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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Journal of Empirical Finance / Elsevier

0.72

Impact Factor

1.21

5-Years IF

45

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.090100 (%)0.03
19910.09000 (%)0.04
19920.09000 (%)0.04
19930.16620.339770036 (3.7%)0.05
19940.170.110.17101650.31259616111 (4.2%)20.20.05
19950.440.190.441430120.41961671678 (4.1%)30.210.07
19960.830.231.271848541.138372420303817 (2%)50.280.09
19970.440.270.731361420.697543214483529 (3.8%)40.310.09
19981.060.270.921778650.83454313361569 (2%)10.060.1
19991.10.311.1231011311.34503033727916 (3.6%)60.260.13
20000.730.391.18191201631.3652040298510018 (3.5%)30.160.15
20011.10.411.6251452371.6337542469014416 (4.3%)80.320.16
20020.70.431.07261712401.440844319710414 (3.4%)80.310.19
20030.860.451.32261973881.971011514411014533 (3.3%)250.960.19
20041.560.511.46322294471.95652528111917433 (5.1%)110.340.21
20051.590.541.34302594651.8509589212817117 (3.3%)110.370.22
20061.390.521.78242836312.23441628613924819 (4.3%)200.830.21
20071.090.451.51353185721.8534545913820811 (2.1%)160.460.18
20081.510.481.69493676371.74516598914724821 (4.1%)120.240.2
20091.310.481.35604276731.585168411017022921 (4.1%)140.230.19
20101.020.441.28624897021.4433110911119825416 (4.8%)80.130.16
20110.720.531.04625517791.412981228823023914 (4.7%)140.230.21
20120.810.581.25506019501.581451241002683369 (6.2%)120.240.22
20131.040.711.315065111311.7457112116283371 (%)40.080.25
20140.720.811.216771812901.847100722843445 (10.6%)110.160.28
 
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

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
1993A long memory property of stock market returns and a new model. (1993). DING, Zhuanxin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

758
1996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

Full description at Econpapers || Download paper

457
1997Intraday periodicity and volatility persistence in financial markets. (1997). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

Full description at Econpapers || Download paper

322
1996The econometrics of financial markets. (1996). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

Full description at Econpapers || Download paper

211
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

Full description at Econpapers || Download paper

210
2003Emerging markets finance. (2003). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

Full description at Econpapers || Download paper

181
2007Measuring financial contagion: A Copula approach. (2007). Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

Full description at Econpapers || Download paper

162
1998Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

Full description at Econpapers || Download paper

162
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

Full description at Econpapers || Download paper

152
2003A simple measure of the intensity of capital controls. (2003). Warnock, Francis E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103.

Full description at Econpapers || Download paper

127
1993Common stock offerings across the business cycle : Theory and evidence. (1993). Choe, Hyuk ; Nanda, Vikram ; Masulis, Ronald W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31.

Full description at Econpapers || Download paper

125
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

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124
2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

Full description at Econpapers || Download paper

116
2003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

Full description at Econpapers || Download paper

114
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

Full description at Econpapers || Download paper

111
2004Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

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105
1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets. (1994). Loretan, Mico . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:2:p:211-248.

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101
1997High frequency data in financial markets: Issues and applications. (1997). Goodhart, Charles A. E., ; O'Hara, Maureen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:73-114.

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86
2005Testing for contagion: a conditional correlation analysis. (2005). Caporale, Guglielmo Maria ; Spagnolo, Nicola . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

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83
1997The incremental volatility information in one million foreign exchange quotations. (1997). Taylor, Stephen J.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:317-340.

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81
2002Market timing and return prediction under model instability. (2002). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

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75
2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

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75
2001The specification of conditional expectations. (2001). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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73
2009International comovement of stock market returns: A wavelet analysis. (2009). Rua, Antonio . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

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71
2003Predicting emerging market currency crashes. (2003). Kumar, Mohan ; Perraudin, William ; Moorthy, Uma. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:427-454.

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71
1997Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model. (1997). Russell, Jeffrey R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:187-212.

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69
1999Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon. (1999). Lange, Steve. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:5:p:457-477.

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68
2000Sensitivity analysis of Values at Risk. (2000). Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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67
2006Instability of return prediction models. (2006). Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

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66
1999A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331.

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65
1998International evidence on the stock market and aggregate economic activity. (1998). Ng, Lilian K.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296.

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62
1997Public information releases, private information arrival and volatility in the foreign exchange market. (1997). Shrieves, Ronald E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315.

