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. 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 | | 0.18 | | 0 | 0 | | 0 | | | 0.09 |
1998 | | 0.2 | 3 | 0 | 0 | | 0 | | | 0.12 |
1999 | | 0.26 | 27 | 53 | 3 | | 0 | 3 | 0.11 | 0.16 |
2000 | 0.37 | 0.36 | 17 | 61 | 30 | 11 | 54.5 | 2 | 0.12 | 0.17 |
2001 | 0.39 | 0.35 | 25 | 124 | 44 | 17 | 41.2 | 7 | 0.28 | 0.17 |
2002 | 0.21 | 0.4 | 14 | 36 | 42 | 9 | 55.6 | 1 | 0.07 | 0.19 |
2003 | 0.51 | 0.4 | 27 | 46 | 39 | 20 | 55 | 4 | 0.15 | 0.2 |
2004 | 0.71 | 0.44 | 31 | 56 | 41 | 29 | 55.2 | 13 | 0.42 | 0.22 |
2005 | 0.31 | 0.46 | 27 | 52 | 58 | 18 | 72.2 | 4 | 0.15 | 0.27 |
2006 | 0.38 | 0.48 | 15 | 25 | 58 | 22 | 40.9 | | | 0.24 |
2007 | 0.19 | 0.4 | 26 | 11 | 42 | 8 | 37.5 | 3 | 0.12 | 0.2 |
2008 | 0.22 | 0.4 | 27 | 22 | 41 | 9 | 44.4 | 3 | 0.11 | 0.2 |
2009 | 0.15 | 0.36 | 24 | 3 | 53 | 8 | 62.5 | 1 | 0.04 | 0.21 |
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Impact Factor:
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Documents published:
| Citations received:
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  Most cited documents in this series: (1) RePEc:uts:rpaper:72 Arbitrage in Continuous Complete Markets (2001). Cited: 41 times. (2) RePEc:uts:rpaper:56 Asset Price and Wealth Dynamics Under Heterogeneous Expectations (2001). Cited: 29 times. (3) RePEc:uts:rpaper:35 Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker (2000). Cited: 28 times. (4) RePEc:uts:rpaper:49 Speculative Behaviour and Complex Asset Price Dynamics (2001). Cited: 24 times. (5) RePEc:uts:rpaper:48 A Minimal Financial Market Model (2001). Cited: 24 times. (6) RePEc:uts:rpaper:103 Modeling the Volatility and Expected Value of a Diversified World Index (2003). Cited: 21 times. (7) RePEc:uts:rpaper:138 A Benchmark Approach to Finance (2004). Cited: 16 times. (8) RePEc:uts:rpaper:55 Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case (2001). Cited: 13 times. (9) RePEc:uts:rpaper:175 Volatility Forecast Comparison using Imperfect Volatility Proxies (2006). Cited: 13 times. (10) RePEc:uts:rpaper:168 Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005). Cited: 12 times. (11) RePEc:uts:rpaper:113 A Benchmark Framework for Risk Management (2003). Cited: 12 times. (12) RePEc:uts:rpaper:165 Panel Smooth Transition Regression Models (2005). Cited: 12 times. (13) RePEc:uts:rpaper:18 Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model (1999). Cited: 12 times. (14) RePEc:uts:rpaper:84 An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies (2002). Cited: 11 times. (15) RePEc:uts:rpaper:46 Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices (2000). Cited: 11 times. (16) RePEc:uts:rpaper:129 Diversified Portfolios with Jumps in a Benchmark Framework (2004). Cited: 10 times. (17) RePEc:uts:rpaper:78 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model (2002). Cited: 10 times. (18) RePEc:uts:rpaper:81 Benchmark Model with Intensity Based Jumps (2002). Cited: 9 times. (19) RePEc:uts:rpaper:231 Heterogeneity, Market Mechanisms, and Asset Price Dynamics (2008). Cited: 8 times. (20) RePEc:uts:rpaper:5 Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model (1999). Cited: 8 times. (21) RePEc:uts:rpaper:6 An Introduction to Numerical Methods for Stochastic Differential Equations (1999). Cited: 7 times. (22) RePEc:uts:rpaper:125 Intraday Empirical Analysis and Modeling of Diversified World Stock Indices (2004). Cited: 7 times. (23) RePEc:uts:rpaper:101 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling (2003). Cited: 6 times. (24) RePEc:uts:rpaper:130 Two-Factor Model for Low Interest Rate Regimes (2004). Cited: 6 times. (25) RePEc:uts:rpaper:91 A