providing citation data for Economics since 2001
[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [
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| 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 |
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Most cited documents in this series:
| Year | Title | Cited |
|---|---|---|
| 2001 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 223 |
| 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 95 |
| 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 80 |
| 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 67 |
| 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 59 |
| 2001 | Asset price and wealth dynamics under heterogeneous expectations. (2001). Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers || Download paper | 54 |
| 2002 | Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 53 |
| 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 48 |
| 2001 | High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers || Download paper | 41 |
| 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers || Download paper | 38 |
| 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 38 |
| 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 35 |
| 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 34 |
| 2001 | Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers || Download paper | 33 |
| 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 32 |
| 2001 | Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers || Download paper | 30 |
| 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 30 |
| 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 28 |
| 2003 | Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers || Download paper | 28 |
| 2008 | A multifactor volatility Heston model. (2008). DA FONSECA, José ; Tebaldi, Claudio ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 26 |
| 2001 | Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers || Download paper | 26 |
| 2001 | Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers || Download paper | 24 |
| 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 23 |
| 2004 | A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers || Download paper | 22 |
| 2001 | Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269. Full description at Econpapers || Download paper | 21 |
| 2003 | Fundamentalists clashing over the book: a study of order-driven stock markets. (2003). Pellizzari, Paolo ; LiCalzi, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480. Full description at Econpapers || Download paper | 21 |
| 2005 | Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers || Download paper | 20 |
| 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 19 |
| 2008 | Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers || Download paper | 19 |
| 2001 | Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers || Download paper | 19 |
| 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 19 |
| 2007 | Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers || Download paper | 19 |
| 2003 | Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers || Download paper | 19 |
| 2002 | Probability distribution of returns in the Heston model with stochastic volatility. (2002). Dragulescu, A. A. ; Yakovenko, V. M.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers || Download paper | 19 |
| 2001 | A statistical analysis of log-periodic precursors to financial crashes*. (2001). Feigenbaum, James. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:346-360. Full description at Econpapers || Download paper | 18 |
| 2001 | Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers || Download paper | 18 |
| 2004 | Sampling from Archimedean copulas. (2004). Whelan, Niall . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:339-352. Full description at Econpapers || Download paper | 18 |
| 2005 | Multiple equilibria in a monopoly market with heterogeneous agents and externalities. (2005). Phan, Denis ; Nadal, Jean-Pierre ; Vannimenus, Jean ; Gordon, Mirta B.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:6:p:557-568. Full description at Econpapers || Download paper | 18 |
| 2004 | On the estimation of cost of capital and its reliability. (2004). Wong, Wing-Keung ; Chan, Raymond . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372. Full description at Econpapers || Download paper | 17 |
| 2002 | Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69. Full description at Econpapers || Download paper | 17 |
| 2001 | Large returns, conditional correlation and portfolio diversification: a value-at-risk approach. (2001). Granger, Clive ; C. W. J. GRANGER, ; Silvapulle, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:542-551. Full description at Econpapers || Download paper | 17 |
| 2001 | Scaling and universality in economics: empirical results and theoretical interpretation. (2001). Stanley, H. E. ; Plerou, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:563-567. Full description at Econpapers || Download paper | 17 |
