Citation Profile: Journal of Empirical Finance / Elsevier Science Economics Articles Archive

Most cited documents in this series:

Year Title Cited
1993 A long memory property of stock market returns and a new model
RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106 [Citation Analysis] 286
1996 The forward discount anomaly and the risk premium: A survey of recent evidence
RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192 [Citation Analysis] 248
1997 Intraday periodicity and volatility persistence in financial markets
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158 [Citation Analysis] 154
1996 The econometrics of financial markets
RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102 [Citation Analysis] 106
1998 Volatility and cross correlation across major stock markets
RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416 [Citation Analysis] 71
1997 Volatilities of different time resolutions -- Analyzing the dynamics of market components
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239 [Citation Analysis] 65
1997 High frequency data in financial markets: Issues and applications
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114 [Citation Analysis] 65
2000 Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300 [Citation Analysis] 55
2003 Emerging markets finance
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56 [Citation Analysis] 52
1993 Common stock offerings across the business cycle : Theory and evidence
RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31 [Citation Analysis] 46
2003 A simple measure of the intensity of capital controls
RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103 [Citation Analysis] 44
1997 The incremental volatility information in one million foreign exchange quotations
RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340 [Citation Analysis] 41
2003 Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621 [Citation Analysis] 39
2003 Predicting emerging market currency crashes
RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454 [Citation Analysis] 35
2004 Modelling daily Value-at-Risk using realized volatility and ARCH type models
RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398 [Citation Analysis] 33
2002 Market timing and return prediction under model instability
RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510 [Citation Analysis] 32
1999 Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon
RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477 [Citation Analysis] 31
2005 Testing for contagion: a conditional correlation analysis
RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489 [Citation Analysis] 31
2007 Measuring financial contagion: A Copula approach
RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423 [Citation Analysis] 31
2003 Univariate and multivariate stochastic volatility models: estimation and diagnostics
RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531 [Citation Analysis] 30
1994 Alternative constructions of Tobins q: An empirical comparison
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341 [Citation Analysis] 29
2001 The specification of conditional expectations
RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637 [Citation Analysis] 29
1997 Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212 [Citation Analysis] 29
1997 Public information releases, private information arrival and volatility in the foreign exchange market
RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315 [Citation Analysis] 29
2002 Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?
RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285 [Citation Analysis] 27
1999 A primer on hedge funds
RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331 [Citation Analysis] 27
2000 Sensitivity analysis of Values at Risk
RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245 [Citation Analysis] 25
1998 International evidence on the stock market and aggregate economic activity
RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296 [Citation Analysis] 24
2007 Firm-level implications of early stage venture capital investment -- An empirical investigation
RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167 [Citation Analysis] 24
1998 Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154 [Citation Analysis] 23
2001 Testing for mean-variance spanning: a survey
RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155 [Citation Analysis] 23
2003 Central bank interventions and jumps in double long memory models of daily exchange rates
RePEc:eee:empfin:v:10:y:2003:i:5:p:641-660 [Citation Analysis] 22
1993 International asset pricing with alternative distributional specifications
RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131 [Citation Analysis] 22
1994 A contingent claim approach to performance evaluation
RePEc:eee:empfin:v:1:y:1994:i:2:p:133-160 [Citation Analysis] 21
1994 Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets
RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248 [Citation Analysis] 21
1999 Multivariate unit root tests of the PPP hypothesis
RePEc:eee:empfin:v:6:y:1999:i:4:p:335-353 [Citation Analysis] 20
1995 The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data
RePEc:eee:empfin:v:2:y:1995:i:3:p:225-251 [Citation Analysis] 20
2000 Coincident and leading indicators of the stock market
RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111 [Citation Analysis] 20
2003 Realized volatility in the futures markets
RePEc:eee:empfin:v:10:y:2003:i:3:p:321-353 [Citation Analysis] 19
2001 Testing and comparing Value-at-Risk measures
RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342 [Citation Analysis] 19
1996 Unit roots and the estimation of interest rate dynamics
RePEc:eee:empfin:v:3:y:1996:i:2:p:215-238 [Citation Analysis] 19
1994 Neglected common factors in exchange rate volatility
RePEc:eee:empfin:v:1:y:1994:i:3-4:p:279-311 [Citation Analysis] 19
2006 Instability of return prediction models
RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315 [Citation Analysis] 19
1995 Testing for continuous-time models of the short-term interest rate
RePEc:eee:empfin:v:2:y:1995:i:3:p:199-223 [Citation Analysis] 18
1995 The structure of international stock returns and the integration of capital markets
RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197 [Citation Analysis] 17
1993 The performance of international asset allocation strategies using conditioning information
RePEc:eee:empfin:v:1:y:1993:i:1:p:33-55 [Citation Analysis] 17
1999 Real exchange rates and nontradables: A relative price approach
RePEc:eee:empfin:v:6:y:1999:i:2:p:193-215 [Citation Analysis] 17
2006 Stock market development and internationalization: Do economic fundamentals spur both similarly?
RePEc:eee:empfin:v:13:y:2006:i:3:p:316-350 [Citation Analysis] 17
2000 Value-at-Risk: a multivariate switching regime approach
RePEc:eee:empfin:v:7:y:2000:i:5:p:531-554 [Citation Analysis] 17
2001 Why long horizons? A study of power against persistent alternatives
RePEc:eee:empfin:v:8:y:2001:i:5:p:459-491 [Citation Analysis] 16

