0.26
Impact Factor
0.36
5-Years IF
18
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 | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1991 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.15 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1996 | 0.19 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.2 | 0 | 0 | 0 | (%) | 0.08 | ||||||||||
| 1998 | 0.21 | 3 | 3 | 11 | 0 | 0 | (%) | 0.12 | ||||||||
| 1999 | 0.33 | 0.27 | 0.33 | 27 | 30 | 8 | 0.27 | 123 | 3 | 1 | 3 | 1 | 25 (20.3%) | 5 | 0.19 | 0.15 |
| 2000 | 0.33 | 0.36 | 0.33 | 17 | 47 | 17 | 0.36 | 127 | 30 | 10 | 30 | 10 | 25 (19.7%) | 2 | 0.12 | 0.14 |
| 2001 | 0.5 | 0.36 | 0.49 | 25 | 72 | 35 | 0.49 | 264 | 44 | 22 | 47 | 23 | 71 (26.9%) | 8 | 0.32 | 0.17 |
| 2002 | 0.38 | 0.37 | 0.32 | 14 | 86 | 28 | 0.33 | 70 | 42 | 16 | 72 | 23 | 24 (34.3%) | 1 | 0.07 | 0.18 |
| 2003 | 0.69 | 0.39 | 0.49 | 27 | 113 | 55 | 0.49 | 110 | 39 | 27 | 86 | 42 | 36 (32.7%) | 6 | 0.22 | 0.18 |
| 2004 | 0.78 | 0.41 | 0.71 | 31 | 144 | 131 | 0.91 | 161 | 41 | 32 | 110 | 78 | 54 (33.5%) | 14 | 0.45 | 0.18 |
| 2005 | 0.43 | 0.43 | 0.61 | 27 | 171 | 115 | 0.67 | 206 | 58 | 25 | 114 | 69 | 20 (9.7%) | 7 | 0.26 | 0.22 |
| 2006 | 0.48 | 0.45 | 0.55 | 15 | 186 | 101 | 0.54 | 69 | 58 | 28 | 124 | 68 | 16 (23.2%) | 1 | 0.07 | 0.19 |
| 2007 | 0.36 | 0.38 | 0.4 | 26 | 212 | 78 | 0.37 | 61 | 42 | 15 | 114 | 46 | 12 (19.7%) | 3 | 0.12 | 0.17 |
| 2008 | 0.27 | 0.38 | 0.42 | 27 | 239 | 111 | 0.46 | 125 | 41 | 11 | 126 | 53 | 28 (22.4%) | 3 | 0.11 | 0.17 |
| 2009 | 0.32 | 0.35 | 0.51 | 24 | 263 | 133 | 0.51 | 50 | 53 | 17 | 126 | 64 | 17 (34%) | 5 | 0.21 | 0.17 |
| 2010 | 0.47 | 0.32 | 0.45 | 21 | 284 | 140 | 0.49 | 98 | 51 | 24 | 119 | 53 | 14 (14.3%) | 6 | 0.29 | 0.15 |
| 2011 | 0.36 | 0.41 | 0.47 | 12 | 296 | 131 | 0.44 | 18 | 45 | 16 | 113 | 53 | 4 (22.2%) | 0.2 | ||
| 2012 | 0.82 | 0.46 | 0.56 | 24 | 320 | 150 | 0.47 | 18 | 33 | 27 | 110 | 62 | 4 (22.2%) | 3 | 0.13 | 0.21 |
| 2013 | 0.31 | 0.49 | 0.59 | 18 | 338 | 167 | 0.49 | 9 | 36 | 11 | 108 | 64 | 2 (22.2%) | 0.22 | ||
| 2014 | 0.26 | 0.56 | 0.36 | 11 | 349 | 132 | 0.38 | 10 | 42 | 11 | 99 | 36 | (%) | 3 | 0.27 | 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]
| Year | Title | Cited |
|---|---|---|
| 2005 | Panel Smooth Transition Regression Models. (2005). Terasvirta, Timo . In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers || Download paper | 87 |
| 2008 | Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers || Download paper | 83 |
| 2004 | A Benchmark Approach to Finance. (2004). . In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers || Download paper | 81 |
| 2001 | Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). . In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers || Download paper | 80 |
| 2001 | Arbitrage in Continuous Complete Markets. (2001). . In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers || Download paper | 65 |
| 2010 | Financialization, Crisis and Commodity Correlation Dynamics. (2010). Silvennoinen, Annastiina ; Thorp, Susan . In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers || Download paper | 40 |
| 2000 | Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). . In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers || Download paper | 39 |
| 2001 | A Minimal Financial Market Model. (2001). . In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers || Download paper | 35 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). . In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers || Download paper | 32 |
| 2006 | Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). . In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers || Download paper | 31 |
| 2002 | An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). . In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers || Download paper | 25 |
| Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers || Download paper | 24 | |
| 2001 | Speculative Behaviour and Complex Asset Price Dynamics. (2001). Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers || Download paper | 24 |
| 2003 | Modeling the Volatility and Expected Value of a Diversified World Index. (2003). . In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers || Download paper | 23 |
| 2005 | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). . In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers || Download paper | 22 |
| 2007 | Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers || Download paper | 22 |
| 1999 | Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers || Download paper | 20 |
| 2001 | Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers || Download paper | 19 |
| 2005 | Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers || Download paper | 17 |
| 2010 | M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers || Download paper | 17 |
| 2003 | A Benchmark Framework for Risk Management. (2003). . In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers || Download paper | 16 |
| 2001 | Testing for Time Dependence in Parameters. (2001). Becker, Ralf ; Enders, Walter . In: Research Paper Series. RePEc:uts:rpaper:58. Full description at Econpapers || Download paper | 15 |
| 2000 | Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models. (2000). Hwang, S. ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31. Full description at Econpapers || Download paper | 15 |
