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

FAME Research Paper Series / International Center for Financial Asset Management and Engineering

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Impact Factor

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5-Years IF

10

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
19900.08000 (%)0.05
19910.08000 (%)0.05
19920.09000 (%)0.05
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.15000 (%)0.1
19960.19000 (%)0.09
19970.2000 (%)0.08
19980.2122800 (%)0.12
19991.50.271.57940.44242323 (%)10.140.15
20000.220.360.22132230.143792921 (2.7%)10.080.14
20010.650.360.731537200.5464201322162 (3.1%)30.20.17
20020.430.370.383370140.257281237141 (1.8%)0.18
20030.230.390.2631101250.25133481170183 (2.3%)60.190.18
20040.280.410.322123340.2862641899302 (3.2%)30.140.18
20050.320.430.2536159390.25111531711429 (%)70.190.22
20060.380.450.36159600.38582213750 (%)0.19
20070.310.380.27159360.23361112233 (%)0.17
20080.380.3159330.2108927 (%)0.17
20090.350.19159310.1905811 (%)0.17
20100.320.25159380.240369 (%)0.15
20110.41159390.2500 (%)0.2
20120.46159340.2100 (%)0.21
20130.49159180.1100 (%)0.22
20140.56159310.1900 (%)0.3
 
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
2003European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84.

Full description at Econpapers || Download paper

41
2001Variable Selection for Portfolio Choice. (2001). Brandt, Michael W. ; Ait-Sahalia, Yacine . In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

Full description at Econpapers || Download paper

39
2003Nonparametric Estimation of Copulas for Time Series. (2003). Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

Full description at Econpapers || Download paper

33
2005Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schurhoff, Norman . In: FAME Research Paper Series. RePEc:fam:rpseri:rp130.

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28
1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Chacko, George . In: FAME Research Paper Series. RePEc:fam:rpseri:rp11.

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21
2000European Financial Markets After EMU: A First Assessment. (2000). VON THADDEN, Ernst-Ludwig . In: FAME Research Paper Series. RePEc:fam:rpseri:rp13.

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18
2004Equity Returns and Integration: Is Europe Changing?. (2004). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

Full description at Econpapers || Download paper

13
2005Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric . In: FAME Research Paper Series. RePEc:fam:rpseri:rp156.

Full description at Econpapers || Download paper

12
2005Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Caglio, Cecilia . In: FAME Research Paper Series. RePEc:fam:rpseri:rp146.

Full description at Econpapers || Download paper

11
2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp38.

Full description at Econpapers || Download paper

11
2003Are practitioners right? On the relative importance of industrial factors in international stock returns. (2003). Sonney, Frederic . In: FAME Research Paper Series. RePEc:fam:rpseri:rp72.

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10
2003Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81.

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10
2004A Simple Alternative House Price Index Method. (2004). Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp119.

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9
2004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS. (2004). Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp108.

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9
1998Who Should Buy Long-Term Bonds?. (1998). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp5.

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8
2002Mutual Fund Flows and Performance in Rational Markets. (2002). Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100.

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8
2005Testing for Stochastic Dominance Efficiency. (2005). Topaloglou, Nikolas . In: FAME Research Paper Series. RePEc:fam:rpseri:rp154.

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7
2000Extreme Value Theory for Tail-Related Risk Measures. (2000). Kellezi, Evis . In: FAME Research Paper Series. RePEc:fam:rpseri:rp18.

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7
2003The capital structure of Swiss companies: an empirical analysis using dynamic panel data. (2003). Bender, Andre ; Gaud, Philippe ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp68.

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7
2005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

Full description at Econpapers || Download paper

7
2000EMU and Portfolio Diversification Opportunities. (2000). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp31.

Full description at Econpapers || Download paper

7
2005Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric . In: FAME Research Paper Series. RePEc:fam:rpseri:rp155.

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7
2003Profitable Innovation Without Patent Protection: The Case of Derivatives.. (2003). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp76.

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6
2004Capital Structure, Credit Risk, and Macroeconomic Conditions. (2004). Morellec, Erwan . In: FAME Research Paper Series. RePEc:fam:rpseri:rp125.

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6
2002Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp69.

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6
2005Theory and Calibration of Swap Market Models. (2005). J.-M. Ly, ; Huang, Z.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp107.

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6
2005Monte Carlo Simulations for Real Estate Valuation. (2005). Bender, Andre ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp148.

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6
2002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp48.

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5
2003What’s in a View?. (2003). Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp79.

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5
2005Spatial Dependence, Housing Submarkets, and House Prices. (2005). Cantoni, Eva . In: FAME Research Paper Series. RePEc:fam:rpseri:rp151.

