Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

Finance Research Letters / Elsevier

[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]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.09000000.04
19910.09000000.04
19920.09000000.04
19930.1000000.05
19940.11000000.05
19950.2000000.08
19960.24000000.1
19970.3010000.11
19980.29000000.11
19990.34000000.15
20000.42040000.16
20010.44010000.17
20020.45020000.2
20030.47040000.2
20040.53272750.192490050.190.22
20050.850.562552290.5612627234.320.080.23
20060.540.552880400.5106522814.360.210.22
20070.360.4729109470.435553195.310.030.19
20080.260.526135650.48705715060.230.21
20090.290.5126161880.55515516030.120.21
20100.420.4730191680.3646522213.640.130.17
20110.290.5526217930.433356166.330.120.22
20120.360.67252421120.462956201020.080.26
20130.690.92232651500.57651358.640.170.34
20140.230.6819284730.26148119.110.050.24
 
 
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:

YearTitleCited
2004Asymmetric information, bank lending and implicit contracts: the winners curse. (2004). von Thadden, Ernst-Ludwig. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:11-23.

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70
2004On more robust estimation of skewness and kurtosis. (2004). White, Halbert ; Kim, Tae-Hwan. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:56-73.

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40
2004Limited stock market participation and the equity premium. (2004). Polkovnichenko, Valery. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:24-34.

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31
2004Maximizing the expected net future value as an alternative strategy to gamma discounting. (2004). Gollier, Christian. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:85-89.

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29
2006Modeling dynamic conditional correlations in WTI oil forward and futures returns. (2006). McAleer, Michael ; Manera, Matteo ; Lanza, Alessandro. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:114-132.

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23
2004Reported and secret interventions in the foreign exchange markets. (2004). Beine, Michel ; LECOURT, Christelle . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:4:p:215-225.

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23
2005tays as good as cay. (2005). Brennan, Michael J. ; Xia, Yihong . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:1:p:1-14.

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21
2006The interaction between technical currency trading and exchange rate fluctuations. (2006). Schulmeister, Stephan. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:3:p:212-233.

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19
2005The long-run equity risk premium. (2005). Harvey, Campbell ; Graham, John R.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:185-194.

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17
2008Time-series predictability in the disaster model. (2008). Gourio, Francois. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:4:p:191-203.

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16
2004Institutional trading and stock returns. (2004). Cai, Fang ; Zheng, Lu. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:178-189.

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14
2005A note on sufficient conditions for no arbitrage. (2005). Madan, Dilip B. ; Carr, Peter . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:125-130.

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14
2005tays as good as cay: Reply. (2005). Ludvigson, Sydney ; Lettau, Martin. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:1:p:15-22.

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13
2006Explosive bubbles in the cointegrated VAR model. (2006). Engsted, Tom. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:2:p:154-162.

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13
2005Solving models with external habit. (2005). Wachter, Jessica. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:210-226.

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11
2005Another look at the relationship between cross-market correlation and volatility. (2005). Bartram, Söhnke ; Wang, Yaw-Huei . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:2:p:75-88.

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11
2009Automatic variance ratio test under conditional heteroskedasticity. (2009). Kim, Jae. In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:3:p:179-185.

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11
2006Disentangling risk aversion and intertemporal substitution through a reference level. (2006). Renault, Eric ; Garcia, René ; Semenov, Andrei . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:3:p:181-193.

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9
2004The effect of market conditions on capital structure adjustment. (2004). Goyal, Vidhan ; Frank, Murray. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:1:p:47-55.

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8
2008Option pricing in a Garch model with tempered stable innovations. (2008). Mercuri, Lorenzo. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:172-182.

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8
2006On the sequencing of projects, reputation building, and relationship finance. (2006). Ongena, Steven ; Smith, David C. ; Egli, Dominik. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:1:p:23-39.

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8
2010Martingalized historical approach for option pricing. (2010). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, C.. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:1:p:24-28.

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8
2011Gold and the US dollar: Hedge or haven?. (2011). Joy, Mark. In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:3:p:120-131.

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8
2007The navigation of an iceberg: The optimal use of hidden orders. (2007). Esser, Angelika ; Monch, Burkart. In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:2:p:68-81.

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8
2007S&P 500 implied volatility and monetary policy announcements. (2007). Clements, Adam ; chen, en-te. In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:4:p:227-232.

