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

0.86

Impact Factor

0.63

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		0.11			0				0		0		(%)			0.06
1991		0.1			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.05
1993		0.13			0				0		0		(%)			0.06
1994		0.14			0				0		0		(%)			0.06
1995		0.17			0				0		0		(%)			0.1
1996		0.22			0				0		0		(%)			0.09
1997		0.22			0				0		0		(%)			0.09
1998		0.24		3	3			11	0		0		(%)			0.12
1999	0.33	0.3	0.33	27	30	8	0.27	161	3	1	3	1	26 (16.1%)	5	0.19	0.15
2000	0.37	0.36	0.37	17	47	18	0.38	139	30	11	30	11	25 (18%)	2	0.12	0.14
2001	0.57	0.36	0.55	25	72	38	0.53	315	44	25	47	26	74 (23.5%)	8	0.32	0.16
2002	0.43	0.37	0.4	14	86	34	0.4	81	42	18	72	29	26 (32.1%)	1	0.07	0.18
2003	0.77	0.39	0.56	27	113	62	0.55	129	39	30	86	48	37 (28.7%)	6	0.22	0.19
2004	0.8	0.4	0.74	31	144	128	0.89	198	41	33	110	81	57 (28.8%)	15	0.48	0.18
2005	0.41	0.42	0.61	27	171	115	0.67	262	58	24	114	70	22 (8.4%)	7	0.26	0.2
2006	0.48	0.45	0.57	15	186	106	0.57	117	58	28	124	71	16 (13.7%)	3	0.2	0.19
2007	0.48	0.38	0.46	26	212	92	0.43	81	42	20	114	53	13 (16%)	3	0.12	0.16
2008	0.46	0.39	0.55	27	239	133	0.56	183	41	19	126	69	36 (19.7%)	5	0.19	0.17
2009	0.4	0.36	0.6	24	263	149	0.57	85	53	21	126	75	21 (24.7%)	5	0.21	0.17
2010	0.55	0.34	0.53	21	284	155	0.55	152	51	28	119	63	17 (11.2%)	6	0.29	0.15
2011	0.4	0.4	0.53	12	296	147	0.5	52	45	18	113	60	8 (15.4%)			0.19
2012	0.82	0.44	0.58	24	320	160	0.5	49	33	27	110	64	10 (20.4%)	2	0.08	0.2
2013	0.39	0.49	0.71	18	338	201	0.59	28	36	14	108	77	5 (17.9%)	1	0.06	0.2
2014	0.38	0.52	0.42	11	349	152	0.44	46	42	16	99	42	2 (4.3%)	4	0.36	0.23
2015	0.52	0.54	0.56	15	364	135	0.37	26	29	15	86	48	5 (19.2%)	3	0.2	0.24
2016	0.5	0.6	0.45	13	377	139	0.37	22	26	13	80	36	5 (22.7%)	2	0.15	0.27
2017	0.86	0.64	0.63	7	384	157	0.41	6	28	24	81	51	1 (16.7%)	2	0.29	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:

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	132
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	110
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	108
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	96
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	79
6	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	61
7	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	47
8	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	42
9	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	42
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	35
11	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	34
12	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	33
13	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	33
14	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	31
15	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	30
16	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	30
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	24
18	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	24
19	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
20	2000	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
21	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	23
22	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
23	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	22
24	2008	The 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	22
25	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	19
26	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	19
27	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	17
28	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	15
29	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	15
30	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	15
31	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	15
32	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
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	15
34	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
35	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
36	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	14
37	2003	A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers \|\| Download paper	14
38	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
39	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
40	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	12
41	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	12
42	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
43	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
44	2004	A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139. Full description at Econpapers \|\| Download paper	11
45	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	11
46	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	11
47	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	11
48	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	11
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	10
50	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