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61
1999Economic determinants of evolution in international stock market integration. (1999). Docking, Diane Scott ; Koch, Paul D. ; Bracker, Kevin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:1:p:1-27.

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60
2007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Engel, Dirk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

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59
1994Alternative constructions of Tobins q: An empirical comparison. (1994). Wiles, Kenneth W. ; Perfect, Steven B.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1994:i:3-4:p:313-341.

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58
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1. (1998). Nelson, Charles R.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:2:p:131-154.

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53
2008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

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52
2004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

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51
2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects. (2005). Schlag, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:1:p:139-164.

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48
2001Testing and comparing Value-at-Risk measures. (2001). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:3:p:325-342.

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46
2001Testing for mean-variance spanning: a survey. (2001). de Roon, Frans A.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:2:p:111-155.

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46
CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

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45
1993International asset pricing with alternative distributional specifications. (1993). Zhou, Guofu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:107-131.

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45
2002Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen?. (2002). Covrig, Vicentiu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:3:p:271-285.

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45
2009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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45
2003Diversification benefits of emerging markets subject to portfolio constraints. (2003). Li, Kai . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:57-80.

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45
1997The analysis of foreign exchange data using waveform dictionaries. (1997). Ramsey, James B. ; Zhang, Zhifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:4:p:341-372.

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45
1995The structure of international stock returns and the integration of capital markets. (1995). Wessels, Roberto E. ; Heston, Steven L.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:2:y:1995:i:3:p:173-197.

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43
2007Order dynamics: Recent evidence from the NYSE. (2007). Ellul, Andrew ; Jennings, Robert ; Jain, Pankaj ; Holden, Craig W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

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42
2008Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. (2008). Gex, Mathieu . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:2:p:167-184.

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41

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1993A long memory property of stock market returns and a new model. (1993). DING, Zhuanxin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:83-106.

Full description at Econpapers || Download paper

186
2007Measuring financial contagion: A Copula approach. (2007). Rodriguez, Juan Carlos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:3:p:401-423.

Full description at Econpapers || Download paper

87
1996The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

Full description at Econpapers || Download paper

72
2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. (2003). Wolf, Michael ; Ledoit, Olivier . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:5:p:603-621.

Full description at Econpapers || Download paper

71
1997Intraday periodicity and volatility persistence in financial markets. (1997). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:115-158.

Full description at Econpapers || Download paper

63
2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns. (2004). Hyung, Namwon . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:399-421.

Full description at Econpapers || Download paper

61
2004Investor sentiment and the near-term stock market. (2004). Brown, Gregory W. ; CLIFF, MICHAEL T.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:1:p:1-27.

Full description at Econpapers || Download paper

60
2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger . In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

Full description at Econpapers || Download paper

60
2009International comovement of stock market returns: A wavelet analysis. (2009). Rua, Antonio . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:4:p:632-639.

Full description at Econpapers || Download paper

49
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. (2004). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:3:p:379-398.

Full description at Econpapers || Download paper

41
2005Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements. (2005). Jungbacker, Borus ; Hol, Eugenie . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:445-475.

Full description at Econpapers || Download paper

41
1997Volatilities of different time resolutions -- Analyzing the dynamics of market components. (1997). von Weizsacker, Jacob E. ; Muller, Ulrich A. ; Dave, Rakhal D. ; Pictet, Olivier V.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:4:y:1997:i:2-3:p:213-239.

Full description at Econpapers || Download paper

38
2003Emerging markets finance. (2003). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:3-56.

Full description at Econpapers || Download paper

35
2007CAPM over the long run: 1926-2001. (2007). Ang, Andrew ; Chen, Joseph. In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:1:p:1-40.

Full description at Econpapers || Download paper

32
2004Market stress and herding. (2004). Salmon, Mark ; Hwang, Soosung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:4:p:585-616.

Full description at Econpapers || Download paper

31
1998Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.

Full description at Econpapers || Download paper

30
2008Robust performance hypothesis testing with the Sharpe ratio. (2008). Wolf, Michael ; Ledoit, Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:850-859.

Full description at Econpapers || Download paper

29
2003Univariate and multivariate stochastic volatility models: estimation and diagnostics. (2003). Richard, Jean-Francois ; Liesenfeld, Roman . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:4:p:505-531.

Full description at Econpapers || Download paper

26
2003A simple measure of the intensity of capital controls. (2003). Warnock, Francis E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:81-103.

