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Citation Profile [Updated: 2019-09-04 10:18:12]
5 Years H
16
Impact Factor
0.54
5 Years IF
0.48
Data available in this report

[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 CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.1 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.04
1995 0 0.19 0 0 0 0 0 0 0 0 0 0 0.07
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1997 0 0.26 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.1
1999 0 0.31 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.38 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.39 0 0 0 0 0 0 0 0 0 0 0.14
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.17
2003 0 0.42 0 0 0 0 0 0 0 0 0 0 0.18
2004 0 0.47 0 0 0 0 0 2 0 0 0 0 0.19
2005 0 0.51 0.63 0 19 19 295 11 14 0 0 0 11 0.58 0.2
2006 0.74 0.5 0.49 0.74 22 41 109 19 34 19 14 19 14 3 15.8 5 0.23 0.2
2007 0.39 0.44 0.45 0.39 21 62 59 26 62 41 16 41 16 8 30.8 8 0.38 0.17
2008 0.33 0.47 0.6 0.56 23 85 138 50 113 43 14 62 35 4 8 11 0.48 0.19
2009 0.23 0.49 0.53 0.4 26 111 80 57 172 44 10 85 34 18 31.6 20 0.77 0.19
2010 0.35 0.46 0.48 0.45 27 138 177 66 238 49 17 111 50 17 25.8 8 0.3 0.16
2011 0.47 0.48 0.55 0.48 24 162 66 89 327 53 25 119 57 22 24.7 6 0.25 0.19
2012 0.59 0.51 0.44 0.42 24 186 121 80 408 51 30 121 51 12 15 4 0.17 0.19
2013 0.44 0.58 0.57 0.55 35 221 103 126 534 48 21 124 68 19 15.1 6 0.17 0.2
2014 0.64 0.58 0.55 0.55 25 246 50 136 670 59 38 136 75 29 21.3 3 0.12 0.19
2015 0.38 0.59 0.59 0.56 18 264 40 156 826 60 23 135 75 18 11.5 5 0.28 0.19
2016 0.7 0.64 0.6 0.53 19 283 14 170 996 43 30 126 67 15 8.8 1 0.05 0.19
2017 0.49 0.66 0.44 0.44 18 301 20 132 1129 37 18 121 53 17 12.9 2 0.11 0.2
2018 0.54 0.89 0.45 0.48 23 324 7 145 1274 37 20 115 55 16 11 5 0.22 0.29
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations in y to articles published in y-1 plus y-2
%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
12005Option 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.

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89
22005Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177.

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40
32005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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35
42005On 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.

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32
52008Optimal 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.

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31
62010A 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.

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30
72010The 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.

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29
8Determinants 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.

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28
92010Robust 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.

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25
102006Risk 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.

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22
112013An 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.

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20
122012Analysing 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.

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19
132008Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454.

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19
142012Affine 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.

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17
152005On 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.

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17
162009A 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.

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17
172005American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292.

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16
182010Irreversible 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.

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15
192012A 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.

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14
202008Who 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.

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14
212008Pricing 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.

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13
222007Maximum 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.

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13
232014Robust 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.

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13
242010Macroeconomics 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.

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12
252010On 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.

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12
262006A 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.

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11
272012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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11
28Minority 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.

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11
292013Dynamic 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.

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11
302010An 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.

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11
312006Arbitrage 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.

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11
322013Measures 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.

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11
332012Estimation 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.

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10
342006The 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.

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10
352006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

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10
36Small 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.

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10
372013Pension 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.

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10
382015Asset 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.

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10
392011Short 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.

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10
402006Heterogeneous 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.

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10
412007An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, Agustín ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105.

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9
422010On the neutrality of debt in investment intensity. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:335-356.

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9
432012On 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.

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9
442006The modified mixture of distributions model: a revisit. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:2:p:167-178.

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9
452014Portfolio 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.

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8
462009Alternatives 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.

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8
472008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

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8
482005The 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.

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8
492007Towards 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.

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8
502008A 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.

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8
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12005Option 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

17
22012Affine 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
32013An 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

11
42009A 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

10
52012Analysing 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

8
62006Risk 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

8
72009Minority 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

7
82010A 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

7
92013Dynamic 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

6
102012Estimation 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

6
112005On 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

6
122008Optimal 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

6
132013Measures 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

6
142005Relative 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

5
152015Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382.

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5
162015Variance 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.

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4
172014Robust 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

4
182008Prospect 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

4
192011Central 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.

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4
202015Asset 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.

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4
212015Diversity-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.

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4
222010The 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.

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4
232017Analysis of variance based instruments for Ornstein–Uhlenbeck 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.

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4
242009Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect. (2009). Kagel, John ; Brown, Alexander. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:1-14.

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3
252006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

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3
262012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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3
272016The skewness risk premium in equilibrium and stock return predictability. (2016). Sasaki, Hiroshi. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-016-0275-7.

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3
282011Short 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

3
292008Pricing 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.

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3
302015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

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3
312008Who 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.

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3
322016Benchmarking 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.

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3
332011Independents’ day? Analyst behavior surrounding the Global Settlement. (2011). Rau, Raghavendra. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:4:p:529-547.

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3
342011On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

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3
352012On 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.

