Annals of Financial Economics (AFE) / World Scientific Publishing Co. Pte. Ltd.
Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
6
Impact Factor
0.55
5 Years IF
0.32
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
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1990 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
| 1993 | 0 | 0.1 | 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 | 0.05 | |||||
| 1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.08 | |||||
| 1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | |||||
| 1997 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.09 | |||||
| 1998 | 0 | 0.26 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.12 | |||||
| 1999 | 0 | 0.28 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.14 | |||||
| 2000 | 0 | 0.33 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2001 | 0 | 0.36 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.15 | |||||
| 2002 | 0 | 0.39 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.21 | |||||
| 2003 | 0 | 0.4 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2004 | 0 | 0.45 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.2 | |||||
| 2005 | 0 | 0.46 | 0 | 0 | 5 | 5 | 2 | 1 | 0 | 0 | 0 | 0 | 0.22 | |||||
| 2006 | 0 | 0.46 | 0 | 0 | 5 | 10 | 0 | 1 | 5 | 5 | 0 | 0 | 0.21 | |||||
| 2007 | 0 | 0.42 | 0 | 0 | 5 | 15 | 2 | 1 | 10 | 10 | 0 | 0 | 0.18 | |||||
| 2008 | 0 | 0.44 | 0.05 | 0 | 4 | 19 | 0 | 2 | 10 | 15 | 0 | 0 | 0.21 | |||||
| 2009 | 0 | 0.44 | 0 | 0 | 5 | 24 | 10 | 2 | 9 | 19 | 0 | 0 | 0.21 | |||||
| 2010 | 0 | 0.43 | 0 | 0 | 0 | 24 | 0 | 2 | 9 | 24 | 0 | 0 | 0.18 | |||||
| 2011 |  0.4 |
0.46 | 0.07 | 0.11 | 4 | 28 | 2 | 2 | 4 | 5 | 2 | 19 | 2 | 0 | 0 | 0.21 | ||
| 2012 | 0 | 0.47 | 0 | 0 | 10 | 38 | 18 | 4 | 4 | 18 | 0 | 0 | 0.19 | |||||
| 2013 | 0 | 0.53 | 0.04 | 0.04 | 13 | 51 | 9 | 2 | 6 | 14 | 23 | 1 | 0 | 0 | 0.22 | |||
| 2014 | 0 | 0.55 | 0.03 | 0 | 20 | 71 | 6 | 2 | 8 | 23 | 32 | 1 | 50 | 2 | 0.1 | 0.22 | ||
| 2015 | 0 | 0.56 | 0.09 | 0.06 | 17 | 88 | 28 | 8 | 16 | 33 | 47 | 3 | 0 | 4 | 0.24 | 0.21 | ||
| 2016 | 0.19 |
0.58 | 0.14 | 0.14 | 20 | 108 | 21 | 15 | 31 | 37 | 7 | 64 | 9 | 6 | 40 | 0 | 0.2 | |
| 2017 | 0.3 |
0.6 | 0.16 | 0.2 | 20 | 128 | 12 | 20 | 51 | 37 | 11 | 80 | 16 | 1 | 5 | 0 | 0.22 | |
| 2018 | 0.55 |
0.76 | 0.35 | 0.32 | 30 | 158 | 5 | 56 | 107 | 40 | 22 | 90 | 29 | 3 | 5.4 | 3 | 0.1 | 0.31 |
| 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 | 2015 | IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS. (2015). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:n:s2010495215500025. Full description at Econpapers || Download paper | 19 |
| 2 | 2016 | A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK. (2016). Wong, Wing-Keung ; Guo, Xu ; Zhu, Lixing ; Alghalith, Moawia. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500019. Full description at Econpapers || Download paper | 15 |
| 3 | 2017 | A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR. (2017). Osterrieder, Joerg ; Lorenz, Julian. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500038. Full description at Econpapers || Download paper | 13 |
| 4 | 2012 | STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES. (2012). Wong, Wing-Keung ; Zumwalt, Kenton J ; Gasbarro, Dominic . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:n:s2010495212500054. Full description at Econpapers || Download paper | 11 |
| 5 | 2013 | ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL. (2013). Wong, Wing-Keung ; McAleer, Michael ; Bian, Guorui. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:08:y:2013:i:02:n:s2010495213500073. Full description at Econpapers || Download paper | 9 |
| 6 | 2015 | APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS. (2015). Platen, Eckhard ; Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500098. Full description at Econpapers || Download paper | 7 |
| 7 | 2009 | GARCH AND VOLUME EFFECTS IN THE AUSTRALIAN STOCK MARKETS. (2009). Xiao, Jingliang ; Wong, Wing-Keung ; Brooks, Robert D. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:n:s2010495209500055. Full description at Econpapers || Download paper | 4 |
