CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated February, 3 2014 581.217 documents
processed, 14.657.417 references and 5.549.674 citations
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
Raw data: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CDO: Cumulative number of documents published until year y CCU: Cumulative number of citations to papers published until year y CIF: Cumulative impact factor CIT: Number of citations to papers published in year y D2Y: Number of articles published in y-1 plus y-2 C2Y: Cites in y to articles published in y-1 plus y-2 %SC: Percentage of selft citations in y to articles published in y-1 plus y-2 CiY: Cites in year y to documents published in year y II: Immediacy Index: CiY / Documents. AII: Average Immediacy Index for series in RePEc in year y |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 1981 | Martingales and stochastic integrals in the theory of continuous trading. (1981). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:11:y:1981:i:3:p:215-260. Full description at Econpapers || Download paper | 262 |
| 1999 | A new weak dependence condition and applications to moment inequalities. (1999). Doukhan, Paul ; Louhichi, Sana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:84:y:1999:i:2:p:313-342. Full description at Econpapers || Download paper | 39 |
| 2000 | Weak convergence of multivariate fractional processes. (2000). Marinucci, D. ; Robinson, P. M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:86:y:2000:i:1:p:103-120. Full description at Econpapers || Download paper | 38 |
| 1989 | Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes. (1989). de Vries, Casper ; Resnick, Sidney I. ; de Haan, Laurens ; Rootzen, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:32:y:1989:i:2:p:213-224. Full description at Econpapers || Download paper | 37 |
| 1983 | A stochastic calculus model of continuous trading: Complete markets. (1983). Harrison, Michael J. ; Pliska, Stanley R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:15:y:1983:i:3:p:313-316. Full description at Econpapers || Download paper | 36 |
| 2008 | Asymptotic properties of realized power variations and related functionals of semimartingales. (2008). Jacod, Jean . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:4:p:517-559. Full description at Econpapers || Download paper | 34 |
| 1993 | Risk theory in a stochastic economic environment. (1993). Paulsen, Jostein . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:46:y:1993:i:2:p:327-361. Full description at Econpapers || Download paper | 33 |
| 2002 | Regular variation of GARCH processes. (2002). Basrak, Bojan ; Mikosch, Thomas ; Davis, Richard A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:99:y:2002:i:1:p:95-115. Full description at Econpapers || Download paper | 31 |
| 1985 | Some mixing properties of time series models. (1985). Tran, Lanh T. ; Pham, Tuan D.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:19:y:1985:i:2:p:297-303. Full description at Econpapers || Download paper | 30 |
| 2009 | Microstructure noise in the continuous case: The pre-averaging approach. (2009). Podolskij, Mark ; Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Vetter, Mathias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:7:p:2249-2276. Full description at Econpapers || Download paper | 29 |
| 1996 | Multivariate regression estimation local polynomial fitting for time series. (1996). Masry, Elias . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:65:y:1996:i:1:p:81-101. Full description at Econpapers || Download paper | 29 |
| 1998 | Selecting the optimal sample fraction in univariate extreme value estimation. (1998). Kaufmann, Edgar ; Drees, Holger . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:149-172. Full description at Econpapers || Download paper | 29 |
| 2006 | Limit theorems for multipower variation in the presence of jumps. (2006). Shephard, Neil ; Winkel, Matthias ; Barndorff-Nielsen, Ole E.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:116:y:2006:i:5:p:796-806. Full description at Econpapers || Download paper | 28 |
| 1990 | Nonparametric regression with long-range dependence. (1990). HART, Jeffrey D. ; Hall, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:2:p:339-351. Full description at Econpapers || Download paper | 28 |
| 2003 | Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. (2003). Tsitsiashvili, Gurami ; Tang, Qihe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:299-325. Full description at Econpapers || Download paper | 28 |
| 1994 | Subexponentiality of the product of independent random variables. (1994). Cline, D. B. H., ; Samorodnitsky, G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:1:p:75-98. Full description at Econpapers || Download paper | 25 |
| 2004 | Dynamic coherent risk measures. (2004). Riedel, Frank. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:112:y:2004:i:2:p:185-200. Full description at Econpapers || Download paper | 24 |
| 1982 | On convolution tails. (1982). Goldie, Charles M. ; Embrechts, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:13:y:1982:i:3:p:263-278. Full description at Econpapers || Download paper | 20 |
| 1991 | Option hedging for semimartingales. (1991). Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:37:y:1991:i:2:p:339-363. Full description at Econpapers || Download paper | 20 |
| 1986 | On smoothed probability density estimation for stationary processes. (1986). Castellana, J. V. ; Leadbetter, M. R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:21:y:1986:i:2:p:179-193. Full description at Econpapers || Download paper | 19 |
| 2002 | Power tailed ruin probabilities in the presence of risky investments. (2002). Norberg, Ragnar ; Kalashnikov, Vladimir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228. Full description at Econpapers || Download paper | 19 |