| 2002 | Semi-parametric modelling in finance: theoretical foundations. (2002). Bingham, N. H. ; Kiesel, Rudiger . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:241-250. Full description at Econpapers || Download paper | 16 |
| 2001 | Stochastic volatility, power laws and long memory. (2001). Mandelbrot, Benoît. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:558-559. Full description at Econpapers || Download paper | 16 |
| 2004 | Volatility processes and volatility forecast with long memory. (2004). Zumbach, Gilles . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:70-86. Full description at Econpapers || Download paper | 16 |
| 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 16 |
| 2001 | Multifractal returns and hierarchical portfolio theory. (2001). Arneodo, A. ; Delour, J. ; J-F. Muzy, ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:131-148. Full description at Econpapers || Download paper | 16 |
| 2005 | Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers || Download paper | 16 |
| Fast strong approximation Monte Carlo schemes for stochastic volatility models. (2006). Kahl, Christian ; Jackel, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:6:y:2006:i:6:p:513-536. Full description at Econpapers || Download paper | 16 | |
| 2005 | The impact of the market portfolio on the valuation, incentives and optimality of executive stock options. (2005). Henderson, Vicky . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:35-47. Full description at Econpapers || Download paper | 15 |
Citing documents used to compute impact factor 52:
| Year | Title | See |
|---|---|---|
| 2014 | The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate. (2014). Xiao, Weilin ; Chen, Xiaoyan ; Zhang, Xili . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:394:y:2014:i:c:p:320-337. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Stylized facts of price gaps in limit order books: Evidence from Chinese
stocks. (2014). Gu, Gao-Feng ; Zhou, Wei-Xing ; Zhang, Wei ; Chen, Wei ; Xiong, Xiong . In: Papers. RePEc:arx:papers:1405.1247. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The adaptive nature of liquidity taking in limit order books. (2014). Taranto, Damian Eduardo ; Lillo, Fabrizio ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1403.0842. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Default Probability Estimation via Pair Copula Constructions. (2014). Valle, Luciana Dalla ; Manelli, Claudio ; Tarantola, Claudia ; De Giuli, Maria Elena ; DeGiuli, Maria Elena . In: Papers. RePEc:arx:papers:1405.1309. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The timeline of trading frictions in the European carbon market. (2014). Medina, Vicente ; Pascual, Roberto ; Pardo, Angel . In: Energy Economics. RePEc:eee:eneeco:v:42:y:2014:i:c:p:378-394. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | Set-valued shortfall and divergence risk measures. (2014). Ararat, cCaugin ; Rudloff, Birgit ; Hamel, Andreas H.. In: Papers. RePEc:arx:papers:1405.4905. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Ergodicity and scaling limit of a constrained multivariate Hawkes
process. (2014). Zheng, Ban ; Roueff, Franccois ; Fr'ed'eric Abergel, . In: Papers. RePEc:arx:papers:1301.5007. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Market impact as anticipation of the order flow imbalance. (2014). Jaisson, Thibault . In: Papers. RePEc:arx:papers:1402.1288. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Apparent criticality and calibration issues in the Hawkes self-excited
point process model: application to high-frequency financial data. (2013). Filimonov, Vladimir ; Sornette, Didier . In: Papers. RePEc:arx:papers:1308.6756. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Second order statistics characterization of Hawkes processes and
non-parametric estimation. (2014). Bacry, Emmanuel ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1401.0903. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Stationarity of Bivariate Dynamic Contagion Processes. (2014). Dassios, Angelos ; Dong, Xin . In: Papers. RePEc:arx:papers:1405.5842. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Ergodicity and scaling limit of a constrained multivariate Hawkes process. (2014). Zheng, Ban ; Abergel, Frederic ; Roueff, Franois . In: Post-Print. RePEc:hal:journl:hal-00777941. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | $L_p$ regularized portfolio optimization. (2014). Still, Susanne ; Marsili, Matteo ; Kondor, Imre ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1404.4040. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On a Convex Measure of Drawdown Risk. (2014). Goldberg, Lisa R. ; Mahmoud, Ola . In: Papers. RePEc:arx:papers:1404.7493. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Two price economies in continuous time. (2014). Madan, Dilip ; Schoutens, Wim ; Pistorius, Martijn ; Yor, Marc ; Eberlein, Ernst . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:1:p:71-100. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Optimal Liquidity Provision in Limit Order Markets. (2014). Kuhn, Christoph ; Muhle-Karbe, Johannes . In: Papers. RePEc:arx:papers:1309.5235. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Facilitation and Internalization Optimal Strategy in a Multilateral