| 8 | 2009 | ARE NONLINEAR TRADING RULES PROFITABLE IN THE CHINESE STOCK MARKET?. (2009). CHONG, Terence Tai Leung ; Hinich, Melvin J ; Lam, Tau-Hing. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:n:s201049520950002x. Full description at Econpapers || Download paper | 4 |
| 9 | 2012 | MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS. (2012). McAleer, Michael ; Chang, Chia-Lin ; Tansuchat, Roengchai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:n:s2010495212500108. Full description at Econpapers || Download paper | 4 |
| 10 | 2016 | PRICING COVARIANCE SWAPS FOR BARNDORFFâNIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:03:n:s2010495216500123. Full description at Econpapers || Download paper | 3 |
| 11 | 2009 | MONETARY POLICY AND ASSET PRICES IN A SMALL OPEN ECONOMY: A FACTOR-AUGMENTED VAR ANALYSIS FOR SINGAPORE. (2009). Chow, Hwee Kwan ; Choy, Keen Meng. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:n:s2010495209500043. Full description at Econpapers || Download paper | 3 |
| 12 | 2014 | TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS. (2014). Chang, Chia-Lin ; Ke, Yu-Pei . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400065. Full description at Econpapers || Download paper | 3 |
| 13 | 2007 | THE CAUSAL RELATIONSHIP BETWEEN BANK CAPITAL AND PROFITABILITY. (2007). Cox, Raymond ; Hutchison, David E. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:03:y:2007:i:01:n:s2010495207500029. Full description at Econpapers || Download paper | 3 |
| 14 | 2011 | QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS. (2011). Powell, Robert ; Allen, David ; Singh, A K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:06:y:2011:i:01:n:s2010495211500035. Full description at Econpapers || Download paper | 3 |
| 15 | 2012 | THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING. (2012). Jarrow, Robert. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:n:s2010495212500078. Full description at Econpapers || Download paper | 2 |
| 16 | 2005 | MOTIVES FOR CORPORATE HEDGING: EVIDENCE FROM THE UK. (2005). Clark, Ephraim ; Judge, Amrit. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:01:y:2005:i:01:n:s201049520550003x. Full description at Econpapers || Download paper | 2 |
| 17 | 2018 | MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS. (2018). Yang, Lu ; Hamori, Shigeyuki. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500100. Full description at Econpapers || Download paper | 2 |
| 18 | 2012 | EXECUTIVE SHORT-TERM INCENTIVE, RISK-TAKING AND LEVERAGE-NEUTRAL INCENTIVE SCHEME. (2012). Kaplanski, Guy ; Levy, Haim. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:n:s2010495212500030. Full description at Econpapers || Download paper | 2 |
| 19 | 2016 | MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS. (2016). Luong, Chuong ; Dokuchaev, Nikolai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:02:n:s201049521650007x. Full description at Econpapers || Download paper | 2 |
| 20 | 2012 | MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN. (2012). Markowitz, Harry. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:n:s2010495212500017. Full description at Econpapers || Download paper | 2 |
| 21 | 2016 | SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Hin, Lin-Yee ; Dokuchaev, Nikolai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500044. Full description at Econpapers || Download paper | 2 |
| 22 | 2016 | A NOTE ON FERGUSSON AND PLATEN: âAPPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELSâ. (2016). Ballestra, Luca Vincenzo ; Radi, Davide ; Pacelli, Graziella. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:04:n:s2010495216500184. Full description at Econpapers || Download paper | 1 |
| 23 | 2014 | AN ANALYSIS OF STOCK REPURCHASE TRANSACTION USING A PANEL DATA SAMPLE SELECTION MODEL. (2014). Yu, Shih-Ti ; Kuo, Chii-Shyan ; LIAO, CHE-CHING . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:01:n:s2010495214500031. Full description at Econpapers || Download paper | 1 |
| 24 | 2015 | ASSET PRICING WITH NON-GEOMETRIC TYPE OF DIVIDENDS. (2015). Yamazaki, Akira. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500165. Full description at Econpapers || Download paper | 1 |
