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Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
13
Impact Factor
0
5 Years IF
0
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 0.13 0 0 7 7 0 0 6 23 0 0 0.07
1991 0 0.11 0 0 8 15 3 0 12 23 0 0 0.06
1992 0 0.1 0 0 7 22 1 0 15 24 0 0 0.07
1993 0.07 0.13 0.07 0.04 7 29 56 2 2 15 1 28 1 0 0 0.07
1994 0 0.13 0 0 2 31 0 2 14 34 0 0 0.06
1995 0.11 0.19 0.05 0.03 6 37 46 2 4 9 1 31 1 0 0 0.09
1996 0.25 0.22 0.1 0.13 4 41 1 4 8 8 2 30 4 0 0 0.12
1997 0.1 0.23 0.08 0.08 8 49 13 4 12 10 1 26 2 0 0 0.12
1998 0.17 0.24 0.18 0.26 12 61 23 11 23 12 2 27 7 1 9.1 1 0.08 0.15
1999 0.1 0.32 0.12 0.16 13 74 23 9 32 20 2 32 5 1 11.1 1 0.08 0.21
2000 0.2 0.47 0.16 0.26 27 101 97 15 48 25 5 43 11 6 40 4 0.15 0.2
2001 0.3 0.4 0.24 0.25 19 120 704 29 77 40 12 64 16 4 13.8 2 0.11 0.22
2002 0.59 0.41 0.26 0.39 17 137 88 36 113 46 27 79 31 4 11.1 2 0.12 0.23
2003 0.89 0.42 0.41 0.51 13 150 28 62 175 36 32 88 45 0 1 0.08 0.24
2004 0.33 0.47 0.34 0.48 22 172 238 58 233 30 10 89 43 4 6.9 9 0.41 0.27
2005 0.57 0.49 0.39 0.59 18 190 36 75 308 35 20 98 58 5 6.7 2 0.11 0.29
2006 0.33 0.48 0.31 0.44 0 190 0 59 367 40 13 89 39 0 0 0.27
2007 0.06 0.41 0.32 0.36 0 190 0 61 428 18 1 70 25 0 0 0.22
2008 0 0.46 0.44 0.34 0 190 0 84 512 0 53 18 0 0 0.23
2009 0 0.43 0.37 0.4 0 190 0 71 583 0 40 16 0 0 0.23
2010 0 0.37 0.26 0.17 0 190 0 50 633 0 18 3 0 0 0.2
2011 0 0.47 0.29 0 0 190 0 56 689 0 0 0 0 0.25
2012 0 0.5 0.31 0 0 190 0 58 747 0 0 0 0 0.26
2013 0 0.52 0.37 0 0 190 0 70 817 0 0 0 0 0.24
2014 0 0.54 0.45 0 0 190 0 86 903 0 0 0 0 0.28
2015 0 0.54 0.45 0 0 190 0 86 989 0 0 0 0 0.28
2016 0 0.57 0.54 0 0 190 0 102 1091 0 0 0 0 0.29
2017 0 0.58 0.47 0 0 190 0 89 1180 0 0 0 0 0.28
2018 0 0.6 0.48 0 0 190 0 91 1271 0 0 0 0 0.31
2019 0 0.65 0.58 0 0 190 0 110 1381 0 0 0 0 0.38
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
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

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607
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

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178
31993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

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50
42001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

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41
52002East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331.

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38
61989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

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31
72001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

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31
81995An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx.

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23
92000Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w.

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23
102002Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

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17
111998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7dm2d31p.

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16
122000The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6.

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13
132002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

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13
142004How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv.

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12
151995Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?. (1995). Field, Laura C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1136n8ps.

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12
162000Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z.

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11
171995Regime Shifts in Short Term Riskless Interest Rates. (1995). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5hs021jf.

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11
182000Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). LIU, JUN ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f.

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10
191997Bond Pricing with Default Risk. (1997). Santa-Clara, Pedro ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch.

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10
202004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dv8v999.

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10
212002Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7mh2m2bt.

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9
222002ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3mw4q41x.

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9
232003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Wang, Ashley W ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8.

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8
242004THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g.

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7
252001The Disposition Effect and Momentum. (2001). han, bing ; Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6qg5d62p.

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7
262005Asset Pricing in Markets with Illiquid Assets. (2005). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2458g38x.

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7
272004Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Strebulaev, Ilya ; Nyborg, Kjell ; Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn.

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7
282005Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706.

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6
292001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Santa-Clara, Pedro ; Cochrane, John ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd.

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6
302000The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Santa-Clara, Pedro ; Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt65f1914p.

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6
312000Valuation of Information Technology Investments as Real Options. (2000). Zozaya-Gorostiza, Carlos ; Schwartz, Eduardo S.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4dv270zv.

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6
322004Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt632436gt.

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6
332000Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj.

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6
342000Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. (2000). Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3167f8mz.

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6
351998Resolution of a Financial Puzzle. (1998). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh.

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5
362004Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions. (2004). Nyborg, Kjell ; Keloharju, Matti ; Rydqvist, Kristian . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6v17p79w.

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5
372005Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6zx6m7fp.

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5
381999The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence. (1999). Grinblatt, Mark ; Moskowitz, Tobias J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1k67p66s.

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4
392000Does Diversification Cause the “Diversification Discount†?. (2000). Villalonga, Belen. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt40v212gm.

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4
401993Private vs. Public Lending: Evidence from Covenants. (1993). Tuckman, Bruce ; Kahan, Marcel . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1xw4w7sk.

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4
412005Information, Diversification, and Cost of Capital. (2005). LIU, JUN ; Hughes, John S. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt82j2d59r.

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4
422004International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53z0s29k.

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4
431999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets. (1999). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt93s6p8gb.

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4
442001Financial Distress as a Selection Mechanism: Evidence from the United States. (2001). Kahl, Matthias . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0dg192r9.

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4
452005The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc.

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4
462005Dollar Cost Averaging. (2005). Brennan, Michael ; Li, Feifei ; Torous, Walt . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53p0r65q.

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4
472003Changing Motives for Share Repurchases. (2003). Weston, Fred J. ; Siu, Juan A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9146588t.

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4
481999Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption. (1999). Schwartz, Eduardo ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3qs6r307.

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4
492002Does the term structure forecast. (2002). Berardi, Andrea ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4kd201gw.

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3
501999Approximate Arbitrage. (1999). Ledoit, Olivier ; Bernardo, Antonio . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dj834hk.

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3
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

Full description at Econpapers || Download paper

143
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

Full description at Econpapers || Download paper

53
32001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

Full description at Econpapers || Download paper

5
41993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

Full description at Econpapers || Download paper

5
52000Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w.

Full description at Econpapers || Download paper

5
62002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

Full description at Econpapers || Download paper

4
72005Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706.

Full description at Econpapers || Download paper

3
82001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

Full description at Econpapers || Download paper

2
91995An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations