|\| Download paper	25
10	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	20
11	2008	Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers \|\| Download paper	19
12	2005	On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers \|\| Download paper	18
13	2005	American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers \|\| Download paper	16
14	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	14
15	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	14
16	2013	An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers \|\| Download paper	14
17	2010	Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers \|\| Download paper	14
18	2008	Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers \|\| Download paper	13
19	2012	A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers \|\| Download paper	13
20	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	13
21	2007	Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507. Full description at Econpapers \|\| Download paper	13
22	2010	Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Sobrinho, Nelson. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32. Full description at Econpapers \|\| Download paper	12
23	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	12
24	2010	On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers \|\| Download paper	11
25	2006	A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21. Full description at Econpapers \|\| Download paper	11
26	2012	Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers \|\| Download paper	11
27	2008	Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103. Full description at Econpapers \|\| Download paper	11
28	2010	An economy with personal currency: theory and experimental evidence. (2010). Sunder, Shyam ; Shubik, Martin. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:475-509. Full description at Econpapers \|\| Download paper	11
29	2006	Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:287-301. Full description at Econpapers \|\| Download paper	11
30	2013	Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588. Full description at Econpapers \|\| Download paper	10
31	2006	Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:259-285. Full description at Econpapers \|\| Download paper	10
32	2006	The Discounted Economic Stock of Money with VAR Forecasting. (2006). Keating, John ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:229-258. Full description at Econpapers \|\| Download paper	10
33		Small caps in international equity portfolios: the effects of variance risk. (2009). Nicodano, Giovanna ; Guidolin, Massimo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:15-48. Full description at Econpapers \|\| Download paper	10
34	2011	Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers \|\| Download paper	10
35	2006	The modified mixture of distributions model: a revisit. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:2:p:167-178. Full description at Econpapers \|\| Download paper	9
36	2013	Dynamic capital structure and the contingent capital option. (2013). Barucci, Emilio ; del Viva, Luca . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	9
37	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Chronopoulou, Alexandra ; Viens, Frederi . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	9
38	2007	An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, AgustÃÂn ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105. Full description at Econpapers \|\| Download paper	9
39	2010	On the neutrality of debt in investment intensity. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:335-356. Full description at Econpapers \|\| Download paper	9
40	2013	Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786. Full description at Econpapers \|\| Download paper	9
41	2012	On the necessity of five risk measures. (2012). GUEGAN, Dominique ; Tarrant, Wayne . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:533-552. Full description at Econpapers \|\| Download paper	9
42	2008	A PDE approach for risk measures for derivatives with regime switching. (2008). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:55-74. Full description at Econpapers \|\| Download paper	8
43	2011	Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers \|\| Download paper	8
44	2015	Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35. Full description at Econpapers \|\| Download paper	8
45	2009	Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:49-68. Full description at Econpapers \|\| Download paper	8
46	2005	The non-neutrality of debt in investment timing: a new NPV rule. (2005). Sabarwal, Tarun. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:433-445. Full description at Econpapers \|\| Download paper	8
47		Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers \|\| Download paper	8
48	2007	Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74. Full description at Econpapers \|\| Download paper	8
49	2014	Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers \|\| Download paper	8
50	2011	On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). SÃÂ©vi, BenoÃÂ®t ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29. Full description at Econpapers \|\| Download paper	7