| 1999 | Classes of Interest Rate Models Under the HJM Framework. (1999). Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers || Download paper | 14 |
| 1999 | A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers || Download paper | 13 |
| 2001 | Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). . In: Research Paper Series. RePEc:uts:rpaper:55. Full description at Econpapers || Download paper | 13 |
| 2006 | Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers || Download paper | 13 |
| 1999 | Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers || Download paper | 13 |
| 2009 | A Framework for CAPM with Heterogenous Beliefs. (2009). Chiarella, Carl ; He, Xue-Zhong ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers || Download paper | 12 |
| 1999 | Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. (1999). Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:5. Full description at Econpapers || Download paper | 12 |
| 2010 | Approximating the Numeraire Portfolio by Naive Diversification. (2010). Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers || Download paper | 12 |
| 1999 | Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). . In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers || Download paper | 12 |
| 2002 | Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Heath, David . In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers || Download paper | 12 |
| 2004 | Diversified Portfolios with Jumps in a Benchmark Framework. (2004). . In: Research Paper Series. RePEc:uts:rpaper:129. Full description at Econpapers || Download paper | 12 |
| 1999 | An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). . In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers || Download paper | 11 |
| 2002 | Benchmark Model with Intensity Based Jumps. (2002). . In: Research Paper Series. RePEc:uts:rpaper:81. Full description at Econpapers || Download paper | 11 |
| 2003 | A Structure for General and Specific Market Risk. (2003). Stahl, Gerhard . In: Research Paper Series. RePEc:uts:rpaper:91. Full description at Econpapers || Download paper | 11 |
| 2005 | On the Role of the Growth Optimal Portfolio in Finance. (2005). . In: Research Paper Series. RePEc:uts:rpaper:144. Full description at Econpapers || Download paper | 11 |
| Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework. (2005). Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:166. Full description at Econpapers || Download paper | 10 | |
| 2001 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2001). . In: Research Paper Series. RePEc:uts:rpaper:71. Full description at Econpapers || Download paper | 10 |
| 2008 | Hedging for the Long Run. (2008). . In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers || Download paper | 10 |
| 2007 | Some Effects of Transaction Taxes Under Different Microstructures. (2007). Pelizzari, Paolo. In: Research Paper Series. RePEc:uts:rpaper:212. Full description at Econpapers || Download paper | 9 |
| 2004 | A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers || Download paper | 9 |
| 2002 | A Discrete Time Benchmark Approach for Finance and Insurance. (2002). Buhlmann, Hans . In: Research Paper Series. RePEc:uts:rpaper:74. Full description at Econpapers || Download paper | 9 |
| 2001 | Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case. (2001). . In: Research Paper Series. RePEc:uts:rpaper:53. Full description at Econpapers || Download paper | 9 |
| 2000 | Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning. (2000). . In: Research Paper Series. RePEc:uts:rpaper:37. Full description at Econpapers || Download paper | 9 |
| 2006 | Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers || Download paper | 9 |
| 2004 | A General Benchmark Model for Stochastic Jump Sizes. (2004). Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139. Full description at Econpapers || Download paper | 8 |
| 2001 | On Filtering in Markovian Term Structure Models (An Approximation Approach). (2001). Pasquali, Sara ; Runggaldier, Wolfgang . In: Research Paper Series. RePEc:uts:rpaper:65. Full description at Econpapers || Download paper | 8 |
| 2003 | Correlating Market Models. (2003). Choy, Bruce ; Dun, Tim. In: Research Paper Series. RePEc:uts:rpaper:105. Full description at Econpapers || Download paper | 8 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2005 | Panel Smooth Transition Regression Models. (2005). Terasvirta, Timo . In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers || Download paper | 50 |
| 2008 | Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers || Download paper | 26 |
| 2004 | A Benchmark Approach to Finance. (2004). . In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers || Download paper | 24 |
| 2010 | Financialization, Crisis and Commodity Correlation Dynamics. (2010). Silvennoinen, Annastiina ; Thorp, Susan . In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers || Download paper | 21 |
| 2010 | M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers || Download paper | 12 |
| 2005 | The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). . In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers || Download paper | 11 |
| 2007 | Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers || Download paper | 7 |
| 2010 | Approximating the Numeraire Portfolio by Naive Diversification. (2010). Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers || Download paper | 6 |