| 1993 | Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence. (1993). Heyde, C. C. ; Gay, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:45:y:1993:i:1:p:169-182. Full description at Econpapers || Download paper | 18 |
| 1986 | Strong uniform convergence rates in robust nonparametric time series analysis and prediction: Kernel regression estimation from dependent observations. (1986). Härdle, Wolfgang ; Collomb, Gerard ; HARDLE, Wolfgang . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:23:y:1986:i:1:p:77-89. Full description at Econpapers || Download paper | 17 |
| 1994 | Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms. (1994). Roberts, G. O. ; Smith, A. F. M., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:49:y:1994:i:2:p:207-216. Full description at Econpapers || Download paper | 17 |
| 1992 | M-estimation for autoregressions with infinite variance. (1992). Liu, Jian ; Davis, Richard A. ; Knight, Keith . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:145-180. Full description at Econpapers || Download paper | 16 |
| 1995 | Fractional ARIMA with stable innovations. (1995). Taqqu, Murad S. ; Kokoszka, Piotr S.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:19-47. Full description at Econpapers || Download paper | 16 |
| 2004 | Russian and American put options under exponential phase-type Lévy models. (2004). Avram, Florin ; Asmussen, Soren ; Pistorius, Martijn R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:109:y:2004:i:1:p:79-111. Full description at Econpapers || Download paper | 16 |
| 1998 | Optimal trading strategy for an investor: the case of partial information. (1998). Lakner, Peter . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:76:y:1998:i:1:p:77-97. Full description at Econpapers || Download paper | 15 |
| 2003 | Lp solutions of backward stochastic differential equations. (2003). Delyon, B. ; Hu, Y. ; Stoica, L. ; PARDOUX, E. ; Briand, Ph., . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:1:p:109-129. Full description at Econpapers || Download paper | 15 |
| 1999 | On the ruin probabilities in a general economic environment. (1999). Nyrhinen, Harri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:83:y:1999:i:2:p:319-330. Full description at Econpapers || Download paper | 15 |
| 1991 | Time-dependent coefficients in a Cox-type regression model. (1991). Sen, P. K. ; Murphy, S. A.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180. Full description at Econpapers || Download paper | 15 |
| 2007 | Stability of utility-maximization in incomplete markets. (2007). Zitkovic, Gordan ; Larsen, Kasper . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:117:y:2007:i:11:p:1642-1662. Full description at Econpapers || Download paper | 15 |
| 1977 | Ruin problems with compounding assets. (1977). Harrison, Michael J.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:5:y:1977:i:1:p:67-79. Full description at Econpapers || Download paper | 14 |
| 2008 | A note on the central limit theorem for bipower variation of general functions. (2008). Podolskij, Mark ; Kinnebrock, Silja . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:118:y:2008:i:6:p:1056-1070. Full description at Econpapers || Download paper | 14 |
| 2001 | Finite and infinite time ruin probabilities in a stochastic economic environment. (2001). Nyrhinen, Harri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:92:y:2001:i:2:p:265-285. Full description at Econpapers || Download paper | 14 |
| 1992 | Maximum-likelihood estimation for hidden Markov models. (1992). Leroux, Brian G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:40:y:1992:i:1:p:127-143. Full description at Econpapers || Download paper | 13 |
| 2003 | A new covariance inequality and applications. (2003). Dedecker, Jerome ; Doukhan, Paul . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:106:y:2003:i:1:p:63-80. Full description at Econpapers || Download paper | 13 |
| 2000 | Optimal portfolios for logarithmic utility. (2000). Kallsen, Jan ; Goll, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48. Full description at Econpapers || Download paper | 13 |
| 2001 | A universal result in almost sure central limit theory. (2001). Csaki, Endre ; Berkes, Istvan . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:94:y:2001:i:1:p:105-134. Full description at Econpapers || Download paper | 13 |
| 2001 | Convergence of locally and globally interacting Markov chains. (2001). Horst, Ulrich ; Follmer, Hans . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:96:y:2001:i:1:p:99-121. Full description at Econpapers || Download paper | 12 |
| 1996 | On the Kullback-Leibler information divergence of locally stationary processes. (1996). Dahlhaus, Rainer. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:62:y:1996:i:1:p:139-168. Full description at Econpapers || Download paper | 12 |
| 1999 | Ruin problems with assets and liabilities of diffusion type. (1999). Norberg, Ragnar . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:81:y:1999:i:2:p:255-269. Full description at Econpapers || Download paper | 12 |
| 2003 | Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (2003). Skiadas, Costis ; Schroder, Mark . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:108:y:2003:i:2:p:155-202. Full description at Econpapers || Download paper | 12 |
| 1990 | Nonparametric regression estimation under mixing conditions. (1990). Roussas, George G.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:36:y:1990:i:1:p:107-116. Full description at Econpapers || Download paper | 12 |
| 1977 | Asymptotic behaviour of Wiener-Hopf factors of a random walk. (1977). VERAVERBEKE, N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:5:y:1977:i:1:p:27-37. Full description at Econpapers || Download paper | 12 |
| 1998 | Additional logarithmic utility of an insider. (1998). Amendinger, Jurgen ; Imkeller, Peter ; Schweizer, Martin . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:75:y:1998:i:2:p:263-286. Full description at Econpapers || Download paper | 12 |