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

#	Year	Title	Cited
1	2005	Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers \|\| Download paper	28
2	2012	Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers \|\| Download paper	12
3	2005	Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers \|\| Download paper	11
4	2005	On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers \|\| Download paper	10
5	2006	Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers \|\| Download paper	9
6	2014	Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers \|\| Download paper	9
7	2010	The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers \|\| Download paper	9
8	2015	Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35. Full description at Econpapers \|\| Download paper	8
9	2010	Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers \|\| Download paper	8
10	2008	Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers \|\| Download paper	8
11	2013	An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers \|\| Download paper	7
12	2013	Dynamic capital structure and the contingent capital option. (2013). Barucci, Emilio ; del Viva, Luca . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364. Full description at Econpapers \|\| Download paper	7
13	2013	Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786. Full description at Econpapers \|\| Download paper	7
14	2012	On the necessity of five risk measures. (2012). GUEGAN, Dominique ; Tarrant, Wayne . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:533-552. Full description at Econpapers \|\| Download paper	6
15	2012	Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers \|\| Download paper	6
16	2014	Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers \|\| Download paper	6
17	2012	A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers \|\| Download paper	6
18	2009	A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers \|\| Download paper	6
19	2008	Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers \|\| Download paper	6
20	2013	Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588. Full description at Econpapers \|\| Download paper	6
21	2015	Diversity-weighted portfolios with negative parameter. (2015). Vervuurt, Alexander ; Karatzas, Ioannis. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers \|\| Download paper	6
22	2014	Two price economies in continuous time. (2014). Madan, Dilip ; Schoutens, Wim ; Pistorius, Martijn ; Yor, Marc ; Eberlein, Ernst. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:1:p:71-100. Full description at Econpapers \|\| Download paper	5
23	2011	Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers \|\| Download paper	5
24	2012	Estimation and pricing under long-memory stochastic volatility. (2012). Chronopoulou, Alexandra ; Viens, Frederi . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers \|\| Download paper	5
25	2011	Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers \|\| Download paper	5
26	2009	Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers \|\| Download paper	5
27	2007	Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507. Full description at Econpapers \|\| Download paper	5
28	2008	A PDE approach for risk measures for derivatives with regime switching. (2008). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:55-74. Full description at Econpapers \|\| Download paper	4
29	2015	Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers \|\| Download paper	4
30	2010	A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers \|\| Download paper	4
31	2005	On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers \|\| Download paper	4
32	2011	Search and herding effects in peer-to-peer lending: evidence from prosper.com. (2011). . In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:389-405. Full description at Econpapers \|\| Download paper	4
33	2016	Benchmarking in two price financial markets. (2016). Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0278-4. Full description at Econpapers \|\| Download paper	3
34	2014	The equity premium: a deeper puzzle. (2014). Azeredo, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:347-373. Full description at Econpapers \|\| Download paper	3
35	2011	On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). SÃÂ©vi, BenoÃÂ®t ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29. Full description at Econpapers \|\| Download paper	3
36	2015	Dynamic portfolio selection with mispricing and model ambiguity. (2015). Law, Baron ; Li, Zhongfei ; Viens, Frederi ; Yi, BO. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75. Full description at Econpapers \|\| Download paper	3
37	2017	Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers \|\| Download paper	3
38	2014	Gaussian and logistic adaptations of smoothed safety first. (2014). Haley, M.. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:333-345. Full description at Econpapers \|\| Download paper	3
39	2007	Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74. Full description at Econpapers \|\| Download paper	3
40	2015	Variance matters (in stochastic dividend discount models). (2015). Moretto, Enrico ; Agosto, Arianna . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:283-295. Full description at Econpapers \|\| Download paper	3
41	2010	Investigating the dependence structure between credit default swap spreads and the U.S. financial market. (2010). Gatfaoui, Hayette. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:511-535. Full description at Econpapers \|\| Download paper	3
42	2013	Regime-switching measure of systemic financial stress. (2013). Abdymomunov, Azamat . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:455-470. Full description at Econpapers \|\| Download paper	3
43	2014	Financial soundness indicators and financial crisis episodes. (2014). Tagkalakis, Athanasios ; Kasselaki, Maria. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:4:p:623-669. Full description at Econpapers \|\| Download paper	3
44	2008	Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers \|\| Download paper	3
45	2005	A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers \|\| Download paper	3
46	2015	Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers \|\| Download paper	3
47	2009	Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:49-68. Full description at Econpapers \|\| Download paper	3
48	2008	Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129. Full description at Econpapers \|\| Download paper	3
49	2012	Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers \|\| Download paper	3
50	2011	Real options with unknown-date events. (2011). Ruiz-Aliseda, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:171-198. Full description at Econpapers \|\| Download paper	3

Citing documents used to compute impact factor 17:

Year	Title
2017	Laplacian risk management. (2017). Madan, Dilip B ; Wang, King ; Smith, Robert H. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:202-210. Full description at Econpapers \|\| Download paper
2017	The Chebyshev method for the implied volatility. (2017). Glau, Kathrin ; Potz, Christian ; Madan, Dilip B ; Herold, Paul. In: Papers. RePEc:arx:papers:1710.01797. Full description at Econpapers \|\| Download paper
2017	Il paradosso di S. Pietroburgo, una rassegna. (2017). Paladini, Ruggero. In: Public Finance Research Papers. RePEc:gfe:pfrp00:00029. Full description at Econpapers \|\| Download paper
2017	CONIC TRADING IN A MARKOVIAN STEADY STATE. (2017). Madan, Dilip B ; Schoutens, Wim ; Pistorius, Martijn. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500108. Full description at Econpapers \|\| Download paper
2017	MEASURING AND MONITORING THE EFFICIENCY OF MARKETS. (2017). Madan, Dilip B ; Wang, King ; Schoutens, Wim. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500510. Full description at Econpapers \|\| Download paper
2017	Exponentially concave functions and a new information geometry. (2017). Pal, Soumik ; Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1605.05819. Full description at Econpapers \|\| Download paper
2017	On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169. Full description at Econpapers \|\| Download paper
2017	HARA utility maximization in a Markov-switching bondâstock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733. Full description at Econpapers \|\| Download paper
2017	Trading strategies generated by Lyapunov functions. (2017). Karatzas, Ioannis ; Ruf, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8. Full description at Econpapers \|\| Download paper
2017	Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers \|\| Download paper
2017	How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach. (2017). Braouezec, Yann. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:92-99. Full description at Econpapers \|\| Download paper
2017	Stock markets fragmentation, volatility and final investors. (2017). BASTIDON, CÃÂ©cile. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0305-0. Full description at Econpapers \|\| Download paper
2017	Interacting default intensity with a hidden Markov process. (2017). Siu, Tak Kuen ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yu, Feng-Hui . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:5:p:781-794. Full description at Econpapers \|\| Download paper
2017	Covariance of random stock prices in the Stochastic Dividend Discount Model. (2017). Moretto, Enrico ; Agosto, Arianna ; Mainini, Alessandra . In: Papers. RePEc:arx:papers:1609.03029. Full description at Econpapers \|\| Download paper
2017	Novel advancements in the Markov chain stock model: analysis and inference. (2017). Barbu, Vlad Stefan ; Blasis, Riccardo ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0297-9. Full description at Econpapers \|\| Download paper
2017	Quadratic minimization with portfolio and intertemporal wealth constraints. (2017). Zhu, Dian ; Heunis, Andrew J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0300-5. Full description at Econpapers \|\| Download paper
2017	Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Quadratic minimization with portfolio and intertemporal wealth constraints. (2017). Zhu, Dian ; Heunis, Andrew J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0300-5. Full description at Econpapers \|\| Download paper
2017	A theory of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Rana, Maria Paola ; Blackburn, Keith . In: Economic Theory Bulletin. RePEc:spr:etbull:v:5:y:2017:i:2:d:10.1007_s40505-017-0116-5. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Hedging insurance books. (2016). Schoutens, Wim ; Carr, Peter ; Madan, Dilip B ; Melamed, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:364-372. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Diversity-Weighted Portfolios with Negative Parameter. (2015). Vervuurt, Alexander ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1504.01026. Full description at Econpapers \|\| Download paper
2015	Diversity-weighted portfolios with negative parameter. (2015). Vervuurt, Alexander ; Karatzas, Ioannis. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers \|\| Download paper
2015	Optimal investment in multidimensional Markov-modulated affine models. (2015). Escobar Anel, Marcos ; Zagst, Rudi ; Neykova, Daniela . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case. (2014). Zawisza, Dariusz ; Trybula, Jakub . In: Papers. RePEc:arx:papers:1404.5408. Full description at Econpapers \|\| Download paper
2014	Modeling and monitoring risk acceptability in markets: The case of the credit default swap market. (2014). Madan, Dilip B.. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:47:y:2014:i:c:p:63-73. Full description at Econpapers \|\| Download paper
2014	A note on the estimation of a Gamma-Variance process: Learning from a failure. (2014). Cervellera, Gian P. ; Tucci, Marco P.. In: Department of Economics University of Siena. RePEc:usi:wpaper:702. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Annals of Finance / Springer	75
2	Papers / arXiv.org	67
3	Journal of Banking & Finance / Elsevier	18
4	European Journal of Operational Research / Elsevier	17
5	Economic Modelling / Elsevier	16
6	Journal of Economic Dynamics and Control / Elsevier	11
7	MPRA Paper / University Library of Munich, Germany	10
8	Insurance: Mathematics and Economics / Elsevier	9
9	Working Papers / HAL	8
10	Post-Print / HAL	8
11	Stochastic Processes and their Applications / Elsevier	7

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.