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 0.09 1997 0.18 0 0 0 0.09 1998 0.21 3 0 0 0 0.13 1999 0.29 27 37 3 0 1 0.04 0.17 2000 0.43 0.39 17 57 30 13 46.2 2 0.12 0.2 2001 0.39 0.37 25 107 44 17 35.3 6 0.24 0.18 2002 0.21 0.42 14 34 42 9 55.6 1 0.07 0.2 2003 0.51 0.43 27 43 39 20 55 4 0.15 0.21 2004 0.71 0.49 31 51 41 29 55.2 13 0.42 0.24 2005 0.31 0.5 27 32 58 18 72.2 4 0.15 0.29 2006 0.33 0.53 15 21 58 19 47.4 0.28 2007 0.17 0.44 26 4 42 7 42.9 3 0.12 0.24
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: 37 times.

(2) RePEc:uts:rpaper:35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker (2000).
Cited: 26 times.

(3) RePEc:uts:rpaper:56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations (2001).
Cited: 24 times.

(4) RePEc:uts:rpaper:48 A Minimal Financial Market Model (2001).
Cited: 22 times.

(5) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003).
Cited: 20 times.

(6) RePEc:uts:rpaper:49 Speculative Behaviour and Complex Asset Price Dynamics (2001).
Cited: 18 times.

(7) RePEc:uts:rpaper:138 A Benchmark Approach to Finance (2004).
Cited: 14 times.

(8) RePEc:uts:rpaper:175 Volatility Forecast Comparison using Imperfect Volatility Proxies (2006).
Cited: 13 times.

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

(10) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003).
Cited: 11 times.

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

(12) RePEc:uts:rpaper:129 Diversified Portfolios with Jumps in a Benchmark Framework (2004).
Cited: 10 times.

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

(14) RePEc:uts:rpaper:46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices (2000).
Cited: 10 times.

(15) RePEc:uts:rpaper:81 Benchmark Model with Intensity Based Jumps (2002).
Cited: 9 times.

(16) RePEc:uts:rpaper:5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model (1999).
Cited: 8 times.

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

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

(19) RePEc:uts:rpaper:130 Two-Factor Model for Low Interest Rate Regimes (2004).
Cited: 6 times.

(20) RePEc:uts:rpaper:74 A Discrete Time Benchmark Approach for Finance and Insurance (2002).
Cited: 6 times.

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

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

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

(24) RePEc:uts:rpaper:165 Panel Smooth Transition Regression Models (2005).
Cited: 5 times.

(25) RePEc:uts:rpaper:53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case (2001).
Cited: 5 times.

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

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

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

(29) RePEc:uts:rpaper:184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006).
Cited: 4 times.

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

(31) RePEc:uts:rpaper:65 On Filtering in Markovian Term Structure Models (An Approximation Approach) (2001).
Cited: 4 times.

(32) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003).
Cited: 4 times.

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

(34) RePEc:uts:rpaper:13 Classes of Interest Rate Models Under the HJM Framework (1999).
Cited: 4 times.

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

(36) RePEc:uts:rpaper:27 Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing (1999).
Cited: 4 times.

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

(38) RePEc:uts:rpaper:54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2001).
Cited: 4 times.

(39) RePEc:uts:rpaper:180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006).
Cited: 4 times.

(40) RePEc:uts:rpaper:68 Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm (2001).
Cited: 4 times.

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

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

(43) RePEc:uts:rpaper:63 Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market (2001).
Cited: 3 times.

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

(45) RePEc:uts:rpaper:96 Estimating for Discretely Observed Diffusions Using Transform Functions (2003).
Cited: 3 times.

(46) RePEc:uts:rpaper:110 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models (2003).
Cited: 3 times.

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

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

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

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

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

Recent citations received in: 2007

(1) RePEc:uts:rpaper:194 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(2) RePEc:uts:rpaper:202 Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model (2007). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

(3) RePEc:uts:rpaper:211 The Private Value of Public Pensions (2007). Quantitative Finance Research Centre, University of Technology, Sydney / Research Paper Series

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

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