Journal of Empirical Finance

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Latest citations and documents published in this series in EconPapers.

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.29 0.17 18 227 24 7 0 5 0.28 0.08 1997 0.13 0.2 13 199 32 4 0 2 0.15 0.08 1998 0.55 0.23 17 98 31 17 0 1 0.06 0.1 1999 0.53 0.32 23 116 30 16 0 3 0.13 0.16 2000 0.3 0.43 19 84 40 12 0 1 0.05 0.19 2001 0.67 0.39 25 103 42 28 0 15 0.6 0.17 2002 0.25 0.42 26 79 44 11 0 2 0.08 0.2 2003 0.65 0.47 26 124 51 33 0 13 0.5 0.22
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series in 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:
Immediacy Index:
Documents published:
Citations received:

Most cited documents in this series:

(1) RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106 A long memory property of stock market returns and a new model (1993). Journal of Empirical Finance
Cited: 156 times.

(2) RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192 The forward discount anomaly and the risk premium: A survey of recent evidence (1996). Journal of Empirical Finance
Cited: 123 times.

(3) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158 Intraday periodicity and volatility persistence in financial markets (1997). Journal of Empirical Finance
Cited: 87 times.

(4) RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102 The econometrics of financial markets (1996). Journal of Empirical Finance
Cited: 67 times.

(5) RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416 Volatility and cross correlation across major stock markets (1998). Journal of Empirical Finance
Cited: 43 times.

(6) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114 High frequency data in financial markets: Issues and applications (1997). Journal of Empirical Finance
Cited: 40 times.

(7) RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340 The incremental volatility information in one million foreign exchange quotations (1997). Journal of Empirical Finance
Cited: 31 times.

(8) RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56 Emerging markets finance (2003). Journal of Empirical Finance
Cited: 24 times.

(9) RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341 Alternative constructions of Tobins q: An empirical comparison (1994). Journal of Empirical Finance
Cited: 24 times.

(10) RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510 Market timing and return prediction under model instability (2002). Journal of Empirical Finance
Cited: 23 times.

(11) RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon (1999). Journal of Empirical Finance
Cited: 23 times.

(12) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239 Volatilities of different time resolutions -- Analyzing the dynamics of market components (1997). Journal of Empirical Finance
Cited: 21 times.

(13) RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103 A simple measure of the intensity of capital controls (2003). Journal of Empirical Finance
Cited: 18 times.

(14) RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? (2002). Journal of Empirical Finance
Cited: 17 times.

(15) RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637 The specification of conditional expectations (2001). Journal of Empirical Finance
Cited: 17 times.

(16) RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000). Journal of Empirical Finance
Cited: 17 times.

(17) RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245 Sensitivity analysis of Values at Risk (2000). Journal of Empirical Finance
Cited: 17 times.

(18) RePEc:eee:empfin:v:1:y:1994:i:2:p:133-160 A contingent claim approach to performance evaluation (1994). Journal of Empirical Finance
Cited: 17 times.

(19) RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248 Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994). Journal of Empirical Finance
Cited: 16 times.

(20) RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491 Why long horizons? A study of power against persistent alternatives (2001). Journal of Empirical Finance
Cited: 16 times.

(21) RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315 Public information releases, private information arrival and volatility in the foreign exchange market (1997). Journal of Empirical Finance
Cited: 16 times.

(22) RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model (1997). Journal of Empirical Finance
Cited: 15 times.

(23) RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31 Common stock offerings across the business cycle : Theory and evidence (1993). Journal of Empirical Finance
Cited: 14 times.

(24) RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531 Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003). Journal of Empirical Finance
Cited: 14 times.

(25) RePEc:eee:empfin:v:6:y:1999:i:2:p:193-215 Real exchange rates and nontradables: A relative price approach (1999). Journal of Empirical Finance
Cited: 14 times.

(26) RePEc:eee:empfin:v:4:y:1997:i:1:p:17-46 An artificial neural network-GARCH model for international stock return volatility (1997). Journal of Empirical Finance
Cited: 13 times.

(27) RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131 International asset pricing with alternative distributional specifications (1993). Journal of Empirical Finance
Cited: 13 times.

(28) RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296 International evidence on the stock market and aggregate economic activity (1998). Journal of Empirical Finance
Cited: 13 times.

