Most cited documents in this series:

Year	Title	Cited
2001	Arbitrage in Continuous Complete Markets RePEc:uts:rpaper:72 [Citation Analysis]	46
2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations RePEc:uts:rpaper:56 [Citation Analysis]	44
2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker RePEc:uts:rpaper:35 [Citation Analysis]	29
2001	Speculative Behaviour and Complex Asset Price Dynamics RePEc:uts:rpaper:49 [Citation Analysis]	27
2001	A Minimal Financial Market Model RePEc:uts:rpaper:48 [Citation Analysis]	24
2005	Panel Smooth Transition Regression Models RePEc:uts:rpaper:165 [Citation Analysis]	24
2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations RePEc:uts:rpaper:168 [Citation Analysis]	23
2003	Modeling the Volatility and Expected Value of a Diversified World Index RePEc:uts:rpaper:103 [Citation Analysis]	22
2004	A Benchmark Approach to Finance RePEc:uts:rpaper:138 [Citation Analysis]	20
2006	Volatility Forecast Comparison using Imperfect Volatility Proxies RePEc:uts:rpaper:175 [Citation Analysis]	18
2001	Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case RePEc:uts:rpaper:55 [Citation Analysis]	15
2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics RePEc:uts:rpaper:231 [Citation Analysis]	14
2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies RePEc:uts:rpaper:84 [Citation Analysis]	14
2003	A Benchmark Framework for Risk Management RePEc:uts:rpaper:113 [Citation Analysis]	12
2000	Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices RePEc:uts:rpaper:46 [Citation Analysis]	12
2004	Diversified Portfolios with Jumps in a Benchmark Framework RePEc:uts:rpaper:129 [Citation Analysis]	11
1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model RePEc:uts:rpaper:18 [Citation Analysis]	11
2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics RePEc:uts:rpaper:162 [Citation Analysis]	10
2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model RePEc:uts:rpaper:78 [Citation Analysis]	10
2002	Benchmark Model with Intensity Based Jumps RePEc:uts:rpaper:81 [Citation Analysis]	9
2010	Financialization, Crisis and Commodity Correlation Dynamics RePEc:uts:rpaper:267 [Citation Analysis]	9
1999	Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model RePEc:uts:rpaper:5 [Citation Analysis]	8
1999	An Introduction to Numerical Methods for Stochastic Differential Equations RePEc:uts:rpaper:6 [Citation Analysis]	8
2003	A Structure for General and Specific Market Risk RePEc:uts:rpaper:91 [Citation Analysis]	8
2001	Testing for Time Dependence in Parameters RePEc:uts:rpaper:58 [Citation Analysis]	7
2004	Intraday Empirical Analysis and Modeling of Diversified World Stock Indices RePEc:uts:rpaper:125 [Citation Analysis]	7
2005	On the Role of the Growth Optimal Portfolio in Finance RePEc:uts:rpaper:144 [Citation Analysis]	7
2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market RePEc:uts:rpaper:63 [Citation Analysis]	7
2002	A Discrete Time Benchmark Approach for Finance and Insurance RePEc:uts:rpaper:74 [Citation Analysis]	6
2004	Two-Factor Model for Low Interest Rate Regimes RePEc:uts:rpaper:130 [Citation Analysis]	6
2005	Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework RePEc:uts:rpaper:166 [Citation Analysis]	6
2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index RePEc:uts:rpaper:180 [Citation Analysis]	6
2003	Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling RePEc:uts:rpaper:101 [Citation Analysis]	6
1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing RePEc:uts:rpaper:27 [Citation Analysis]	6
2007	Some Effects of Transaction Taxes Under Different Microstructures RePEc:uts:rpaper:212 [Citation Analysis]	5
2003	Fair Pricing of Weather Derivatives RePEc:uts:rpaper:106 [Citation Analysis]	5
2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index RePEc:uts:rpaper:184 [Citation Analysis]	5
2001	Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case RePEc:uts:rpaper:53 [Citation Analysis]	5
2004	A Survey of the Integral Representation of American Option Prices RePEc:uts:rpaper:118 [Citation Analysis]	5
2005	On the Distributional Characterization of Log-returns of a World Stock Index RePEc:uts:rpaper:153 [Citation Analysis]	5
2000	Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return RePEc:uts:rpaper:31 [Citation Analysis]	5
2005	On the Strong Approximation of Jump-Diffusion Processes RePEc:uts:rpaper:157 [Citation Analysis]	5
2008	Hedging for the Long Run RePEc:uts:rpaper:214 [Citation Analysis]	5
2003	An Alternative Interest Rate Term Structure Model RePEc:uts:rpaper:97 [Citation Analysis]	5
2000	Risk Premia and Financial Modelling Without Measure Transformation RePEc:uts:rpaper:45 [Citation Analysis]	5
2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment RePEc:uts:rpaper:141 [Citation Analysis]	4
2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices RePEc:uts:rpaper:194 [Citation Analysis]	4
2001	Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps RePEc:uts:rpaper:54 [Citation Analysis]	4
2001	Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm RePEc:uts:rpaper:68 [Citation Analysis]	4
2000	Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning RePEc:uts:rpaper:37 [Citation Analysis]	4

Citing documents used to compute impact factor 7:

Year	Title	See
2011	Three-Benchmarked Risk Minimization for Jump Diffusion Markets RePEc:uts:rpaper:296	[Citation Analysis]
2011	Credit Derivative Pricing with Stochastic Volatility Models RePEc:uts:rpaper:293	[Citation Analysis]
2011	Debt deleveraging and business cycles: An agent-based perspective RePEc:zbw:ifwedp:201131	[Citation Analysis]
2011	Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model RePEc:uts:rpaper:291	[Citation Analysis]
2011	Do global risk perceptions influence world oil prices? RePEc:eee:eneeco:v:33:y:2011:i:3:p:515-524	[Citation Analysis]
2011	Two Stochastic Volatility Processes - American Option Pricing RePEc:uts:rpaper:292	[Citation Analysis]
2011	Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution RePEc:arx:papers:1102.5665	[Citation Analysis]

Cites in year: CiY