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8
2008Positivity constraints on the conditional variances in the family of conditional correlation GARCH models. (2008). Teräsvirta, Timo ; Nakatani, Tomoaki ; Tersvirta, Timo . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:2:p:88-95.

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8
2005Hedging the smirk. (2005). Bates, David S.. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:195-200.

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7
2012Measuring economic uncertainty and its impact on the stock market. (2012). Dzielinski, Michal . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:3:p:167-175.

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7
2008On measuring concentration in banking systems. (2008). Schaeck, Klaus ; Alegria, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:59-67.

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7
2010Understanding the risk of leveraged ETFs. (2010). Jarrow, Robert. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:3:p:135-139.

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7
2011Financial volatility forecasting with range-based autoregressive volatility model. (2011). Li, Hongquan ; Hong, Yongmiao . In: Finance Research Letters. RePEc:eee:finlet:v:8:y:2011:i:2:p:69-76.

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6
2008Modeling loan commitments. (2008). Jarrow, Robert ; Chava, Sudheer. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:11-20.

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6
2005Portfolio selection with two-stage preferences. (2005). Taboga, Marco. In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164.

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6
2004Myopic loss aversion and the equity premium puzzle reconsidered. (2004). Tee, Hong Wee ; Durand, Robert B. ; Lloyd, Paul. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:171-177.

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6
2005Cointegration analysis of the Fed model. (2005). Koivu, Matti ; Ziemba, William T. ; Pennanen, Teemu . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:4:p:248-259.

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6
2006On the relation between the market-to-book ratio, growth opportunity, and leverage ratio. (2006). Chen, Long ; Zhao, Xinlei . In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:253-266.

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6
2004On the consequences of state dependent preferences for the pricing of financial assets. (2004). Giannikos, Christos ; Danthine, Jean-Pierre ; Donaldson, John B. ; Guirguis, Hany . In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:3:p:143-153.

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6
2009Extreme return-volume dependence in East-Asian stock markets: A copula approach. (2009). Wirjanto, Tony ; Ning, Cathy. In: Finance Research Letters. RePEc:eee:finlet:v:6:y:2009:i:4:p:202-209.

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6
2007Exploring the components of credit risk in credit default swaps. (2007). Fabozzi, Frank ; Cheng, Xiaolin . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:1:p:10-18.

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6
2008Patterns in cross market liquidity. (2008). Spiegel, Matthew . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:1:p:2-10.

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6
2004How do stock prices respond to fundamental shocks?. (2004). Binswanger, Mathias. In: Finance Research Letters. RePEc:eee:finlet:v:1:y:2004:i:2:p:90-99.

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6
2005Industry momentum and common factors. (2005). Du, Ding ; Denning, Karen . In: Finance Research Letters. RePEc:eee:finlet:v:2:y:2005:i:3:p:107-124.

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5
2007Rare events and annuity market participation. (2007). Michaelides, Alexander ; Lopes, Paula . In: Finance Research Letters. RePEc:eee:finlet:v:4:y:2007:i:2:p:82-91.

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5
2012Google Internet search activity and volatility prediction in the market for foreign currency. (2012). Smith, Geoffrey Peter . In: Finance Research Letters. RePEc:eee:finlet:v:9:y:2012:i:2:p:103-110.

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5
2010Does the weather affect stock market volatility?. (2010). Symeonidis, Lazaros ; Markellos, Raphael ; Daskalakis, George. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:4:p:214-223.

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5
2006Exchange rates and order flow in the long run. (2006). van Norden, Simon ; Boyer, M. Martin. In: Finance Research Letters. RePEc:eee:finlet:v:3:y:2006:i:4:p:235-243.

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5
2008Option prices as probabilities. (2008). Roynette, B. ; Yor, Marc ; Madan, D.. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:2:p:79-87.

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5
2010A note on wealth effect under CARA utility. (2010). Makarov, Dmitry ; Schornick, Astrid V.. In: Finance Research Letters. RePEc:eee:finlet:v:7:y:2010:i:3:p:170-177.

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4
2008Robustness of the risk-return relationship in the U.S. stock market. (2008). Luoto, Jani ; Lanne, Markku. In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:2:p:118-127.

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4
2008On the qualitative effect of volatility and duration on prices of Asian options. (2008). Ewald, Christian-Oliver ; Carr, Peter ; XIAO, YAJUN . In: Finance Research Letters. RePEc:eee:finlet:v:5:y:2008:i:3:p:162-171.

