Citation analysis for Annals of Financial Economics (AFE) / World Scientific Publishing Co. Pte. Ltd.

Annals of Financial Economics (AFE) / World Scientific Publishing Co. Pte. Ltd.

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Impact Factor

0.19

5-Years IF

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
1990		0.1			0				0		0		(%)			0.04
1991		0.09			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.04
1993		0.11			0				0		0		(%)			0.05
1994		0.12			0				0		0		(%)			0.05
1995		0.19			0				0		0		(%)			0.07
1996		0.22			0				0		0		(%)			0.09
1997		0.27			0				0		0		(%)			0.09
1998		0.27			0				0		0		(%)			0.1
1999		0.31			0				0		0		(%)			0.13
2000		0.4			0				0		0		(%)			0.15
2001		0.4			0				0		0		(%)			0.15
2002		0.42			0				0		0		(%)			0.18
2003		0.44			0				0		0		(%)			0.18
2004		0.49			0				0		0		(%)			0.2
2005		0.53		5	5			3	0		0		1 (33.3%)			0.21
2006		0.51		5	10			2	5		5		(%)			0.2
2007		0.44		5	15			1	10		10		(%)			0.18
2008		0.47		4	19	1	0.05	1	10		15		(%)			0.2
2009		0.47		5	24			5	9		19		(%)			0.19
2010		0.44			24				9		24		(%)			0.16
2011	0.2	0.51	0.05	4	28	1	0.04	3	5	1	19	1	(%)			0.2
2012		0.56	0.11	10	38	4	0.11	21	4		18	2	1 (4.8%)	1	0.1	0.21
2013	0.21	0.66	0.17	13	51	4	0.08	1	14	3	23	4	(%)			0.23
2014	0.13	0.67	0.09	20	71	6	0.08	7	23	3	32	3	(%)	1	0.05	0.22
2015		0.82	0.19	17	88	15	0.17	9	33		47	9	1 (11.1%)	4	0.24	0.27

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:

#	Year	Title	Cited
1	2012	STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES. (2012). Wong, Wing-Keung ; Gasbarro, Dominic ; Zumwalt, Kenton J.. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:p:1250005-1-1250005-20. Full description at Econpapers \|\| Download paper	10
2	2012	MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:p:1250010-1-1250010-27. Full description at Econpapers \|\| Download paper	6
3	2012	THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING. (2012). Jarrow, Robert. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:p:1250007-1-1250007-11. Full description at Econpapers \|\| Download paper	6
4	2015	IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS. (2015). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:p:1550002-1-1550002-23. Full description at Econpapers \|\| Download paper	6
5	2014	TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS. (2014). Chang, Chia-Lin ; Ke, Yu-Pei . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:p:1440006-1-1440006-26. Full description at Econpapers \|\| Download paper	5
6	2009	ARE NONLINEAR TRADING RULES PROFITABLE IN THE CHINESE STOCK MARKET?. (2009). CHONG, Terence Tai Leung ; Hinich, Melvin J. ; LAM, TAU-HING . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:p:0950002-1-0950002-20. Full description at Econpapers \|\| Download paper	4
7	2011	QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS. (2011). Powell, Robert ; Allen, David ; Singh, A. K.. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:06:y:2011:i:01:p:1150003-1-1150003-19. Full description at Econpapers \|\| Download paper	3
8	2005	THE LOG-NORMAL ASSET PRICING MODEL (LAPM). (2005). COHEN, ALLON ; Levy, Haim . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:01:y:2005:i:01:p:0550002-1-0550002-34. Full description at Econpapers \|\| Download paper	2
9	2015	FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK. (2015). Zagaglia, Paolo ; Gabrielsen, Alexandros ; Kirchner, Axel ; Liu, Zhuoshi . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:p:1550005-1-1550005-29. Full description at Econpapers \|\| Download paper	2
10	2012	EXECUTIVE SHORT-TERM INCENTIVE, RISK-TAKING AND LEVERAGE-NEUTRAL INCENTIVE SCHEME. (2012). Kaplanski, Guy ; Levy, Haim . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:p:1250003-1-1250003-45. Full description at Econpapers \|\| Download paper	1
11	2014	BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES. (2014). Ramezani, Cyrus A. ; Frame, Samuel J.. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:03:p:1450008-1-1450008-29. Full description at Econpapers \|\| Download paper	1
12	2007	PREFERENCES, LÃVY JUMPS AND OPTION PRICING. (2007). Ma, Chenghu . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:03:y:2007:i:01:p:0750001-1-0750001-33. Full description at Econpapers \|\| Download paper	1
13	2013	PARTIAL IMMUNIZATION BOUNDS AND NON-PARALLEL TERM STRUCTURE SHIFTS. (2013). Poitras, Geoffrey. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:08:y:2013:i:02:p:1350006-1-1350006-27. Full description at Econpapers \|\| Download paper	1
14	2014	USING TWO-PART QUANTILE REGRESSION TO ANALYZE HOW EARNINGS SHOCKS AFFECT STOCK REPURCHASES. (2014). Yu, Shih-Ti ; CHI, CHIH-YI ; Lu, Yu-Lung ; LI, YI TZU . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:p:1440010-1-1440010-13. Full description at Econpapers \|\| Download paper	1
15		PREDICTING FINANCIAL FAILURE OF THE TURKISH BANKS. (2006). ceylan, nildag ; DOANAY, METE M. ; Akta, Ramazan . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:02:y:2006:i:01:p:0650005-1-0650005-19. Full description at Econpapers \|\| Download paper	1
16	2015	IMPROVED DETECTION OF RARE-EVENT RISK OF A PORTFOLIO WITH U.S. REITs. (2015). So, Leh-Chyan ; Yu, Jun-Yang . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:02:p:1550015-01-1550015-25. Full description at Econpapers \|\| Download paper	1
17	2009	MONETARY POLICY AND ASSET PRICES IN A SMALL OPEN ECONOMY: A FACTOR-AUGMENTED VAR ANALYSIS FOR SINGAPORE. (2009). Chow, Hwee Kwan ; CHOY, KEEN MENG. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:05:y:2009:i:01:p:0950004-1-0950004-23. Full description at Econpapers \|\| Download paper	1
18	2014	CREDIT SPREADS AND BANKRUPTCY INFORMATION FROM OPTIONS DATA. (2014). Tzeng, Chi-Feng. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:p:1440008-1-1440008-22. Full description at Econpapers \|\| Download paper	1
19	2006	ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950â2005. (2006). Cook, Steven . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:02:y:2006:i:01:p:0650003-1-0650003-10. Full description at Econpapers \|\| Download paper	1
20	2014	ACTUARIAL IMPLICATIONS OF STRUCTURAL CHANGES IN EL NIÃO-SOUTHERN OSCILLATION INDEX DYNAMICS. (2014). Huang, Yu-Lieh ; Chen, Shu-Ling . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:p:1440007-1-1440007-20. Full description at Econpapers \|\| Download paper	1
21		MOTIVES FOR CORPORATE HEDGING: EVIDENCE FROM THE UK. (2005). Clark, Ephraim ; Judge, Amrit . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:01:y:2005:i:01:p:0550003-1-0550003-20. Full description at Econpapers \|\| Download paper	1
22	2008	VOLATILITY DYNAMICS IN FOREIGN EXCHANGE RATES: FURTHER EVIDENCE FROM THE MALAYSIAN RINGGIT AND SINGAPORE DOLLAR. (2008). Tsui, Albert ; Ho, Kin-Yip . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:04:y:2008:i:01:p:0850004-1-0850004-27. Full description at Econpapers \|\| Download paper	1

