Stochastic Processes and their Applications

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 0.01 0.18 90 30 247 2 0 0.08 1997 0.01 0.21 104 17 209 2 0 0.08 1998 0.03 0.22 84 37 194 5 0 1 0.01 0.1 1999 0.02 0.28 104 25 188 3 0 0.13 2000 0.01 0.37 108 44 188 2 0 2 0.02 0.16 2001 0.01 0.37 94 19 212 3 0 1 0.01 0.16 2002 0.01 0.41 73 20 202 3 0 0.19 2003 0.01 0.42 79 19 167 1 0 2 0.03 0.2 2004 0.02 0.47 92 15 152 3 0 2 0.02 0.21 2005 0.01 0.5 90 18 171 2 0 1 0.01 0.23 2006 0.03 0.51 95 33 182 6 0 6 0.06 0.22 2007 0.03 0.4 95 26 185 6 0 0.18 2008 0.06 0.42 103 27 190 12 0 10 0.1 0.21 2009 0.06 0.43 178 14 198 12 0 3 0.02 0.19
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:spapps:v:11:y:1981:i:3:p:215-260 Martingales and stochastic integrals in the theory of continuous trading (1981).
Cited: 146 times.

(2) RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120 Weak convergence of multivariate fractional processes (2000).
Cited: 21 times.

(3) RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351 Nonparametric regression with long-range dependence (1990).
Cited: 18 times.

(4) RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172 Selecting the optimal sample fraction in univariate extreme value estimation (1998).
Cited: 16 times.

(5) RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316 A stochastic calculus model of continuous trading: Complete markets (1983).
Cited: 16 times.

(6) RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216 Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms (1994).
Cited: 13 times.

(7) RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101 Multivariate regression estimation local polynomial fitting for time series (1996).
Cited: 13 times.

(8) RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180 Time-dependent coefficients in a Cox-type regression model (1991).
Cited: 12 times.

(9) RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806 Limit theorems for multipower variation in the presence of jumps (2006).
Cited: 11 times.

(10) RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303 Some mixing properties of time series models (1985).
Cited: 10 times.

(11) RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89 Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations (1986).
Cited: 10 times.

(12) RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559 Asymptotic properties of realized power variations and related functionals of semimartingales (2008).
Cited: 10 times.

(13) RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18 A class of micropulses and antipersistent fractional Brownian motion (1995).
Cited: 10 times.

(14) RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115 Regular variation of GARCH processes (2002).
Cited: 10 times.

(15) RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070 A note on the central limit theorem for bipower variation of general functions (2008).
Cited: 9 times.

(16) RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286 Additional logarithmic utility of an insider (1998).
Cited: 8 times.

(17) RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48 Optimal portfolios for logarithmic utility (2000).
Cited: 8 times.

(18) RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363 Option hedging for semimartingales (1991).
Cited: 7 times.

(19) RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662 Stability of utility-maximization in incomplete markets (2007).
Cited: 7 times.

(20) RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97 Optimal trading strategy for an investor: the case of partial information (1998).
Cited: 6 times.

(21) RePEc:eee:spapps:v:56:y:1995:i:2:p:247-273 Utility maximization with partial information (1995).
Cited: 6 times.

(22) RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200 Dynamic coherent risk measures (2004).
Cited: 6 times.

(23) RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24 Estimation of a time series model from unequally spaced data (1977).
Cited: 6 times.

(24) RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276 Microstructure noise in the continuous case: The pre-averaging approach (2009).
Cited: 6 times.

(25) RePEc:eee:spapps:v:38:y:1991:i:1:p:167-183 The distributions of certain record statistics from a random number of observations (1991).
Cited: 6 times.

(26) RePEc:eee:spapps:v:8:y:1978:i:2:p:141-152 Alternative models for stationary stochastic processes (1978).
Cited: 5 times.

(27) RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212 On the optimal stopping problem for one-dimensional diffusions (2003).
Cited: 5 times.

(28) RePEc:eee:spapps:v:23:y:1986:i:2:p:291-300 The mixing property of bilinear and generalised random coefficient autoregressive models (1986).
Cited: 5 times.

(29) RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342 A new weak dependence condition and applications to moment inequalities (1999).
Cited: 5 times.

(30) RePEc:eee:spapps:v:117:y:2007:i:9:p:1265-1284 Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero (2007).
Cited: 5 times.

(31) RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168 On the Kullback-Leibler information divergence of locally stationary processes (1996).
Cited: 5 times.

(32) RePEc:eee:spapps:v:117:y:2007:i:12:p:1793-1812 A forward scheme for backward SDEs (2007).
Cited: 5 times.

(33) RePEc:eee:spapps:v:20:y:1985:i:2:p:257-279 More limit theory for the sample correlation function of moving averages (1985).
Cited: 5 times.

(34) RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202 Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences (2003).
Cited: 5 times.

(35) RePEc:eee:spapps:v:17:y:1984:i:2:p:337-347 Inference for earthquake models: A self-correcting model (1984).
Cited: 4 times.