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3
362017Optimal mean-reverting spread trading: nonlinear integral equation approach. (2017). Leung, Tim ; Kitapbayev, Yerkin . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0295-y.

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3
372012A 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

3
382010Robust 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

3
392013Regime-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.

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3
402017The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred?. (2017). Arrassen, Wassini . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0296-x.

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412014Portfolio 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.

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422010Irreversible 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.

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432008Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454.

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442005On 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.

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452013Negative call prices. (2013). Ruf, Johannes. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:787-794.

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462013Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. (2013). Siu, Tak Kuen ; Fard, Farzad . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:421-438.

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472014Pricing of discount bonds with a Markov switching regime. (2014). Nishide, Katsumasa ; Elliott, Robert. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:509-522.

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482011Real 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.

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492015Dynamic optimal capital structure with regime switching. (2015). Elliott, Robert ; Shen, Jia. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:199-220.

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502008The price of rapid exit in venture capital-backed IPOs. (2008). rossetto, silvia. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:29-53.

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Citing documents used to compute impact factor: 20
YearTitle
2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2018Nonlinear Effect of Financial Efficiency and Financial Competition on Heterogeneous Firm R&D: A Study on the Combined Perspective of Financial Quantity Expansion and Quality Development. (2018). Gao, Yang ; Chen, Quan ; Du, Xiaomin ; Tsai, Sang-Bing ; Chu, Chien-Chi ; Wang, YU. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1383-:d:143940.

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2018How Does a Staggered Board Provision Affect Corporate Strategic Change?—Evidence from China’s Listed Companies. (2018). Wang, Kai ; Fan, He-Jun ; Tsai, Sang-Bing ; Chu, Chien-Chi ; Xu, Jin-Hua ; Xue, Kun-Kun. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1412-:d:144348.

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2018On the implied market price of risk under the stochastic numéraire. (2018). Dokuchaev, Nikolai. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0315-y.

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2018A Dynamic Model of Central Counterparty Risk. (2018). Bielecki, Tomasz R ; Feng, Shibi ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1803.02012.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018Risk-adjusted option-implied moments. (2018). Brinkmann, Felix ; Korn, Olaf . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9136-4.

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2018The properties of a skewness index and its relation with volatility and returns. (2018). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0133.

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2018Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200.

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2018Financial equilibrium with non-linear valuations. (2018). Madan, Dilip B. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0312-1.

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2018Business cycles, financial cycles and capital structure. (2018). Al-Zoubi, Haitham ; Alwathnani, Abdulaziz M ; Osullivan, Jennifer A. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0306-z.

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2018Mean Reversion Trading with Sequential Deadlines and Transaction Costs. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: Papers. RePEc:arx:papers:1707.03498.

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2018Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275.

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2018MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500048.

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2018Bubbles, growth and imperfection of credit market in a two-country model. (2018). Shimizu, Ryosuke. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0320-9.

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2018Option pricing under fast-varying and rough stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4.

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2018A nonparametric quantity-of-quality approach to assessing financial asset return performance. (2018). Haley, Ryan M. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0319-2.

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2018Determinants of the Performance of Microfinance Institutions: A Systematic Review. (2018). Hermes, Cornelis ; Hudon, M. In: Research Report. RePEc:gro:rugsom:2018008.

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2018Determinants of the Performance of Microfinance Institutions: A Systematic Review. (2018). Hermes, Niels ; Hudon, Marek. In: Working Papers CEB. RePEc:sol:wpaper:2013/272925.

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2018Determinants of the Performance of Microfinance Institutions: A Systematic Review. (2018). Hermes, Niels ; Hudon, Marek. In: Working Papers CEB. RePEc:sol:wpaper:2013/273512.

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Recent citations
Recent citations received in 2018

YearCiting document
2018On a gap between rational annuitization price for producer and price for customer. (2018). Dokuchaev, Nikolai. In: Papers. RePEc:arx:papers:1809.08960.

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2018Leverage over the Life Cycle and Implications for Firm Growth and Shock Responsiveness. (2018). Kalemli-Ozcan, Sebnem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13337.

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2018The Impact of Capital Structure on Risk and Firm Performance: Empirical Evidence for the Bucharest Stock Exchange Listed Companies. (2018). Vintila, Georgeta ; Gherghina, Ştefan ; Nenu, Elena Alexandra. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:41-:d:140401.

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2018Financial Structure and Financing Constraints: Evidence on Small- and Medium-Sized Enterprises in China. (2018). Luo, Sumei ; Zhou, Guangyou ; Zhang, Yuxi. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1774-:d:149471.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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Recent citations received in 2017

YearCiting document
2017Quadratic 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.

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2017A theory of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Blackburn, Keith ; Rana, Maria Paola . In: Economic Theory Bulletin. RePEc:spr:etbull:v:5:y:2017:i:2:d:10.1007_s40505-017-0116-5.

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Recent citations received in 2016

YearCiting document
2016Hedging 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.

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Recent citations received in 2015

YearCiting document
2015Diversity-Weighted Portfolios with Negative Parameter. (2015). Vervuurt, Alexander ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1504.01026.

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2015Diversity-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.

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2015Optimal investment in multidimensional Markov-modulated affine models. (2015). Escobar Anel, Marcos ; Neykova, Daniela ; Zagst, Rudi. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:503-530.

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