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2012	STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES. (2012). Wong, Wing-Keung ; Gasbarro, Dominic ; Zumwalt, Kenton J.. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:01:p:1250005-1-1250005-20. Full description at Econpapers \|\| Download paper	7
2	2015	IS BITCOIN BUSINESS INCOME OR SPECULATIVE FOOLERY? NEW IDEAS THROUGH AN IMPROVED FREQUENCY DOMAIN ANALYSIS. (2015). Tiwari, Aviral ; Selmi, Refk ; bouoiyour, jamal. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:p:1550002-1-1550002-23. Full description at Econpapers \|\| Download paper	6
3	2012	THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING. (2012). Jarrow, Robert. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:p:1250007-1-1250007-11. Full description at Econpapers \|\| Download paper	6
4	2014	TESTING PRICE PRESSURE, INFORMATION, FEEDBACK TRADING, AND SMOOTHING EFFECTS FOR ENERGY EXCHANGE TRADED FUNDS. (2014). Chang, Chia-Lin ; Ke, Yu-Pei . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:09:y:2014:i:02:p:1440006-1-1440006-26. Full description at Econpapers \|\| Download paper	5
5	2012	MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS. (2012). Tansuchat, Roengchai ; McAleer, Michael ; Chang, Chia-Lin. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:07:y:2012:i:02:p:1250010-1-1250010-27. Full description at Econpapers \|\| Download paper	4
6	2011	QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS. (2011). Powell, Robert ; Allen, David ; Singh, A. K.. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:06:y:2011:i:01:p:1150003-1-1150003-19. Full description at Econpapers \|\| Download paper	3
7	2015	FORECASTING VALUE-AT-RISK WITH TIME-VARYING VARIANCE, SKEWNESS AND KURTOSIS IN AN EXPONENTIAL WEIGHTED MOVING AVERAGE FRAMEWORK. (2015). Zagaglia, Paolo ; Gabrielsen, Alexandros ; Kirchner, Axel ; Liu, Zhuoshi . In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:10:y:2015:i:01:p:1550005-1-1550005-29. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 0:

Year	Title

Recent citations (cites in year: CiY)

Recent citations received in 2015

Year	Citing document
2015	What Does Bitcoin Look Like?. (2015). Selmi, Refk ; bouoiyour, jamal. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2015:v:16:i:2:bouoiyour. Full description at Econpapers \|\| Download paper
2015	Greece withdraws from Euro and runs on Bitcoin; April Fools Prank or Serious Possibility?. (2015). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:65317. Full description at Econpapers \|\| Download paper
2015	Bitcoin Price: Is it really that New Round of Volatility can be on way?. (2015). Selmi, Refk ; bouoiyour, jamal. In: MPRA Paper. RePEc:pra:mprapa:65580. Full description at Econpapers \|\| Download paper
2015	VOLATILITY AND KURTOSIS OF DAILY STOCK RETURNS AT MSE. (2015). Ivanovski, Zoran ; Narasanov, Zoran ; Stojanovski, Toni . In: UTMS Journal of Economics. RePEc:ris:utmsje:0150. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Recent Developments in Quantitative Finance: An Overview. (2014). Yu, Shih-Ti ; Chang, Chia-Lin ; Hu, Shing-yang . In: MPRA Paper. RePEc:pra:mprapa:58307. Full description at Econpapers \|\| Download paper

Recent citations received in 2012

Year	Citing document
2012	Robust Estimation and Forecasting of the Capital Asset Pricing Model. (2012). Wong, Wing-Keung ; McAleer, Michael ; Bian, Guorui . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1209. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Proceedings of International Academic Conferences / International Institute of Social and Economic Sciences	2
2	China Economic Review / Elsevier	1
3	Health Policy / Elsevier	1
4	MPRA Paper / University Library of Munich, Germany	1
5	Economics Bulletin / AccessEcon	1
6		1
7	Energy Economics / Elsevier	1
8	Journal of International Commerce, Economics and Policy (JICEP) / World Scientific Publishing Co. Pte. Ltd.	1

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.