Citing documents used to compute impact factor 28:

Year Title See
2010 Does the Stock Market Harm Investment Incentives?
RePEc:cpr:ceprdp:7857 [Citation Analysis]
2010 Measuring comovement in the time-frequency space
RePEc:ptu:wpaper:w201001 [Citation Analysis]
2010 A Wavelet Approach for Factor-Augmented Forecasting
RePEc:ptu:wpaper:w201007 [Citation Analysis]
2010 Oil and portfolio risk diversification
RePEc:pra:mprapa:28293 [Citation Analysis]
2010 The feasibility of through-the-cycle ratings
RePEc:hhs:bofrdp:2010_014 [Citation Analysis]
2010 Global Integration of Central and Eastern European Financial Markets â The Role of Economic Sentiments
RePEc:rwi:repape:0174 [Citation Analysis]
2010 The determinants of increasing equity market comovement: economic or financial integration?
RePEc:spr:weltar:v:146:y:2010:i:3:p:573-589 [Citation Analysis]
2010 Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?
RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:228-246 [Citation Analysis]
2010 Asymmetric effects of oil price fluctuations in international stock markets
RePEc:cte:wsrepe:ws100904 [Citation Analysis]
2010 Controlling shareholders and payout policy: do founding families have a special taste for dividends?
RePEc:zbw:cefswp:201001 [Citation Analysis]
2010 Universality in DAX index returns fluctuations
RePEc:arx:papers:1004.1136 [Citation Analysis]
2010 Is this time different for Asia?: Evidence from stock Markets
RePEc:kyu:dpaper:40 [Citation Analysis]
2010 Bias Correction and Out-of-Sample Forecast Accuracy
RePEc:abn:wpaper:auwp2010-02 [Citation Analysis]
2010 Investigating the dependence structure between credit default swap spreads and the U.S. financial market
RePEc:kap:annfin:v:6:y:2010:i:4:p:511-535 [Citation Analysis]
2010 Model averaging in economics
RePEc:pra:mprapa:26047 [Citation Analysis]
2010 Modelling and Forecasting Noisy Realized Volatility
RePEc:cbt:econwp:10/21 [Citation Analysis]
2010 The Impact of Macroeconomic News on Quote Adjustments, Noise and Informational Volatility
RePEc:eca:wpaper:2010_004 [Citation Analysis]
2010 The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
RePEc:hum:wpaper:sfb649dp2010-005 [Citation Analysis]
2010 Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?
RePEc:imf:imfwpa:10/120 [Citation Analysis]
2010 An Optimal Control Approach to Portfolio Optimisation with Conditioning Information
RePEc:crf:wpaper:10-09 [Citation Analysis]
2010 What Segments Equity Markets?
RePEc:cpr:ceprdp:8142 [Citation Analysis]
2010 Risk, Uncertainty and Monetary Policy
RePEc:cpr:ceprdp:8154 [Citation Analysis]
2010 Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments
RePEc:kap:compec:v:36:y:2010:i:3:p:263-282 [Citation Analysis]
2010 Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
RePEc:jae:japmet:v:25:y:2010:i:2:p:233-261 [Citation Analysis]
2010 The cost of sustainability on optimal portfolio choices
RePEc:hhb:sicgwp:2010_015 [Citation Analysis]
2010 Oil and portfolio risk diversification
RePEc:pra:mprapa:28293 [Citation Analysis]
2010 EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
RePEc:ces:ceswps:_3074 [Citation Analysis]
2010 Auswirkungen von Mehrfachmandaten deutscher Vorstands- und Aufsichtsratsvorsitzender auf den Unternehmenserfolg
RePEc:jns:jbstat:v:230:y:2010:i:5:p:547-570 [Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

