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Citation Profile [Updated: 2022-11-01 10:22:50]
5 Years H Index
24
Impact Factor (IF)
0.35
5 Years IF
0.53
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
1998 0 0.3 0 0 3 3 10 0 0 0 0 0 0.18
1999 0.33 0.38 0.33 0.33 27 30 218 9 10 3 1 3 1 5 55.6 8 0.3 0.25
2000 0.43 0.52 0.45 0.43 17 47 151 16 31 30 13 30 13 9 56.3 3 0.18 0.24
2001 0.57 0.48 0.6 0.55 25 72 390 42 74 44 25 47 26 21 50 13 0.52 0.27
2002 0.4 0.52 0.41 0.36 14 86 91 35 109 42 17 72 26 13 37.1 1 0.07 0.29
2003 0.74 0.51 0.61 0.5 27 113 152 68 178 39 29 86 43 29 42.6 7 0.26 0.29
2004 0.68 0.57 0.99 0.5 31 144 233 142 320 41 28 110 55 61 43 22 0.71 0.35
2005 0.43 0.58 0.75 0.49 27 171 415 127 449 58 25 114 56 51 40.2 11 0.41 0.36
2006 0.5 0.58 0.65 0.47 15 186 143 121 570 58 29 124 58 21 17.4 3 0.2 0.34
2007 0.64 0.5 0.53 0.44 26 212 112 112 682 42 27 114 50 25 22.3 3 0.12 0.29
2008 0.54 0.58 0.63 0.55 27 239 246 148 832 41 22 126 69 43 29.1 5 0.19 0.3
2009 0.45 0.56 0.67 0.57 24 263 123 175 1008 53 24 126 72 42 24 5 0.21 0.32
2010 0.55 0.5 0.6 0.5 21 284 208 170 1178 51 28 119 60 36 21.2 7 0.33 0.29
2011 0.4 0.6 0.58 0.51 12 296 63 170 1349 45 18 113 58 27 15.9 0 0.35
2012 0.94 0.65 0.59 0.55 24 320 74 189 1539 33 31 110 61 40 21.2 7 0.29 0.34
2013 0.44 0.64 0.72 0.66 18 338 54 244 1783 36 16 108 71 24 9.8 1 0.06 0.34
2014 0.57 0.65 0.57 0.45 11 349 86 197 1981 42 24 99 45 17 8.6 6 0.55 0.34
2015 0.59 0.63 0.45 0.57 15 364 55 162 2143 29 17 86 49 16 9.9 3 0.2 0.34
2016 0.65 0.63 0.47 0.49 13 377 42 178 2321 26 17 80 39 15 8.4 4 0.31 0.34
2017 0.89 0.62 0.52 0.52 7 384 17 201 2522 28 25 81 42 9 4.5 2 0.29 0.34
2018 0.75 0.61 0.49 0.58 10 394 57 192 2714 20 15 64 37 14 7.3 11 1.1 0.35
2019 1.18 0.63 0.34 0.55 9 403 5 139 2853 17 20 56 31 5 3.6 1 0.11 0.37
2020 0.63 0.71 0.25 0.44 14 417 9 104 2957 19 12 54 24 5 4.8 2 0.14 0.72
2021 0.35 1.01 0.24 0.53 4 421 3 102 3059 23 8 53 28 1 1 1 0.25 0.43
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
12005Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165.

Full description at Econpapers || Download paper

231
22001Asset 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

167
32008Heterogeneity, 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

143
42004A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138.

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106
52001Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72.

Full description at Econpapers || Download paper

85
62006Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175.

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77
72001A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48.

Full description at Econpapers || Download paper

63
82005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168.

Full description at Econpapers || Download paper

63
92010Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267.

Full description at Econpapers || Download paper

62
102014Heterogeneous 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.

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61
112018Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389.

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50
121999Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10.

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49
132000Heterogeneous 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.

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43
142010M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280.

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43
152007Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194.

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41
162008The 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.

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37
171999A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28.

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31
182009Market 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.

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30
192011Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290.

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29
202002An 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.

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29
212005Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162.

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28
221999An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6.

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27
232001Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63.

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24
242003Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103.

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24
252001Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:49.

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23
262000Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46.

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23
272010Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281.

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22
282013The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336.

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22
292015Testing 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.

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21
302002Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78.

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20
312005The 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.

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20
322008Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214.

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19
332009A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:254.

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19
342010Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268.

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19
352010The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266.

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19
361999Numerical 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.

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18
371999Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13.

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18
382010The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279.

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17
392012Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca. In: Research Paper Series. RePEc:uts:rpaper:319.

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17
402006Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180.

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16
412003Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul . In: Research Paper Series. RePEc:uts:rpaper:98.

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16
422000Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44.

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15
432004A Survey of the Integral Representation of American Option Prices. (2004). Chiarella, Carl ; Kucera, Adam ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:118.

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15
442016Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373.

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15
452003A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113.

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14
462006Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation. (2006). Satchel, Stephen ; Xia, Wei. In: Research Paper Series. RePEc:uts:rpaper:181.

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13
472009The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245.

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13
482001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55.

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13
491999Forward 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.

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13
50Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework. (2005). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:166.

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12
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12018Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389.

Full description at Econpapers || Download paper

27
22005Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165.

Full description at Econpapers || Download paper

23
32014Heterogeneous 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

14
42013The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336.

