Quantitative Finance

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

Create citation feed for this series

Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.21 0 0 0 0.08 1998 0.25 0 0 0 0.1 1999 0.32 0 0 0 0.15 2000 0.43 0 0 0 0.19 2001 0.41 0 0 0 0.17 2002 0.44 14 30 0 0 0.2 2003 0.29 0.47 0 14 4 0 0.22 2004 0.79 0.52 1 2 14 11 0 0.23 2005 0.56 14 16 1 0 2 0.14 0.25 2006 0.13 0.57 30 19 15 2 0 4 0.13 0.24 2007 0.07 0.48 63 14 44 3 0 5 0.08 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:taf:quantf:v:2:y:2002:i:6:p:459-467 Consistent pricing and hedging for a modified constant elasticity of variance model (2002).
Cited: 10 times.

(2) RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453 Probability distribution of returns in the Heston model with stochastic volatility* (2002).
Cited: 6 times.

(3) RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568 Multiple equilibria in a monopoly market with heterogeneous agents and externalities (2005).
Cited: 6 times.

(4) RePEc:taf:quantf:v:2:y:2002:i:6:p:432-442 Pricing of perpetual Bermudan options (2002).
Cited: 6 times.

(5) RePEc:taf:quantf:v:2:y:2002:i:6:p:468-481 The US 2000-2002 market descent: how much longer and deeper? (2002).
Cited: 5 times.

(6) RePEc:taf:quantf:v:2:y:2002:i:6:p:415-431 A theory of non-Gaussian option pricing (2002).
Cited: 5 times.

(7) RePEc:taf:quantf:v:5:y:2005:i:5:p:489-501 Empirical estimation of tail dependence using copulas: application to Asian markets (2005).
Cited: 5 times.

(8) RePEc:taf:quantf:v:8:y:2008:i:5:p:513-532 Financial markets in the laboratory: an experimental analysis of some stylized facts (2008).
Cited: 4 times.

(9) RePEc:taf:quantf:v:6:y:2006:i:4:p:359-363 The robustness of modified unit root tests in the presence of GARCH (2006).
Cited: 4 times.

(10) RePEc:taf:quantf:v:8:y:2008:i:4:p:427-434 New and robust drift approximations for the LIBOR market model (2008).
Cited: 4 times.

(11) RePEc:taf:quantf:v:8:y:2008:i:7:p:723-738 Detecting log-periodicity in a regime-switching model of stock returns (2008).
Cited: 3 times.

(12) RePEc:taf:quantf:v:6:y:2006:i:3:p:207-218 Expensive martingales (2006).
Cited: 3 times.

(13) RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36 Multi-scaling in finance (2007).
Cited: 3 times.

(14) RePEc:taf:quantf:v:7:y:2007:i:4:p:359-364 Coherent measures of risk in everyday market practice (2007).
Cited: 2 times.

(15) RePEc:taf:quantf:v:6:y:2006:i:4:p:327-335 Barrier options and their static hedges: simple derivations and extensions (2006).
Cited: 2 times.

(16) RePEc:taf:quantf:v:6:y:2006:i:3:p:219-227 Symmetry and duality in Lévy markets (2006).
Cited: 2 times.

(17) RePEc:taf:quantf:v:4:y:2004:i:4:p:c37-c45 Adaptive systems for foreign exchange trading (2004).
Cited: 2 times.

(18) RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536 Fast strong approximation Monte Carlo schemes for stochastic volatility models (2006).
Cited: 2 times.

(19) RePEc:taf:quantf:v:6:y:2006:i:3:p:229-242 An exact and explicit solution for the valuation of American put options (2006).
Cited: 2 times.

(20) RePEc:taf:quantf:v:5:y:2005:i:6:p:525-530 Moment swaps (2005).
Cited: 2 times.

(21) RePEc:taf:quantf:v:7:y:2007:i:6:p:687-696 Testing asymmetry in financial time series (2007).
Cited: 2 times.

(22) RePEc:taf:quantf:v:6:y:2006:i:6:p:449-449 The modified Weibull distribution for asset returns (2006).
Cited: 1 times.

(23) RePEc:taf:quantf:v:8:y:2008:i:3:p:321-334 US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk (2008).
Cited: 1 times.

(24) RePEc:taf:quantf:v:5:y:2005:i:6:p:569-576 Price return autocorrelation and predictability in agent-based models of financial markets (2005).
Cited: 1 times.

(25) RePEc:taf:quantf:v:9:y:2009:i:5:p:621-636 A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms (2009).
Cited: 1 times.

(26) RePEc:taf:quantf:v:8:y:2008:i:3:p:235-249 Price discovery in the presence of boundedly rational agents (2008).
Cited: 1 times.