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5
2001Portfolio Diversification: Alive and Well in Euroland!. (2001). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp32.

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5
2005Repurchasing Shares on a Second Trading Line. (2005). Perignon, Christophe ; Chung, Dennis Y.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp162.

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5
2002Implicit Forward Rents as Predictors of Future Rents. (2002). Soderberg, Bo ; Englund, Peter ; GUNNELIN, ke. In: FAME Research Paper Series. RePEc:fam:rpseri:rp59.

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5
2002Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65.

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4
2004Nonparametric Estimation of Conditional Expected Shortfall. (2004). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp112.

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4
2002Irreversible Investment with Regime Shifts. (2002). Morellec, Erwan ; Guo, Xin . In: FAME Research Paper Series. RePEc:fam:rpseri:rp99.

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4
2002Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Cheng, Peng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp67.

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4
2003Competition Between Stock Exchanges: A Survey. (2003). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp77.

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4
2001Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001. (2001). Hamelink, Foort ; HILLION, Pierre ; Harasty, Helene . In: FAME Research Paper Series. RePEc:fam:rpseri:rp35.

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3
2003Stock Exchange Competition in a Simple Model of Capital Market Equilibrium. (2003). VON THADDEN, Ernst-Ludwig . In: FAME Research Paper Series. RePEc:fam:rpseri:rp109.

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3
2002Portfolio Optimization with Concave Transaction Costs. (2002). Demchuk, Andriy. In: FAME Research Paper Series. RePEc:fam:rpseri:rp103.

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3
2002Weak Convergence of Hedging Strategies of Contingent Claims. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp39.

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3
2005Understanding Default Risk Through Nonparametric Intensity Estimation. (2005). Couderc, Fabien. In: FAME Research Paper Series. RePEc:fam:rpseri:rp141.

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3
2005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp132.

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3
2001How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods. (2001). BARRAS, Laurent. In: FAME Research Paper Series. RePEc:fam:rpseri:rp37.

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3
2003The Price of Aesthetic Externalities. (2003). Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp98.

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3
2003Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases. (2003). Battocchio, Paolo. In: FAME Research Paper Series. RePEc:fam:rpseri:rp66.

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3
2005Growth Options in General Equilibrium: Some Asset Pricing Implications. (2005). Morellec, Erwan ; Sundaresan, Suresh ; Hugonnier, Julien . In: FAME Research Paper Series. RePEc:fam:rpseri:rp138.

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2
2004Omega Portfolio Construction with Johnson Distributions. (2004). Passow, Alexander. In: FAME Research Paper Series. RePEc:fam:rpseri:rp120.

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2
2002Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds. (2002). FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp95.

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2

50 most relevant documents in this series:

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

YearTitleCited
2001Variable Selection for Portfolio Choice. (2001). Brandt, Michael W. ; Ait-Sahalia, Yacine . In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

Full description at Econpapers || Download paper

14
2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp38.

Full description at Econpapers || Download paper

4
2003European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84.

Full description at Econpapers || Download paper

4
2003Nonparametric Estimation of Copulas for Time Series. (2003). Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

Full description at Econpapers || Download paper

4
2002Weak Convergence of Hedging Strategies of Contingent Claims. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp39.

Full description at Econpapers || Download paper

3
2005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

Full description at Econpapers || Download paper

3
2005Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric . In: FAME Research Paper Series. RePEc:fam:rpseri:rp156.

Full description at Econpapers || Download paper

3
2005Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Caglio, Cecilia . In: FAME Research Paper Series. RePEc:fam:rpseri:rp146.

Full description at Econpapers || Download paper

2
2004Omega Portfolio Construction with Johnson Distributions. (2004). Passow, Alexander. In: FAME Research Paper Series. RePEc:fam:rpseri:rp120.

Full description at Econpapers || Download paper

2
2001How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods. (2001). BARRAS, Laurent. In: FAME Research Paper Series. RePEc:fam:rpseri:rp37.

Full description at Econpapers || Download paper

2
2002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp48.

Full description at Econpapers || Download paper

2
2004Equity Returns and Integration: Is Europe Changing?. (2004). Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

Full description at Econpapers || Download paper

2
2003Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81.

Full description at Econpapers || Download paper

2
2002Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp69.

Full description at Econpapers || Download paper

2
2002Banking, Commerce, and Antitrust¤. (2002). . In: FAME Research Paper Series. RePEc:fam:rpseri:rp19.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:

[Click on heading to sort table]

YearTitleSee

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.