Most cited documents in this series:

Year	Title	Cited
2004	Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates RePEc:wbs:wpaper:wp04-19 [Citation Analysis]	13
1999	Modelling Emerging Market Risk Premia Using Higher Moments RePEc:wbs:wpaper:wp99-17 [Citation Analysis]	13
2005	Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach RePEc:wbs:wpaper:wp05-02 [Citation Analysis]	10
2004	Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity RePEc:wbs:wpaper:wp04-05 [Citation Analysis]	9
2006	Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation RePEc:wbs:wpaper:wp06-18 [Citation Analysis]	8
1999	Technical Analysis and Central Bank Intervention RePEc:wbs:wpaper:wp99-04 [Citation Analysis]	6
1999	The Disappearance of Style in the US Equity Market RePEc:wbs:wpaper:wp99-18 [Citation Analysis]	5
2001	Investigating Dynamic Dependence Using Copulae RePEc:wbs:wpaper:wp01-03 [Citation Analysis]	4
2001	Copulas: an Open Field for Risk Management RePEc:wbs:wpaper:wp01-01 [Citation Analysis]	4
2005	The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields RePEc:wbs:wpaper:wp05-13 [Citation Analysis]	4
2004	Predictive Density Accuracy Tests RePEc:wbs:wpaper:wp04-16 [Citation Analysis]	4
2007	Should Network Structure Matter in Agent-Based Finance? RePEc:wbs:wpaper:wp07-02 [Citation Analysis]	3
2001	Tracking Error: Ex-Ante versus Ex-Post Measures RePEc:wbs:wpaper:wp01-15 [Citation Analysis]	3
2004	Is Seasonal Heteroscedasticity Real? An International Perspective RePEc:wbs:wpaper:wp04-08 [Citation Analysis]	2
2004	Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling RePEc:wbs:wpaper:wp04-14 [Citation Analysis]	2
1999	An Analysis of the Performance of European Foreign Exchange Forecasters RePEc:wbs:wpaper:wp99-07 [Citation Analysis]	2
2006	Dynamic instability in a phenomenological model of correlated assets RePEc:wbs:wpaper:wp06-17 [Citation Analysis]	2
2007	True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence RePEc:wbs:wpaper:wp07-12 [Citation Analysis]	2
1999	How do UK-Based Foreign Exchange Dealers Think Their Market Operates? RePEc:wbs:wpaper:wp99-21 [Citation Analysis]	2
2000	Properties of Cross-sectional Volatility RePEc:wbs:wpaper:wp00-05 [Citation Analysis]	2
2004	Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers RePEc:wbs:wpaper:wp04-11 [Citation Analysis]	2
2005	Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? RePEc:wbs:wpaper:wp05-11 [Citation Analysis]	2
2007	A Prototype Model of Speculative Dynamics With Position-Based Trading RePEc:wbs:wpaper:wp07-08 [Citation Analysis]	2
2004	Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts RePEc:wbs:wpaper:wp04-10 [Citation Analysis]	2
2005	Incentive Contracts and Hedge Fund Management RePEc:wbs:wpaper:wp05-10 [Citation Analysis]	2
2006	The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility RePEc:wbs:wpaper:wp06-19 [Citation Analysis]	2
2004	Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes RePEc:wbs:wpaper:wp04-15 [Citation Analysis]	2
2006	Effects of Tobin Taxes in Minority Game Markets RePEc:wbs:wpaper:wp06-08 [Citation Analysis]	2
2007	Estimation of a Microfounded Herding Model On German Survey Expectations RePEc:wbs:wpaper:wp07-07 [Citation Analysis]	1
1999	Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets RePEc:wbs:wpaper:wp99-16 [Citation Analysis]	1
2005	Employee Stock Options: Much More Valuable Than You Thought RePEc:wbs:wpaper:wp05-09 [Citation Analysis]	1
2002	Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds RePEc:wbs:wpaper:wp02-08 [Citation Analysis]	1
2009	Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise RePEc:wbs:wpaper:wp09-02 [Citation Analysis]	1
2006	Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders RePEc:wbs:wpaper:wp06-02 [Citation Analysis]	1
2004	Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average RePEc:wbs:wpaper:wp04-06 [Citation Analysis]	1
2002	Combining Heterogeneous Classifiers for Stock Selection RePEc:wbs:wpaper:wp02-01 [Citation Analysis]	1
2004	Federal Funds Rate Prediction RePEc:wbs:wpaper:wp04-12 [Citation Analysis]	1
2007	A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets RePEc:wbs:wpaper:wp07-01 [Citation Analysis]	1
2006	A Behavioral Model for Participation Games with Negative Feedback RePEc:wbs:wpaper:wp06-15 [Citation Analysis]	1
2007	Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey RePEc:wbs:wpaper:wp07-11 [Citation Analysis]	1
2006	Pricing Multivariate Currency Options with Copulas RePEc:wbs:wpaper:wp06-21 [Citation Analysis]	1
2004	Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability RePEc:wbs:wpaper:wp04-01 [Citation Analysis]	1
1999	Predictability in International Asset Returns: A Re-examination RePEc:wbs:wpaper:wp99-03 [Citation Analysis]	1
2006	Statistical mechanics of socio-economic systems with heterogeneous agents RePEc:wbs:wpaper:wp06-12 [Citation Analysis]	1
2001	Numerical Issues in Threshold Autoregressive Modelling of Time Series RePEc:wbs:wpaper:wp01-09 [Citation Analysis]	1
2002	Reinterpreting the Real Exchange Rate - Yield Diffential Nexus RePEc:wbs:wpaper:wp02-10 [Citation Analysis]	1
1999	Intraday Technical Trading in the Foreign Exchange Market RePEc:wbs:wpaper:wp99-02 [Citation Analysis]	1

Citing documents used to compute impact factor 0:

Year	Title	See

Cites in year: CiY