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

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.7

5 Years IF

0.52

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	0.14	0	0	0	0	0		0	0		0			0		0	0.07
1991	0	0.11	0	0	0	0	0		0	0		0			0		0	0.06
1992	0	0.1	0	0	0	0	0		0	0		0			0		0	0.07
1993	0	0.13	0	0	0	0	0		0	0		0			0		0	0.07
1994	0	0.13	0	0	0	0	0		0	0		0			0		0	0.06
1995	0	0.18	0	0	0	0	0		0	0		0			0		0	0.09
1996	0	0.22	0	0	0	0	0		0	0		0			0		0	0.11
1997	0	0.23	0	0	0	0	0		0	0		0			0		0	0.12
1998	0	0.24	0	0	3	3	10		0	0		0			0		0	0.15
1999	0.33	0.32	0.3	0.33	27	30	182	8	9	3	1	3	1	5	62.5	7	0.26	0.21
2000	0.37	0.46	0.4	0.37	17	47	143	14	28	30	11	30	11	9	64.3	3	0.18	0.2
2001	0.5	0.39	0.53	0.49	25	72	328	37	66	44	22	47	23	21	56.8	11	0.44	0.22
2002	0.4	0.42	0.4	0.36	14	86	83	34	100	42	17	72	26	12	35.3	1	0.07	0.24
2003	0.67	0.41	0.56	0.45	27	113	137	62	163	39	26	86	39	28	45.2	7	0.26	0.24
2004	0.68	0.47	0.92	0.5	31	144	211	132	295	41	28	110	55	59	44.7	21	0.68	0.27
2005	0.34	0.49	0.7	0.45	27	171	281	117	414	58	20	114	51	46	39.3	10	0.37	0.29
2006	0.41	0.48	0.58	0.39	15	186	121	107	521	58	24	124	48	21	19.6	3	0.2	0.26
2007	0.48	0.4	0.46	0.38	26	212	92	97	618	42	20	114	43	25	25.8	3	0.12	0.22
2008	0.44	0.45	0.57	0.47	27	239	211	135	755	41	18	126	59	41	30.4	5	0.19	0.23
2009	0.4	0.43	0.59	0.52	24	263	102	155	911	53	21	126	65	41	26.5	5	0.21	0.23
2010	0.53	0.37	0.56	0.47	21	284	177	160	1071	51	27	119	56	35	21.9	7	0.33	0.19
2011	0.38	0.47	0.51	0.47	12	296	56	151	1223	45	17	113	53	26	17.2		0	0.25
2012	0.82	0.5	0.53	0.49	24	320	57	168	1392	33	27	110	54	37	22	3	0.13	0.26
2013	0.42	0.52	0.67	0.6	18	338	34	227	1619	36	15	108	65	24	10.6	1	0.06	0.24
2014	0.4	0.55	0.47	0.35	11	349	57	164	1784	42	17	99	35	15	9.1	4	0.36	0.28
2015	0.52	0.54	0.4	0.53	15	364	36	146	1930	29	15	86	46	15	10.3	3	0.2	0.28
2016	0.62	0.58	0.41	0.46	13	377	28	156	2086	26	16	80	37	15	9.6	4	0.31	0.29
2017	0.86	0.6	0.47	0.56	7	384	10	181	2267	28	24	81	45	9	5	2	0.29	0.3
2018	0.7	0.62	0.41	0.52	10	394	13	163	2430	20	14	64	33	12	7.4	7	0.7	0.33

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

#	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	142
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	124
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	116
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	105
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	83
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	52
8	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	46
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	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	38
11	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	37
12	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	37
13	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	37
14	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	36
15	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
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	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	26
18	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	26
19	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	25
20	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
21	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
22	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
23	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
24	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
25	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	22
26	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	22
27	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	21
28	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	19
29	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	18
30	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	17
31	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	17
32	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	17
33	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	16
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	16
35	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
36	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
37	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	15
38	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
39	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	13
40	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	13
41	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
42	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
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	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	12
45	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
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	12
47	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	12
48	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	11
49	2004	A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	11
50	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