Full description at Econpapers || Download paper

26
2005Testing for contagion: a conditional correlation analysis. (2005). Caporale, Guglielmo Maria ; Spagnolo, Nicola . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:476-489.

Full description at Econpapers || Download paper

26
2011When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. (2011). Gro-Klumann, Axel . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340.

Full description at Econpapers || Download paper

26
1996The econometrics of financial markets. (1996). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

Full description at Econpapers || Download paper

25
2009Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

Full description at Econpapers || Download paper

25
2006Instability of return prediction models. (2006). Paye, Bradley S.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:3:p:274-315.

Full description at Econpapers || Download paper

24
2008Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. (2008). Galvo, Ana Beatriz . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:729-750.

Full description at Econpapers || Download paper

23
1993Common stock offerings across the business cycle : Theory and evidence. (1993). Choe, Hyuk ; Nanda, Vikram ; Masulis, Ronald W.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:1:y:1993:i:1:p:3-31.

Full description at Econpapers || Download paper

20
2008Regression analysis of proportions in finance with self selection. (2008). Cook, Douglas O. ; Kieschnick, Robert . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867.

Full description at Econpapers || Download paper

20
2008UK mutual fund performance: Skill or luck?. (2008). Nitzsche, Dirk ; O'Sullivan, Niall ; Cuthbertson, Keith . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:4:p:613-634.

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20
2007Firm-level implications of early stage venture capital investment -- An empirical investigation. (2007). Engel, Dirk . In: Journal of Empirical Finance. RePEc:eee:empfin:v:14:y:2007:i:2:p:150-167.

Full description at Econpapers || Download paper

19
2011Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. (2011). Shamsuddin, Abul ; Lim, Kian-Ping ; Kim, Jae H.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:5:p:868-879.

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19
1999A primer on hedge funds. (1999). Hsieh, David A. ; Fung, William . In: Journal of Empirical Finance. RePEc:eee:empfin:v:6:y:1999:i:3:p:309-331.

Full description at Econpapers || Download paper

18
2002Market timing and return prediction under model instability. (2002). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:9:y:2002:i:5:p:495-510.

Full description at Econpapers || Download paper

18
2006In-sample vs. out-of-sample tests of stock return predictability in the context of data mining. (2006). Rapach, David E.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:2:p:231-247.

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18
2005The relationship between stock returns and inflation: new evidence from wavelet analysis. (2005). In, Francis ; Kim, Sangbae . In: Journal of Empirical Finance. RePEc:eee:empfin:v:12:y:2005:i:3:p:435-444.

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17
1998International evidence on the stock market and aggregate economic activity. (1998). Ng, Lilian K.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:5:y:1998:i:3:p:281-296.

Full description at Econpapers || Download paper

17
2010Trading activity, realized volatility and jumps. (2010). Petitjean, Mikael ; Laurent, Sebastien ; Giot, Pierre . In: Journal of Empirical Finance. RePEc:eee:empfin:v:17:y:2010:i:1:p:168-175.

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16
2003Diversification benefits of emerging markets subject to portfolio constraints. (2003). Li, Kai . In: Journal of Empirical Finance. RePEc:eee:empfin:v:10:y:2003:i:1-2:p:57-80.

Full description at Econpapers || Download paper

15
2011Robust estimation of intraweek periodicity in volatility and jump detection. (2011). Croux, Christophe ; Laurent, Sebastien ; Boudt, Kris . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367.

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15
2009Understanding the relationship between founder-CEOs and firm performance. (2009). Almeida, Heitor ; Adams, Renee . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:1:p:136-150.

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15
2000Sensitivity analysis of Values at Risk. (2000). Laurent, J. P.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:7:y:2000:i:3-4:p:225-245.

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15
2008Are Asian stock markets efficient? Evidence from new multiple variance ratio tests. (2008). Shamsuddin, Abul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:15:y:2008:i:3:p:518-532.

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15
2011Regulatory underpricing: Determinants of Chinese extreme IPO returns. (2011). Tian, Lihui . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:78-90.

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14
2004Analysis of intraday herding behavior among the sector ETFs. (2004). Mathur, Ike ; Peterson, Mark A. ; Gleason, Kimberly C.. In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:681-694.

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14
2012Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach. (2012). Chan, Chia-Ying ; Qiao, Zhuo ; Wong, Wing-Keung ; de Peretti, Christian . In: Journal of Empirical Finance. RePEc:eee:empfin:v:19:y:2012:i:1:p:162-174.

