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Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
21
Impact Factor (IF)
0.83
5 Years IF
0.58
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
2005 0 0.5 0.89 0 19 19 407 16 17 0 0 0 16 0.84 0.23
2006 0.84 0.5 0.56 0.84 22 41 127 22 40 19 16 19 16 3 13.6 6 0.27 0.23
2007 0.51 0.46 0.56 0.51 21 62 93 33 75 41 21 41 21 9 27.3 9 0.43 0.2
2008 0.33 0.49 0.61 0.58 23 85 170 51 127 43 14 62 36 4 7.8 11 0.48 0.23
2009 0.34 0.47 0.62 0.47 26 111 235 67 196 44 15 85 40 18 26.9 23 0.88 0.23
2010 0.45 0.48 0.57 0.52 27 138 218 77 274 49 22 111 58 20 26 9 0.33 0.21
2011 0.68 0.52 0.69 0.61 24 162 86 111 385 53 36 119 72 23 20.7 8 0.33 0.24
2012 0.59 0.51 0.51 0.52 24 186 209 94 479 51 30 121 63 12 12.8 4 0.17 0.22
2013 0.52 0.56 0.7 0.68 35 221 172 154 634 48 25 124 84 21 13.6 5 0.14 0.24
2014 0.73 0.55 0.67 0.64 25 246 92 164 798 59 43 136 87 31 18.9 5 0.2 0.23
2015 0.42 0.55 0.66 0.6 19 265 73 175 973 60 25 135 81 19 10.9 6 0.32 0.23
2016 0.7 0.53 0.74 0.57 19 284 36 209 1182 44 31 127 73 19 9.1 1 0.05 0.21
2017 0.5 0.55 0.57 0.48 18 302 59 170 1353 38 19 122 59 20 11.8 3 0.17 0.21
2018 0.65 0.57 0.55 0.58 23 325 43 179 1532 37 24 116 67 17 9.5 6 0.26 0.24
2019 0.49 0.6 0.51 0.42 20 345 42 175 1708 41 20 104 44 15 8.6 4 0.2 0.24
2020 0.44 0.73 0.46 0.44 22 367 43 169 1877 43 19 99 44 20 11.8 9 0.41 0.34
2021 0.83 1.02 0.51 0.58 20 387 16 196 2073 42 35 102 59 10 5.1 2 0.1 0.38
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
SC: selft citations in y to articles published in y-1 plus y-2
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y
50 most cited documents in this series
#YearTitleCited
12005Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432.

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135
22009A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464.

Full description at Econpapers || Download paper

101
32005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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61
42012Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378.

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48
52005On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50.

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48
62009Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311.

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44
72005Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177.

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40
82010A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581.

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39
92012Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74.

Full description at Econpapers || Download paper

38
102008Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28.

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38
112013An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

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33
12Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio ; Kurz, Mordecai. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147.

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31
132010The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191.

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29
142014Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265.

Full description at Econpapers || Download paper

28
152012Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403.

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27
162006Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71.

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27
172005On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles ; Feri, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107.

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26
182010Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454.

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25
19Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396.

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25
202010Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315.

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23
212017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

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22
222008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

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21
232013Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144.

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20
242008Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454.

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19
252006A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21.

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19
262011On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

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18
272005American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292.

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18
282010On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473.

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17
292013Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786.

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17
302012A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505.

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16
312012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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16
322008Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103.

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15
332008Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429.

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15
342013Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588.

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15
352006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

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14
362007Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74.

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13
372007A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367.

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13
382015Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35.

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13
392007Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507.

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13
402009A conversation with 590 Nascent Entrepreneurs. (2009). De Nardi, Mariacristina ; Campbell, Jeffrey. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:313-340.

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13
412010Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Sobrinho, Nelson. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32.

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13
422019Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z.

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13
432007An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, Agustín ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105.

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13
442015Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432.

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13
452008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241.

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12
462011Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348.

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12
472015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

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12
482006The Discounted Economic Stock of Money with VAR Forecasting. (2006). Keating, John ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:229-258.

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12
492011Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246.

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12
502014Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455.

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12
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12009A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464.

Full description at Econpapers || Download paper

25
22012Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378.

Full description at Econpapers || Download paper

24
32005Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432.

Full description at Econpapers || Download paper

23
42012Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74.

Full description at Econpapers || Download paper

14
52009Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311.

Full description at Econpapers || Download paper

13
62019Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z.

Full description at Econpapers || Download paper

13
72017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

Full description at Econpapers || Download paper

13
82020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0.

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11
92013Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144.

Full description at Econpapers || Download paper

11
102008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

Full description at Econpapers || Download paper

10
112012Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403.

Full description at Econpapers || Download paper

10
122014Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265.

Full description at Econpapers || Download paper

10
132020Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. (2020). Sengupta, Indranil ; Roberts, Michael. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00355-y.

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8
142019Momentum and reversal in financial markets with persistent heterogeneity. (2019). Dindo, Pietro ; Bottazzi, Giulio ; Giachini, Daniele. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00353-0.

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6
152019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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6
162013An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

Full description at Econpapers || Download paper

6
172006Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71.

