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

Citation Profile [Updated: 2022-01-09 21:43:50]

5 Years H

Impact Factor

0.47

5 Years IF

0.35

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	0.21	0	0	0	0	0		0	0		0			0		0	0.12
1997	0	0.23	0	0	0	0	0		0	0		0			0		0	0.13
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	209	8	9	3	1	3	1	5	62.5	7	0.26	0.21
2000	0.37	0.44	0.4	0.37	17	47	144	14	28	30	11	30	11	9	64.3	3	0.18	0.2
2001	0.52	0.4	0.56	0.51	25	72	353	39	68	44	23	47	24	21	53.8	12	0.48	0.22
2002	0.38	0.42	0.38	0.35	14	86	87	33	101	42	16	72	25	12	36.4	1	0.07	0.23
2003	0.72	0.42	0.58	0.48	27	113	147	64	166	39	28	86	41	28	43.8	7	0.26	0.24
2004	0.66	0.47	0.93	0.48	31	144	223	134	300	41	27	110	53	59	44	21	0.68	0.27
2005	0.36	0.49	0.7	0.46	27	171	373	118	420	58	21	114	53	46	39	10	0.37	0.29
2006	0.45	0.47	0.61	0.43	15	186	129	114	534	58	26	124	53	21	18.4	3	0.2	0.27
2007	0.52	0.39	0.47	0.38	26	212	105	100	634	42	22	114	43	25	25	3	0.12	0.22
2008	0.44	0.46	0.57	0.48	27	239	246	135	771	41	18	126	60	41	30.4	5	0.19	0.23
2009	0.42	0.43	0.63	0.53	24	263	119	166	938	53	22	126	67	41	24.7	5	0.21	0.22
2010	0.55	0.37	0.58	0.49	21	284	193	166	1104	51	28	119	58	35	21.1	7	0.33	0.19
2011	0.4	0.46	0.55	0.5	12	296	58	161	1266	45	18	113	56	26	16.1		0	0.25
2012	0.85	0.5	0.55	0.52	24	320	63	176	1443	33	28	110	57	38	21.6	3	0.13	0.25
2013	0.42	0.5	0.69	0.62	18	338	47	234	1677	36	15	108	67	24	10.3	1	0.06	0.24
2014	0.45	0.53	0.52	0.38	11	349	77	179	1857	42	19	99	38	15	8.4	5	0.45	0.27
2015	0.55	0.53	0.43	0.55	15	364	51	156	2013	29	16	86	47	15	9.6	3	0.2	0.27
2016	0.65	0.54	0.45	0.49	13	377	39	171	2184	26	17	80	39	14	8.2	4	0.31	0.27
2017	0.89	0.54	0.52	0.52	7	384	14	199	2383	28	25	81	42	9	4.5	2	0.29	0.27
2018	0.7	0.53	0.46	0.55	10	394	37	182	2565	20	14	64	35	12	6.6	9	0.9	0.26
2019	1	0.55	0.33	0.5	9	403	2	133	2698	17	17	56	28	5	3.8	1	0.11	0.32
2020	0.47	0.63	0.22	0.35	14	417	4	92	2790	19	9	54	19	3	3.3	1	0.07	0.58

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 ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	215
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	144
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	135
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	104
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	85
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	64
7	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	54
8	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	51
9	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	51
10	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	47
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	46
12	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
13	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	41
14	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	40
15	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	37
16	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	32
17	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	29
18	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	29
19	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	29
20	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	28
21	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	28
22	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	26
23	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
24	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
25	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	23
26	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
27	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
28	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	22
29	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	20
30	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	20
31	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	19
32	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	19
33	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
34	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	19
35	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	18
36	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	17
37	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
38	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	17
39	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	16
40	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
41	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	15
42	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	14
43	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	14
44	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	14
45	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
46	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
47	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
48	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
49	1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers \|\| Download paper	12
50	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