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14
2001The specification of conditional expectations. (2001). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:8:y:2001:i:5:p:573-637.

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14
2006The impact of the introduction of the Euro on foreign exchange rate risk exposures. (2006). . In: Journal of Empirical Finance. RePEc:eee:empfin:v:13:y:2006:i:4-5:p:519-549.

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14
2009Time-varying Integration and International diversification strategies. (2009). Inghelbrecht, Koen ; Baele, Lieven . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:3:p:368-387.

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14
2011Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study. (2011). Conrad, Christian ; Zeng, Ning ; Karanasos, Menelaos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:18:y:2011:i:1:p:147-159.

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14
2009Applying the method of simulated moments to estimate a small agent-based asset pricing model. (2009). Franke, Reiner . In: Journal of Empirical Finance. RePEc:eee:empfin:v:16:y:2009:i:5:p:804-815.

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14
2004Structural change and long-range dependence in volatility of exchange rates: either, neither or both?. (2004). Beltratti, Andrea ; Morana, Claudio . In: Journal of Empirical Finance. RePEc:eee:empfin:v:11:y:2004:i:5:p:629-658.

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14

Citing documents used to compute impact factor 72:

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YearTitleSee
2014Monetary policy and the first- and second-moment exchange rate change during the global financial crisis: Evidence from Thailand. (2014). . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:29:y:2014:i:c:p:170-194.

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2014Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis. (2014). Kurmann, Philipp ; Bessler, Wolfgang . In: Journal of Financial Stability. RePEc:eee:finsta:v:13:y:2014:i:c:p:151-166.

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2014Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis. (2014). Kontonikas, Alexandros ; Florackis, Chris ; Kostakis, Alexandros . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:44:y:2014:i:c:p:97-117.

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2014Russian Mutual Funds: Skill vs. Luck. (2014). Parshakov, Petr . In: HSE Working papers. RePEc:hig:wpaper:40/fe/2014.

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2014Commonality in hedge fund returns: driving factors and implications. (2014). Hoerova, Marie . In: Working Paper Series. RePEc:ecb:ecbwps:20141658.

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2014The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion. (2014). Martins, Luis ; Lagoa, Sergio ; Horta, Paulo . In: International Review of Financial Analysis. RePEc:eee:finana:v:35:y:2014:i:c:p:140-153.

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2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period. (2014). He, Hongbo ; Yao, Shujie ; Chen, Shou ; Ou, Jinghua . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:33:y:2014:i:c:p:434-444.

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2014The forward looking information content of equity and bond markets for aggregate investments. (2014). Ramsey, James B. ; Gallegati, Marco . In: Journal of Economics and Business. RePEc:eee:jebusi:v:75:y:2014:i:c:p:1-24.

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2014On the compensation for illiquidity in sovereign credit markets. (2014). Groba, Jonatan ; Serrano, Pedro ; Lafuente, Juan Angel . In: Business Economics Working Papers. RePEc:cte:wbrepe:wb142911.

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2014Identifying risks in emerging market sovereign and corporate bond spreads. (2014). Zinna, Gabriele . In: Emerging Markets Review. RePEc:eee:ememar:v:20:y:2014:i:c:p:1-22.

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2014How much of bank credit risk is sovereign risk? Evidence from the eurozone. (2014). Li, Junye . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_990_14.

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2014Are Japanese short sellers information detectives?. (2014). Lee, Bong-Soo ; Ko, Kwangsoo. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:34:y:2014:i:c:p:89-97.

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2014Socially responsible funds and market crises. (2014). Varma, Abhishek ; Nofsinger, John . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:48:y:2014:i:c:p:180-193.

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2014Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets. (2014). Ziegler, Andreas ; Mollet, Janick Christian . In: Review of Financial Economics. RePEc:eee:revfin:v:23:y:2014:i:4:p:208-216.

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2014Responsible investing : New insights into performance and tastes. (2014). Borgers, A. C. T., . In: Other publications TiSEM. RePEc:tiu:tiutis:587e777f-c242-4a44-968e-7cec85c307ae.

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2014The Risk Return Relationship: Evidence from Index Return and Realised Variance Series. (2014). Yang, Minxian . In: Discussion Papers. RePEc:swe:wpaper:2014-16.

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2014Independent directors: less informed, but better selected? New evidence from a two-way director-firm fixed effect model. (2014). Reberioux, Antoine ; Roudaut, Gwenael . In: CIRANO Working Papers. RePEc:cir:cirwor:2014s-39.