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6
182018The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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6
192008Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28.

Full description at Econpapers || Download paper

6
202015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

Full description at Econpapers || Download paper

5
212020Relative growth optimal strategies in an asset market game. (2020). Zhitlukhin, Mikhail ; Drokin, Yaroslav. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00360-6.

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5
222015Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432.

Full description at Econpapers || Download paper

5
232010A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581.

Full description at Econpapers || Download paper

5
242005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

Full description at Econpapers || Download paper

5
252007A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367.

Full description at Econpapers || Download paper

5
262021Bank default indicators with volatility clustering. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Kenc, Turalay. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00369-x.

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5
272018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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5
282010Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315.

Full description at Econpapers || Download paper

5
292020A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. (2020). Pesce, Marialaura ; Yannelis, Nicholas C ; Castro, Luciano I. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00349-w.

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5
302005On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles ; Feri, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107.

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4
312020Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (2020). Lagasio, Valentina ; Fabozzi, Frank J ; Brogi, Marina ; Russo, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-020-00358-0.

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4
322008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241.

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4
332019Optimal dynamic basis trading. (2019). Leung, Tim ; Angoshtari, Bahman. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00348-x.

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4
342010On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473.

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4
352014Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455.

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4
362013Regime-switching measure of systemic financial stress. (2013). Abdymomunov, Azamat. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:455-470.

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372006A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21.

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382013Optimal portfolio choice for a behavioural investor in continuous-time markets. (2013). Rasonyi, Miklos ; Rodrigues, Andrea . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:291-318.

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392016How suboptimal are linear sharing rules?. (2016). Nielsen, Jorgen Aase ; Jensen, Bjarne Astrup. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0279-3.

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402012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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412016On the impact of macroeconomic news surprises on Treasury-bond returns. (2016). Mignon, Valérie ; El Ouadghiri, Imane ; Boitout, Nicolas. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-015-0271-3.

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422020The price leadership share: a new measure of price discovery in financial markets. (2020). de Blasis, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00371-3.

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432016The skewness risk premium in equilibrium and stock return predictability. (2016). Sasaki, Hiroshi. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-016-0275-7.

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442021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Sengupta, Indranil ; Salmon, Nicholas. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00394-4.

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452015Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35.

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462010Demographics and asset returns: does the dynamics of population ageing matter?. (2010). Torricelli, Costanza ; Brunetti, Marianna. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:193-219.

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472017Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. (2017). Torricelli, Costanza ; Pederzoli, Chiara. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0294-z.

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482011Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348.

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492016Intragroup transfers, intragroup diversification and their risk assessment. (2016). Molchanov, Ilya ; Schmutz, Michael ; Haier, Andreas . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0284-6.

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502018Analysis of the SRISK measure and its application to the Canadian banking and insurance industries. (2018). Rubtsov, Alexey ; Laplante, Alex ; Coleman, Thomas F. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0326-3.

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Citing documents used to compute impact factor: 35
YearTitle
2021Optimal intellectual property rights policy by an importing country. (2021). Yasaki, Yoshihito ; Tanno, Tadanobu ; Ikeda, Takeshi. In: Economics Letters. RePEc:eee:ecolet:v:209:y:2021:i:c:s0165176521003906.

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2021Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model. (2021). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2104.06293.

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2021Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model. (2020). Sengupta, Indranil ; Shoshi, Humayra. In: Papers. RePEc:arx:papers:2004.14862.

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2021First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

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2021Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning. (2021). Nganje, William ; Hanson, Erik ; Sengupta, Indranil. In: Annals of Data Science. RePEc:spr:aodasc:v:8:y:2021:i:1:d:10.1007_s40745-020-00256-2.

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2021A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks. (2021). Sengupta, Indranil ; Patnaik, Sohan ; Jiruwala, Nuruddin ; Ekapure, Shubham. In: Papers. RePEc:arx:papers:2107.14695.

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2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Sengupta, Indranil ; Salmon, Nicholas. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00394-4.

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2021On Write-Down/ Write-Up Loss Absorbing Instruments. (2021). Liberadzki, Marcin ; Jaworski, Piotr. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:1:p:1204-1219.

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2021Systemic risk measurement: bucketing global systemically important banks. (2021). Riccetti, Luca ; Lagasio, Valentina ; Brogi, Marina. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00391-7.

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2021Persuasion in an asymmetric information economy: a justification of Wald’s maxmin preferences. (2021). Yannelis, Nicholas C ; Liu, Zhiwei. In: Economic Theory. RePEc:spr:joecth:v:72:y:2021:i:3:d:10.1007_s00199-021-01364-7.

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2021Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2021). Gulisashvili, Archil. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:139:y:2021:i:c:p:37-79.

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2021Valuation of R&D compound option using Markov chain approach. (2021). Villani, Giovanni ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00389-1.

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2021$N$-player and Mean-field Games in It\^{o}-diffusion Markets with Competitive or Homophilous Interaction. (2021). Zariphopoulou, Thaleia ; Hu, Ruimeng. In: Papers. RePEc:arx:papers:2106.00581.