(29) RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353 Multivariate unit root tests of the PPP hypothesis (1999). Journal of Empirical Finance
Cited: 13 times.

(30) RePEc:eee:empfin:v:8:y:2001:i:1:p:83-110 Recovering the probability density function of asset prices using garch as diffusion approximations (2001). Journal of Empirical Finance
Cited: 13 times.

(31) RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342 Testing and comparing Value-at-Risk measures (2001). Journal of Empirical Finance
Cited: 12 times.

(32) RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331 A primer on hedge funds (1999). Journal of Empirical Finance
Cited: 12 times.

(33) RePEc:eee:empfin:v:7:y:2000:i:5:p:531-554 Value-at-Risk: a multivariate switching regime approach (2000). Journal of Empirical Finance
Cited: 12 times.

(34) RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data (1995). Journal of Empirical Finance
Cited: 12 times.

(35) RePEc:eee:empfin:v:2:y:1995:i:1:p:71-93 Small sample rank tests with applications to asset pricing (1995). Journal of Empirical Finance
Cited: 11 times.

(36) RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398 Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004). Journal of Empirical Finance
Cited: 11 times.

(37) RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197 The structure of international stock returns and the integration of capital markets (1995). Journal of Empirical Finance
Cited: 11 times.

(38) RePEc:eee:empfin:v:1:y:1994:i:3-4:p:279-311 Neglected common factors in exchange rate volatility (1994). Journal of Empirical Finance
Cited: 11 times.

(39) RePEc:eee:empfin:v:3:y:1996:i:2:p:215-238 Unit roots and the estimation of interest rate dynamics (1996). Journal of Empirical Finance
Cited: 10 times.

(40) RePEc:eee:empfin:v:6:y:1999:i:4:p:355-384 Mean reversion in Southeast Asian stock markets (1999). Journal of Empirical Finance
Cited: 10 times.

(41) RePEc:eee:empfin:v:10:y:2003:i:5:p:641-660 Central bank interventions and jumps in double long memory models of daily exchange rates (2003). Journal of Empirical Finance
Cited: 10 times.

(42) RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111 Coincident and leading indicators of the stock market (2000). Journal of Empirical Finance
Cited: 10 times.

(43) RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155 Testing for mean-variance spanning: a survey (2001). Journal of Empirical Finance
Cited: 10 times.

(44) RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55 The performance of international asset allocation strategies using conditioning information (1993). Journal of Empirical Finance
Cited: 10 times.

(45) RePEc:eee:empfin:v:8:y:2001:i:5:p:537-572 The independence axiom and asset returns (2001). Journal of Empirical Finance
Cited: 10 times.

(46) RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372 The analysis of foreign exchange data using waveform dictionaries (1997). Journal of Empirical Finance
Cited: 10 times.

(47) RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421 Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004). Journal of Empirical Finance
Cited: 9 times.

(48) RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489 Testing for contagion: a conditional correlation analysis (2005). Journal of Empirical Finance
Cited: 9 times.

(49) RePEc:eee:empfin:v:6:y:1999:i:2:p:177-192 Target zones and conditional volatility: The role of realignments (1999). Journal of Empirical Finance
Cited: 9 times.

(50) RePEc:eee:empfin:v:7:y:2000:i:5:p:509-530 Bivariate FIGARCH and fractional cointegration (2000). Journal of Empirical Finance
Cited: 9 times.

Latest citations received in: | 2003 | 2002 | 2001 | 2000

Latest citations received in: 2003

(1) RePEc:cfs:cfswop:wp200335 Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility (2003). Center for Financial Studies / CFS Working Paper Series

(2) RePEc:dgr:umamet:2003057 Central Bank Forex Interventions Assessed Using Realized Moments (2003). Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization / Research Memoranda

(3) RePEc:fip:fedcwp:0315 Government intervention in the foreign exchange market (2003). Federal Reserve Bank of Cleveland / Working Paper

(4) RePEc:fip:fedgif:755 Diversification, original sin, and international bond portfolios (2003). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(5) RePEc:fip:fedgif:770 Cross-board listings, capital controls, and equity flows to emerging markets (2003). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(6) RePEc:fip:fedgif:771 U.S. investors emerging market equity portfolios: a security-level analysis (2003). Board of Governors of the Federal Reserve System (U.S.) / International Finance Discussion Papers