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2014Independent directors: less informed, but better selected? New evidence from a two-way director-firm fixed effect model. (2014). Reberioux, Antoine ; Roudaut, Gwenael . In: Working Papers. RePEc:hal:wpaper:hal-01060211.

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2014Independent directors: less informed, but better selected? New evidence from a two-way director-firm fixed effect model. (2014). Reberioux, Antoine ; Roudaut, Gwenael . In: EconomiX Working Papers. RePEc:drm:wpaper:2014-58.

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2014Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Jin, Xin . In: MPRA Paper. RePEc:pra:mprapa:55243.

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2014Modeling Covariance Breakdowns in Multivariate GARCH. (2014). Jin, Xin . In: Working Paper Series. RePEc:rim:rimwps:36_14.

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2014Performance and performance persistence of UK closed-end equity funds. (2014). Nitzsche, Dirk ; Cuthbertson, Keith ; Thomas, Dylan C. ; Bredin, Don . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:189-199.

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2014Electronic currencies for purposive degrowth?. (2014). Vitari, Claudio . In: Working paper serie RMT - Grenoble Ecole de Management. RePEc:hal:gemwpa:hal-00975432.

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2014Value of strategic alliances: Evidence from the bond market. (2014). Ou, Chin-Shyh ; Chou, Ting-Kai ; Tsai, Shu-Huan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:42-59.

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2014Long-term association between European and Indian markets on carbon credit price. (2014). Kapoor, Nimisha ; Ghosh, Sajal . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:38:y:2014:i:c:p:656-662.

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2014How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics. (2014). . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10197.

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2014Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation. (2014). Fletcher, Jonathan . In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:30-46.

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2014Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas Q. ; Engsted, Tom . In: Econometrics. RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027.

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2014Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M.. In: CREATES Research Papers. RePEc:aah:create:2014-47.

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2014Price discovery for cross-listed firms with foreign IPOs. (2014). Lam, Eddery ; Alhaj-Yaseen, Yaseen S. ; Barkoulas, John T.. In: International Review of Financial Analysis. RePEc:eee:finana:v:31:y:2014:i:c:p:80-87.

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2014Industry co-movement and cross-listing: Do home country factors matter?. (2014). Chang, Chi-Hung ; Chen, Mei-Ping ; Lee, Chien-Chiang . In: Japan and the World Economy. RePEc:eee:japwor:v:32:y:2014:i:c:p:96-110.

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2014Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation. (2014). Dong, Yingjie ; Tse, Yiu-Kuen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:352-361.

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2014Multifractality and value-at-risk forecasting of exchange rates. (2014). Kinateder, Harald ; Wagner, Niklas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:401:y:2014:i:c:p:71-81.

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2014Does Money Buy Credit? Firm-Level Evidence on Bribery and Bank Debt. (2014). Kochanova, Anna ; Fungacova, Zuzana ; Weill, Laurent . In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2014-05.

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2014Usefulness of Financial Soundness Indicators for risk assessment: The case of EU member countries. (2014). Urea, Antonio Parta ; Parrado-Martinez, Purificacion ; Fernandez-Aguado, Pilar Gomez . In: Working Papers. RePEc:pab:fiecac:14.01.

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2014Financial markets development and bank risk: Experience from Thailand during 1990–2012. (2014). . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:27:y:2014:i:c:p:67-88.

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2014Is financial development bad for growth?. (2014). Bezemer, Dirk ; Grydaki, Maria ; Zhang, L. In: Research Report. RePEc:gro:rugsom:14016-gem.

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2014Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS. (2014). Mokhtar, Maznita . In: MPRA Paper. RePEc:pra:mprapa:56990.

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2014Moment-Based Tests for Discrete Distributions. (2014). . In: IDEI Working Papers. RePEc:ide:wpaper:27109.

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2014Simple moment-based tests for value-at-risk models and discrete distribution. (2014). Bontemps, Christian . In: TSE Working Papers. RePEc:tse:wpaper:28749.

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2014A Stochastic Dominance Approach to Financial Risk Management Strategies. (2014). Maasoumi, Esfandiar ; Jimenez-Martin, Juan-Angel . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1408.

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2014International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches. (2014). Abid, Fathi ; Wong, Wing Keung ; Leung, Pui Lam ; Mroua, Mourad . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:7:y:2014:i:2:p:45-66:d:35901.

