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

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

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		(%)			0.06
1991		0.09			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.05
1993		0.13			0				0		0		(%)			0.06
1994		0.14			0				0		0		(%)			0.06
1995		0.17			0				0		0		(%)			0.11
1996		0.22			0				0		0		(%)			0.1
1997		0.22			0				0		0		(%)			0.09
1998		0.24		2	2	1	0.5	10	0		0		(%)			0.13
1999	1.5	0.3	1.5	7	9	4	0.44	29	2	3	2	3	(%)	1	0.14	0.16
2000	0.44	0.37	0.44	13	22	5	0.23	42	9	4	9	4	1 (2.4%)	1	0.08	0.14
2001	0.55	0.37	0.64	15	37	18	0.49	90	20	11	22	14	2 (2.2%)	3	0.2	0.17
2002	0.5	0.37	0.43	33	70	16	0.23	76	28	14	37	16	1 (1.3%)			0.18
2003	0.25	0.4	0.27	31	101	26	0.26	161	48	12	70	19	3 (1.9%)	6	0.19	0.19
2004	0.28	0.41	0.3	22	123	34	0.28	72	64	18	99	30	2 (2.8%)	3	0.14	0.18
2005	0.34	0.43	0.27	36	159	42	0.26	146	53	18	114	31	(%)	7	0.19	0.21
2006	0.4	0.44	0.39		159	64	0.4		58	23	137	54	(%)			0.19
2007	0.31	0.37	0.27		159	37	0.23		36	11	122	33	(%)			0.17
2008		0.39	0.36		159	41	0.26		0		89	32	(%)			0.17
2009		0.36	0.29		159	40	0.25		0		58	17	(%)			0.17
2010		0.34	0.33		159	48	0.3		0		36	12	(%)			0.15
2011		0.41			159	48	0.3		0		0		(%)			0.2
2012		0.45			159	41	0.26		0		0		(%)			0.21
2013		0.5			159	24	0.15		0		0		(%)			0.2
2014		0.55			159	36	0.23		0		0		(%)			0.25
2015		0.57			159	35	0.22		0		0		(%)			0.26
2016		0.66			159	33	0.21		0		0		(%)			0.34

