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Impact Factor
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5-Years IF
12
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
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| IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y IF5: Impact Factor: C5Y / D5Y 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 D5Y: Number of articles published in y-1 until y-5 C5Y: Cites in y to articles published in y-1 until y-5 %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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50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2001 | Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb. Full description at Econpapers || Download paper | 248 |
| 2004 | The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Ghysels, Eric ; Valkanov, Rossen ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs. Full description at Econpapers || Download paper | 62 |
| 1993 | Agency and Asset Pricing. (1993). Brennan, Michael J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd. Full description at Econpapers || Download paper | 37 |
| 1989 | Facilitation of Competing Bids and the Price of a Takeover Target. (1989). . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g. Full description at Econpapers || Download paper | 25 |
| 2001 | An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn. Full description at Econpapers || Download paper | 24 |
| 2002 | East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331. Full description at Econpapers || Download paper | 21 |
| 1995 | An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx. Full description at Econpapers || Download paper | 21 |
| 2001 | The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Delianedis, Gordon ; Geske, Robert . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3. Full description at Econpapers || Download paper | 14 |
| 2002 | Relative Pricing of Options with Stochastic Volatility. (2002). Ledoit, Olivier ; Yan, Shu ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t. Full description at Econpapers || Download paper | 13 |
| 1998 | Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Delianedis, Gordon ; Geske, Robert . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7dm2d31p. Full description at Econpapers || Download paper | 12 |
| 2000 | Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w. Full description at Econpapers || Download paper | 12 |
| 2004 | How Did It Happen?. (2004). Brennan, Michael J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv. Full description at Econpapers || Download paper | 12 |
| 2000 | The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). Longstaff, Francis A. ; Mandell, Ravit E. ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6. Full description at Econpapers || Download paper | 11 |
| 1995 | Regime Shifts in Short Term Riskless Interest Rates. (1995). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5hs021jf. Full description at Econpapers || Download paper | 11 |
| 1997 | Bond Pricing with Default Risk. (1997). Saa-Requejo, Jesus ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch. Full description at Econpapers || Download paper | 9 |
| 1995 | Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?. (1995). Field, Laura C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1136n8ps. Full description at Econpapers || Download paper | 9 |
| 2002 | Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7mh2m2bt. Full description at Econpapers || Download paper | 8 |
| 2002 | Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543. Full description at Econpapers || Download paper | 8 |
| 2002 | ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3mw4q41x. Full description at Econpapers || Download paper | 8 |
| 2000 | Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). Longstaff, Francis A ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f. Full description at Econpapers || Download paper | 8 |
| 2001 | The Disposition Effect and Momentum. (2001). Han, Bing ; Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6qg5d62p. Full description at Econpapers || Download paper | 7 |
| 2004 | THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). Longstaff, Francis A. ; Mandell, Ravit E. ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g. Full description at Econpapers || Download paper | 7 |
| 2004 | Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Santa-Clara, Pedro ; Yan, Shu . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dv8v999. Full description at Econpapers || Download paper | 6 |
| 2003 | Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Wang, Ashley W ; Xia, Yihong ; Brennan, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8. Full description at Econpapers || Download paper | 6 |
| 2004 | Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Brandt, Michael W. ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt632436gt. Full description at Econpapers || Download paper | 6 |
| 2000 | Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. (2000). Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3167f8mz. Full description at Econpapers || Download paper | 6 |
| 1998 | Resolution of a Financial Puzzle. (1998). Brennan, Michael J. ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh. Full description at Econpapers || Download paper | 5 |
| 2004 | Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn. Full description at Econpapers || Download paper | 5 |
| 2000 | Valuation of Information Technology Investments as Real Options. (2000). Zozaya-Gorostiza, Carlos ; Schwartz, Eduardo S.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4dv270zv. Full description at Econpapers || Download paper | 5 |
| 2000 | Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z. Full description at Econpapers || Download paper | 5 |