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2014Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing. (2014). McKenzie, Michael ; Wongwachara, Warapong ; Satchell, Stephen . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:215-229.

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2014Dynamic Panels with Threshold Effect and Endogeneity. (2014). Seo, Myunghwan ; Shin, Yongcheol . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:/2014/577.

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2014Does managerial overconfidence matter in explaining debt financing policy?. (2014). Boubaker, Sabri ; Hamza, Taher . In: Economics Bulletin. RePEc:ebl:ecbull:eb-14-00689.

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2014Asymmetric adjustment toward optimal capital structure: Evidence from a crisis. (2014). Kim, Minjoo ; Shin, Yongcheol ; Dang, Viet Anh . In: International Review of Financial Analysis. RePEc:eee:finana:v:33:y:2014:i:c:p:226-242.

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2014Dynamic Panels with Threshold Effect and Endogeneity. (2014). Seo, Myunghwan ; Shin, Yongcheol . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:577.

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2014An alternative test of the trade-off theory of capital structure. (2014). Canarella, Giorgio ; Sullivan, Michael J. ; Nourayi, Mahmoud . In: Contemporary Economics. RePEc:wyz:journl:id:378.

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2014Frontier stock market integration and the global financial crisis. (2014). Chen, Mei-Ping . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:29:y:2014:i:c:p:84-103.

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2014Market states, expectations, sentiment and momentum: How naive are investors?. (2014). Galariotis, Emilios C ; Ma, Xiaodong S ; Kallinterakis, Vasileios ; Holmes, Phil . In: Post-Print. RePEc:hal:journl:hal-00943345.

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2014Value of strategic alliances: Evidence from the bond market. (2014). Ou, Chin-Shyh ; Chou, Ting-Kai ; Tsai, Shu-Huan . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:42:y:2014:i:c:p:42-59.

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2014Is More Less? Propensity to diversify via M&A and market reactions. (2014). Nguyen, Zachary . In: Wesleyan Economics Working Papers. RePEc:wes:weswpa:2014-002.

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2014Is more less? Propensity to diversify via M&A and market reactions. (2014). Nguyen, Zachary . In: International Review of Financial Analysis. RePEc:eee:finana:v:34:y:2014:i:c:p:76-88.

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2014Environmental Mutual Funds: Financial Performance and Managerial Abilities. (2014). Muoz, Fernando ; Vargas, Maria ; Marco, Isabel . In: Journal of Business Ethics. RePEc:kap:jbuset:v:124:y:2014:i:4:p:551-569.

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2014Do global factors impact BRICS stock markets? A quantile regression approach. (2014). Reboredo, Juan Carlos ; Mensi, Walid ; Hammoudeh, Shawkat . In: Working Papers. RePEc:ipg:wpaper:2014-159.

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2014Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis. (2014). . In: Economic Modelling. RePEc:eee:ecmode:v:42:y:2014:i:c:p:29-37.

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2014The effect of financial market development on bank risk: evidence from Southeast Asian countries. (2014). Vithessonthi, Chaiporn . In: International Review of Financial Analysis. RePEc:eee:finana:v:35:y:2014:i:c:p:249-260.

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2014Financial market interdependencies: a quantile regression analysis of volatility spillover. (2014). Ben Rejeb, Aymen ; ARFAOUI, Mongi . In: MPRA Paper. RePEc:pra:mprapa:61516.

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2014N-tuple S&P patterns across decades, 1950–2011. (2014). Malliaris, A. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:22:y:2014:i:2:p:339-353.

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2014The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test. (2014). Dewandaru, Ginanjar ; Bacha, Obiyathulla I. ; Masih, A. Mansur M., . In: MPRA Paper. RePEc:pra:mprapa:56857.

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2014Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period. (2014). He, Hongbo ; Yao, Shujie ; Chen, Shou ; Ou, Jinghua . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:33:y:2014:i:c:p:434-444.

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2014Quantiles of the realized stock–bond correlation and links to the macroeconomy. (2014). Christiansen, Charlotte ; Aslanidis, Nektarios . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:321-331.

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2014Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification. (2014). Hou, Aijun ; Christiansen, Charlotte . In: Working Papers. RePEc:hhs:lunewp:2014_037.

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2014Robust minimum variance portfolio with L-infinity constraints. (2014). Hu, Jinjin ; Yang, Yaning ; Xing, Xin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:46:y:2014:i:c:p:107-117.