(7) RePEc:hhs:umnees:0614 Temporal Aggregation of the Returns of a Stock Index Series (2003). Umeå University, Department of Economics / Umeå Economic Studies

(8) RePEc:imf:imfwpa:03/236 Cross-Border Listings, Capital Controls, and U.S. Equity Flows to Emerging Markets (2003). International Monetary Fund / IMF Working Papers

(9) RePEc:imf:imfwpa:03/238 U.S. Investors Emerging Market Equity Portfolios: A Security-Level Analysis (2003). International Monetary Fund / IMF Working Papers

(10) RePEc:imf:imfwpa:03/86 International Financial Integration (2003). International Monetary Fund / IMF Working Papers

(11) RePEc:ind:icrier:109 The Dynamics of foreign portfolio inflows and equity returns in India (2003). Indian Council for Research on International Economic Relations, New Delhi, India / Indian Council for Research on International Economic Relations,

(12) RePEc:ivi:wpasad:2003-34 FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE (2003). Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) / Working Papers. Serie AD

(13) RePEc:wpa:wuwpfi:0305007 CONDITIONAL VOLATILITY OF MOST ACTIVE SHARES OF CASABLANCA STOCK EXCHANGE (2003). EconWPA / Finance

Latest citations received in: 2002

(1) RePEc:cte:wsrepe:ws025414 ESTIMATION METHODS FOR STOCHASTIC VOLATILITY MODELS: A SURVEY (2002). Universidad Carlos III, Departamento de Estadística y Econometría / Statistics and Econometrics Working Papers

(2) RePEc:fip:fedkrw:rwp02-05 Forecast-based model selection in the presence of structural breaks (2002). Federal Reserve Bank of Kansas City / Research Working Paper

Latest citations received in: 2001

(1) RePEc:bdi:wptemi:td_399_01 Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(2) RePEc:bdi:wptemi:td_400_01 Is the Italian Labour market segmented? (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(3) RePEc:bdi:wptemi:td_404_01 The Effects of Bank Consolidation and Market Entry on Small Business Lending (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(4) RePEc:bdi:wptemi:td_405_01 Money demand in the euro area: do national differences matter? (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(5) RePEc:bdi:wptemi:td_406_01 The Evolution of Confidence for European Consumers and Businesses in France, Germany and Italy (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(6) RePEc:bdi:wptemi:td_411_01 Why is the Business-Cycle Behavior of Fundamentals Alike Across Exchange-Rate Regimes? (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(7) RePEc:bdi:wptemi:td_412_01 Political Institutions and Policy Outcomes: What are the Stylized Facts? (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(8) RePEc:bdi:wptemi:td_414_01 Insurance within the Firm (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(9) RePEc:bdi:wptemi:td_415_01 Limited Financial Market Participation: A Transaction Cost-Based Explanation (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(10) RePEc:bdi:wptemi:td_418_01 Ingredients for the New Economy: How Much does finance matter? (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(11) RePEc:bdi:wptemi:td_419_01 ICT accumulation and productivity growth in the United States: an analysis based on industry data (2001). Bank of Italy, Economic Research Department / Temi di discussione (Economic working papers)

(12) RePEc:fip:fedawp:2001-24 Minimum-variance kernels, economic risk premia, and tests of multi-beta models (2001). Federal Reserve Bank of Atlanta / Working Paper

(13) RePEc:fip:fedfap:2002-06 Macro factors and the affine term structure of interest rates (2001). Federal Reserve Bank of San Francisco / Working Papers in Applied Economic Theory

(14) RePEc:nbr:nberwo:8678 Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective (2001). National Bureau of Economic Research, Inc / NBER Working Papers

(15) RePEc:nzt:nztwps:01/32 Saving and growth in an open economy (2001). New Zealand Treasury / Treasury Working Paper Series

Latest citations received in: 2000

(1) RePEc:bcb:wpaper:7 Leading Indicators of Inflation for Brazil (2000). Central Bank of Brazil, Research Department / Working Papers Series

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Source data used to compute the impact factor of RePEc series.