| 2001 | Distributions for the risk process with a stochastic return on investments. (2001). Wang, Guojing ; Wu, Rong . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:95:y:2001:i:2:p:329-341. Full description at Econpapers || Download paper | 12 |
| 1995 | A class of micropulses and antipersistent fractional Brownian motion. (1995). Mandelbrot, Benoît ; Cioczek-Georges, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:60:y:1995:i:1:p:1-18. Full description at Econpapers || Download paper | 12 |
| 2003 | On the optimal stopping problem for one-dimensional diffusions. (2003). Karatzas, Ioannis ; Dayanik, Savas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:107:y:2003:i:2:p:173-212. Full description at Econpapers || Download paper | 12 |
| 1975 | Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space. (1975). Tweedie, Richard L.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:3:y:1975:i:4:p:385-403. Full description at Econpapers || Download paper | 11 |
Citing documents used to compute impact factor 32:
| Year | Title | See |
|---|---|---|
| 2012 | Locally adaptive image denoising by a statistical multiresolution criterion. (2012). Munk, Axel ; Kabluchko, Zakhar ; Hotz, Thomas ; Stichtenoth, Rahel ; Marnitz, Philipp ; Davies, Laurie . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:56:y:2012:i:3:p:543-558. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Fractional P(Ï)1-processes and Gibbs measures. (2012). Lrinczi, Jozsef ; Kaleta, Kamil . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:10:p:3580-3617. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Strong and weak orders in averaging for SPDEs. (2012). Brhier, Charles-Edouard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2553-2593. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Continuous-time trading and the emergence of probability. (2012). Vovk, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:561-609. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Quadratic reflected BSDEs with unbounded obstacles. (2012). Bayraktar, Erhan ; Yao, Song . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1155-1203. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Affine processes on positive semidefinite dÃd matrices have jumps of finite variation in dimension d>1. (2012). Mayerhofer, Eberhard . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:10:p:3445-3459. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Asymptotically optimal discretization of hedging strategies with jumps. (2012). Rosenbaum, Mathieu ; Tankov, Peter . In: Papers. RePEc:arx:papers:1108.5940. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Invariance principles for a multivariate Student process in the generalized domain of attraction of the multivariate normal law. (2012). Martsynyuk, Yuliya V.. In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:12:p:2270-2277. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the infinitesimal dispersion of multivariate Markov counting systems. (2012). Bret, Carles . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:4:p:720-725. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Time changes that result in multiple points in continuous-time Markov counting processes. (2012). Breto, Carles . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:12:p:2229-2234. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Random times and multiplicative systems. (2012). Li, Libo ; RUTKOWSKI, MAREK . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:5:p:2053-2077. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Linear variance bounds for particle approximations of time-homogeneous FeynmanâKac formulae. (2012). Jasra, Ajay ; Kantas, Nikolas ; Whiteley, Nick . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1840-1865. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | From SturmâLiouville problems to fractional and anomalous diffusions. (2012). DOvidio, Mirko . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:10:p:3513-3544. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs. (2012). Mikulevicius, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2730-2757. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Backbone decomposition for continuous-state branching processes with immigration. (2012). Kyprianou, A. E. ; Ren, Y.-X., . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:1:p:139-144. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Reflected backward stochastic differential equations with time delayed generators. (2012). Zhou, Qing ; Ren, Yong . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:5:p:979-990. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Efficient and accurate log-L\evy approximations to L\evy driven LIBOR
models. (2012). Papapantoleon, Antonis ; Schoenmakers, John ; Skovmand, David . In: Papers. RePEc:arx:papers:1106.0866. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Optimal simulation schemes for L\evy driven stochastic differential
equations. (2012). Kohatsu-Higa, Arturo ; Ortiz-Latorre, Salvador ; Tankov, Peter . In: Papers. RePEc:arx:papers:1204.4877. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs. (2012). Mikulevicius, R.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2730-2757. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Strong mixing properties of max-infinitely divisible random fields. (2012). Dombry, Clement ; Eyi-Minko, Frederic . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:11:p:3790-3811. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Convergence of invariant measures for singular stochastic diffusion equations. (2012). CIOTIR, Ioana ; Tlle, Jonas M.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1998-2017. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Moments, moderate and large deviations for a branching process in a random environment. (2012). Huang, Chunmao ; Liu, Quansheng . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:2:p:522-545. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Asymmetry tests for bifurcating auto-regressive processes with missing data. (2012). GGOUT-PETIT, ANNE ; Marsalle, Laurence ; de Saporta, Benote . In: Statistics & Probability Letters. RePEc:eee:stapro:v:82:y:2012:i:7:p:1439-1444. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Random times and multiplicative systems. (2012). Li, Libo ; RUTKOWSKI, MAREK . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:5:p:2053-2077. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Default times, no-arbitrage conditions and changes of probability measures. (2012). Nikeghbali, Ashkan ; Jeanblanc, Monique ; Coculescu, Delia . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:513-535. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Splitting trees with neutral Poissonian mutations I: Small families. (2012). Lambert, Amaury ; Champagnat, Nicolas . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:3:p:1003-1033. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory. (2012). Jarrow, Robert ; Protter, Philip . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:2:p:58-62. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Strict local martingale deflators and valuing American call-type options. (2012). Bayraktar, Erhan ; Kardaras, Constantinos ; Xing, Hao . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:2:p:275-291. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces. (2012). Cohen, Samuel N.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:4:p:1601-1626. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory. (2012). Bibinger, Markus . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:6:p:2411-2453. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Central limit theorems for realized volatility under hitting times of an irregular grid. (2012). Fukasawa, Masaaki ; Rosenbaum, Mathieu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:3901-3920. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | The point process approach for fractionally differentiated random walks under heavy traffic. (2012). Barbe, Ph., ; McCormick, W. P.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:12:p:4028-4053. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | On the WienerâHopf factorization for Lévy processes with bounded positive jumps. (2012). Kuznetsov, A. ; Peng, X.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:122:y:2012:i:7:p:2610-2638. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | Fluctuation limits of site-dependent branching systems in critical and large dimensions. (2011). Li, Yuqiang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:11:p:1604-1611. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Harnack inequalities for Ornstein-Uhlenbeck processes driven by Lévy processes. (2011). Wang, Jian . In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:9:p:1436-1444. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2010
| Year | Title | See |
|---|---|---|
| 2010 | Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Reno, Roberto ; Corsi, Fulvio . In: Journal of Econometrics. RePEc:eee:econom:v:159:y:2010:i:2:p:276-288. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | A limit theorem for trees of alleles in branching processes with rare neutral mutations. (2010). Bertoin, Jean. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:5:p:678-697. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Itôs stochastic calculus and Heisenberg commutation relations. (2010). Biane, Philippe . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:5:p:698-720. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Itôs excursion theory and random trees. (2010). Le Gall, Jean-Franois . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:120:y:2010:i:5:p:721-749. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Probabilistic representation and approximation for coupled systems of variational inequalities. (2010). Kharroubi, Idris ; Elie, Romuald . In: Statistics & Probability Letters. RePEc:eee:stapro:v:80:y:2010:i:17-18:p:1388-1396. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2010 | Threshold bipower variation and the impact of jumps on volatility forecasting. (2010). Renò, Roberto ; Pirino, Davide ; Reno, Roberto ; Corsi, Fulvio . In: Post-Print. RePEc:hal:journl:peer-00741630. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2009
| Year | Title | See |
|---|---|---|
| 2009 | Multipower Variation for Brownian Semistationary Processes. (2009). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel . In: CREATES Research Papers. RePEc:aah:create:2009-21. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | On the Economic Evaluation of Volatility Forecasts. (2009). Voev, Valeri. In: CREATES Research Papers. RePEc:aah:create:2009-56. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | Limit theorems for functionals of higher order differences of Brownian semi-stationary processes. (2009). Podolskij, Mark ; Barndorff-Nielsen, Ole ; Corcuera, Jose Manuel . In: CREATES Research Papers. RePEc:aah:create:2009-60. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk. (2009). Bion-Nadal, Jocelyne . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:45:y:2009:i:11:p:738-750. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | Uniform time average consistency of Monte Carlo particle filters. (2009). van Handel, Ramon . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:11:p:3835-3861. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | Scaling limits for symmetric Itô-Lévy processes in random medium. (2009). Rhodes, Remi ; Vargas, Vincent . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:12:p:4004-4033. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2009 | State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains. (2009). Fort, G. ; Connor, S. B.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:119:y:2009:i:12:p:4176-4193. Full description at Econpapers || Download paper | [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.