Most cited documents in this series:

Year	Title	Cited
1998	Unconditional and Conditional Distributional Models for the Nikkei Index RePEc:kap:apfinm:v:5:y:1998:i:2:p:99-128 [Citation Analysis]	11
2004	Diversified Portfolios with Jumps in a Benchmark Framework RePEc:kap:apfinm:v:11:y:2004:i:1:p:1-22 [Citation Analysis]	7
2003	A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework RePEc:kap:apfinm:v:10:y:2003:i:2:p:87-127 [Citation Analysis]	6
1997	Subordinated Market Index Models: A Comparison RePEc:kap:apfinm:v:4:y:1997:i:2:p:97-124 [Citation Analysis]	5
2003	Are Banks Affiliated with Bank Holding Companies More Efficient Than Independent Banks? The Recent Experience Regarding Japanese Regional BHCs RePEc:kap:apfinm:v:10:y:2003:i:4:p:359-376 [Citation Analysis]	4
2004	Understanding the Implied Volatility Surface for Options on a Diversified Index RePEc:kap:apfinm:v:11:y:2004:i:1:p:55-77 [Citation Analysis]	4
2003	Price Linkages in Asian Equity Markets: Evidence Bordering the Asian Economic, Currency and Financial Crises RePEc:kap:apfinm:v:10:y:2003:i:1:p:29-44 [Citation Analysis]	3
2009	Counterparty Risk for Credit Default Swaps: Markov Chain Interacting Intensities Model with Stochastic Intensity RePEc:kap:apfinm:v:16:y:2009:i:3:p:169-181 [Citation Analysis]	3
1998	The Impact of the U.S. and the Japanese Equity Markets on the Emerging Asia-Pacific Equity Markets RePEc:kap:apfinm:v:5:y:1998:i:3:p:191-209 [Citation Analysis]	3
1999	Pricing Options under Stochastic Interest Rates: A New Approach RePEc:kap:apfinm:v:6:y:1999:i:1:p:49-70 [Citation Analysis]	3
2004	A Fair Pricing Approach to Weather Derivatives RePEc:kap:apfinm:v:11:y:2004:i:1:p:23-53 [Citation Analysis]	2
2003	On the Pricing of Defaultable Bonds Using the Framework of Barrier Options RePEc:kap:apfinm:v:10:y:2003:i:2:p:151-162 [Citation Analysis]	2
1998	The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk RePEc:kap:apfinm:v:5:y:1998:i:2:p:129-158 [Citation Analysis]	2
2004	A Complete-Market Generalization of the Black-Scholes Model RePEc:kap:apfinm:v:11:y:2004:i:4:p:431-444 [Citation Analysis]	2
2006	Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes RePEc:kap:apfinm:v:13:y:2006:i:4:p:327-344 [Citation Analysis]	2
1998	Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong RePEc:kap:apfinm:v:5:y:1998:i:3:p:275-307 [Citation Analysis]	2
2011	A Note on Utility Maximization with Unbounded Random Endowment RePEc:kap:apfinm:v:18:y:2011:i:1:p:89-103 [Citation Analysis]	2
2003	Investor Familiarity and Home Bias: Japanese Evidence RePEc:kap:apfinm:v:10:y:2003:i:4:p:281-300 [Citation Analysis]	2
2010	On the Predictability of Japanese Stock Returns Using Dividend Yield RePEc:kap:apfinm:v:17:y:2010:i:2:p:141-149 [Citation Analysis]	2
2006	Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model RePEc:kap:apfinm:v:13:y:2006:i:1:p:11-39 [Citation Analysis]	2
1998	Econometric Analysis of a Continuous Time Multi-Factor Generalized Vasicek Term Structure Model: International Evidence RePEc:kap:apfinm:v:5:y:1998:i:2:p:159-183 [Citation Analysis]	1
2005	Market Efficiency and Returns to Simple Technical Trading Rules: Further Evidence from U.S., U.K., Asian and Chinese Stock Markets RePEc:kap:apfinm:v:12:y:2005:i:1:p:45-60 [Citation Analysis]	1
2007	A Benchmark Approach to Portfolio Optimization under Partial Information RePEc:kap:apfinm:v:14:y:2007:i:1:p:25-43 [Citation Analysis]	1
2009	A Remark on a Singular Perturbation Method for Option Pricing Under a Stochastic Volatility Model RePEc:kap:apfinm:v:16:y:2009:i:4:p:333-345 [Citation Analysis]	1
1999	Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment RePEc:kap:apfinm:v:6:y:1999:i:1:p:37-48 [Citation Analysis]	1
2006	Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange RePEc:kap:apfinm:v:13:y:2006:i:1:p:1-9 [Citation Analysis]	1
2008	A Method of Calculating the Downside Risk by Multivariate Nonnormal Distributions RePEc:kap:apfinm:v:15:y:2008:i:3:p:175-184 [Citation Analysis]	1
2009	Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets RePEc:kap:apfinm:v:16:y:2009:i:3:p:183-210 [Citation Analysis]	1
2005	On the asymptotic behavior of the prices of Asian options RePEc:kap:apfinm:v:12:y:2005:i:4:p:289-306 [Citation Analysis]	1
2008	Optimal Hedging of Prediction Errors Using Prediction Errors RePEc:kap:apfinm:v:15:y:2008:i:1:p:67-95 [Citation Analysis]	1
2004	Numerical Approach to Asset Pricing Models with Stochastic Differential Utility RePEc:kap:apfinm:v:11:y:2004:i:3:p:267-300 [Citation Analysis]	1
2006	Non-linear long horizon returns predictability: evidence from six south-east Asian markets RePEc:kap:apfinm:v:13:y:2006:i:2:p:95-111 [Citation Analysis]	1
2005	A discrete Itô calculus approach to He’s framework for multi-factor discrete markets RePEc:kap:apfinm:v:12:y:2005:i:3:p:273-287 [Citation Analysis]	1
2007	Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds RePEc:kap:apfinm:v:14:y:2007:i:3:p:229-253 [Citation Analysis]	1
2004	A New Control Variate Estimator for an Asian Option RePEc:kap:apfinm:v:11:y:2004:i:2:p:143-160 [Citation Analysis]	1
1999	Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates RePEc:kap:apfinm:v:6:y:1999:i:1:p:71-84 [Citation Analysis]	1
2006	Portfolio optimization with a defaultable security RePEc:kap:apfinm:v:13:y:2006:i:2:p:113-127 [Citation Analysis]	1
2008	Recovery Process Model RePEc:kap:apfinm:v:15:y:2008:i:3:p:307-347 [Citation Analysis]	1
2005	Testing for Volatility Jumps in the Stochastic Volatility Process RePEc:kap:apfinm:v:12:y:2005:i:2:p:143-157 [Citation Analysis]	1
2007	Board Size, Independence and Performance: An Analysis of Thai Banks RePEc:kap:apfinm:v:14:y:2007:i:3:p:211-227 [Citation Analysis]	1
2008	The Determinants of Bank Capital Ratios in a Developing Economy RePEc:kap:apfinm:v:15:y:2008:i:3:p:255-272 [Citation Analysis]	1

Citing documents used to compute impact factor 4:

Year	Title	See
2010	Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest RePEc:pra:mprapa:28250	[Citation Analysis]
2010	Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing RePEc:pra:mprapa:27698	[Citation Analysis]
2010	Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest RePEc:pra:mprapa:26277	[Citation Analysis]
2010	Credit Growth, Bank Soundness and Financial Fragility: Evidence from Indian Banking Sector RePEc:pra:mprapa:24715	[Citation Analysis]

Cites in year: CiY