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	2001	Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34. Full description at Econpapers \|\| Download paper	59
2	2003	European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84. Full description at Econpapers \|\| Download paper	46
3	2003	Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp57. Full description at Econpapers \|\| Download paper	45
4	2005	Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman . In: FAME Research Paper Series. RePEc:fam:rpseri:rp130. Full description at Econpapers \|\| Download paper	33
5	1999	Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Viceira, Luis ; Chacko, George . In: FAME Research Paper Series. RePEc:fam:rpseri:rp11. Full description at Econpapers \|\| Download paper	23
6	2000	European Financial Markets After EMU: A First Assessment. (2000). von Thadden, Ernst-Ludwig ; Giavazzi, Francesco ; Danthine, Jean-Pierre. In: FAME Research Paper Series. RePEc:fam:rpseri:rp13. Full description at Econpapers \|\| Download paper	18
7	2004	Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117. Full description at Econpapers \|\| Download paper	18
8	2005	A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128. Full description at Econpapers \|\| Download paper	15
9	2001	Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38. Full description at Econpapers \|\| Download paper	14
10	2005	Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia . In: FAME Research Paper Series. RePEc:fam:rpseri:rp146. Full description at Econpapers \|\| Download paper	12
11	2005	Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp156. Full description at Econpapers \|\| Download paper	12
12	2003	Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Padula, Mario ; Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81. Full description at Econpapers \|\| Download paper	12
13	2002	Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Marketsâ 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. Full description at Econpapers \|\| Download paper	11
14	2003	Are practitioners right? On the relative importance of industrial factors in international stock returns. (2003). Isakov, Dusan ; Sonney, Frederic . In: FAME Research Paper Series. RePEc:fam:rpseri:rp72. Full description at Econpapers \|\| Download paper	11
15	1998	Who Should Buy Long-Term Bonds?. (1998). Viceira, Luis ; Campbell, John. In: FAME Research Paper Series. RePEc:fam:rpseri:rp5. Full description at Econpapers \|\| Download paper	10
16	2003	Profitable Innovation Without Patent Protection: The Case of Derivatives.. (2003). Schroth, Enrique ; Herrera, Helios. In: FAME Research Paper Series. RePEc:fam:rpseri:rp76. Full description at Econpapers \|\| Download paper	10
17	2004	A Simple Alternative House Price Index Method. (2004). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp119. Full description at Econpapers \|\| Download paper	10
18	2004	SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS. (2004). Scaillet, Olivier ; Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp108. Full description at Econpapers \|\| Download paper	10
19	2005	Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp155. Full description at Econpapers \|\| Download paper	10
20	2002	Mutual Fund Flows and Performance in Rational Markets. (2002). Green, Richard ; Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100. Full description at Econpapers \|\| Download paper	9
21	2002	A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities. (2002). vanini, paolo ; Trojani, Fabio ; Leippold, Markus. In: FAME Research Paper Series. RePEc:fam:rpseri:rp48. Full description at Econpapers \|\| Download paper	8
22	2003	The capital structure of Swiss companies: an empirical analysis using dynamic panel data. (2003). Hoesli, Martin ; Bender, Andre ; Gaud, Philippe ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp68. Full description at Econpapers \|\| Download paper	8
23	2005	Testing for Stochastic Dominance Efficiency. (2005). Scaillet, Olivier ; Topaloglou, Nikolas . In: FAME Research Paper Series. RePEc:fam:rpseri:rp154. Full description at Econpapers \|\| Download paper	8
24	2000	Extreme Value Theory for Tail-Related Risk Measures. (2000). Gilli, Manfred ; Kellezi, Evis . In: FAME Research Paper Series. RePEc:fam:rpseri:rp18. Full description at Econpapers \|\| Download paper	7
25	2000	EMU and Portfolio Diversification Opportunities. (2000). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp31. Full description at Econpapers \|\| Download paper	7
26	2002	Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69. Full description at Econpapers \|\| Download paper	7
27	2005	Multiariate Wavelet-based sahpe preserving estimation for dependant observation. (2005). Scaillet, Olivier ; Cosma, Antonio ; von Sachs, Rainer . In: FAME Research Paper Series. RePEc:fam:rpseri:rp144. Full description at Econpapers \|\| Download paper	7
28	2004	Capital Structure, Credit Risk, and Macroeconomic Conditions. (2004). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan . In: FAME Research Paper Series. RePEc:fam:rpseri:rp125. Full description at Econpapers \|\| Download paper	6
29	2003	Competition Between Stock Exchanges: A Survey. (2003). Ramos, Sofia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp77. Full description at Econpapers \|\| Download paper	6
30	2005	Monte Carlo Simulations for Real Estate Valuation. (2005). Hoesli, Martin ; Bender, Andre ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp148. Full description at Econpapers \|\| Download paper	6
31	2001	Portfolio Diversification: Alive and Well in Euroland!. (2001). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp32. Full description at Econpapers \|\| Download paper	6
32	2005	Theory and Calibration of Swap Market Models. (2005). Scaillet, Olivier ; Galluccio, Stefano ; J.-M. Ly, ; Huang, Z.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp107. Full description at Econpapers \|\| Download paper	6
33	2000	International CAPM with Regime Switching GARCH Parameters. (2000). Cappiello, Lorenzo ; FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp17. Full description at Econpapers \|\| Download paper	5
34	2002	Implicit Forward Rents as Predictors of Future Rents. (2002). Hoesli, Martin ; Soderberg, Bo ; Englund, Peter ; GUNNELIN, ke. In: FAME Research Paper Series. RePEc:fam:rpseri:rp59. Full description at Econpapers \|\| Download paper	5
35	2005	Spatial Dependence, Housing Submarkets, and House Prices. (2005). Hoesli, Martin ; Bourassa, Steven ; Cantoni, Eva . In: FAME Research Paper Series. RePEc:fam:rpseri:rp151. Full description at Econpapers \|\| Download paper	5
36	2003	Whatâs in a View?. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp79. Full description at Econpapers \|\| Download paper	5
37	2005	Repurchasing Shares on a Second Trading Line. (2005). Isakov, Dusan ; Perignon, Christophe ; Chung, Dennis Y.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp162. Full description at Econpapers \|\| Download paper	5
38	2005	Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp132. Full description at Econpapers \|\| Download paper	5
39	2002	Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp67. Full description at Econpapers \|\| Download paper	4
40	2000	Prospect Theory and Asset Prices. (2000). HUANG, MING ; Santos, Tano ; Barberis, Nicholas . In: FAME Research Paper Series. RePEc:fam:rpseri:rp16. Full description at Econpapers \|\| Download paper	4
41	2003	Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases. (2003). Scaillet, Olivier ; Menoncin, Francesco ; Battocchio, Paolo . In: FAME Research Paper Series. RePEc:fam:rpseri:rp66. Full description at Econpapers \|\| Download paper	4
42	2004	Nonparametric Estimation of Conditional Expected Shortfall. (2004). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp112. Full description at Econpapers \|\| Download paper	4
43	2002	Estimation 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. Full description at Econpapers \|\| Download paper	4
44	2005	Are European Corporate Bond and Default Swap Markets Segmented?. (2005). Cossin, Didier ; Lu, Hongze. In: FAME Research Paper Series. RePEc:fam:rpseri:rp133. Full description at Econpapers \|\| Download paper	4
45	2002	Irreversible Investment with Regime Shifts. (2002). Miao, Jianjun ; Morellec, Erwan ; Guo, Xin . In: FAME Research Paper Series. RePEc:fam:rpseri:rp99. Full description at Econpapers \|\| Download paper	4
46	2002	Optimal Investment With Default Risk. (2002). Jin, Xiangrong ; Hou, Yuanfeng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp46b. Full description at Econpapers \|\| Download paper	3
47	2002	Weak Convergence of Hedging Strategies of Contingent Claims. (2002). Scaillet, Olivier ; Prigent, Jean-Luc. In: FAME Research Paper Series. RePEc:fam:rpseri:rp39. Full description at Econpapers \|\| Download paper	3
48	2003	The Price of Aesthetic Externalities. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian . In: FAME Research Paper Series. RePEc:fam:rpseri:rp98. Full description at Econpapers \|\| Download paper	3
49	2003	Stock Exchange Competition in a Simple Model of Capital Market Equilibrium. (2003). von Thadden, Ernst-Ludwig ; Ramos, Sofia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp109. Full description at Econpapers \|\| Download paper	3
50	2002	Portfolio Optimization with Concave Transaction Costs. (2002). Demchuk, Andriy. In: FAME Research Paper Series. RePEc:fam:rpseri:rp103. Full description at Econpapers \|\| Download paper	3

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

#	Year	Title	Cited
1	2001	Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34. Full description at Econpapers \|\| Download paper	18
2	2005	A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128. Full description at Econpapers \|\| Download paper	6
3	2004	Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117. Full description at Econpapers \|\| Download paper	5
4	2001	Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38. Full description at Econpapers \|\| Download paper	5
5	2005	Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman . In: FAME Research Paper Series. RePEc:fam:rpseri:rp130. Full description at Econpapers \|\| Download paper	5
6	2003	Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David . In: FAME Research Paper Series. RePEc:fam:rpseri:rp57. Full description at Econpapers \|\| Download paper	4
7	2002	Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Marketsâ 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. Full description at Econpapers \|\| Download paper	3
8	2005	Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp155. Full description at Econpapers \|\| Download paper	3
9	2002	Estimation 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. Full description at Econpapers \|\| Download paper	3
10	2002	Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69. Full description at Econpapers \|\| Download paper	2
11	2000	European Financial Markets After EMU: A First Assessment. (2000). von Thadden, Ernst-Ludwig ; Giavazzi, Francesco ; Danthine, Jean-Pierre. In: FAME Research Paper Series. RePEc:fam:rpseri:rp13. Full description at Econpapers \|\| Download paper	2
12	2003	European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84. Full description at Econpapers \|\| Download paper	2
13	1999	Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?. (1999). Isakov, Dusan ; HOLLISTEIN, Marc. In: FAME Research Paper Series. RePEc:fam:rpseri:rp2. Full description at Econpapers \|\| Download paper	2
14	2002	Mutual Fund Flows and Performance in Rational Markets. (2002). Green, Richard ; Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100. Full description at Econpapers \|\| Download paper	2
15	2005	Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp156. Full description at Econpapers \|\| Download paper	2
16	2003	Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases. (2003). Scaillet, Olivier ; Menoncin, Francesco ; Battocchio, Paolo . In: FAME Research Paper Series. RePEc:fam:rpseri:rp66. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 0:

Year	Title

Recent citations (cites in year: CiY)

10 most frequent citing series

#		Series	Cites

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.