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

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

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.08 1997 0.19 0 0 0 0.09 1998 0.2 3 0 0 0 0.12 1999 0.29 27 31 3 0 1 0.04 0.19 2000 0.4 0.41 17 49 30 12 41.7 1 0.06 0.21 2001 0.39 0.37 25 91 44 17 35.3 5 0.2 0.19 2002 0.21 0.42 14 29 42 9 55.6 1 0.07 0.2 2003 0.44 0.43 27 38 39 17 64.7 4 0.15 0.21 2004 0.63 0.49 31 40 41 26 61.5 13 0.42 0.26 2005 0.29 0.48 27 23 58 17 76.5 4 0.15 0.29 2006 0.31 0.54 15 9 58 18 50 0.28
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:uts:rpaper:72 Arbitrage in Continuous Complete Markets (2001).
Cited: 25 times.

(2) RePEc:uts:rpaper:35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker (2000).
Cited: 23 times.

(3) RePEc:uts:rpaper:56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations (2001).
Cited: 23 times.

(4) RePEc:uts:rpaper:48 A Minimal Financial Market Model (2001).
Cited: 20 times.

(5) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003).
Cited: 14 times.

(6) RePEc:uts:rpaper:49 Speculative Behaviour and Complex Asset Price Dynamics (2001).
Cited: 14 times.

(7) RePEc:uts:rpaper:55 Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case (2001).
Cited: 12 times.

(8) RePEc:uts:rpaper:78 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model (2002).
Cited: 10 times.

(9) RePEc:uts:rpaper:129 Diversified Portfolios with Jumps in a Benchmark Framework (2004).
Cited: 9 times.

(10) RePEc:uts:rpaper:84 An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies (2002).
Cited: 9 times.

(11) RePEc:uts:rpaper:138 A Benchmark Approach to Finance (2004).
Cited: 8 times.

(12) RePEc:uts:rpaper:46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices (2000).
Cited: 7 times.

(13) RePEc:uts:rpaper:125 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices (2004).
Cited: 7 times.

(14) RePEc:uts:rpaper:168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005).
Cited: 7 times.

(15) RePEc:uts:rpaper:5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model (1999).
Cited: 7 times.

(16) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003).
Cited: 7 times.

(17) RePEc:uts:rpaper:91 A Structure for General and Specific Market Risk (2003).
Cited: 6 times.

(18) RePEc:uts:rpaper:101 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling (2003).
Cited: 6 times.

(19) RePEc:uts:rpaper:6 An Introduction to Numerical Methods for Stochastic Differential Equations (1999).
Cited: 6 times.

(20) RePEc:uts:rpaper:81 Benchmark Model with Intensity Based Jumps (2002).
Cited: 5 times.

(21) RePEc:uts:rpaper:63 Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market (2001).
Cited: 5 times.

(22) RePEc:uts:rpaper:74 A Discrete Time Benchmark Approach for Finance and Insurance (2002).
Cited: 5 times.

(23) RePEc:uts:rpaper:153 On the Distributional Characterization of Log-returns of a World Stock Index (2005).
Cited: 5 times.

(24) RePEc:uts:rpaper:45 Risk Premia and Financial Modelling Without Measure Transformation (2000).
Cited: 4 times.

(25) RePEc:uts:rpaper:97 An Alternative Interest Rate Term Structure Model (2003).
Cited: 4 times.

(26) RePEc:uts:rpaper:130 Two-Factor Model for Low Interest Rate Regimes (2004).
Cited: 4 times.

(27) RePEc:uts:rpaper:114 On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance (2004).
Cited: 4 times.

(28) RePEc:uts:rpaper:53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case (2001).
Cited: 4 times.

(29) RePEc:uts:rpaper:118 A Survey of the Integral Representation of American Option Prices (2004).
Cited: 4 times.

(30) RePEc:uts:rpaper:157 On the Strong Approximation of Jump-Diffusion Processes (2005).
Cited: 4 times.

(31) RePEc:uts:rpaper:175 Volatility Forecast Comparison using Imperfect Volatility Proxies (2006).
Cited: 4 times.

(32) RePEc:uts:rpaper:128 Understanding the Implied Volatility Surface for Options on a Diversified Index (2004).
Cited: 4 times.

(33) RePEc:uts:rpaper:54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2001).
Cited: 3 times.

(34) RePEc:uts:rpaper:68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm (2001).
Cited: 3 times.

