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


0.68

Impact Factor

0.54

5-Years IF

22

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.05
19910.1000 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.18000 (%)0.1
19960.22000 (%)0.09
19970.22000 (%)0.09
19980.24331100 (%)0.13
19990.330.30.33273080.27159313126 (16.4%)50.190.15
20000.40.360.41747190.41393012301225 (18%)20.120.14
20010.570.370.552572380.533074425472674 (24.1%)80.320.17
20020.430.370.41486340.4784218722926 (33.3%)10.070.18
20030.770.40.5627113620.551263930864837 (29.4%)60.220.19
20040.780.410.73311441270.8818141321108055 (30.4%)150.480.18
20050.410.430.61271711140.6725758241146921 (8.2%)70.260.21
20060.480.450.56151861040.5611458281246916 (14%)30.20.19
20070.480.380.4626212900.427742201145313 (16.9%)30.120.17
20080.460.390.54272391310.5517841191266835 (19.7%)50.190.17
20090.40.360.59242631490.578153211267421 (25.9%)60.250.17
20100.550.340.51212841520.5414451281196116 (11.1%)60.290.15
20110.40.40.53122961450.49434518113606 (14%)0.19
20120.790.440.57243201570.494833261106310 (20.8%)30.130.2
20130.390.490.7183381970.58273614108764 (14.8%)10.060.2
20140.380.530.41113491500.4341421699411 (2.4%)40.360.24
20150.480.560.52153641290.3523291486455 (21.7%)30.20.25
20160.50.640.45133771340.3619261380364 (21.1%)20.150.29
20170.680.690.5473841270.334281981441 (25%)0.33
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
12005Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165.

Full description at Econpapers || Download paper

130
22008Heterogeneity, 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

108
32001Asset 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

107
42004A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138.

Full description at Econpapers || Download paper

79
52001Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72.

Full description at Econpapers || Download paper

72
62006Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175.

Full description at Econpapers || Download paper

61
72010Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267.

Full description at Econpapers || Download paper

47
82000Heterogeneous 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

42
92001A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48.

Full description at Econpapers || Download paper

41
102005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168.

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35
111999Valuing 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

32
122007Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194.

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30
132002An 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

30
142010M6 - 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

29
152014Heterogeneous 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.

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28
162011Estimating 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

25
172001Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63.

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24
182003Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103.

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24
192000Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46.

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24
202005Market 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

23
212001Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:49.

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23
222005The 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.

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22
231999A 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

22
242008The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219.

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22
251999An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6.

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17
262009Market 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.

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16
272001Testing for Time Dependence in Parameters. (2001). Hurn, Stan ; Enders, Walter ; Becker, Ralf. In: Research Paper Series. RePEc:uts:rpaper:58.

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15
282002Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78.

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15
292000Using 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.

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15
302006Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180.

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15
312008Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214.

Full description at Econpapers || Download paper

15
322010The 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

15
332010Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281.

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14
341999Numerical 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.

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14
352009A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:254.

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14
362003A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113.

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14
371999Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13.

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13
382012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca. In: Research Paper Series. RePEc:uts:rpaper:319.

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13
392001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55.

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13
402004Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129.

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12
411999Forward 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.

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12
422015Testing 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.

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12
432000Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44.

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11
442004A 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

11
452010The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266.

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11
462004A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139.

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11
471999Heterogeneous 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

11
482006Approximating 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

11
492001Dynamics 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

10
502002Benchmark Model with Intensity Based Jumps. (2002). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:81.

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10

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


#YearTitleCited
12005Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165.

Full description at Econpapers || Download paper

31
22001Asset 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

19
32014Heterogeneous 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

18
42008Heterogeneity, 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

17
52011Estimating 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

13
62010M6 - 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
72015Testing 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

11
82009Market 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

8
91999A 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

7
102016Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373.

Full description at Econpapers || Download paper

7
112012Local 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

7
122013The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336.

Full description at Econpapers || Download paper

7
132010The 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
142008The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219.

Full description at Econpapers || Download paper

6
152008Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214.

Full description at Econpapers || Download paper

5
162010The 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

5
172012Particle Filters for Markov Switching Stochastic Volatility Models. (2012). Kang, Boda ; Chiarella, Carl ; Bao, Yun. In: Research Paper Series. RePEc:uts:rpaper:299.

Full description at Econpapers || Download paper

5
182006Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175.

Full description at Econpapers || Download paper

5
192001A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48.

Full description at Econpapers || Download paper

3
202000The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology. (2000). El-Hassan, Nadima ; Chiarella, Carl ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:39.

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3
212005Market 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

3
222015Pricing 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.

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3
232015Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361.

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3
242012A Tractable Model for Indices Approximating the Growth Optimal Portfolio. (2012). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja. In: Research Paper Series. RePEc:uts:rpaper:318.

Full description at Econpapers || Download paper

3
252002Consistent 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

3
262001Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72.