Trading Context. (2014). Li, Qinghua . In: Papers. RePEc:arx:papers:1404.7320. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Self-organization and phase transition in financial markets with
multiple choices. (2014). Zhong, Li-Xin ; Huang, Ping ; Xu, Wen-Juan ; Qiu, Tian . In: Papers. RePEc:arx:papers:1312.0690. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments. (2014). Kim, Woo Chang ; Fox, Charles ; Cheridito, Patrick ; Fabozzi, Frank J.. In: Economics Letters. RePEc:eee:ecolet:v:122:y:2014:i:2:p:154-158. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Evidence of contagion in global REITs investment. (2014). Chang, Guang-Di ; Chen, Chia-Shih . In: International Review of Economics & Finance. RePEc:eee:reveco:v:31:y:2014:i:c:p:148-158. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | On the Measurement of Economic Tail Risk. (2014). Kou, Steven ; Peng, Xianhua . In: Papers. RePEc:arx:papers:1401.4787. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Bayesian analysis of tail asymmetry based on a threshold extreme value model. (2014). So, Mike K. P., ; Chan, Raymond K. S., . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:71:y:2014:i:c:p:568-587. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Platen, Eckhard ; Ignatieva, Katja ; Baldeaux, Jan ; Fung, Man Chung . In: Research Paper Series. RePEc:uts:rpaper:343. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Valuation perspectives and decompositions for variable annuities with GMWB riders. (2014). Hyndman, Cody B. ; Wenger, Menachem . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:283-290. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Quadratic hedging schemes for non-Gaussian GARCH models. (2014). Badescu, Alexandru ; Ortega, Juan-Pablo ; Elliott, Robert J.. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:42:y:2014:i:c:p:13-32. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Income drawdown option with minimum guarantee. (2014). Gozzi, Fausto ; Di Giacinto, Marina ; Vigna, Elena ; Federico, Salvatore . In: European Journal of Operational Research. RePEc:eee:ejores:v:234:y:2014:i:3:p:610-624. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period meanâvariance framework. (2014). Yao, Haixiang ; Jian, Minjie ; Ma, Qinghua ; Lai, Yongzeng . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:54:y:2014:i:c:p:84-92. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Microscopic determinants of the weak-form efficiency of an artificial
order-driven stock market. (2014). Gu, Gao-Feng ; Xiong, Xiong ; Jiang, Zhi-Qiang ; Zhou, Jian ; Zhang, Wei . In: Papers. RePEc:arx:papers:1404.1051. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Stylized facts of price gaps in limit order books: Evidence from Chinese
stocks. (2014). Gu, Gao-Feng ; Zhou, Wei-Xing ; Zhang, Wei ; Chen, Wei ; Xiong, Xiong . In: Papers. RePEc:arx:papers:1405.1247. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Do ADR investors herd?: Evidence from advanced and emerging markets. (2014). Kutan, Ali ; Demirer, Riza ; Zhang, Huacheng . In: International Review of Economics & Finance. RePEc:eee:reveco:v:30:y:2014:i:c:p:138-148. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Clustering and hierarchy of financial markets data: advantages of the
DBHT. (2014). Aste, Tomaso ; Musmeci, Nicolo ; Di Matteo, Tiziana . In: Papers. RePEc:arx:papers:1406.0496. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties. (2014). Vilca, Filidor ; Zeller, Camila Borelli ; Balakrishnan, N.. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:128:y:2014:i:c:p:73-85. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Pricing exotic derivatives exploiting structure. (2014). Sesana, Debora ; Fusai, Gianluca ; Marazzina, Daniele . In: European Journal of Operational Research. RePEc:eee:ejores:v:236:y:2014:i:1:p:369-381. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The intra-day impact of communication on euro-dollar volatility and jumps. (2014). Dewachter, Hans ; LECOURT, Christelle ; Gnabo, Jean-Yves ; Erdemlioglu, Deniz . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:43:y:2014:i:c:p:131-154. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Weak approximation of averaged diffusion processes. (2014). Gobet, Emmanuel ; Miri, Mohammed . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:124:y:2014:i:1:p:475-504. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices. (2014). Kumar, Dilip ; Maheswaran, S.. In: Economic Modelling. RePEc:eee:ecmode:v:38:y:2014:i:c:p:33-44. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | How Fast Can Firms Grow?. (2014). Murmann, Johann Peter ; Worch, Hagen ; Korn, Jenny . In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik). RePEc:jns:jbstat:v:234:y:2014:i:2-3:p:210-233. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Gaussian-Chain Filters for Heavy-Tailed Noise with Application to