(35) RePEc:uts:rpaper:108 Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers (2003).
Cited: 3 times.

(36) RePEc:uts:rpaper:31 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return (2000).
Cited: 3 times.

(37) RePEc:uts:rpaper:144 On the Role of the Growth Optimal Portfolio in Finance (2005).
Cited: 3 times.

(38) RePEc:uts:rpaper:75 A Variance Reduction Technique Based on Integral Representations (2002).
Cited: 3 times.

(39) RePEc:uts:rpaper:180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006).
Cited: 3 times.

(40) RePEc:uts:rpaper:44 Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay (2000).
Cited: 3 times.

(41) RePEc:uts:rpaper:32 Bayesian Target Zones (2000).
Cited: 3 times.

(42) RePEc:uts:rpaper:65 On Filtering in Markovian Term Structure Models (An Approximation Approach) (2001).
Cited: 3 times.

(43) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003).
Cited: 3 times.

(44) RePEc:uts:rpaper:143 Capital Asset Pricing for Markets with Intensity Based Jumps (2004).
Cited: 3 times.

(45) RePEc:uts:rpaper:184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006).
Cited: 3 times.

(46) RePEc:uts:rpaper:13 Classes of Interest Rate Models Under the HJM Framework (1999).
Cited: 3 times.

(47) RePEc:uts:rpaper:139 A General Benchmark Model for Stochastic Jump Sizes (2004).
Cited: 3 times.

(48) RePEc:uts:rpaper:124 Local Volatility Function Models under a Benchmark Approach (2004).
Cited: 2 times.

(49) RePEc:uts:rpaper:43 A Complete Stochastic Volatility Model in the HJM Framework (2000).
Cited: 2 times.

(50) RePEc:uts:rpaper:16 Applications of the Balanced Method to Stochastic Differential Equations in Filtering (1999).
Cited: 2 times.

Recent citations received in: | 2006 | 2005 | 2004 | 2003

Recent citations received in: 2006

Recent citations received in: 2005

(1) RePEc:kap:apfinm:v:12:y:2005:i:2:p:109-141 Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview (2005). Asia-Pacific Financial Markets

(2) RePEc:uts:rpaper:154 Currency Derivatives under a Minimal Market Model with Random Scaling (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:uts:rpaper:163 Investments for the Short and Long Run (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(4) RePEc:uts:rpaper:164 On the Strong Approximation of Pure Jump Processes (2005). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Recent citations received in: 2004

(1) RePEc:kap:apfinm:v:11:y:2004:i:1:p:1-22 Diversified Portfolios with Jumps in a Benchmark Framework (2004). Asia-Pacific Financial Markets

(2) RePEc:kap:apfinm:v:11:y:2004:i:1:p:107-133 A Two-Factor Model for Low Interest Rate Regimes (2004). Asia-Pacific Financial Markets

(3) RePEc:kap:apfinm:v:11:y:2004:i:1:p:55-77 Understanding the Implied Volatility Surface for Options on a Diversified Index (2004). Asia-Pacific Financial Markets

(4) RePEc:kap:apfinm:v:11:y:2004:i:1:p:79-105 A Benchmark Approach to Filtering in Finance (2004). Asia-Pacific Financial Markets

(5) RePEc:sce:scecf4:345 Valuation of American Continuous-Installment Options (2004). Society for Computational Economics / Computing in Economics and Finance 2004

(6) RePEc:uts:rpaper:128 Understanding the Implied Volatility Surface for Options on a Diversified Index (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(7) RePEc:uts:rpaper:129 Diversified Portfolios with Jumps in a Benchmark Framework (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(8) RePEc:uts:rpaper:130 Two-Factor Model for Low Interest Rate Regimes (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(9) RePEc:uts:rpaper:138 A Benchmark Approach to Finance (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(10) RePEc:uts:rpaper:140 An Intraday Empirical Analysis of Electricity Price Behaviour (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(11) RePEc:uts:rpaper:142 Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(12) RePEc:uts:rpaper:143 Capital Asset Pricing for Markets with Intensity Based Jumps (2004). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(13) RePEc:wpa:wuwpri:0406001 VaR and ES for Linear Portfolios with mixture of Generalized Laplace Distributed Risk Factors (2004). EconWPA / Risk and Insurance

Recent citations received in: 2003

(1) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(2) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:uts:rpaper:110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(4) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

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