| 2000 | The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Schwartz, Eduardo S ; Santa-Clara, Pedro ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt65f1914p. Full description at Econpapers || Download paper | 5 |
| 2005 | Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6zx6m7fp. Full description at Econpapers || Download paper | 5 |
| 2001 | International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Cochrane, John ; Santa-Clara, Pedro ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd. Full description at Econpapers || Download paper | 5 |
| 2001 | Financial Distress as a Selection Mechanism: Evidence from the United States. (2001). Kahl, Matthias . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0dg192r9. Full description at Econpapers || Download paper | 4 |
| 2004 | International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael J. ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53z0s29k. Full description at Econpapers || Download paper | 4 |
| 1999 | Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption. (1999). Schwartz, Eduardo ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3qs6r307. Full description at Econpapers || Download paper | 4 |
| 1999 | Flexible Multivariate GARCH Modeling With an Application to International Stock Markets. (1999). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt93s6p8gb. Full description at Econpapers || Download paper | 4 |
| 2004 | Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions. (2004). Nyborg, Kjell G. ; Keloharju, Matti ; Rydqvist, Kristian . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6v17p79w. Full description at Econpapers || Download paper | 4 |
| 2005 | Asset Pricing in Markets with Illiquid Assets. (2005). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2458g38x. Full description at Econpapers || Download paper | 4 |
| 2002 | Feedback and the Success. (2002). Subrahmanyam, Avanidhar ; Titman, Sheridan ; Hirshleifer, David . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2b82s539. Full description at Econpapers || Download paper | 3 |
| 2002 | Does the term structure forecast. (2002). Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4kd201gw. Full description at Econpapers || Download paper | 3 |
| 1999 | Approximate Arbitrage. (1999). Bernardo, Antonio ; Ledoit, Olivier . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dj834hk. Full description at Econpapers || Download paper | 3 |
| 2000 | Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj. Full description at Econpapers || Download paper | 3 |
| 2003 | Empirical TIPs. (2003). Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2nr4r8h4. Full description at Econpapers || Download paper | 3 |
| 2003 | Changing Motives for Share Repurchases. (2003). Weston, Fred J. ; Siu, Juan A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9146588t. Full description at Econpapers || Download paper | 3 |
| 2000 | The Feds Effect on Excess Returns and Inflation is Much Bigger Than You Think. (2000). Goto, Shingo . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt04f1z5hb. Full description at Econpapers || Download paper | 3 |
| 2005 | Using Option Pricing Theory to Infer About Historical Equity Premiums. (2005). Aase, Knut K. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3dd602j5. Full description at Econpapers || Download paper | 2 |
| 2003 | Organization Capital and Intrafirm Communication. (2003). Chowdhry, Bhagwan ; GARMAISE, MARK J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8j01z46g. Full description at Econpapers || Download paper | 2 |
| 2005 | Corruption, Firm Governance, and the Cost of Capital. (2005). Liu, Jun ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706. Full description at Econpapers || Download paper | 2 |
| 2002 | Financial Market Runs. (2002). Bernardo, Antonio E. ; Welch, Ivo . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zd313hf. Full description at Econpapers || Download paper | 2 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2001 | Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb. Full description at Econpapers || Download paper | 86 |
| 2004 | The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Ghysels, Eric ; Valkanov, Rossen ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs. Full description at Econpapers || Download paper | 33 |
| 2002 | East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331. Full description at Econpapers || Download paper | 11 |
| 1989 | Facilitation of Competing Bids and the Price of a Takeover Target. (1989). . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g. Full description at Econpapers || Download paper | 5 |
| 2001 | An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn. Full description at Econpapers || Download paper | 4 |
| 1993 | Agency and Asset Pricing. (1993). Brennan, Michael J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd. Full description at Econpapers || Download paper | 3 |
| 2002 | Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543. Full description at Econpapers || Download paper | 3 |
| 2002 | Relative Pricing of Options with Stochastic Volatility. (2002). Ledoit, Olivier ; Yan, Shu ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t. Full description at Econpapers || Download paper | 3 |
| 2005 | Dollar Cost Averaging. (2005). Li, Feifei ; Torous, Walt ; Brennan, Michael J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53p0r65q. Full description at Econpapers || Download paper | 2 |
| 2000 | Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z. Full description at Econpapers || Download paper | 2 |
| 2004 | The Cross-Section of Analyst Recommendations. (2004). Sorescu, Sorin . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt76x8k0cc. Full description at Econpapers || Download paper | 2 |
10 most frequent citing series:
[Click on heading to sort table]
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.