Full description at Econpapers || Download paper

11
52001Asset 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

10
62010M6 - 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
72008Heterogeneity, 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

9
82008The 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

6
91999An 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
101999Valuing 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

6
112005Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). Teräsvirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168.

Full description at Econpapers || Download paper

5
122016Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373.

Full description at Econpapers || Download paper

5
132011Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295.

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4
142006Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175.

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4
152020No-Arbitrage Concepts in Topological Vector Lattices. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:410.

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4
162015Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361.

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4
172021Short Rate Dynamics: A Fed Funds and SOFR Perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Research Paper Series. RePEc:uts:rpaper:420.

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4
182017Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Jorg ; Rudd, Ralph. In: Research Paper Series. RePEc:uts:rpaper:382.

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4
192016Pricing 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.

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4
202012Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316.

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4
212015Algorithms for Optimal Control of Stochastic Switching Systems. (2015). Hinz, Juri ; Yap, Nicholas . In: Research Paper Series. RePEc:uts:rpaper:352.

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4
222000Strong 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

4
232003Tracking 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
242004A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138.

Full description at Econpapers || Download paper

3
252010Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267.

Full description at Econpapers || Download paper

3
262010The 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

3
272005Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:162.

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2
282012Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs. (2012). Zheng, Min ; Shi, Lei. In: Research Paper Series. RePEc:uts:rpaper:302.

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2
292012Carry 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.

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2
302009The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245.

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2
312019Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach. (2019). Macrina, Andrea ; Backwell, Alex ; Skovmand, David ; Schlogl, Erik. In: Research Paper Series. RePEc:uts:rpaper:400.

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2
322001A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48.

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2
332019Score Test for Marks in Hawkes Processes. (2019). , William ; Richards, Kylie-Anne ; Peters, Gareth W. In: Research Paper Series. RePEc:uts:rpaper:405.

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2
341999Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). Teräsvirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29.

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2
352009Market 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.

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2
362020Kernel Density Estimation with Linked Boundary Conditions. (2020). Macnamara, Shev ; Kuritz, Karsten ; Botev, Zdravko I ; Colbrook, Matthew J. In: Research Paper Series. RePEc:uts:rpaper:414.

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2
372020Wind 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.

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2
382010Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268.

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2
392002Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78.

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2
402018Quantifying 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.

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2
412015Testing 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.

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2
Citing documents used to compute impact factor: 8
YearTitle
2021Boundary estimation with the fuzzy set density estimator. (2021). Harmath, Pedro ; Fajardo, Jesus. In: METRON. RePEc:spr:metron:v:79:y:2021:i:3:d:10.1007_s40300-021-00210-z.

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2021Spatiotemporal Variations and Risk Analysis of Chinese Typhoon Disasters. (2021). Yang, Aqiang ; Wang, Ning ; Du, Enyu ; Jia, Huicong ; Chen, Fang. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:2278-:d:502411.

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2021Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141.

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2021Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy. (2021). Garcia, Fausto Pedro ; Acarolu, Hakan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7473-:d:675237.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2021Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. (2021). Wen, Fenghua ; Yan, Lizhao ; Zhang, Ziting ; Liu, Jian. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00292-8.

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2021Asymptotic distribution of the score test for detecting marks in hawkes processes. (2021). Richards, Kylie-Anne ; Peters, Gareth W ; Clinet, Simon. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:24:y:2021:i:3:d:10.1007_s11203-021-09245-5.

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2021Infection rate models for COVID-19: Model risk and public health news sentiment exposure adjustments. (2021). Shevchenko, Pavel V ; Peters, Gareth W ; Yan, Hongxuan ; Chalkiadakis, Ioannis. In: PLOS ONE. RePEc:plo:pone00:0253381.

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Recent citations received in 2021

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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Recent citations received in 2020

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2020On 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.

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2020The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios. (2020). Platen, Eckhard ; Tappe, Stefan. In: Research Paper Series. RePEc:uts:rpaper:411.

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Recent citations received in 2019

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2019A 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.

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Recent citations received in 2018

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2018Co-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.

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2018Behavioral & experimental macroeconomics and policy analysis: a complex systems approach. (2018). Hommes, Cars. In: Working Paper Series. RePEc:ecb:ecbwps:20182201.

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2018Interactions 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.

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2018Long 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.

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2018An 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.

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2018Long memory in financial markets: A heterogeneous agent model perspective. (2018). Li, Youwei ; Liu, Ruipeng ; Zheng, Min. In: MPRA Paper. RePEc:pra:mprapa:84886.

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2018Crowding out effect and traders overreliance on public information in financial markets: a lesson from the lab. (2018). Morone, Andrea ; Alfarano, Simone ; Camacho-Cuena, Eva ; Ruiz-Buforn, Alba. In: MPRA Paper. RePEc:pra:mprapa:88866.

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2018A heterogeneous agent model of asset price dynamics with two time delays. (2018). Szidarovszky, Ferenc ; Matsumoto, Akio ; Guerrini, Luca. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0223-2.

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2018Some reflections on past and future of nonlinear dynamics in economics and finance. (2018). Tramontana, Fabio ; Radi, Davide ; Anufriev, Mikhail. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0229-9.

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2018Time-varying economic dominance in financial markets: A bistable dynamics approach. (2018). He, Xuezhong ; Wang, Chuncheng ; Li, Kai. In: Published Paper Series. RePEc:uts:ppaper:2018-1.

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2018Quantifying 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.

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