Year	Title	See
2010	Location, Location, Location: Entrepreneurial Finance Meets Economic Geography RePEc:pen:papers:10-030	[Citation Analysis]
2010	Geographic location of a new venture and the likelihood of a venture capital investment RePEc:zbw:cefswp:201002	[Citation Analysis]

Recent citations received in: 2009

Year	Title	See
2009	The dividend-price ratio does predict dividend growth: International evidence RePEc:aah:create:2009-36	[Citation Analysis]
2009	The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression RePEc:ags:nccc09:53035	[Citation Analysis]
2009	A Coupled Markov Chain approach to risk analysis of credit default swap index products RePEc:arx:papers:0911.3802	[Citation Analysis]
2009	Financial crisis, exchange rate and stock market integration RePEc:kyu:dpaper:38	[Citation Analysis]
2009	Measuring the Timing Ability and Performance of Bond Mutual Funds RePEc:nbr:nberwo:15318	[Citation Analysis]
2009	Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices RePEc:nbr:nberwo:15335	[Citation Analysis]
2009	Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets RePEc:pra:mprapa:18680	[Citation Analysis]
2009	Family firms and investments RePEc:pra:mprapa:19247	[Citation Analysis]
2009	Does lowering dividend tax rates increase dividends repatriated?: evidence of intra-firm cross-border dividend repatriation policies by German Multinational Enterprises RePEc:zbw:bubdp1:200919	[Citation Analysis]

Recent citations received in: 2008

Year	Title	See
2008	Long term vs. short term comovements in stock markets: the use of Markov-switching multifractal models. RePEc:bfr:banfra:218	[Citation Analysis]
2008	Beta-t-(E)GARCH RePEc:cam:camdae:0840	[Citation Analysis]
2008	No contagion, only globalization and flight to quality RePEc:dul:wpaper:08-22rs	[Citation Analysis]
2008	Analysing the performance of managed funds using the wavelet multiscaling method RePEc:kap:rqfnac:v:31:y:2008:i:1:p:55-70	[Citation Analysis]
2008	An improved two-step regularization scheme for spot volatility estimation RePEc:par:dipeco:2008-me02	[Citation Analysis]
2008	Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns RePEc:qed:wpaper:1173	[Citation Analysis]
2008	Volatility forecasting: the jumps do matter RePEc:usi:wpaper:534	[Citation Analysis]
2008	Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models RePEc:zbw:cauewp:7368	[Citation Analysis]

Recent citations received in: 2007

Year	Title	See
2007	Expected Stock Returns and Variance Risk Premia RePEc:aah:create:2007-17	[Citation Analysis]
2007	Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns RePEc:cep:stiecm:/2007/524	[Citation Analysis]
2007	TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH RePEc:cmf:wpaper:wp2007_0714	[Citation Analysis]
2007	Evidence of non-Markovian behavior in the process of bank rating migrations RePEc:col:000094:003961	[Citation Analysis]
2007	Evidence of non-Markovian behavior in the process of bank rating migrations RePEc:col:000094:004016	[Citation Analysis]
2007	Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas RePEc:dgr:umamet:2007052	[Citation Analysis]
2007	Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models RePEc:dgr:uvatin:20070046	[Citation Analysis]
2007	Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns RePEc:dur:durham:2007_02	[Citation Analysis]
2007	Return Explanatory Ability and Predictability of Non-Linear Market Models RePEc:dur:durham:2007_05	[Citation Analysis]
2007	Time Series Modelling with Semiparametric Factor Dynamics RePEc:hum:wpaper:sfb649dp2007-023	[Citation Analysis]
2007	What Drives Stock Market Development in the Middle East and Central Asia--Institutions, Remittances, or Natural Resources? RePEc:imf:imfwpa:07/157	[Citation Analysis]
2007	Forecasting volatility: Evidence from the Macedonian stock exchange RePEc:pra:mprapa:5319	[Citation Analysis]
2007	Venture Capitalists, Asymmetric Information and Ownership in the Innovation Process RePEc:pra:mprapa:6265	[Citation Analysis]
2007	Joint Modeling of Call and Put Implied Volatility RePEc:pra:mprapa:6318	[Citation Analysis]

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.