| 2001 | Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers || Download paper | 6 |
| 2005 | Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). . In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers || Download paper | 6 |
| 2006 | Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). . In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers || Download paper | 6 |
| 2010 | The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy . In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers || Download paper | 5 |
| 2001 | Arbitrage in Continuous Complete Markets. (2001). . In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers || Download paper | 5 |
| 2001 | Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2001). . In: Research Paper Series. RePEc:uts:rpaper:71. Full description at Econpapers || Download paper | 4 |
| 1999 | Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers || Download paper | 4 |
| 1999 | A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers || Download paper | 4 |
| 2013 | Herding, Trend Chasing and Market Volatility. (2013). Di Guilmi, Corrado ; Li, Kai . In: Research Paper Series. RePEc:uts:rpaper:337. Full description at Econpapers || Download paper | 4 |
| 2014 | Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500. (2014). Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers || Download paper | 4 |
| 2009 | A Framework for CAPM with Heterogenous Beliefs. (2009). Chiarella, Carl ; He, Xue-Zhong ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers || Download paper | 4 |
| 2001 | Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). . In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers || Download paper | 4 |
| 2012 | Local Risk-Minimization under the Benchmark Approach. (2012). Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers || Download paper | 4 |
| 2006 | Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation. (2006). Satchel, Stephen ; Xia, Wei . In: Research Paper Series. RePEc:uts:rpaper:181. Full description at Econpapers || Download paper | 3 |
| 2008 | The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Ziogas, Andrew ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers || Download paper | 3 |
| 2010 | The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Meyer, Gunter H. ; Chiarella, Carl . In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers || Download paper | 3 |
| 2014 | Time Series Momentum and Market Stability. (2014). Li, Kai . In: Research Paper Series. RePEc:uts:rpaper:341. Full description at Econpapers || Download paper | 3 |
| 2000 | Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models. (2000). Hwang, S. ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31. Full description at Econpapers || Download paper | 3 |
| 2009 | Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Wei, Junjie ; He, Xue-Zhong ; Zheng, Min ; Li, Kai . In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers || Download paper | 3 |
| 2011 | Limit Distribution of Evolving Strategies in Financial Markets. (2011). Chiarella, Carl ; Di Guilmi, Corrado . In: Research Paper Series. RePEc:uts:rpaper:294. Full description at Econpapers || Download paper | 3 |
| 2005 | Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers || Download paper | 3 |
| 2009 | Real World Pricing of Long Term Contracts. (2009). Platen, Eckhard . In: Research Paper Series. RePEc:uts:rpaper:262. Full description at Econpapers || Download paper | 3 |
| 2010 | Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min . In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers || Download paper | 3 |
| 2010 | Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Maina, Samuel Chege . In: Research Paper Series. RePEc:uts:rpaper:283. Full description at Econpapers || Download paper | 3 |
| 2012 | Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH. (2012). Milunovich, George ; Thorp, Susan ; Yang, Minxian ; Dungey, Mardi . In: Research Paper Series. RePEc:uts:rpaper:312. Full description at Econpapers || Download paper | 3 |
| 2009 | A Benchmark Approach to Investing and Pricing. (2009). Platen, Eckhard . In: Research Paper Series. RePEc:uts:rpaper:253. Full description at Econpapers || Download paper | 3 |
| 2001 | Testing for Time Dependence in Parameters. (2001). Becker, Ralf ; Enders, Walter . In: Research Paper Series. RePEc:uts:rpaper:58. Full description at Econpapers || Download paper | 3 |
| 2013 | Learning and Evolution of Trading Strategies in Limit Order Markets. (2013). . In: Research Paper Series. RePEc:uts:rpaper:335. Full description at Econpapers || Download paper | 2 |
| 2003 | Correlating Market Models. (2003). Choy, Bruce ; Dun, Tim. In: Research Paper Series. RePEc:uts:rpaper:105. Full description at Econpapers || Download paper | 2 |
| 2007 | Optimal VWAP Trading Strategy and Relative Volume. (2007). McCulloch, James ; Kazakov, Vladimir. In: Research Paper Series. RePEc:uts:rpaper:201. Full description at Econpapers || Download paper | 2 |
| 2008 | A Unifying Approach to Asset Pricing. (2008). . In: Research Paper Series. RePEc:uts:rpaper:227. Full description at Econpapers || Download paper | 2 |
| 2009 | A Visual Criterion for Identifying Ito Diffusions as Martingalesor Strict Local Martingales. (2009). Platen, Eckhard ; Hulley, Hardy . In: Research Paper Series. RePEc:uts:rpaper:263. Full description at Econpapers || Download paper | 2 |