| 25 | 2014 | CREDIT SPREADS AND BANKRUPTCY INFORMATION FROM OPTIONS DATA. (2014). Tzeng, Chi-Feng. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400089. Full description at Econpapers || Download paper | 1 |
| 26 | 2015 | IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs. (2015). So, Leh-Chyan ; Yu, Jun-Yang . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500153. Full description at Econpapers || Download paper | 1 |
| 27 | 2005 | THE LOG-NORMAL ASSET PRICING MODEL (LAPM). (2005). COHEN, ALLON ; Levy, Haim. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:01:y:2005:i:01:n:s2010495205500028. Full description at Econpapers || Download paper | 1 |
| 28 | 2018 | HERDING IN CRYPTO-CURRENCY MARKETS. (2018). Ajaz, Taufeeq ; Kumar, Anoop S. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500069. Full description at Econpapers || Download paper | 1 |
| 29 | 2013 | EFFICIENCY AND COMPETITION IN THE GHANAIAN BANKING INDUSTRY: A PANEL GRANGER CAUSALITY APPROACH. (2013). Hu, Baiding ; Gan, Christopher ; Adjei-Frimpong, Kofi . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:08:y:2013:i:01:n:s2010495213500048. Full description at Econpapers || Download paper | 1 |
| 30 | 2018 | EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN OIL AND PRECIOUS METALS MARKETS. (2018). Mokni, Khaled. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500033. Full description at Econpapers || Download paper | 1 |
| 31 | 2014 | FAST METHODS FOR LARGE-SCALE NON-ELLIPTICAL PORTFOLIO OPTIMIZATION. (2014). Paolella, Marc S. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400016. Full description at Econpapers || Download paper | 1 |
| 32 | 2018 | PRICING CARBON EMISSIONS IN CHINA. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500148. Full description at Econpapers || Download paper | 1 |
| 33 | 2015 | VOLATILITY IN COPPER PRICES IN INDIA. (2015). Nair, Girish ; Purohit, Harsh ; Choudhary, Nidhi . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500086. Full description at Econpapers || Download paper | 1 |
| 34 | 2014 | RECENT DEVELOPMENTS IN QUANTITATIVE FINANCE: AN OVERVIEW. (2014). Yu, Shih-Ti ; Chang, Chia-Lin ; Hu, Shing-Yang . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214020023. Full description at Econpapers || Download paper | 1 |
| 35 | 2006 | ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950â2005. (2006). Cook, Steven. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:02:y:2006:i:01:n:s2010495206500035. Full description at Econpapers || Download paper | 1 |
| 36 | 2018 | TIME DIVERSIFICATION: PERSPECTIVES FROM THE ECONOMIC INDEX OF RISKINESS. (2018). Wong, Wing-Keung ; Yang, Chen-Chen ; Lu, Richard. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500112. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2016 | A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK. (2016). Wong, Wing-Keung ; Guo, Xu ; Zhu, Lixing ; Alghalith, Moawia. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500019. Full description at Econpapers || Download paper | 15 |
| 2 | 2017 | A STATISTICAL RISK ASSESSMENT OF BITCOIN AND ITS EXTREME TAIL BEHAVIOR. (2017). Osterrieder, Joerg ; Lorenz, Julian. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500038. Full description at Econpapers || Download paper | 13 |
| 3 | 2015 | IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS. (2015). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:n:s2010495215500025. Full description at Econpapers || Download paper | 10 |
| 4 | 2012 | STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES. (2012). Wong, Wing-Keung ; Zumwalt, Kenton J ; Gasbarro, Dominic . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:n:s2010495212500054. Full description at Econpapers || Download paper | 10 |
| 5 | 2013 | ROBUST ESTIMATION AND FORECASTING OF THE CAPITAL ASSET PRICING MODEL. (2013). Wong, Wing-Keung ; McAleer, Michael ; Bian, Guorui. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:08:y:2013:i:02:n:s2010495213500073. Full description at Econpapers || Download paper | 9 |
| 6 | 2015 | APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS. (2015). Platen, Eckhard ; Fergusson, K. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:n:s2010495215500098. Full description at Econpapers || Download paper | 6 |