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	27
2	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	22
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	21
4	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	21
5	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	16
6	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	14
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	12
8	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	11
9	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	11
10	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	10
11	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
12	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	9
13	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	8
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	8
15	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	7
16	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	7
17	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	6
18	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	6
19	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
20	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	5
21	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
22	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	5
23	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
24	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	4
25	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	4
26	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	4
27	2012	Carry 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. Full description at Econpapers \|\| Download paper	4
28	2008	Minimizing the Expected Market Time to Reach a Certain Wealth Level. (2008). Platen, Eckhard ; Kardaras, Constantinos. In: Research Paper Series. RePEc:uts:rpaper:230. Full description at Econpapers \|\| Download paper	3
29	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	3
30	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	3
31	2016	A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds. (2016). Platen, Eckhard ; Gnoatto, Alessandro ; Grasselli, Martino. In: Research Paper Series. RePEc:uts:rpaper:374. Full description at Econpapers \|\| Download paper	3
32	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	3
33	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
34	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
35	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	3
36	2014	Automated Liquidity Provision. (2014). Michayluk, David ; Gerig, Austin. In: Research Paper Series. RePEc:uts:rpaper:345. Full description at Econpapers \|\| Download paper	3
37	2015	Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:357. Full description at Econpapers \|\| Download paper	3
38	2016	Calibrating Market Model to Commodity and Interest Rate Risk. (2016). Schlogl, Erik ; Pilz, Kay F ; Karlsson, Patrik. In: Research Paper Series. RePEc:uts:rpaper:372. Full description at Econpapers \|\| Download paper	3
39	2014	A Consistent Framework for Modelling Basis Spreads in Tenor Swaps. (2014). Schlogl, Erik ; Chang, Yang. In: Research Paper Series. RePEc:uts:rpaper:348. Full description at Econpapers \|\| Download paper	3
40	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	3
41	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
42	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	3
43	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
44	1999	Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). TerÃÂ¤svirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29. Full description at Econpapers \|\| Download paper	2
45	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	2
46	2015	Market Sentiment and Paradigm Shifts. (2015). Li, Kai ; He, Xuezhong ; Tu, Jun ; Chu, Liya . In: Research Paper Series. RePEc:uts:rpaper:356. Full description at Econpapers \|\| Download paper	2
47	2009	Asset Markets and Monetary Policy. (2009). Semmler, Willi ; Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:247. Full description at Econpapers \|\| Download paper	2
48	2014	Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach. (2014). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:351. Full description at Econpapers \|\| Download paper	2
49	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
50	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

Citing documents used to compute impact factor: 14

Year	Title
2018	Structural Estimation of Behavioral Heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1802.03735. Full description at Econpapers \|\| Download paper
2018	Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:408-433. Full description at Econpapers \|\| Download paper
2018	An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets. (2018). JAWADI, Fredj ; Ftiti, Zied ; Namouri, Hela. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:469-484. Full description at Econpapers \|\| Download paper
2018	Some reflections on past and future of nonlinear dynamics in economics and finance. (2018). Anufriev, Mikhail ; Tramontana, Fabio ; Radi, Davide. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0229-9. Full description at Econpapers \|\| Download paper
2018	Noise traders, firm-specific uncertainty and technical trading effectiveness. (2018). Zhu, Qianyu ; Yu, Bin ; Qian, Meifen. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:13:p:918-923. Full description at Econpapers \|\| Download paper
2018	Pricing American Options with Jumps in Asset and Volatility. (2018). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Taruvinga, Blessing. In: Research Paper Series. RePEc:uts:rpaper:394. Full description at Econpapers \|\| Download paper
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
2018	Asset allocation with time series momentum and reversal. (2018). Li, Youwei ; He, Xuezhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:441-457. Full description at Econpapers \|\| Download paper
2018	Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (2018). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1801.07044. Full description at Econpapers \|\| Download paper
2018	Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166. Full description at Econpapers \|\| Download paper
2018	Transnational Corporations and Business Networks in ASEAN: Building Partnership in the Asiaâ Pacific Region. (2018). Jankowiak, Anna H. In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:1:p:230-244. Full description at Econpapers \|\| Download paper
2018	Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994. Full description at Econpapers \|\| Download paper
2018	On Numerical Methods for Spread Options. (2018). Schlogl, Erik ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:388. Full description at Econpapers \|\| Download paper
2018	General dynamic term structures under default risk. (2018). Fontana, Claudio ; Schmidt, Thorsten. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:10:p:3353-3386. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751. Full description at Econpapers \|\| Download paper
2018	Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70. Full description at Econpapers \|\| Download paper
2018	Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:38-51. Full description at Econpapers \|\| Download paper
2018	Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886. Full description at Econpapers \|\| Download paper
2018	A heterogeneous agent model of asset price dynamics with two time delays. (2018). Guerrini, Luca ; Szidarovszky, Ferenc ; Matsumoto, Akio. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0223-2. Full description at Econpapers \|\| Download paper
2018	Some reflections on past and future of nonlinear dynamics in economics and finance. (2018). Anufriev, Mikhail ; Tramontana, Fabio ; Radi, Davide. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0229-9. Full description at Econpapers \|\| Download paper
2018	Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers \|\| Download paper

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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	51	152
2	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	23	70
3	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	4	56
4	Journal of Economic Dynamics and Control / Elsevier	98	50
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	13	23
6	MPRA Paper / University Library of Munich, Germany	87	19
7	Journal of Banking & Finance / Elsevier	130	17
8	Post-Print / HAL	98	15
9	Quantitative Finance / Taylor & Francis Journals	43	15
10	Economic Modelling / Elsevier	57	15
11	Insurance: Mathematics and Economics / Elsevier	43	14