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2014Seasonal cycles in a model of the housing market. (2014). Selcuk, Cemil . In: Economics Letters. RePEc:eee:ecolet:v:123:y:2014:i:2:p:195-199.

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2014Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets. (2014). Chen, Cathy ; I-Doun Kuo, . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:43:y:2014:i:2:p:367-391.

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2014Consumer confidence or the business cycle: What matters more for European expected returns?. (2014). Norholm, Henrik ; Moller, Stig V. ; Rangvid, Jesper . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:230-248.

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2014Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market. (2014). Lee, Hsiu-Chuan ; Lu, Ralph Yang-Cheng ; Chiu, Peter . In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2014:i:4:p:140-167.

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

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2014Productivity, commodity prices and the real exchange rate: The long-run behavior of the Canada–US exchange rate. (2014). Choudhri, Ehsan U. ; Schembri, Lawrence L.. In: International Review of Economics & Finance. RePEc:eee:reveco:v:29:y:2014:i:c:p:537-551.

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

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2014Uncovered Equity Parity and rebalancing in international portfolios. (2014). CharlesP. Thomas, ; Curcuru, Stephanie E. ; Wongswan, Jon ; Warnock, Francis E.. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:47:y:2014:i:c:p:86-99.

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Cites in year: CiY

Recent citations received in: 2014

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YearTitleSee
2014Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea ; Davidson, Russel . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def012.

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2014Economic crisis and fiscal federalism in Italy. (2014). Ambrosanio, Maria ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def016.

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2014Labor mobility and fiscal policy in a currency union. (2014). Boitani, Andrea ; Bordignon, Massimo ; Baglioni, Angelo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def020.

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2014Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping. (2014). Monticini, Andrea . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def12.

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2014Economic crisis and fiscal federalism in Italy. (2014). Ambrosanio, Maria ; Balduzzi, Paolo ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def16.

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2014Labor mobility and fi?scal policy in a currency union. (2014). Boitani, Andrea ; Bordignon, Massimo . In: DISCE - Working Papers del Dipartimento di Economia e Finanza. RePEc:ctc:serie1:def20.

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2014Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos . In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:151-170.

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2014Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations. (2014). Ma, Jun ; Lansing, Kevin J. ; KevinJ. Lansing, . In: Working Paper Series. RePEc:fip:fedfwp:2014-22.

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2014Does the presence of institutional investors in family banks affect profitability and risk? Evidence from an emerging market. (2014). Setiyono, Bowo . In: Working Papers. RePEc:hal:wpaper:hal-01077118.

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2014Exponential Smoothing, Long Memory and Volatility Prediction. (2014). . In: MPRA Paper. RePEc:pra:mprapa:57230.

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2014Exponential Smoothing, Long Memory and Volatility Prediction. (2014). . In: CEIS Research Paper. RePEc:rtv:ceisrp:319.

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Recent citations received in: 2013

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YearTitleSee
2013Are extreme returns priced in the stock market? European evidence. (2013). Annaert, Jan ; DE CEUSTER, Marc ; Verstegen, Kurt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:9:p:3401-3411.

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2013Stock market liquidity and macro-liquidity shocks: Evidence from the 2007-2009 financial crisis. (2013). Kontonikas, Alexandros ; Florackis, Chris ; Kostakis, Alexandros . In: Working Papers. RePEc:gla:glaewp:2013_13.

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2013Testing of Dependencies between Stock Returns and Trading Volume by High Frequency Data. (2013). Gurgul, Piotr ; Syrek, Robert . In: Managing Global Transitions. RePEc:mgt:youmgt:v:11:y:2013:i:4:p:353-373.

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2013Does purchasing power parity hold sometimes? Regime switching in real exchange rates. (2013). Yoon, Gawon ; Lee, Hwa-Taek. In: Applied Economics. RePEc:taf:applec:45:y:2013:i:16:p:2279-2294.

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Recent citations received in: 2012

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2012Does it take volume to move fx rates? Evidence from quantile regressions. (2012). Bien-Barkowska, Katarzyna . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:12:y:2012:p:35-52.

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2012Quantiles autocorrelation in stock markets returns. (2012). Da costa, Alexandre Silva ; Ceretta, Paulo Sergio ; Righi, Marcelo Brutti ; Muller, Fernanda Maria . In: Economics Bulletin. RePEc:ebl:ecbull:eb-12-00469.

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2012An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment. (2012). Ng, Hon-Yip ; Wong, Wing-Keung ; Leung, Pui-Lam . In: European Journal of Operational Research. RePEc:eee:ejores:v:222:y:2012:i:1:p:85-95.