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4

Citing documents used to compute impact factor 11:

YearTitleSee
2014[Citation Analysis]
201460 Years of portfolio optimization: Practical challenges and current trends. (2014). Kolm, Petter N. ; Fabozzi, Frank J. ; Tutuncu, Reha . In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:2:p:356-371.

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[Citation Analysis]
2014Investor attention, index performance, and return predictability. (2014). Vozlyublennaia, Nadia . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:41:y:2014:i:c:p:17-35.

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[Citation Analysis]
2014How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test. (2014). Yang, Lixiong ; Shie, Fu Shuen ; Lee, Chingnun . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:26:y:2014:i:c:p:198-226.

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[Citation Analysis]
2014A spatial–temporal analysis of East Asian equity market linkages. (2014). Tam, Pui Sun . In: Journal of Comparative Economics. RePEc:eee:jcecon:v:42:y:2014:i:2:p:304-327.

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[Citation Analysis]
2014Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). Wongswan, Jon ; Warnock, Francis E. ; Thomas, Charles P. ; CharlesP. Thomas, ; Curcuru, Stephanie E.. In: NBER Working Papers. RePEc:nbr:nberwo:19963.

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[Citation Analysis]
2014Uncovered Equity Parity and Rebalancing in International Portfolios. (2014). Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E. ; Thomas, Charles P. ; CharlesP. Thomas, . In: International Finance Discussion Papers. RePEc:fip:fedgif:1103.

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[Citation Analysis]
2014.

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[Citation Analysis]
2014Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2014). Alexander M. G. Cox, ; Obloj, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1406.0551.

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[Citation Analysis]
2014Timing and eco(nomic) efficiency of climate-friendly investments in supply chains. (2014). Lukas, Elmar ; Welling, Andreas . In: European Journal of Operational Research. RePEc:eee:ejores:v:233:y:2014:i:2:p:448-457.

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[Citation Analysis]
2014On the investment–uncertainty relationship: A game theoretic real option approach. (2014). Lukas, Elmar ; Welling, Andreas . In: Finance Research Letters. RePEc:eee:finlet:v:11:y:2014:i:1:p:25-35.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

YearTitleSee
2013On the predictability of stock prices: A case for high and low prices. (2013). Santucci de Magistris, Paolo ; Ranaldo, Angelo ; Caporin, Massimiliano. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:12:p:5132-5146.

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[Citation Analysis]
2013Overconfident individual day traders: Evidence from the Taiwan futures market. (2013). Kuo, Wei-Yu ; Lin, Tse-Chun . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3548-3561.

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[Citation Analysis]
2013Efficient Jacobian evaluations for estimating zero lower bound term structure models. (2013). Krippner, Leo. In: CAMA Working Papers. RePEc:een:camaaa:2013-77.

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[Citation Analysis]
2013A Fear Index to Predict Oil Futures Returns. (2013). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit . In: Working Papers. RePEc:fem:femwpa:2013.62.

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[Citation Analysis]

Recent citations received in: 2012

YearTitleSee
2012Heterogeneous gain learning and the dynamics of asset prices. (2012). Lebaron, Blake. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:83:y:2012:i:3:p:424-445.

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[Citation Analysis]
2012On the Investment-Uncertainty Relationship: A Game Theoretic Real Option Approach. (2012). Welling, Andreas ; Lukas, Elmar . In: FEMM Working Papers. RePEc:mag:wpaper:120030.

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[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Portfolio separation properties of the skew-elliptical distributions, with generalizations. (2011). Framstad, Nils. In: Statistics & Probability Letters. RePEc:eee:stapro:v:81:y:2011:i:12:p:1862-1866.

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[Citation Analysis]
2011Are Euro exchange rates markets efficient? New evidence from a large panel. (2011). Cheung, Adrian (Wai-Kong) ; Su, Jen-Je ; Choo, Astrophel Kim . In: Discussion Papers in Finance. RePEc:gri:fpaper:finance:201109.

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[Citation Analysis]
2011The role of high frequency intra-daily data, daily range and implied volatility in multi-period Value-at-Risk forecasting. (2011). Louzis, Dimitrios ; Refenes, Apostolos P. ; Xanthopoulos-Sisinis, Spyros . In: MPRA Paper. RePEc:pra:mprapa:35252.

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[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.