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 ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	33
2	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	21
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	20
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	19
5	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	19
6	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	15
7	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	13
8	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	11
9	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	9
10	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	9
11	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	7
12	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	7
13	2013	The 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
14	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	7
15	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
16	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	6
17	2008	The 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
18	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	5
19	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	5
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	5
21	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	5
22	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	5
23	2012	Particle 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
24	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	4
25	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	4
26	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	4
27	2000	The 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. Full description at Econpapers \|\| Download paper	3
28	2016	Empirical Hedging Performance on Long-Dated Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376. Full description at Econpapers \|\| Download paper	3
29	2012	Humps 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
30	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	3
31	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	3
32	2016	Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:375. Full description at Econpapers \|\| Download paper	3
33	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	3
34	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	3
35	2012	A 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
36	2014	Capturing 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
37	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	3
38	2009	Modelling and Estimating the Forward Price Curve in the Energy Market. (2009). Kang, Boda ; Chiarella, Carl ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:260. Full description at Econpapers \|\| Download paper	2
39	2011	Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295. Full description at Econpapers \|\| Download paper	2
40	2014	Automated Liquidity Provision. (2014). Michayluk, David ; Gerig, Austin. In: Research Paper Series. RePEc:uts:rpaper:345. Full description at Econpapers \|\| Download paper	2
41	2016	Toward a General Model of Financial Markets. (2016). He, Xuezhong ; Aliyev, Nihad . In: Research Paper Series. RePEc:uts:rpaper:371. Full description at Econpapers \|\| Download paper	2
42	2017	A 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. Full description at Econpapers \|\| Download paper	2
43	2016	Reversing Momentum: The Optimal Dynamic Momentum Strategy. (2016). Li, Kai ; Liu, Jun. In: Research Paper Series. RePEc:uts:rpaper:370. Full description at Econpapers \|\| Download paper	2
44	2009	A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales. (2009). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:263. Full description at Econpapers \|\| Download paper	2
45	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	2
46	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
47	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	2
48	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	2
49	2011	Three-Benchmarked Risk Minimization for Jump Diffusion Markets. (2011). Platen, Eckhard ; Du, KE. In: Research Paper Series. RePEc:uts:rpaper:296. Full description at Econpapers \|\| Download paper	2
50	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

Citing documents used to compute impact factor 24:

Year	Title
2017	Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37. Full description at Econpapers \|\| Download paper
2017	Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925. Full description at Econpapers \|\| Download paper
2017	Discovering 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. Full description at Econpapers \|\| Download paper
2017	Bid 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	Heterogeneous 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. Full description at Econpapers \|\| Download paper
2017	On 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. Full description at Econpapers \|\| Download paper
2017	Exploring 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. Full description at Econpapers \|\| Download paper
2017	COHERENT 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. Full description at Econpapers \|\| Download paper
2017	THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034. Full description at Econpapers \|\| Download paper
2017	Integral Transform and Lie Symmetry Methods for Scalar and Multi-Dimensional Diffusions. (2017). Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:380. Full description at Econpapers \|\| Download paper
2017	Effective asymptotic analysis for finance. (2017). Grunspan, Cyril ; van der Hoeven, Joris . In: Working Papers. RePEc:hal:wpaper:hal-01573621. Full description at Econpapers \|\| Download paper
2017	ASYMPTOTICS 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. Full description at Econpapers \|\| Download paper
2017	Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808. Full description at Econpapers \|\| Download paper
2017	An 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. Full description at Econpapers \|\| Download paper
2017	Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37. Full description at Econpapers \|\| Download paper
2017	Speculative 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. 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
2017	The 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. Full description at Econpapers \|\| Download paper
2017	Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925. Full description at Econpapers \|\| Download paper
2017	Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497. Full description at Econpapers \|\| Download paper
2017	ASYMPTOTICS 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. Full description at Econpapers \|\| Download paper
2017	Valuing investment projects under interest rate risk: empirical evidence from European firms. (2017). Ballestra, Luca Vincenzo ; Radi, Davide ; Pacelli, Graziella. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:56:p:5662-5672. Full description at Econpapers \|\| Download paper
2017	A pathwise inference method for the parameters of diffusion terms. (2017). Dokuchaev, Nikolai. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:4:p:731-743. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929. Full description at Econpapers \|\| Download paper
2017	Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:375. Full description at Econpapers \|\| Download paper
2016	Empirical Hedging Performance on Long-Dated Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Students? 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, Cars ; 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

10 most frequent citing series

#	Series	Cites
1	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	92
2	Papers / arXiv.org	87
3	Journal of Economic Dynamics and Control / Elsevier	31
4	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	19
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	15
6	Insurance: Mathematics and Economics / Elsevier	12
7	Journal of Economic Behavior & Organization / Elsevier	11
8	Quantitative Finance / Taylor & Francis Journals	10
9	MPRA Paper / University Library of Munich, Germany	9
10	Economic Modelling / Elsevier	8
11		8

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.