| 7 | 2009 | GARCH AND VOLUME EFFECTS IN THE AUSTRALIAN STOCK MARKETS. (2009). Xiao, Jingliang ; Wong, Wing-Keung ; Brooks, Robert D. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:n:s2010495209500055. Full description at Econpapers || Download paper | 4 |
| 8 | 2016 | PRICING COVARIANCE SWAPS FOR BARNDORFFâNIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS. (2016). Habtemicael, Semere ; Sengupta, Indranil. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:03:n:s2010495216500123. Full description at Econpapers || Download paper | 3 |
| 9 | 2014 | TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS. (2014). Chang, Chia-Lin ; Ke, Yu-Pei . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:n:s2010495214400065. Full description at Econpapers || Download paper | 3 |
| 10 | 2012 | MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS. (2012). McAleer, Michael ; Chang, Chia-Lin ; Tansuchat, Roengchai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:n:s2010495212500108. Full description at Econpapers || Download paper | 3 |
| 11 | 2005 | MOTIVES FOR CORPORATE HEDGING: EVIDENCE FROM THE UK. (2005). Clark, Ephraim ; Judge, Amrit. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:01:y:2005:i:01:n:s201049520550003x. Full description at Econpapers || Download paper | 2 |
| 12 | 2016 | MODELING DEPENDENCY OF VOLATILITY ON SAMPLING FREQUENCY VIA DELAY EQUATIONS. (2016). Luong, Chuong ; Dokuchaev, Nikolai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:02:n:s201049521650007x. Full description at Econpapers || Download paper | 2 |
| 13 | 2007 | THE CAUSAL RELATIONSHIP BETWEEN BANK CAPITAL AND PROFITABILITY. (2007). Cox, Raymond ; Hutchison, David E. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:03:y:2007:i:01:n:s2010495207500029. Full description at Econpapers || Download paper | 2 |
| 14 | 2016 | SHORT RATE FORECASTING BASED ON THE INFERENCE FROM THE CIR MODEL FOR MULTIPLE YIELD CURVE DYNAMICS. (2016). Hin, Lin-Yee ; Dokuchaev, Nikolai. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500044. Full description at Econpapers || Download paper | 2 |
| 15 | 2012 | MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN. (2012). Markowitz, Harry. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:n:s2010495212500017. Full description at Econpapers || Download paper | 2 |
| 16 | 2018 | MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS. (2018). Yang, Lu ; Hamori, Shigeyuki. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500100. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 22
| Year | Title | |
|---|---|---|
| 2018 | Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Podobnik, Boris ; Stanley, Eugene H ; Kostanjvcar, Zvonko ; Beguvsi, Stjepan. In: Papers. RePEc:arx:papers:1803.08405. Full description at Econpapers || Download paper | |
| 2018 | An application of extreme value theory to cryptocurrencies. (2018). Gkillas (Gillas), Konstantinos ; Katsiampa, Paraskevi. In: Economics Letters. RePEc:eee:ecolet:v:164:y:2018:i:c:p:109-111. Full description at Econpapers || Download paper | |
| 2018 | Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Begui, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjar, Zvonko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:400-406. Full description at Econpapers || Download paper | |
| 2018 | A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization. (2018). Mba, Jules Clement ; Koumba, UR ; Pindza, Edson . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0320-9. Full description at Econpapers || Download paper | |
| 2018 | Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect. (2018). Dorfleitner, Gregor ; Lung, Carina. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0093-8. Full description at Econpapers || Download paper | |
| 2018 | HERDING IN CRYPTO-CURRENCY MARKETS. (2018). Ajaz, Taufeeq ; Kumar, Anoop S. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:02:n:s2010495218500069. Full description at Econpapers || Download paper | |
| 2018 | Big data, computational science, economics, finance, marketing, management, and psychology: connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1805. Full description at Econpapers || Download paper | |