Structure for General and Specific Market Risk (2003). Cited: 6 times. (26) RePEc:uts:rpaper:27 Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing (1999). Cited: 6 times. (27) RePEc:uts:rpaper:74 A Discrete Time Benchmark Approach for Finance and Insurance (2002). Cited: 6 times. (28) repec:uts:rpaper:162 (). Cited: 6 times. (29) RePEc:uts:rpaper:184 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006). Cited: 5 times. (30) RePEc:uts:rpaper:157 On the Strong Approximation of Jump-Diffusion Processes (2005). Cited: 5 times. (31) RePEc:uts:rpaper:214 Hedging for the Long Run (2008). Cited: 5 times. (32) RePEc:uts:rpaper:180 Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006). Cited: 5 times. (33) RePEc:uts:rpaper:31 Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return (2000). Cited: 5 times. (34) RePEc:uts:rpaper:53 Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case (2001). Cited: 5 times. (35) RePEc:uts:rpaper:153 On the Distributional Characterization of Log-returns of a World Stock Index (2005). Cited: 5 times. (36) RePEc:uts:rpaper:97 An Alternative Interest Rate Term Structure Model (2003). Cited: 5 times. (37) RePEc:uts:rpaper:45 Risk Premia and Financial Modelling Without Measure Transformation (2000). Cited: 4 times. (38) RePEc:uts:rpaper:114 On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance (2004). Cited: 4 times. (39) RePEc:uts:rpaper:166 Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework (2005). Cited: 4 times. (40) RePEc:uts:rpaper:54 Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2001). Cited: 4 times. (41) RePEc:uts:rpaper:13 Classes of Interest Rate Models Under the HJM Framework (1999). Cited: 4 times. (42) RePEc:uts:rpaper:106 Fair Pricing of Weather Derivatives (2003). Cited: 4 times. (43) RePEc:uts:rpaper:58 Testing for Time Dependence in Parameters (2001). Cited: 4 times. (44) 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. (45) RePEc:uts:rpaper:128 Understanding the Implied Volatility Surface for Options on a Diversified Index (2004). Cited: 4 times. (46) RePEc:uts:rpaper:65 On Filtering in Markovian Term Structure Models (An Approximation Approach) (2001). Cited: 4 times. (47) RePEc:uts:rpaper:118 A Survey of the Integral Representation of American Option Prices (2004). Cited: 4 times. (48) RePEc:uts:rpaper:144 On the Role of the Growth Optimal Portfolio in Finance (2005). Cited: 4 times. (49) RePEc:uts:rpaper:96 Estimating for Discretely Observed Diffusions Using Transform Functions (2003). Cited: 3 times. (50) RePEc:uts:rpaper:143 Capital Asset Pricing for Markets with Intensity Based Jumps (2004). Cited: 3 times. Recent citations received in: | 2009 | 2008 | 2007 | 2006 Recent citations received in: 2009 (1) RePEc:uts:rpaper:253 A Benchmark Approach to Investing and Pricing (2009). Research Paper Series Recent citations received in: 2008 (1) RePEc:uts:rpaper:215 The Law of Minimum Price (2008). Research Paper Series (2) RePEc:uts:rpaper:230 Minimizing the Expected Market Time to Reach a Certain Wealth Level (2008). Research Paper Series (3) RePEc:uts:rpaper:234 On the Numerical Stability of Simulation Methods for SDES (2008). Research Paper Series Recent citations received in: 2007 (1) RePEc:uts:rpaper:194 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices (2007). Research Paper Series (2) RePEc:uts:rpaper:202 Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model (2007). Research Paper Series (3) RePEc:uts:rpaper:211 The Private Value of Public Pensions (2007). Research Paper Series Recent citations received in: 2006 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.
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