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2012Corporate governance, agency problems and international cross-listings: A defense of the bonding hypothesis. (2012). Karolyi, Andrew G.. In: Emerging Markets Review. RePEc:eee:ememar:v:13:y:2012:i:4:p:516-547.

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2012Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand. (2012). Gyntelberg, Jacob ; Tientip, Subhanij ; Loretan, Mico . In: IMF Working Papers. RePEc:imf:imfwpa:12/214.

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2012Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Li, Hua ; Bai, Zhidong ; Wong, Wing-Keung ; McAleer, Michael . In: KIER Working Papers. RePEc:kyo:wpaper:820.

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2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle. (2012). Yu, Jianfeng ; Yuan, Yu ; Stambaugh, Robert F.. In: NBER Working Papers. RePEc:nbr:nberwo:18560.

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2012On detection of volatility spillovers in simultaneously open stock markets. (2012). Kohonen, Anssi . In: MPRA Paper. RePEc:pra:mprapa:37504.

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2012A New Pseudo-Bayesian Model of Investors Behavior in Financial Crises. (2012). . In: MPRA Paper. RePEc:pra:mprapa:42535.

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2012Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2012). Bian, Guorui . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1209.

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2012Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China. (2012). Li, Hua ; Bai, Zhidong . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1213.

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2012State-dependent Momentum in International Stock Markets. (2012). Baur, Dirk G ; Dimpfl, Thomas . In: Working Paper Series. RePEc:uts:wpaper:169.

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Recent citations received in: 2011

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2011Study on the Support Systems for Corporate Governance. (2011). Brandas, Claudiu . In: Informatica Economica. RePEc:aes:infoec:v:15:y:2011:i:4:p:55-63.

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2011The Impact of Macro News on Volatility of Stock Exchanges. (2011). Bedowska-Sojka, Barbara . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:11:y:2011:p:99-110.

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2011Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach. (2011). YEN, JEROME ; Lai, Kin Keung ; He, Kaijian . In: Energy Economics. RePEc:eee:eneeco:v:33:y:2011:i:5:p:903-911.

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2011Value creation and pricing in buyouts: Empirical evidence from Europe and North America. (2011). Achleitner, Ann-Kristin ; Braun, Reiner ; Engel, Nico . In: Review of Financial Economics. RePEc:eee:revfin:v:20:y:2011:i:4:p:146-161.

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2011A review of the seasonal affective disorder hypothesis. (2011). Khaled, Mohammed S. ; Keef, Stephen P.. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:40:y:2011:i:6:p:959-967.

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2011Time-Varying Beta Estimators in the Mexican Emerging Market. (2011). Alonso, Ainhoa Zarraga ; Mandaluniz, Susan Orbe ; Domenech, Belen Nieto . In: BILTOKI. RePEc:ehu:biltok:5283.

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2011Multiple agency perspective, family control, and private information abuse in an emerging economy. (2011). Filatotchev, Igor ; Zhang, Xiaoxiang ; Piesse, Jenifer . In: Asia Pacific Journal of Management. RePEc:kap:asiapa:v:28:y:2011:i:1:p:69-93.

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2011The financial crisis and hedge fund returns. (2011). Bollen, Nicolas . In: Review of Derivatives Research. RePEc:kap:revdev:v:14:y:2011:i:2:p:117-135.

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2011Testing Conditional Factor Models. (2011). Ang, Andrew . In: NBER Working Papers. RePEc:nbr:nberwo:17561.

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2011Agglomeration Economies and Local Comovement of Stock Returns. (2011). Shan, Liwei . In: MPRA Paper. RePEc:pra:mprapa:31887.

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2011The Dynamics of Commodity Prices. (2011). Brooks, Chris ; Prokopczuk, Marcel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-09.

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2011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options. (2011). Back, Janis ; Rudolf, Markus ; Prokopczuk, Marcel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-16.

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2011Long Memory Dynamics for Multivariate Dependence under Heavy Tails. (2011). André Lucas, ; Koopman, Siem Jan ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20110175.

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2011Diversification in Private Equity Funds : On Knowledge-sharing, Risk-aversion and Limited-attention. (2011). Humphery-Jenner, M.. In: Discussion Paper. RePEc:tiu:tiucen:3e22d8a9-6846-484f-a09e-7c1810062cd9.

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Source data used to compute the impact factor of RePEc series.