| 2006 | Lie Group Symmetries as Integral Transforms of Fundamental Solutions. (2006). Lennox, Kelly A ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:183. Full description at Econpapers || Download paper | 2 |
| 2011 | Stochastic Correlation and Risk Premia in Term Structure Models. (2011). Hsiao, Chih-Ying ; To, Thuy-Duong . In: Research Paper Series. RePEc:uts:rpaper:298. Full description at Econpapers || Download paper | 2 |
| 2005 | On the Role of the Growth Optimal Portfolio in Finance. (2005). . In: Research Paper Series. RePEc:uts:rpaper:144. Full description at Econpapers || Download paper | 2 |
| 2012 | The Affine Nature of Aggregate Wealth Dynamics. (2012). Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:322. Full description at Econpapers || Download paper | 2 |
| 2012 | Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xue-Zhong . In: Research Paper Series. RePEc:uts:rpaper:316. Full description at Econpapers || Download paper | 2 |
| 2002 | A Variance Reduction Technique Based on Integral Representations. (2002). Heath, David . In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers || Download paper | 2 |
| 2001 | Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience. (2001). Rogers, Jeff M.. In: Research Paper Series. RePEc:uts:rpaper:57. Full description at Econpapers || Download paper | 2 |
| 2004 | A General Benchmark Model for Stochastic Jump Sizes. (2004). Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139. Full description at Econpapers || Download paper | 2 |
| 2001 | A Minimal Financial Market Model. (2001). . In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers || Download paper | 2 |
| 2004 | A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 11:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Trading volume and market efficiency: an Agent Based Model with
heterogenous knowledge about fundamentals. (2014). Rouchier, Juliette ; Lespagnol, Vivien . In: AMSE Working Papers. RePEc:aim:wpaimx:1419. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals. (2014). Rouchier, Juliette ; Lespagnol, Vivien . In: Working Papers. RePEc:hal:wpaper:halshs-00997573. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Impact of information cost and switching of trading strategies in an
artificial stock market. (2014). Xu, Chao ; Liu, Yi-Fang ; Zhang, Wei ; Andersen, Jorgen Vitting . In: Papers. RePEc:arx:papers:1311.4274. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Chinaâs Promoting Energy-Efficient Products for the Benefit of the People Program in 2012: Results and analysis of the consumer impact study. (2014). Li, Jiayang ; Yu, Yang ; Zeng, Lei . In: Applied Energy. RePEc:eee:appene:v:133:y:2014:i:c:p:22-32. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Time Series Momentum and Market Stability. (2014). Li, Kai . In: Research Paper Series. RePEc:uts:rpaper:341. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | How did the financial crisis alter the correlations of U.S. yield spreads?. (2014). Guidolin, Massimo ; Contessi, Silvio ; De Pace, Pierangelo ; DePace, Pierangelo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:28:y:2014:i:c:p:362-385. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Multifractality 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. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Hedging of unit-linked life insurance contracts with unobservable
mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Papers. RePEc:arx:papers:1406.6902. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Baldeaux, Jan ; Fung, Man Chung ; Ignatieva, Katja . In: Research Paper Series. RePEc:uts:rpaper:343. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model. (2014). Heath, David . In: Research Paper Series. RePEc:uts:rpaper:350. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2014
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| Year | Title | See |
|---|---|---|
| 2014 | Herding, trend chasing and market volatility. (2014). Di Guilmi, Corrado ; He, Xue-Zhong ; Li, Kai . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:349-373. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai . In: PhD Thesis. RePEc:uts:finphd:13. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2014 | Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics. (2014). Ghonghadze, Jaba ; Franke, Reiner . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:4. Full description at Econpapers || Download paper | [Citation Analysis] |
Recent citations received in: 2012
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| Year | Title | See |
|---|---|---|
| 2012 | Computing Functionals of Multidimensional Diffusions via Monte Carlo
Methods. (2012). Platen, Eckhard ; Baldeaux, Jan . In: Papers. RePEc:arx:papers:1204.1126. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | Modeling of Oil Prices. (2012). Du, Ke ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:321. Full description at Econpapers || Download paper | [Citation Analysis] |
| 2012 | PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Biagini, Francesca ; WIDENMANN, JAN . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:15:y:2012:i:04:p:1250025-1-1250025-32. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
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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.