| 2018 | Management Information, Decision Sciences, and Financial Economics: A Connection. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180004. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180011. Full description at Econpapers || Download paper | |
| 2018 | Management Information, Decision Sciences, and Financial Economics : a connection. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104258. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260. Full description at Econpapers || Download paper | |
| 2018 | Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180024. Full description at Econpapers || Download paper | |
| 2018 | Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878. Full description at Econpapers || Download paper | |
| 2018 | Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180051. Full description at Econpapers || Download paper | |
| 2018 | Why did Warrant Markets Close in China but not Taiwan?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, F.-T., ; Wong, W.-K., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107291. Full description at Econpapers || Download paper | |
| 2018 | Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1809. Full description at Econpapers || Download paper | |
| 2018 | Time Diversification: Perspectives from the Economic Index of Riskiness. (2018). Wong, Wing-Keung ; Yang, Chen-Chen ; Lu, Richard. In: MPRA Paper. RePEc:pra:mprapa:89167. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499. Full description at Econpapers || Download paper | |
| 2018 | TIME DIVERSIFICATION: PERSPECTIVES FROM THE ECONOMIC INDEX OF RISKINESS. (2018). Wong, Wing-Keung ; Yang, Chen-Chen ; Lu, Richard. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500112. Full description at Econpapers || Download paper | |
| 2018 | DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:36-94. Full description at Econpapers || Download paper | |
| 2018 | On a gap between rational annuitization price for producer and price for customer. (2018). Dokuchaev, Nikolai. In: Papers. RePEc:arx:papers:1809.08960. Full description at Econpapers || Download paper | |
| 2018 | Forecasting of Realised Volatility with the Random Forests Algorithm. (2018). Luong, Chuong ; Dokuchaev, Nikolai. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:61-:d:175017. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2018
| Year | Citing document | |
|---|---|---|
| 2018 | Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030. Full description at Econpapers || Download paper | |
| 2018 | Bank Credit and Housing Prices in China: Evidence from a TVP-VAR Model with Stochastic Volatility. (2018). Hamori, Shigeyuki ; Cai, Xiao-Jing ; He, Xie. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:90-:d:190899. Full description at Econpapers || Download paper | |
| 2018 | Time Diversification: Perspectives from the Economic Index of Riskiness. (2018). Wong, Wing-Keung ; Yang, Chen-Chen ; Lu, Richard. In: MPRA Paper. RePEc:pra:mprapa:89167. Full description at Econpapers || Download paper |
Recent citations received in 2017
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Recent citations received in 2016
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Recent citations received in 2015
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| 2015 | What Does Bitcoin Look Like?. (2015). Selmi, Refk ; bouoiyour, jamal. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:2:bouoiyour. Full description at Econpapers || Download paper | |
| 2015 | Conversation with Mark Mizruchi:âThere is Very Little Organizational Theory Left in Sociology Departmentsâ. (2015). Mizraki, Mark . In: Journal of Economic Sociology. RePEc:hig:ecosoc:v:16:y:2015:i:3:p:14-25. Full description at Econpapers || Download paper | |
| 2015 | Greece withdraws from Euro and runs on Bitcoin; April Fools Prank or Serious Possibility?. (2015). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:65317. Full description at Econpapers || Download paper | |
| 2015 | Bitcoin Price: Is it really that New Round of Volatility can be on way?. (2015). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:65580. Full description at Econpapers || Download paper |
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