(36) RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182 Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence (1993).
Cited: 4 times.

(37) RePEc:eee:spapps:v:70:y:1997:i:1:p:115-127 On polynomial mixing bounds for stochastic differential equations (1997).
Cited: 4 times.

(38) RePEc:eee:spapps:v:58:y:1995:i:2:p:247-265 The blockwise bootstrap for general empirical processes of stationary sequences (1995).
Cited: 4 times.

(39) RePEc:eee:spapps:v:91:y:2001:i:2:p:309-336 Asymptotics of empirical processes of long memory moving averages with infinite variance (2001).
Cited: 4 times.

(40) RePEc:eee:spapps:v:83:y:1999:i:1:p:79-102 Detection of multiple changes in a sequence of dependent variables (1999).
Cited: 4 times.

(41) RePEc:eee:spapps:v:9:y:1979:i:3:p:281-289 The central limit theorem for time series regression (1979).
Cited: 4 times.

(42) RePEc:eee:spapps:v:115:y:2005:i:5:p:705-736 Optimal partially reversible investment with entry decision and general production function (2005).
Cited: 4 times.

(43) RePEc:eee:spapps:v:116:y:2006:i:1:p:101-129 Malliavin Monte Carlo Greeks for jump diffusions (2006).
Cited: 4 times.

(44) RePEc:eee:spapps:v:79:y:1999:i:1:p:135-163 Adaptive estimation in diffusion processes (1999).
Cited: 3 times.

(45) RePEc:eee:spapps:v:14:y:1983:i:3:p:279-295 A central limit theorem for estimation in Gaussian stationary time series observed at unequally spaced times (1983).
Cited: 3 times.

(46) RePEc:eee:spapps:v:96:y:2001:i:1:p:99-121 Convergence of locally and globally interacting Markov chains (2001).
Cited: 3 times.

(47) RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361 Risk theory in a stochastic economic environment (1993).
Cited: 3 times.

(48) RePEc:eee:spapps:v:87:y:2000:i:2:p:167-197 Weak approximation of killed diffusion using Euler schemes (2000).
Cited: 3 times.

(49) RePEc:eee:spapps:v:116:y:2006:i:12:p:1770-1791 The Wiener disorder problem with finite horizon (2006).
Cited: 3 times.

(50) RePEc:eee:spapps:v:119:y:2009:i:6:p:1845-1865 Power variation for Gaussian processes with stationary increments (2009).
Cited: 3 times.

Recent citations received in: | 2009 | 2008 | 2007 | 2006

Recent citations received in: 2009

(1) RePEc:aah:create:2009-21 Multipower Variation for Brownian Semistationary Processes (2009). CREATES Research Papers

(2) RePEc:aah:create:2009-56 On the Economic Evaluation of Volatility Forecasts (2009). CREATES Research Papers

(3) RePEc:aah:create:2009-60 Limit theorems for functionals of higher order differences of Brownian semi-stationary processes (2009). CREATES Research Papers

Recent citations received in: 2008

(1) RePEc:aah:create:2008-25 Bipower-type estimation in a noisy diffusion setting (2008). CREATES Research Papers

(2) RePEc:aah:create:2008-42 Measuring downside risk — realised semivariance (2008). CREATES Research Papers

(3) RePEc:aah:create:2008-57 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances (2008). CREATES Research Papers

(4) RePEc:aah:create:2008-61 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution (2008). CREATES Research Papers

(5) RePEc:aah:create:2008-63 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008). CREATES Research Papers

(6) RePEc:icr:wpmath:24-2008 Exponential Utility Maximization under Partial Information (2008). ICER Working Papers - Applied Mathematics Series

(7) RePEc:nuf:econwp:0810 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008). Economics Papers

(8) RePEc:oxf:wpaper:397 Multivariate realised kernels: consistent positive semin-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008). Economics Series Working Papers

(9) RePEc:spr:finsto:v:12:y:2008:i:2:p:265-292 On the duality principle in option pricing: semimartingale setting (2008). Finance and Stochastics

(10) RePEc:zbw:sfb475:200824 Bipower-type estimation in a noisy diffusion setting (2008). Technical Reports

Recent citations received in: 2007

Recent citations received in: 2006

(1) RePEc:bdm:wpaper:2006-10 Detecting Jumps in High-Frequency Financial Series Using Multipower Variation (2006). Working Papers

(2) RePEc:hum:wpaper:sfb649dp2006-043 An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems (2006). SFB 649 Discussion Papers

(3) RePEc:hum:wpaper:sfb649dp2006-057 Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon (2006). SFB 649 Discussion Papers

(4) RePEc:hum:wpaper:sfb649dp2006-068 Integral Options in Models with Jumps (2006). SFB 649 Discussion Papers

(5) RePEc:uts:rpaper:176 Approximation of Jump Diffusions in Finance and Economics (2006). Research Paper Series

(6) RePEc:zbw:sfb475:200651 Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps (2006). Technical Reports

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