Full description at Econpapers || Download paper

3
271999Valuing 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

3
282014Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model. (2014). Zhang, Xiaohui ; Peng, Bin ; Hong, Kihoon Jimmy . In: Research Paper Series. RePEc:uts:rpaper:347.

Full description at Econpapers || Download paper

3
292012Humps in the Volatility Structure of the Crude Oil Futures Market. (2012). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:308.

Full description at Econpapers || Download paper

3
302010Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267.

Full description at Econpapers || Download paper

3
312002An 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

3
322016Empirical 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.

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3
332004A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138.

Full description at Econpapers || Download paper

2
342011Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295.

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2
352004A 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
361999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). Teräsvirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29.

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2
372009A Benchmark Approach to Investing and Pricing. (2009). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:253.

Full description at Econpapers || Download paper

2
382016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376.

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2
392016Reversing Momentum: The Optimal Dynamic Momentum Strategy. (2016). Li, Kai ; Liu, Jun. In: Research Paper Series. RePEc:uts:rpaper:370.

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2
402016Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:375.

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2
412011Three-Benchmarked Risk Minimization for Jump Diffusion Markets. (2011). Platen, Eckhard ; Du, Ke. In: Research Paper Series. RePEc:uts:rpaper:296.

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2
422010Approximating 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

2
432004Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129.

Full description at Econpapers || Download paper

2
442015The 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.

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2
452012Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets. (2012). Schlogl, Erik ; Chang, Yang. In: Research Paper Series. RePEc:uts:rpaper:310.

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2
462013Liability Driven Investments under a Benchmark Based Approach. (2013). Platen, Eckhard ; Baldeaux, Jan. In: Research Paper Series. RePEc:uts:rpaper:325.

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2
472017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias . In: Research Paper Series. RePEc:uts:rpaper:384.

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2
482009The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245.

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2
492010Markovian 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.

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2
502018Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389.

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2

Citing documents used to compute impact factor 19:


YearTitle
2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2017Discovering discoveries: Identifying biomedical discoveries using citation contexts. (2017). Small, Henry ; Patek, Mike ; Tseng, Hung . In: Journal of Informetrics. RePEc:eee:infome:v:11:y:2017:i:1:p:46-62.

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2017Bid Shading and Bidder Surplus in the U.S. Treasury Auction System. (2017). Kastl, Jakub ; Zhang, Allen ; Hortasu, Ali. In: NBER Working Papers. RePEc:nbr:nberwo:24024.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:119.

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2017Heterogeneous trading and complex price dynamics. (2017). Li, Mengling ; Zheng, Huanhuan. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-017-0196-1.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017Exploring the Assessment and Appraisal of Regenerative Medicines and Cell Therapy Products: Is the NICE Approach Fit for Purpose?. (2017). Towse, Adrian ; Hampson, Grace ; Marsden, G. In: Consulting Reports. RePEc:ohe:conrep:001802.

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2017COHERENT FOREIGN EXCHANGE MARKET MODELS. (2017). Gnoatto, Alessandro. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500078.

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2017Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions. (2017). Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:380.

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2017Effective asymptotic analysis for finance. (2017). Grunspan, Cyril ; van der Hoeven, Joris . In: Working Papers. RePEc:hal:wpaper:hal-01573621.

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2017ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2017An Algorithmic Approach to Optimal Asset Liquidation Problems. (2017). Hinz, Juri ; Yee, Jeremy . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1.

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2017Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2017Empirical 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.

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2017The adaptiveness in stock markets: testing the stylized facts in the DAX 30. (2017). Li, Youwei ; He, Xuezhong. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:27:y:2017:i:5:d:10.1007_s00191-017-0505-9.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2017ASYMPTOTICS OF BOND YIELDS AND VOLATILITIES FOR EXTENDED VASICEK MODELS UNDER THE REAL-WORLD MEASURE. (2017). Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051.

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Recent citations (cites in year: CiY)


Recent citations received in 2017

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Recent citations received in 2016

YearCiting document
2016Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:375.

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2016Empirical Hedging Performance on Long-Dated Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376.

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Recent citations received in 2015

YearCiting document
2015Students? Project-Based Learning: Local Commercial Products and Marketing Mix. (2015). Khairiree, Krongthong ; Meenanun, Chonnart . In: Proceedings of International Academic Conferences. RePEc:sek:iacpro:2604495.

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2015The 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.

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2015Volatility Clustering: A Nonlinear Theoretical Approach. (2015). Li, Kai ; He, Xuezhong ; Wan, Chuncheng . In: Research Paper Series. RePEc:uts:rpaper:365.

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Recent citations received in 2014

YearCiting document
2014Booms, busts and behavioural heterogeneity in stock prices. (2014). Hommes, Cars ; In, D. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:14-14.

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2014Herding, 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.

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2014Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai. In: PhD Thesis. RePEc:uts:finphd:13.

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2014Integrating 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.

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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 August, 2th 2018. Contact: CitEc Team