(27) RePEc:taf:quantf:v:5:y:2005:i:6:p:531-542 Valuation of volatility derivatives as an inverse problem (2005).
Cited: 1 times.

(28) RePEc:taf:quantf:v:7:y:2007:i:2:p:231-244 Solving ALM problems via sequential stochastic programming (2007).
Cited: 1 times.

(29) RePEc:taf:quantf:v:8:y:2008:i:1:p:19-40 The next tick on Nasdaq (2008).
Cited: 1 times.

(30) RePEc:taf:quantf:v:5:y:2005:i:6:p:513-517 Statistical properties of demand fluctuation in the financial market (2005).
Cited: 1 times.

(31) RePEc:taf:quantf:v:7:y:2007:i:1:p:63-74 The geometry of crashes. A measure of the dynamics of stock market crises (2007).
Cited: 1 times.

(32) RePEc:taf:quantf:v:6:y:2006:i:3:p:197-206 Local volatility function models under a benchmark approach (2006).
Cited: 1 times.

(33) RePEc:taf:quantf:v:7:y:2007:i:6:p:621-636 Value-at-risk forecasts under scrutiny - the German experience (2007).
Cited: 1 times.

(34) RePEc:taf:quantf:v:8:y:2008:i:4:p:381-390 Conditional risk-return relationship in a time-varying beta model (2008).
Cited: 1 times.

(35) RePEc:taf:quantf:v:6:y:2006:i:2:p:115-123 Random walks, liquidity molasses and critical response in financial markets (2006).
Cited: 1 times.

(36) RePEc:taf:quantf:v:7:y:2007:i:5:p:507-524 Volatility surfaces: theory, rules of thumb, and empirical evidence (2007).
Cited: 1 times.

(37) RePEc:taf:quantf:v:8:y:2008:i:3:p:299-312 Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (2008).
Cited: 1 times.

(38) RePEc:taf:quantf:v:7:y:2007:i:3:p:269-284 A positive interest rate model with sticky barrier (2007).
Cited: 1 times.

(39) RePEc:taf:quantf:v:8:y:2008:i:8:p:765-776 Thou shalt buy and hold (2008).
Cited: 1 times.

(40) RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79 Heterogeneity, convergence, and autocorrelations (2008).
Cited: 1 times.

(41) RePEc:taf:quantf:v:7:y:2007:i:2:p:151-160 Volatility-induced financial growth (2007).
Cited: 1 times.

(42) RePEc:taf:quantf:v:8:y:2008:i:7:p:669-680 Modelling bonds and credit default swaps using a structural model with contagion (2008).
Cited: 1 times.

(43) RePEc:taf:quantf:v:6:y:2006:i:2:p:147-158 A new technique for calibrating stochastic volatility models: the Malliavin gradient method (2006).
Cited: 1 times.

(44) RePEc:taf:quantf:v:7:y:2007:i:5:p:575-583 A jump telegraph model for option pricing (2007).
Cited: 1 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:arx:papers:0705.0503 Change point estimation for the telegraph process observed at discrete times (2007). arXiv.org / Quantitative Finance Papers

(2) RePEc:hal:wpaper:hal-00413729_v1 Robustness and sensitivity analysis of risk measurement procedures (2007). HAL / Working Papers

(3) RePEc:ise:isegwp:wp52007 The Seismography of Crashes in Financial Markets (2007). Department of Economics, Institute for Economics and Business Administration (ISEG), Technical University of Lisbon / Working Papers

(4) RePEc:mis:wpaper:20071101 Modelling good and bad volatility (2007). Università degli Studi di Milano-Bicocca, Dipartimento di Statistica / Working Papers

(5) RePEc:mis:wpaper:20071102 A Geostatistical Approach to Define Guidelines for Radon Prone Area Identification (2007). Università degli Studi di Milano-Bicocca, Dipartimento di Statistica / Working Papers

Recent citations received in: 2006

(1) RePEc:dgr:uvatin:20060065 Why the Rotation Count Algorithm works (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers

(2) RePEc:kap:revdev:v:9:y:2006:i:3:p:239-264 Static versus dynamic hedges: an empirical comparison for barrier options (2006). Review of Derivatives Research

(3) RePEc:spr:finsto:v:10:y:2006:i:2:p:178-203 Consistent Variance Curve Models (2006). Finance and Stochastics

(4) RePEc:taf:quantf:v:6:y:2006:i:6:p:451-451 The modified weibull distribution for asset returns: reply (2006). Quantitative Finance

Recent citations received in: 2005

(1) RePEc:hal:journl:halshs-00179343_v1 How can we define the concept of long memory ? An econometric survey, (2005). HAL / Post-Print

(2) RePEc:taf:quantf:v:5:y:2005:i:6:p:519-521 Two phase behaviour and the distribution of volume (2005). Quantitative Finance

Recent citations received in: 2004

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.