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2021Submission Fees in Risk-Taking Contests. (2021). Whitmeyer, Mark. In: Papers. RePEc:arx:papers:2108.13506.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021Stocks Recommendation from Large Datasets Using Important Company and Economic Indicators. (2021). Chatterjee, Niladri ; Gupta, Kartikay. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:4:d:10.1007_s10690-021-09341-9.

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2021Optimal Bitcoin trading with inverse futures. (2021). Zou, Bin ; Zhang, Shuyu ; Pan, Huifeng ; Deng, Jun. In: Annals of Operations Research. RePEc:spr:annopr:v:304:y:2021:i:1:d:10.1007_s10479-021-04125-w.

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2021Managing surges in online demand using bandwidth throttling: An optimal strategy amid the COVID-19 pandemic. (2021). Perera, Sandun ; Gupta, Varun. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:151:y:2021:i:c:s1366554521001113.

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2021Insolvency Risk and Value Maximization: A Convergence between Financial Management and Risk Management. (2021). Gennaro, Alessandro. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:105-:d:566997.

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2021Rationality and asset prices under belief heterogeneity. (2021). Giachini, Daniele. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:1:d:10.1007_s00191-020-00708-1.

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2021A Multivariate High-Order Markov Model for the Income Estimation of a Wind Farm. (2021). Petroni, Filippo ; Masala, Giovanni Batista ; de Blasis, Riccardo. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:2:p:388-:d:478903.

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2021Price Leadership and Volatility Linkages between Oil and Renewable Energy Firms during the COVID-19 Pandemic. (2021). Petroni, Filippo ; de Blasis, Riccardo. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:9:p:2608-:d:548090.

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2021Markov chain approximation and measure change for time-inhomogeneous stochastic processes. (2021). Ning, Ning ; Ding, Kailin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306858.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model. (2021). Yu, Wenguang ; Zhang, Zhimin ; Wang, Yayun. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:399:y:2021:i:c:s0096300321000795.

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2021Mean-Reverting 4/2 Principal Components Model. Financial Applications. (2021). Escobar Anel, Marcos ; Gong, Zhenxian ; Escobar-Anel, Marcos. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:141-:d:602549.

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2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging. (2021). Nguyen, Duy ; Kirkby, Lars J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:408-428.

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2021Equity Risk and Return across Hidden Market Regimes. (2021). Khripushin, Denis A ; Korotkikh, Viacheslav V ; Endovitsky, Dmitry A. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:188-:d:662114.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2021Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. (2021). Jareño, Francisco ; Escribano, Ana ; Jareo, Francisco ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001616.

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2021Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. (2021). Umar, Zaghum ; Gabauer, David ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002300.

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2021Capital growth and survival strategies in a market with endogenous prices. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2101.09777.

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2021Asymptotically optimal strategies in a diffusion approximation of a repeated betting game. (2021). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2108.11998.

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2021Revisiting the link between financial development and industrialization: evidence from low and middle income countries. (2021). Bhupatiraju, Samyukta ; Sirohi, Rahul A ; Kothakapa, Gouthami. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00376-y.

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Recent citations
Recent citations received in 2021

YearCiting document
2021Does boardroom gender diversity decrease credit risk in the financial sector? Worldwide evidence. (2021). Sohel, Nurul ; Scagnelli, Simone D ; Zaman, Rashid ; Choudhury, Tonmoy ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000664.

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2021Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Çevik, Emrah ; Cevik, Emrah Ismail ; Kenc, Turalay. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6.

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Recent citations received in 2020

YearCiting document
2020Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889.

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2020Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2007.04909.

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2020A continuous-time asset market game with short-lived assets. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2008.13230.

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2020A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s0096300320304318.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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2020Randomization under ambiguity: Efficiency and incentive compatibility. (2020). Yannelis, Nicholas C ; Song, Xinxi ; Liu, Zhiwei. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:90:y:2020:i:c:p:1-11.

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2020.

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2020On the equivalence of rational expectations equilibrium with perfect Bayesian equilibrium. (2020). Yang, Xintong ; QIN, Cheng-Zhong . In: Economic Theory. RePEc:spr:joecth:v:69:y:2020:i:4:d:10.1007_s00199-019-01192-w.

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Recent citations received in 2019

YearCiting document
2019Optimal Trading of a Basket of Futures Contracts. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1910.04943.

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2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework. (2019). Leung, Tim ; Zhou, Yang. In: Papers. RePEc:arx:papers:1910.06432.

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2019A Self-Exciting Modelling Framework for Forward Prices in Power Markets. (2019). Sgarra, Carlo ; Mazzoran, Andrea ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1910.13286.

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2019A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695.

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Recent citations received in 2018

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

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

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

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

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2018Leverage over the Life Cycle and Implications for Firm Growth and Shock Responsiveness. (2018). Kalemli-Ozcan, Sebnem ; Hyatt, Henry ; Dinlersoz, Emin ; Penciakova, Veronika. In: NBER Working Papers. RePEc:nbr:nberwo:25226.

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

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