Detecting Big Buyers and Big Sellers in Stock Market. (2014). Wang, Li-Xin . In: Papers. RePEc:arx:papers:1405.2220. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Leverage-induced systemic risk under Basle II and other credit risk policies. (2014). Poledna, Sebastian ; Geanakoplos, John ; Farmer, Doyne J. ; Thurner, Stefan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:199-212. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Macroprudential Banking Regulation: Does One Size Fit All?. (2014). Neuberger, Doris ; Rissi, Roger . In: Journal of Banking and Financial Economics. RePEc:sgm:jbfeuw:v:1:y:2014:i:1:p:5-28. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | The Dynamic Skellam Model with Applications. (2014). Koopman, Siem Jan ; Lucas, Andre ; Lit, Rutger . In: Tinbergen Institute Discussion Papers. RePEc:dgr:uvatin:20140032. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | [Citation Analysis] | |
| 2014 | Tick Size Reduction and Price Clustering in a FX Order Book. (2014). Lallouache, Mehdi ; Fr'ed'eric Abergel, . In: Papers. RePEc:arx:papers:1307.5440. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | The adaptive nature of liquidity taking in limit order books. (2014). Taranto, Damian Eduardo ; Lillo, Fabrizio ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1403.0842. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aur'elien ; Blanc, Pierre . In: Papers. RePEc:arx:papers:1404.0648. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Alfonsi, Aurelien ; Blanc, Pierre . In: Working Papers. RePEc:hal:wpaper:hal-00971369. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
| Year | Title | See |
|---|---|---|
| 2014 | Utility indifference pricing of derivatives written on industrial loss
indexes. (2014). Leobacher, Gunther ; Ngare, Philip . In: Papers. RePEc:arx:papers:1404.0879. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Affine LIBOR models with multiple curves: theory, examples and
calibration. (2014). Grbac, Zorana ; Skovmand, David ; Schoenmakers, John ; Papapantoleon, Antonis . In: Papers. RePEc:arx:papers:1405.2450. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | [Citation Analysis] | |
| 2014 | [Citation Analysis] |
Recent citations received in: 2013
| Year | Title | See |
|---|---|---|
| 2013 | Hawkes model for price and trades high-frequency dynamics. (2013). Bacry, E. ; J. F Muzy, . In: Papers. RePEc:arx:papers:1301.1135. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Modelling systemic price cojumps with Hawkes factor models. (2013). Corsi, Fulvio ; Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1301.6141. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | A comparison of techniques for dynamic multivariate risk measures. (2013). Rudloff, Birgit ; Feinstein, Zachary . In: Papers. RePEc:arx:papers:1305.2151. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Limit theorems for nearly unstable Hawkes processes. (2013). Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1310.2033. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Conditional correlation in asset return and GARCH intensity model. (2013). Choe, Geon Ho ; Lee, Kyungsub . In: Papers. RePEc:arx:papers:1311.4977. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Analytical expansions for parabolic equations. (2013). Pascucci, Andrea ; Lorig, Matthew ; Pagliarani, Stefano . In: Papers. RePEc:arx:papers:1312.3314. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Equity, commodity and interest rate volatility derivatives. (2013). Balbas, Alejandro ; Navarro, Eliseo ; Blanco, Ivan . In: Business Economics Working Papers. RePEc:cte:idrepe:id-13-02. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Correlated risks vs contagion in stochastic transition models. (2013). GAGLIARDINI, Patrick ; Gourieroux, Christian . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:37:y:2013:i:11:p:2241-2269. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Testing for financial crashes using the Log Periodic Power Law model. (2013). Bree, David S. ; Joseph, Nathan Lael . In: International Review of Financial Analysis. RePEc:eee:finana:v:30:y:2013:i:c:p:287-297. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Ruas, Joo Pedro ; Vidal Nunes, João Pedro, ; Dias, Jose Carlos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Clarifications to questions and criticisms on the JohansenâLedoitâSornette financial bubble model. (2013). Sornette, Didier ; Zhou, Wei-Xing ; Yan, Wanfeng ; Woodard, Ryan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Continuous time trading of a small investor in a limit order market. (2013). Kuhn, Christoph ; Stroh, Maximilian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Stability and price scaling limit of a Hawkes-process based order book model. (2013). Jedidi, Aymen ; Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-00821607. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Bubbles, shocks and elementary technical trading strategies. (2013). Fry, John. In: MPRA Paper. RePEc:pra:mprapa:47052. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Price, Return and Volatility Linkages of Base Metal Futures traded in India. (2013). Sinha, Pankaj ; Mathur, Kritika. In: MPRA Paper. RePEc:pra:mprapa:47864. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2013 | Equity Market Contagion during the Global Financial Crisis: Evidence from the Worldâs Eight Largest Economies. (2013). Gajurel, Dinesh ; Dungey, Mardi. In: Working Papers. RePEc:tas:wpaper:17213. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
| Year | Title | See |
|---|---|---|
| 2012 | Asymptotic and non asymptotic approximations for option valuation. (2012). Gobet, Emmanuel ; Bompis, Romain . In: Post-Print. RePEc:hal:journl:hal-00720650. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Analytical pricing of American options. (2012). Zhang, Jin ; Cheng, Jun . In: Review of Derivatives Research. RePEc:kap:revdev:v:15:y:2012:i:2:p:157-192. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Option pricing with discrete time jump processes.. (2012). Ielpo, Florian ; GUEGAN, Dominique ; Lalaharison, Hanjarivo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:11037r. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Comments on: Some recent theory for autoregressive count time series. (2012). Doukhan, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:21:y:2012:i:3:p:447-450. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | A directional-change event approach for studying financial time series. (2012). Dupuis, Alexandre ; Olsen, Richard ; Aloud, Monira ; Tsang, Edward . In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201236. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Macroprudential banking regulation: Does one size fit all?. (2012). Neuberger, Doris ; Rissi, Roger . In: Thuenen-Series of Applied Economic Theory. RePEc:zbw:roswps:124. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2011
| Year | Title | See |
|---|---|---|
| 2011 | The volatility of consumption-based stochastic discount factors and economic cycles. (2011). Nieto, Belen ; Rubio, Gonzalo . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:35:y:2011:i:9:p:2197-2216. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Interest rates factor model. (2011). Kim, Min Jae ; Lee, Sangwook . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:390:y:2011:i:13:p:2531-2548. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Exports versus multinational production under nominal uncertainty. (2011). Lewis, Logan. In: International Finance Discussion Papers. RePEc:fip:fedgif:1038. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The international role of the dollar: Does it matter if this changes?. (2011). Goldberg, Linda. In: Staff Reports. RePEc:fip:fednsr:522. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | A Poupança em Portugal. (2011). Portela, Miguel ; Bação, Pedro ; Alexandre, Fernando ; Bao, Pedro ; Conraria, Luis Aguiar . In: GEMF Working Papers. RePEc:gmf:wpaper:2011-19. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Policymaking in the Eurozone and the Core Vs. Perifphery Problem. (2011). Skaperdas, Stergios. In: Working Papers. RePEc:irv:wpaper:101112. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Role Reversal in Global Finance. (2011). Prasad, Eswar. In: IZA Discussion Papers. RePEc:iza:izadps:dp6032. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | International Liquidity: The Fiscal Dimension. (2011). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:17379. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Reserves and Baskets. (2011). Bordo, Michael ; James, Harold . In: NBER Working Papers. RePEc:nbr:nberwo:17492. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Role Reversal in Global Finance. (2011). Prasad, Eswar. In: NBER Working Papers. RePEc:nbr:nberwo:17497. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The International Monetary System: Living with Asymmetry. (2011). Obstfeld, Maurice. In: NBER Working Papers. RePEc:nbr:nberwo:17641. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | The large-maturity smile for the Heston model. (2011). Jacquier, Antoine ; Forde, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:755-780. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Comments on: Inference in multivariate Archimedean copula models. (2011). Hofert, Marius ; Embrechts, Paul . In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:20:y:2011:i:2:p:263-270. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2011 | Currency blocs in the 21st century. (2011). Fischer, Christoph. In: Discussion Paper Series 1: Economic Studies. RePEc:zbw:bubdp1:201112. 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.