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 ; TerÃÆÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	38
2	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	24
3	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	17
4	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	13
5	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	12
6	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	11
7	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	11
8	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	9
9	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	9
10	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	6
11	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	6
12	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
13	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	5
14	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	5
15	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	5
16	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	4
17	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	4
18	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÆÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	4
19	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	4
20	2016	Pricing American Options under Regime Switching Using Method of Lines. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Yang, Hongang . In: Research Paper Series. RePEc:uts:rpaper:368. Full description at Econpapers \|\| Download paper	4
21	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
22	2012	Forecasting Bank Leverage. (2012). Shaffer, Sherrill ; Hambusch, Gerhard. In: Research Paper Series. RePEc:uts:rpaper:320. Full description at Econpapers \|\| Download paper	3
23	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	3
24	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	3
25	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	3
26	2015	Algorithms for Optimal Control of Stochastic Switching Systems. (2015). Hinz, Juri ; Yap, Nicholas . In: Research Paper Series. RePEc:uts:rpaper:352. Full description at Econpapers \|\| Download paper	3
27	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
28	2017	Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Jorg ; Rudd, Ralph. In: Research Paper Series. RePEc:uts:rpaper:382. Full description at Econpapers \|\| Download paper	3
29	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	2
30	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	2
31	1999	Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). TerÃÆÃÂ¤svirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29. Full description at Econpapers \|\| Download paper	2
32	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	2
33	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	2
34	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	2
35	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	2
36	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	2
37	2007	Intertemporal Investment Strategies Under Inflation Risk. (2007). Semmler, Willi ; Hsiao, Chih-Ying ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:192. Full description at Econpapers \|\| Download paper	2
38	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	2
39	2020	Wind Generation and the Dynamics of Electricity Prices in Australia. (2020). Konstandatos, Otto ; Rai, Alan ; Nikitopoulos, Christina Sklibosios ; Mwampashi, Muthe Mathias. In: Research Paper Series. RePEc:uts:rpaper:416. Full description at Econpapers \|\| Download paper	2
40	2009	Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement. (2009). Thorp, Susan ; McKibbin, Rebecca ; Pedersen, Andreas . In: Research Paper Series. RePEc:uts:rpaper:248. Full description at Econpapers \|\| Download paper	2
41	2007	Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution. (2007). Chan, Jennifer ; Choy, S.T. Boris ; Makov, Udi. In: Research Paper Series. RePEc:uts:rpaper:196. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor: 9

Year	Title
2020	Market impact and performance of arbitrageurs of financial bubbles in an agent-based model. (2020). Sornette, Didier ; Westphal, Rebecca. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:171:y:2020:i:c:p:1-23. Full description at Econpapers \|\| Download paper
2020	Coordinated bubbles and crashes. (2020). Zheng, Huanhuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301421. Full description at Econpapers \|\| Download paper
2020	Heterogeneous expectations, housing bubbles and tax policy. (2020). Westerhoff, Frank ; Schmitt, Noemi ; Martin, Carolin. In: BERG Working Paper Series. RePEc:zbw:bamber:156. Full description at Econpapers \|\| Download paper
2020	Co-existence of trend and value in financial markets: Estimating an extended Chiarella model. (2020). Bouchaud, Jean-Philippe ; Ciliberti, Stefano ; Majewski, Adam A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301885. Full description at Econpapers \|\| Download paper
2020	Quantifying the concerns of Dimon and Buffett with data and computation. (2020). Oldham, Matthew. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300336. Full description at Econpapers \|\| Download paper
2020	Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability: Analysis using an agent-based model. (2020). Godin, Antoine ; Szyszka, Adam ; Rzeszutek, Marcin ; Augier, Stanislas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301330. Full description at Econpapers \|\| Download paper
2020	Heterogeneous speculators and stock market dynamics: A simple agent-based computational model. (2020). Westerhoff, Frank ; Schwartz, Ivonne ; Schmitt, Noemi. In: BERG Working Paper Series. RePEc:zbw:bamber:160. Full description at Econpapers \|\| Download paper
2020	How market intervention can prevent bubbles and crashes. (2020). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp2074. Full description at Econpapers \|\| Download paper
2020	Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2020

Year	Citing document
2020	On the impact of increasing penetration of variable renewables on electricity spot price extremes in Australia. (2020). Nunn, Oliver ; Rai, Alan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:67-86. Full description at Econpapers \|\| Download paper

Recent citations received in 2019

Year	Citing document
2019	A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764. Full description at Econpapers \|\| Download paper

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	Behavioral & experimental macroeconomics and policy analysis: a complex systems approach. (2018). Hommes, Cars. In: Working Paper Series. RePEc:ecb:ecbwps:20182201. 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	An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1834. 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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	65	139
2	Journal of Economic Dynamics and Control / Elsevier	106	52
3	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	4	45
4	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	24	44
5	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	18	18
6	Post-Print / HAL	124	16
7	MPRA Paper / University Library of Munich, Germany	103	15
8	Journal of Economic Behavior & Organization / Elsevier	111	15
9	Quantitative Finance / Taylor & Francis Journals	50	14
10	Economic Modelling / Elsevier	69	13
11	International Review of Financial Analysis / Elsevier	49	12