0.54
Impact Factor
0.52
5-Years IF
34
5-Years H index
Quantitative Finance / Taylor & Francis Journals
[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 | 0.09 | 0 | 0 | 0 | (%) | 0.04 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.2 | 0 | 0 | 0 | (%) | 0.07 | ||||||||||
| 1996 | 0.23 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.27 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1998 | 0.29 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1999 | 0.32 | 0 | 0 | 0 | (%) | 0.13 | ||||||||||
| 2000 | 0.4 | 0 | 1 | 0 | 0 | (%) | 0.15 | |||||||||
| 2001 | 0.4 | 67 | 67 | 26 | 0.39 | 1379 | 0 | 0 | 18 (1.3%) | 20 | 0.3 | 0.15 | ||||
| 2002 |  0.49 | 0.42 | 0.49 | 63 | 130 | 55 | 0.42 | 541 | 67 | 33 | 67 | 33 | 20 (3.7%) | 8 | 0.13 | 0.18 |
| 2003 | 0.6 | 0.44 | 0.6 | 68 | 198 | 111 | 0.56 | 437 | 130 | 78 | 130 | 78 | 16 (3.7%) | 4 | 0.06 | 0.19 |
| 2004 |  0.43 | 0.49 | 0.51 | 68 | 266 | 135 | 0.51 | 648 | 131 | 56 | 198 | 100 | 5 (%) | 9 | 0.13 | 0.2 |
| 2005 | 0.39 | 0.53 | 0.57 | 50 | 316 | 206 | 0.65 | 580 | 136 | 53 | 266 | 152 | 10 (1.7%) | 4 | 0.08 | 0.21 |
| 2006 | 0.43 | 0.51 | 0.61 | 45 | 361 | 237 | 0.66 | 254 | 118 | 51 | 316 | 192 | 7 (2.8%) | 9 | 0.2 | 0.2 |
| 2007 | 0.35 | 0.45 | 0.42 | 63 | 424 | 216 | 0.51 | 277 | 95 | 33 | 294 | 123 | 1 (%) | 8 | 0.13 | 0.18 |
| 2008 | 0.18 | 0.48 | 0.39 | 64 | 488 | 274 | 0.56 | 372 | 108 | 19 | 294 | 116 | 4 (1.1%) | 13 | 0.2 | 0.2 |
| 2009 | 0.25 | 0.47 | 0.49 | 80 | 568 | 330 | 0.58 | 309 | 127 | 32 | 290 | 142 | 4 (1.3%) | 2 | 0.03 | 0.19 |
| 2010 | 0.33 | 0.45 | 0.39 | 114 | 682 | 318 | 0.47 | 594 | 144 | 47 | 302 | 117 | 3 (%) | 14 | 0.12 | 0.16 |
| 2011 | 0.25 | 0.52 | 0.33 | 91 | 773 | 359 | 0.46 | 289 | 194 | 49 | 366 | 122 | (%) | 16 | 0.18 | 0.2 |
| 2012 | 0.41 | 0.55 | 0.49 | 166 | 939 | 515 | 0.55 | 370 | 205 | 84 | 412 | 202 | 2 (%) | 8 | 0.05 | 0.2 |
| 2013 | 0.34 | 0.62 | 0.52 | 140 | 1079 | 718 | 0.67 | 310 | 257 | 87 | 515 | 267 | 3 (1%) | 19 | 0.14 | 0.22 |
| 2014 | 0.37 | 0.64 | 0.52 | 155 | 1234 | 846 | 0.69 | 205 | 306 | 112 | 591 | 307 | 1 (%) | 17 | 0.11 | 0.21 |
| 2015 | 0.43 | 0.69 | 0.53 | 141 | 1375 | 902 | 0.66 | 216 | 295 | 127 | 666 | 352 | 1 (%) | 33 | 0.23 | 0.22 |
| 2016 | 0.54 | 0.85 | 0.52 | 84 | 1459 | 1080 | 0.74 | 19 | 296 | 160 | 693 | 361 | (%) | 1 | 0.01 | 0.26 |
| 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 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 483 |
| 2 | 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 187 |
| 3 | 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 174 |
| 4 | 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 128 |
| 5 | 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 115 |
| 6 | 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 87 |
| 7 | 2001 | Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers || Download paper | 87 |
| 8 | 2002 | Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 80 |
| 9 | 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 77 |
| 10 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 75 |
| 11 | 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 73 |
| 12 | 2001 | High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers || Download paper | 64 |
| 13 | 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers || Download paper | 63 |
| 14 | 2001 | Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers || Download paper | 63 |
| 15 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 62 |
| 16 | 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 60 |
| 17 | 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 56 |
| 18 | 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 56 |
| 19 | 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 53 |
| 20 | 2004 | A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers || Download paper | 52 |
| 21 | 2003 | Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers || Download paper | 50 |
| 22 | 2011 | Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers || Download paper | 49 |
| 23 | 2001 | Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers || Download paper | 47 |
| 24 | 2008 | A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 46 |
| 25 | 2010 | A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers || Download paper | 46 |
| 26 | 2013 | Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers || Download paper | 45 |
| 27 | 2007 | Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers || Download paper | 44 |
| 28 | 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 44 |
| 29 | 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 43 |
| 30 | 2001 | Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers || Download paper | 40 |
| 31 | 2003 | Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers || Download paper | 37 |
| 32 | 2012 | Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers || Download paper | 35 |
| 33 | 2005 | Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers || Download paper | 34 |
| 34 | 2011 | Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers || Download paper | 34 |
| 35 | 2005 | Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers || Download paper | 34 |
| 36 | 2002 | The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers || Download paper | 33 |
| 37 | 2002 | Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers || Download paper | 33 |
| 38 | 2001 | Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers || Download paper | 32 |
| 39 | 2001 | Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers || Download paper | 31 |
| 40 | 2008 | Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers || Download paper | 31 |
| 41 | 2005 | Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276. Full description at Econpapers || Download paper | 31 |
| 42 | 2001 | Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers || Download paper | 30 |
| 43 | 2003 | Fundamentalists clashing over the book: a study of order-driven stock markets. (2003). Pellizzari, Paolo ; LiCalzi, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:470-480. Full description at Econpapers || Download paper | 30 |
| 44 | 2001 | Price fluctuations, market activity and trading volume. (2001). Gabaix, Xavier ; Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; L. A. N. Amaral, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:262-269. Full description at Econpapers || Download paper | 30 |
| 45 | 2002 | Asymptotics and calibration of local volatility models. (2002). Berestycki, H. ; Busca, J. ; Florent, I.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:61-69. Full description at Econpapers || Download paper | 29 |
| 46 | 2015 | The multiplex structure of interbank networks. (2015). Infante, Luigi ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F. ; di Iasio, G.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers || Download paper | 29 |
| 47 | 2001 | Scaling and universality in economics: empirical results and theoretical interpretation. (2001). Stanley, H. E. ; Plerou, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:563-567. Full description at Econpapers || Download paper | 29 |
| 48 | 2005 | Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342. Full description at Econpapers || Download paper | 29 |
| 49 | 2013 | Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers || Download paper | 29 |
| 50 | 2010 | International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399. Full description at Econpapers || Download paper | 28 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2001 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 206 |
| 2 | 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 82 |
| 3 | 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 51 |
| 4 | 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 39 |
| 5 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 38 |
| 6 | 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 33 |
| 7 | 2013 | Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers || Download paper | 30 |
| 8 | 2015 | The multiplex structure of interbank networks. (2015). Infante, Luigi ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F. ; di Iasio, G.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers || Download paper | 29 |
| 9 | 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 29 |
| 10 | 2013 | Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers || Download paper | 26 |
| 11 | 2011 | Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers || Download paper | 25 |
| 12 | 2005 | Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276. Full description at Econpapers || Download paper | 24 |
| 13 | 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 23 |
| 14 | 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 22 |
| 15 | 2007 | Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers || Download paper | 22 |
| 16 | 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric . In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 21 |
| 17 | 2010 | Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers || Download paper | 20 |
| 18 | 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 20 |
| 19 | 2011 | Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic . In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers || Download paper | 20 |
| 20 | 2015 | Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers || Download paper | 20 |
| 21 | 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 19 |
| 22 | 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 19 |
| 23 | 2010 | A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers || Download paper | 19 |
| 24 | 2010 | International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399. Full description at Econpapers || Download paper | 19 |
| 25 | 2001 | Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers || Download paper | 18 |
| 26 | 2012 | The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers || Download paper | 18 |
| 27 | 2012 | Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers || Download paper | 18 |
| 28 | 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 17 |
| 29 | 2012 | Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263. Full description at Econpapers || Download paper | 17 |
| 30 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 17 |
| 31 | 2013 | Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers || Download paper | 17 |
| 32 | 2015 | Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636. Full description at Econpapers || Download paper | 16 |
| 33 | 2004 | A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers || Download paper | 16 |
| 34 | 2002 | Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 16 |
| 35 | 2012 | Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327. Full description at Econpapers || Download paper | 16 |
| 36 | 2014 | Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166. Full description at Econpapers || Download paper | 15 |
| 37 | 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 14 |
| 38 | 2001 | High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers || Download paper | 14 |
| 39 | 2013 | The dynamics of commodity prices. (2013). Prokopczuk, Marcel ; Brooks, Chris. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542. Full description at Econpapers || Download paper | 14 |
| 40 | 2005 | Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313. Full description at Econpapers || Download paper | 13 |
| 41 | 2008 | Relation between bid-ask spread, impact and volatility in order-driven markets. (2008). Potters, Marc ; Bouchaud, Jean-Philippe ; Vettorazzo, Michele ; Wyart, Matthieu ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:41-57. Full description at Econpapers || Download paper | 13 |
| 42 | 2015 | On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733. Full description at Econpapers || Download paper | 13 |
| 43 | 2012 | Options on realized variance by transform methods: a non-affine stochastic volatility model. (2012). Drimus, Gabriel G.. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:11:p:1679-1694. Full description at Econpapers || Download paper | 12 |
| 44 | 2011 | The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis. (2011). Zhang, Yue-Jun ; Wei, Yi-Ming. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:967-978. Full description at Econpapers || Download paper | 12 |
| 45 | 2008 | A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino . In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 12 |
| 46 | 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers || Download paper | 12 |
| 47 | 2001 | Non-random topology of stock markets. (2001). Brisbois, F. ; Tordoir, X. ; Vandewalle, N.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:372-374. Full description at Econpapers || Download paper | 11 |
| 48 | 2014 | Longevity hedge effectiveness: a decomposition. (2014). Blake, David ; Andrew J. G. Cairns, ; Dowd, Kevin ; Coughlan, Guy D.. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:2:p:217-235. Full description at Econpapers || Download paper | 11 |
| 49 | 2005 | Static-arbitrage upper bounds for the prices of basket options. (2005). Hobson, David ; Wang, Tai-Ho ; Laurence, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:329-342. Full description at Econpapers || Download paper | 11 |
| 50 | 2010 | Asymmetry of information flow between volatilities across time scales. (2010). Selcuk, Faruk ; Gradojevic, Nikola ; Gencay, Ramazan ; Whitcher, Brandon . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:8:p:895-915. Full description at Econpapers || Download paper | 11 |
Citing documents used to compute impact factor 160:
| Year | Title | |
|---|---|---|
| 2016 | Systemic risk and heterogeneous leverage in banking networks. (2016). SaltoÄlu, Burak ; Kuzubas, Tolga ; Saltolu, Burak ; Sever, Can . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:358-375. Full description at Econpapers || Download paper | |
| 2016 | Default contagion risks in Russian interbank market. (2016). Leonidov, A V ; Rumyantsev, E L. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:36-48. Full description at Econpapers || Download paper | |
| 2016 | A functional perspective to financial networks. (2016). Gaffeo, Edoardo. In: DEM Working Papers. RePEc:trn:utwprg:2016/06. Full description at Econpapers || Download paper | |
| 2016 | Interbank loans, collateral and modern monetary policy. (2016). Wolski, Marcin ; van de Leur, Michiel. In: Working Paper Series. RePEc:ecb:ecbwps:20161959. Full description at Econpapers || Download paper | |
| 2016 | Multiplex interbank networks and systemic importance: an application to European data. (2016). Aldasoro, Iñaki ; Alves, Ivan . In: Working Paper Series. RePEc:ecb:ecbwps:20161962. Full description at Econpapers || Download paper | |
| 2016 | Bank networks: contagion, systemic risk and prudential policy. (2016). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:597. Full description at Econpapers || Download paper | |
| 2016 | Interbank loans, collateral and modern monetary policy. (2016). Wolski, Marcin ; van de Leur, Michiel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:388-416. Full description at Econpapers || Download paper | |
| 2016 | Multiplex interbank networks and systemic importance â An application to European data. (2016). Aldasoro, Iñaki ; Alves, Ivan . In: ESRB Working Paper Series. RePEc:srk:srkwps:201620. Full description at Econpapers || Download paper | |
| 2016 | Financial contagion with spillover effects: a multiplex network approach. (2016). Crisóstomo, Ricardo ; Peralta, Gustavo ; Crisostomo, Ricardo . In: ESRB Working Paper Series. RePEc:srk:srkwps:201632. Full description at Econpapers || Download paper | |
| 2016 | Relative idiosyncratic volatility and the timing of corporate insider trading. (2016). Gider, Jasmin ; Westheide, Christian . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:312-334. Full description at Econpapers || Download paper | |
| 2016 | Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016. Full description at Econpapers || Download paper | |
| 2016 | Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029. Full description at Econpapers || Download paper | |
| 2016 | Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016. Full description at Econpapers || Download paper | |
| 2016 | Revisiting the long memory dynamics of the impliedârealized volatility relationship: New evidence from the wavelet regression. (2016). BarunÃÂk, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514. Full description at Econpapers || Download paper | |
| 2016 | Continuous and Jump Betas: Implications for Portfolio Diversification. (2016). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231. Full description at Econpapers || Download paper | |
| 2016 | Extremal properties of the skew-t distribution. (2016). Peng, Zuoxiang ; Nadarajah, Saralees ; Li, Chunqiao . In: Statistics & Probability Letters. RePEc:eee:stapro:v:112:y:2016:i:c:p:10-19. Full description at Econpapers || Download paper | |
| 2016 | The roles of past returns and firm fundamentals in driving US stock price movements. (2016). Wu, Eliza ; Hong, Kihoon . In: International Review of Financial Analysis. RePEc:eee:finana:v:43:y:2016:i:c:p:62-75. Full description at Econpapers || Download paper | |
| 2016 | Bank distress in the news: Describing events through deep learning. (2016). Ronnqvist, Samuel ; Sarlin, Peter . In: Papers. RePEc:arx:papers:1603.05670. Full description at Econpapers || Download paper | |
| 2016 | Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851. Full description at Econpapers || Download paper | |
| 2016 | Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4. Full description at Econpapers || Download paper | |
| 2016 | Multinomial var backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander ; Lok, Yen . In: Working Papers. RePEc:hal:wpaper:hal-01424279. Full description at Econpapers || Download paper | |
| 2016 | Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings. (2016). Ehm, Werner ; Kruger, Fabian ; Jordan, Alexander ; Gneiting, Tilmann . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:78:y:2016:i:3:p:505-562. Full description at Econpapers || Download paper | |
| 2016 | The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663. Full description at Econpapers || Download paper | |
| 2016 | Reconstruction of Order Flows using Aggregated Data. (2016). Toke, Ioane Muni . In: Papers. RePEc:arx:papers:1604.02759. Full description at Econpapers || Download paper | |
| 2016 | Multivariate Mixed Tempered Stable Distribution. (2016). Mercuri, Lorenzo ; Hubalek, Friedrich ; Hitaj, Asmerilda ; Rroji, Edit . In: Papers. RePEc:arx:papers:1609.00926. Full description at Econpapers || Download paper | |
| 2016 | RECENT CONTRIBUTIONS OF THE STATISTICAL PHYSICS IN THE RESEARCH OF BANKING, STOCK EXCHANGE AND FOREIGN EXCHANGE MARKETS. (2016). Daniela, Pirvu ; Mircea, Barbuceanu . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2016:v:2:p:85-92. Full description at Econpapers || Download paper | |
| 2016 | RiskRank: Measuring interconnected risk. (2016). Sarlin, Peter ; Mezei, J'Ozsef . In: Papers. RePEc:arx:papers:1601.06204. Full description at Econpapers || Download paper | |
| 2016 | Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230. Full description at Econpapers || Download paper | |
| 2016 | Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1602.02735. Full description at Econpapers || Download paper | |
| 2016 | Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1604.07556. Full description at Econpapers || Download paper | |
| 2016 | A stochastic Stefan-type problem under first order boundary conditions. (2016). Mueller, Marvin S. In: Papers. RePEc:arx:papers:1601.03968. Full description at Econpapers || Download paper | |
| 2016 | Price impact without order book: A study of the OTC credit index market. (2016). Eisler, Zoltan ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1609.04620. Full description at Econpapers || Download paper | |
| 2016 | An unbiased computation methodology for estimating the probability of informed trading (PIN). (2016). Alici, Asli ; Ersan, Oguz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:43:y:2016:i:c:p:74-94. Full description at Econpapers || Download paper | |
| 2016 | Pinning down an effective measure for probability of informed trading. (2016). Wee, Marvin ; Petchey, James ; Yang, Joey . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:456-475. Full description at Econpapers || Download paper | |
| 2016 | Why have asset price properties changed so little in 200 years. (2016). Challet, Damien ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1605.00634. Full description at Econpapers || Download paper | |
| 2016 | Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Hong, Seok Young ; Park, Sujin . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347. Full description at Econpapers || Download paper | |
| 2016 | Cleaning large correlation matrices: tools from random matrix theory. (2016). Bun, Joel ; Potters, Marc ; Bouchaud, Jean-Philippe. In: Papers. RePEc:arx:papers:1610.08104. Full description at Econpapers || Download paper | |
| 2016 | Multiscale dependence analysis and portfolio risk modeling for precious metal markets. (2016). Liu, Youjin ; Yu, Lean ; Lai, Kin Keung ; He, Kaijian . In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:224-233. Full description at Econpapers || Download paper | |
| 2016 | Estimation of financial agent-based models with simulated maximum likelihood. (2016). Kukacka, Jiri ; BarunÃÂk, Jozef. In: FinMaP-Working Papers. RePEc:zbw:fmpwps:63. Full description at Econpapers || Download paper | |
| 2016 | Non-performing loans, systemic risk and resilience in financial networks. (2016). Vanni, Fabio ; Bottazzi, Giulio ; de Sanctis, Alessandro . In: LEM Papers Series. RePEc:ssa:lemwps:2016/08. Full description at Econpapers || Download paper | |
| 2016 | Network effects and systemic risk in the banking sector. (2016). Lux, Thomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:62. Full description at Econpapers || Download paper | |
| 2016 | Why Do Vulnerability Cycles Matter in Financial Networks?. (2016). Tabak, Benjamin ; Silva, Thiago ; Guerra, Solange. In: Working Papers Series. RePEc:bcb:wpaper:442. Full description at Econpapers || Download paper | |
| 2016 | Network, Market, and Book-Based Systemic Risk Rankings. (2016). van de Leur, Michiel ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074. Full description at Econpapers || Download paper | |
| 2016 | A bivariate Hawkes process for interest rate modeling. (2016). Hainaut, Donatien . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:180-196. Full description at Econpapers || Download paper | |
| 2016 | Detection of intensity bursts using Hawkes processes: an application to high frequency financial data. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Filimonov, Vladimir . In: Papers. RePEc:arx:papers:1610.05383. Full description at Econpapers || Download paper | |
| 2016 | Macroprudential consolidation policy in interbank networks. (2016). Molinari, Massimo ; Gaffeo, Edoardo. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:26:y:2016:i:1:d:10.1007_s00191-015-0419-3. Full description at Econpapers || Download paper | |
| 2016 | Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501. Full description at Econpapers || Download paper | |
| 2016 | The study of Thai stock market across the 2008 financial crisis. (2016). kanjamapornkul, kabin ; Barto, Erik ; Pinak, Richard . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:117-133. Full description at Econpapers || Download paper | |
| 2016 | Clustering stocks using partial correlation coefficients. (2016). Jung, Sean S ; Chang, Woojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:410-420. Full description at Econpapers || Download paper | |
| 2016 | A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return. (2016). Tsoi, Allanus ; Yang, Yipeng . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:1:p:3-:d:63997. Full description at Econpapers || Download paper | |
| 2016 | A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return. (2016). Yang, Yipeng ; Tsoi, Allanus . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:1:p:3:d:63997. Full description at Econpapers || Download paper | |
| 2016 | Multivariate tail conditional expectation for elliptical distributions. (2016). Makov, Udi ; Landsman, Zinoviy ; Shushi, Tomer . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:216-223. Full description at Econpapers || Download paper | |
| 2016 | Semi-static hedging of variable annuities. (2016). Bernard, Carole ; Kwak, Minsuk . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:173-186. Full description at Econpapers || Download paper | |
| 2016 | On Pathâdependency of Constant Proportion Portfolio Insurance strategies. (2016). Gaspar, Raquel. In: EcoMod2016. RePEc:ekd:009007:9381. Full description at Econpapers || Download paper | |
| 2016 | Excess liquidity and the money market in the euro area. (2016). Beaupain, Renaud ; Durre, Alain . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pa:p:33-44. Full description at Econpapers || Download paper | |
| 2016 | Gene-based and semantic structure of the Gene Ontology as a complex network. (2016). Micciche, Salvatore ; Tumminello, Michele ; Coronnello, Claudia . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:458:y:2016:i:c:p:313-328. Full description at Econpapers || Download paper | |
| 2016 | Structure and evolution of a European Parliament via a network and correlation analysis. (2016). Puccio, Elena ; Pajala, Antti ; Tumminello, Michele ; Piilo, Jyrki . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:167-185. Full description at Econpapers || Download paper | |
| 2016 | Breaking into Tradables: urban form and urban function in a developing city. (2016). Venables, Anthony. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11212. Full description at Econpapers || Download paper | |
| 2016 | On the optimal investment. (2016). Fajardo, José ; Corcuera, Jose Manuel ; Pamen, Olivier Menouken . In: MPRA Paper. RePEc:pra:mprapa:71901. Full description at Econpapers || Download paper | |
| 2016 | A general HJM framework for multiple yield curve modelling. (2016). Fontana, Claudio ; Gnoatto, Alessandro ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0291-5. Full description at Econpapers || Download paper | |
| 2016 | On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes. (2016). Uddin, Gazi ; Berger, Theo . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:374-383. Full description at Econpapers || Download paper | |
| 2016 | The Hawkes process with renewal immigration & its estimation with an EM algorithm. (2016). Wheatley, Spencer ; Sornette, Didier ; Filimonov, Vladimir . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:120-135. Full description at Econpapers || Download paper | |
| 2016 | The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177. Full description at Econpapers || Download paper | |
| 2016 | Brokersâ financial network and stock return. (2016). Chuang, Hongwei . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:172-183. Full description at Econpapers || Download paper | |
| 2016 | The network structure and systemic risk in the global non-life insurance market. (2016). Kanno, Masayasu . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:38-53. Full description at Econpapers || Download paper | |
| 2016 | Capital requirements, liquidity and financial stability: The case of Brazil. (2016). Stancato, Sergio Rubens . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:179-192. Full description at Econpapers || Download paper | |
| 2016 | Survey on log-normally distributed market-technical trend data. (2016). , ; Maier-Paape, Stanislaus . In: Papers. RePEc:arx:papers:1605.03559. Full description at Econpapers || Download paper | |
| 2016 | Survey on Log-Normally Distributed Market-Technical Trend Data. (2016). Brenner, Ren ; Maier-Paape, Stanislaus . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:20-:d:73301. Full description at Econpapers || Download paper | |
| 2016 | LeadâLag Relationship Using a Stop-and-Reverse-MinMax Process. (2016). Maier-Paape, Stanislaus . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:3:p:27-:d:73452. Full description at Econpapers || Download paper | |
| 2016 | Cash flow timing skills of socially responsible mutual fund investors. (2016). Muoz, Fernando . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:110-124. Full description at Econpapers || Download paper | |
| 2016 | Nonparametric Tail Risk, Stock Returns and the Macroeconomy. (2016). Garcia, René ; Almeida, Caio ; Vicente, Jose ; Ardison, Kym . In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-20. Full description at Econpapers || Download paper | |
| 2016 | A stochastic-dominance approach to determining the optimal home-size purchase: The case of Hong Kong. (2016). Wong, Wing-Keung ; Horowitz, Ira ; Tsang, Chun-Kei . In: MPRA Paper. RePEc:pra:mprapa:69175. Full description at Econpapers || Download paper | |
| 2016 | A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises. (2016). Zhu, Lixing ; Wong, Wing-Keung ; McAleer, Michael ; Guo, XU. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160003. Full description at Econpapers || Download paper | |
| 2016 | A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction during Financial Crises. (2016). Zhu, Lixing ; Wong, Wing-Keung ; McAleer, Michael ; Guo, X. In: Econometric Institute Research Papers. RePEc:ems:eureir:79730. Full description at Econpapers || Download paper | |
| 2016 | Multivariate Stochastic Dominance for Risk Averters and Risk Seekers. (2016). Wong, Wing-Keung ; Guo, XU. In: MPRA Paper. RePEc:pra:mprapa:70637. Full description at Econpapers || Download paper | |
| 2016 | Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160040. Full description at Econpapers || Download paper | |
| 2016 | Management science, economics and finance: A connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1607. Full description at Econpapers || Download paper | |
| 2016 | Management Science, Economics and Finance: A Connection. (2016). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:93113. Full description at Econpapers || Download paper | |
| 2016 | Arbitrage Opportunities, Efficiency, and the Role of Risk Preferences in the Hong Kong Property Market. (2016). Wong, Wing-Keung ; Tsang, Chun-Kei ; Horowitz, Ira . In: MPRA Paper. RePEc:pra:mprapa:74347. Full description at Econpapers || Download paper | |
| 2016 | Stochastic Dominance and Investorsâ Behavior towards Risk: The Hong Kong Stocks and Futures Markets. (2016). Wong, Wing-Keung ; Lean, Hooi Hooi ; Lam, Kin . In: MPRA Paper. RePEc:pra:mprapa:74386. Full description at Econpapers || Download paper | |
| 2016 | On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks. (2016). Wong, Wing-Keung ; Clark, Ephraim ; Chan, Raymond H. In: MPRA Paper. RePEc:pra:mprapa:75002. Full description at Econpapers || Download paper | |
| 2016 | Almost stochastic dominance for risk averters and risk seeker. (2016). Wong, Wing-Keung ; Guo, XU ; Zhu, Lixing . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:15-21. Full description at Econpapers || Download paper | |
| 2016 | New Tests for Richness and Poorness:A Stochastic Dominance Analysis of Income Distributions in Hong Kong. (2016). Wong, Wing-Keung ; Valenzuela, Maria Rebecca ; Chow, Sheung. In: Monash Economics Working Papers. RePEc:mos:moswps:2016-25. Full description at Econpapers || Download paper | |
| 2016 | Climate change impacts: Understanding the synergetic interactions using graph computing. (2016). Tsilika, Kyriaki ; HALKOS, GEORGE. In: MPRA Paper. RePEc:pra:mprapa:75037. Full description at Econpapers || Download paper | |
| 2016 | Community Analysis of Global Financial Markets. (2016). Havlin, Shlomo ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13-:d:70032. Full description at Econpapers || Download paper | |
| 2016 | Community Analysis of Global Financial Markets. (2016). Havlin, Shlomo ; Stanley, Eugene H ; Kenett, Dror Y ; Becker, Alexander P ; Vodenska, Irena . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:2:p:13:d:70032. Full description at Econpapers || Download paper | |
| 2016 | Emerging interdependence between stock values during financial crashes. (2016). Rocchi, Jacopo ; Saad, David ; Lok, Enoch Yan . In: Papers. RePEc:arx:papers:1611.02549. Full description at Econpapers || Download paper | |
| 2016 | Capital depreciation and the underdetermination of rate of return: A unifying perspective. (2016). Magni, Carlo Alberto. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:67:y:2016:i:c:p:54-79. Full description at Econpapers || Download paper | |
| 2016 | On the dynamic dependence and asymmetric co-movement between the US and Central and Eastern European transition markets. (2016). Raza, Syed ; Boubaker, Heni . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:459:y:2016:i:c:p:9-23. Full description at Econpapers || Download paper | |
| 2016 | Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation. (2016). Bradford, Marc ; Lahiani, Amine ; Elmarzougui, Abdelaziz . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:42-53. Full description at Econpapers || Download paper | |
| 2016 | On stability of operational risk estimates by LDA: From causes to approaches. (2016). Fabozzi, Frank J ; Zhou, Xiaoping ; Durfee, Antonina V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:266-278. Full description at Econpapers || Download paper | |
| 2016 | Operational Risk Management in Financial Institutions: A Literature Review. (2016). Pakhchanyan, Suren . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:4:y:2016:i:4:p:20-:d:80815. Full description at Econpapers || Download paper | |
| 2016 | Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe. (2016). Choudhry, Taufiq . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:303-311. Full description at Econpapers || Download paper | |
| 2016 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218. Full description at Econpapers || Download paper | |
| 2016 | Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1602.02735. Full description at Econpapers || Download paper | |
| 2016 | The statistical significance of multivariate Hawkes processes fitted to limit order book data. (2016). Martins, Roger ; Hendricks, Dieter . In: Papers. RePEc:arx:papers:1604.01824. Full description at Econpapers || Download paper | |
| 2016 | Optimal trading with online parameters revisions. (2016). Baradel, N ; Dang, Ngoc Minh ; Bouchard, B. In: Papers. RePEc:arx:papers:1604.06342. Full description at Econpapers || Download paper | |
| 2016 | Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model. (2016). Taranto, Damian Eduardo ; Toth, Bence ; Lillo, Fabrizio ; Bouchaud, Jean-Philippe ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1604.07556. Full description at Econpapers || Download paper | |
| 2016 | Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Alfonsi, Aurelien ; Blanc, Pierre . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y. Full description at Econpapers || Download paper | |
| 2016 | Modelling order arrivals at price limits using Hawkes processes. (2016). Haghighi, Afshin ; Eyvazlu, Reza ; Fallahpour, Saeid . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:267-272. Full description at Econpapers || Download paper | |
| 2016 | Optimal trading with online parameters revisions. (2016). Baradel, N ; Dang, Ngoc Minh ; Bouchard, B. In: Working Papers. RePEc:hal:wpaper:hal-01304019. Full description at Econpapers || Download paper | |
| 2016 | Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. (2016). Sui, LU ; Sun, Lijuan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:459-471. Full description at Econpapers || Download paper | |
| 2016 | Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models. (2016). Han, Yingying ; Gong, PU ; Zhou, Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:940-953. Full description at Econpapers || Download paper | |
| 2016 | Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics. (2016). Bartels, Mariana ; Ziegelmann, Flavio A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:66-79. Full description at Econpapers || Download paper | |
| 2016 | Multiscale dependence analysis and portfolio risk modeling for precious metal markets. (2016). Liu, Youjin ; Yu, Lean ; Lai, Kin Keung ; He, Kaijian . In: Resources Policy. RePEc:eee:jrpoli:v:50:y:2016:i:c:p:224-233. Full description at Econpapers || Download paper | |
| 2016 | A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196. Full description at Econpapers || Download paper | |
| 2016 | Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching. (2016). Cao, Jiling ; Zhang, Wenjun ; Nazirah, Teh Raihana . In: Papers. RePEc:arx:papers:1603.08289. Full description at Econpapers || Download paper | |
| 2016 | Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao . In: Papers. RePEc:arx:papers:1605.07945. Full description at Econpapers || Download paper | |
| 2016 | HestonâType Stochastic Volatility with a Markov Switching Regime. (2016). Nishide, Katsumasa ; Elliott, Robert J ; Osakwe, Carltonjames U. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:9:p:902-919. Full description at Econpapers || Download paper | |
| 2016 | Enhanced index tracking optimal portfolio selection. (2016). de Paulo, Wanderlei Lima ; Do, Oswaldo Luiz ; de Oliveira, Estela Mara . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:93-102. Full description at Econpapers || Download paper | |
| 2016 | Regime switching vine copula models for global equity and volatility indices. (2016). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Papers. RePEc:arx:papers:1604.05598. Full description at Econpapers || Download paper | |
| 2016 | The risk asymmetry index. (2016). Elyasani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca . In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:16212. Full description at Econpapers || Download paper | |
| 2016 | The loss given default of a low-default portfolio with weak contagion. (2016). Yuan, Zhongyi ; Wei, LI. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:113-123. Full description at Econpapers || Download paper | |
| 2016 | Pricing of Asian-type and Basket Options via Upper and Lower Bounds. (2016). Kordzakhia, Nino ; Novikov, Alexander ; Alexander, Scott ; Ling, Timothy . In: Papers. RePEc:arx:papers:1612.08767. Full description at Econpapers || Download paper | |
| 2016 | RECENT CONTRIBUTIONS OF THE STATISTICAL PHYSICS IN THE RESEARCH OF BANKING, STOCK EXCHANGE AND FOREIGN EXCHANGE MARKETS. (2016). Daniela, Pirvu ; Mircea, Barbuceanu . In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2016:v:2:p:85-92. Full description at Econpapers || Download paper | |
| 2016 | U.S. stock markets and the role of real interest rates. (2016). Mollick, Andre ; Huang, Wanling ; Nguyen, Khoa Huu . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:231-242. Full description at Econpapers || Download paper | |
| 2016 | Pair-Copula Constructions for Financial Applications: A Review. (2016). Aas, Kjersti . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:4:p:43-:d:81730. Full description at Econpapers || Download paper | |
| 2016 | Losing Track of the Asset Markets: the Case of Housing and Stock. (2016). Chang, Kuang-Liang ; Ka, Charles ; Chen, Nan-Kuang . In: International Real Estate Review. RePEc:ire:issued:v:19:n:04:2016:p:435-492. Full description at Econpapers || Download paper | |
| 2016 | Money Illusion and Household Finance. (2016). Tyran, Jean-Robert ; Stephens, Thomas A. In: Discussion Papers. RePEc:kud:kuiedp:1614. Full description at Econpapers || Download paper | |
| 2016 | Money Illusion and Household Finance. (2016). Tyran, Jean-Robert ; Stephens, Thomas A. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11643. Full description at Econpapers || Download paper | |
| 2016 | Numerical analysis of an extended structural default model with mutual liabilities and jump risk. (2016). Lipton, Alexander ; Kaushansky, Vadim ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1701.00030. Full description at Econpapers || Download paper | |
| 2016 | Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365. Full description at Econpapers || Download paper | |
| 2016 | How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288. Full description at Econpapers || Download paper | |
| 2016 | New class of distortion risk measures and their tail asymptotics with emphasis on VaR. (2016). Yin, Chuancun . In: Papers. RePEc:arx:papers:1503.08586. Full description at Econpapers || Download paper | |
| 2016 | Explaining the volatility smile: non-parametric versus parametric option models. (2016). Lin, Hsuan-Chu ; Palmon, Oded ; Chen, Ren-Raw . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:46:y:2016:i:4:d:10.1007_s11156-014-0491-z. Full description at Econpapers || Download paper | |
| 2016 | A New Factor to Explain Implied Volatility Smirk. (2016). Fajardo, José. In: MPRA Paper. RePEc:pra:mprapa:71809. Full description at Econpapers || Download paper | |
| 2016 | Power Style Contracts Under Asymmetric Lévy Processes. (2016). Fajardo, José. In: MPRA Paper. RePEc:pra:mprapa:71813. Full description at Econpapers || Download paper | |
| 2016 | Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (2016). Figueroa-Lopez, Jose E ; Olafsson, Sveinn . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0313-3. Full description at Econpapers || Download paper | |
| 2016 | A practical finite difference method for the three-dimensional BlackâScholes equation. (2016). Kim, Junseok ; Jeong, Darae ; Yoo, Minhyun ; Hwang, Hyeongseok ; Lee, Seunggyu ; Choi, Yongho ; Jo, Jaehyun . In: European Journal of Operational Research. RePEc:eee:ejores:v:252:y:2016:i:1:p:183-190. Full description at Econpapers || Download paper | |
| 2016 | Modelling Socio-Economic Differences in the Mortality of Danish Males Using a New Affluence Index. (2016). Blake, David ; Kallestrup-Lamb, Malene ; Dowd, Kevin . In: CREATES Research Papers. RePEc:aah:create:2016-14. Full description at Econpapers || Download paper | |
| 2016 | Statistical emulators for pricing and hedging longevity risk products. (2016). Ludkovski, M ; Risk, J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:45-60. Full description at Econpapers || Download paper | |
| 2016 | Itâs all in the hidden states: A longevity hedging strategy with an explicit measure of population basis risk. (2016). Liu, Yanxin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:301-319. Full description at Econpapers || Download paper | |
| 2016 | Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. (2016). Kwok, Kai Yin ; Wong, Hoi Ying ; Chiu, Mei Choi . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:353-366. Full description at Econpapers || Download paper | |
| 2016 | Can banks default overnight? Modeling endogenous contagion on O/N interbank market. (2016). Arendarski, Piotr ; Gubiec, Tomasz ; Ochnicki, Piotr ; Wili, Mateusz ; Smaga, Pawel . In: Papers. RePEc:arx:papers:1603.05142. Full description at Econpapers || Download paper | |
| 2016 | Robustness of banking networks to idiosyncratic and systemic shocks: a network-based approach. (2016). Steinbacher, Matjaz. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:11:y:2016:i:1:d:10.1007_s11403-014-0143-3. Full description at Econpapers || Download paper | |
| 2016 | Contagion in Financial Networks. (2016). Glasserman, Paul ; Young, Peyton H. In: Journal of Economic Literature. RePEc:aea:jeclit:v:54:y:2016:i:3:p:779-831. Full description at Econpapers || Download paper | |
| 2016 | Contagion in financial networks. (2016). Glasserman, Paul ; Young, Peyton H. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68681. Full description at Econpapers || Download paper | |
| 2016 | Hedging with regret. (2016). Rieger, Marc Oliver ; Korn, Olaf . In: CFR Working Papers. RePEc:zbw:cfrwps:1606. Full description at Econpapers || Download paper | |
| 2016 | Catering to investors through product complexity. (2016). Celerier, Claire ; Vallee, Boris . In: ESRB Working Paper Series. RePEc:srk:srkwps:201614. Full description at Econpapers || Download paper | |
| 2016 | Kriging Metamodels and Experimental Design for Bermudan Option Pricing. (2016). Ludkovski, Michael . In: Papers. RePEc:arx:papers:1509.02179. Full description at Econpapers || Download paper | |
| 2016 | Option-implied probability distributions: How reliable? How jagged?. (2016). Taboga, Marco. In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:453-469. Full description at Econpapers || Download paper | |
| 2016 | Short term prediction of extreme returns based on the recurrence interval analysis. (2016). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhou, Wei-Xing ; Stanley, Eugene H ; Xie, Chi ; Podobnik, Boris ; Canabarro, Askery . In: Papers. RePEc:arx:papers:1610.08230. Full description at Econpapers || Download paper | |
| 2016 | The short trading day anomaly. (2016). Kliger, Doron ; Qadan, Mahmoud . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:62-80. Full description at Econpapers || Download paper | |
| 2016 | Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion. (2016). Kliger, Doron ; Gelman, Sergey . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145915. Full description at Econpapers || Download paper | |
| 2016 | On pre-commitment aspects of a time-consistent strategy for a mean-variance investor. (2016). Cong, F ; Oosterlee, C W. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:70:y:2016:i:c:p:178-193. Full description at Econpapers || Download paper | |
| 2016 | Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. (2016). Yao, Haixiang ; Li, Xun ; Chen, Ping . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:103-113. Full description at Econpapers || Download paper | |
| 2016 | Optimal consumption and portfolio choice with loss aversion. (2016). Curatola, Giuliano . In: SAFE Working Paper Series. RePEc:zbw:safewp:130. Full description at Econpapers || Download paper | |
| 2016 | The downside risk of climate change in Californiaâs Central Valley agricultural sector. (2016). Sayre, Susan Stratton ; Dale, Larry . In: Climatic Change. RePEc:spr:climat:v:137:y:2016:i:1:d:10.1007_s10584-016-1651-z. Full description at Econpapers || Download paper | |
| 2016 | Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Research Paper Series. RePEc:uts:rpaper:379. Full description at Econpapers || Download paper | |
| 2016 | Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David . In: Papers. RePEc:arx:papers:1610.09875. Full description at Econpapers || Download paper | |
| 2016 | COMBINING MONETARY POLICY AND PRUDENTIAL REGULATION: AN AGENT-BASED MODELING APPROACH. (2016). Lima, Gilberto ; da Silva, Michel Alexandre . In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting]. RePEc:anp:en2015:039. Full description at Econpapers || Download paper | |
| 2016 | Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. (2016). Ziveyi, Jonathan ; Sherris, Michael ; Shen, Yang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:69:y:2016:i:c:p:127-137. Full description at Econpapers || Download paper | |
| 2016 | Nonparametric and arbitrage-free construction of call surfaces using l1-recovery. (2016). Blacque-Florentin, Pierre M. ; Missaoui, Badr . In: Papers. RePEc:arx:papers:1506.06997. Full description at Econpapers || Download paper | |
| 2016 | Local Volatility Models in Commodity Markets and Online Calibration. (2016). Albani, Vinicius ; Ascher, Uri M ; Zubelli, Jorge P. In: Papers. RePEc:arx:papers:1602.04372. Full description at Econpapers || Download paper | |
| 2016 | A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models. (2016). Wyns, Maarten ; du Toit, Jacques . In: Papers. RePEc:arx:papers:1611.02961. Full description at Econpapers || Download paper | |
| 2016 | Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends. (2016). Ma, Jingtang ; Fan, Jiacheng . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:128-147. Full description at Econpapers || Download paper | |
| 2016 | A general HJM framework for multiple yield curve modelling. (2016). Fontana, Claudio ; Gnoatto, Alessandro ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0291-5. Full description at Econpapers || Download paper | |
| 2016 | Risk governance: conceptualization, tasks, and research agenda. (2016). Stein, Volker ; Wiedemann, Arnd . In: Journal of Business Economics. RePEc:spr:jbecon:v:86:y:2016:i:8:d:10.1007_s11573-016-0826-4. Full description at Econpapers || Download paper | |
| 2016 | Parametric model risk and power plant valuation. (2016). Bannor, Karl ; Scherer, Matthias ; Nazarova, Anna ; Kiesel, Rudiger . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:423-434. Full description at Econpapers || Download paper | |
| 2016 |
Recent citations (cites in year: CiY)
Recent citations received in 2016
| Year | Citing document | |
|---|---|---|
| 2016 | Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516. Full description at Econpapers || Download paper |
Recent citations received in 2015
| Year | Citing document | |
|---|---|---|
| 2015 | Stress for Success: A Review of Timothy Geithners Financial Crisis Memoir. (2015). Gorton, Gary. In: Journal of Economic Literature. RePEc:aea:jeclit:v:53:y:2015:i:4:p:975-95. Full description at Econpapers || Download paper | |
| 2015 | Can a stochastic cusp catastrophe model explain housing market crashes?. (2015). Wang, J. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-12. Full description at Econpapers || Download paper | |
| 2015 | Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers || Download paper | |
| 2015 | Club Convergence of House Prices: Evidence from Chinas Ten Key Cities. (2015). Meng, Hao ; Xie, Wen-Jie ; Zhou, Wei-Xing . In: Papers. RePEc:arx:papers:1503.05550. Full description at Econpapers || Download paper | |
| 2015 | Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction. (2015). Pirino, Davide ; di Gangi, Domenico ; Lillo, Fabrizio . In: Papers. RePEc:arx:papers:1509.00607. Full description at Econpapers || Download paper | |
| 2015 | Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers || Download paper | |
| 2015 | Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Mantegna, Rosario ; Musciotto, Federico ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers || Download paper | |
| 2015 | Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540. Full description at Econpapers || Download paper | |
| 2015 | Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter . In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers || Download paper | |
| 2015 | The role of bank relationships in the interbank market. (2015). Montes Rojas, Gabriel ; Iori, Giulia ; Montes-Rojas, Gabriel ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141. Full description at Econpapers || Download paper | |
| 2015 | Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen . In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211. Full description at Econpapers || Download paper | |
| 2015 | Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. (2015). Wong, Wing-Keung ; Lean, Hooi Hooi ; HOANG, Thi Hong Van. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:98-108. Full description at Econpapers || Download paper | |
| 2015 | A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre . In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149. Full description at Econpapers || Download paper | |
| 2015 | Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2015). Lleo, Sebastien ; Ziemba, William T.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:399-425. Full description at Econpapers || Download paper | |
| 2015 | Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers || Download paper | |
| 2015 | The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. (2015). Rodriguez, Rosa ; Malagon, Juliana ; Moreno, David . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:224-238. Full description at Econpapers || Download paper | |
| 2015 | MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:253-265. Full description at Econpapers || Download paper | |
| 2015 | Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:78718. Full description at Econpapers || Download paper | |
| 2015 | The Italian Corporate System: SOEs, Private Firms and Institutions in a Network Perspective (1952-1983). (2015). Bargigli, Leonardo ; Giannetti, Renato . In: Working Papers - Economics. RePEc:frz:wpaper:wp2015_01.rdf. Full description at Econpapers || Download paper | |
| 2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars . In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers || Download paper | |
| 2015 | Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Hui, Cho-Hoi ; Fong, Tom ; Zheng, Xiao-Fen ; Lo, Chi-Fai . In: Working Papers. RePEc:hkm:wpaper:182015. Full description at Econpapers || Download paper | |
| 2015 | Designing Effective Macroprudential Stress Tests; Progress So Far and the Way Forward. (2015). Demekas, Dimitri. In: IMF Working Papers. RePEc:imf:imfwpa:15/146. Full description at Econpapers || Download paper | |
| 2015 | Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton . In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers || Download paper | |
| 2015 | Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen . In: MPRA Paper. RePEc:pra:mprapa:66521. Full description at Econpapers || Download paper | |
| 2015 | Networks of value added trade. (2015). Cabral, Sonia ; Amador, João. In: Working Papers. RePEc:ptu:wpaper:w201516. Full description at Econpapers || Download paper | |
| 2015 | Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo . In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers || Download paper | |
| 2015 | European Government Bond Dynamics and Stability Policies: Taming Contagion Risks. (2015). Hillebrand, Martin ; Ott, Thomas ; Schuele, Martin ; Schwendner, Peter . In: Working Papers. RePEc:stm:wpaper:8. Full description at Econpapers || Download paper | |
| 2015 | Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, Iñaki. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606. Full description at Econpapers || Download paper | |
| 2015 | Financial stability from a network perspective. (2015). Leon Rincon, C. E., . In: Other publications TiSEM. RePEc:tiu:tiutis:bb2e4e44-e842-45c6-a946-4ba7bdffb65c. Full description at Econpapers || Download paper | |
| 2015 | Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1514. Full description at Econpapers || Download paper | |
| 2015 | Cost-efficiency in multivariate Lévy models. (2015). Ludger, Ruschendorf ; Viktor, Wolf . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:16:n:1. Full description at Econpapers || Download paper | |
| 2015 | Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102. Full description at Econpapers || Download paper | |
| 2015 | Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102r. Full description at Econpapers || Download paper |
Recent citations received in 2014
| Year | Citing document | |
|---|---|---|
| 2014 | Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500. (2014). Costola, Michele ; Corazzini, Luca ; Caporin, Massimiliano. In: CREATES Research Papers. RePEc:aah:create:2014-33. Full description at Econpapers || Download paper | |
| 2014 | Optimal Exercise for Derivative Securities. (2014). . In: Annual Review of Financial Economics. RePEc:anr:refeco:v:6:y:2014:p:459-487. Full description at Econpapers || Download paper | |
| 2014 | Utility indifference pricing of derivatives written on industrial loss indexes. (2014). Leobacher, Gunther ; Ngare, Philip . In: Papers. RePEc:arx:papers:1404.0879. Full description at Econpapers || Download paper | |
| 2014 | To sigmoid-based functional description of the volatility smile. (2014). Itkin, Andrey . In: Papers. RePEc:arx:papers:1407.0256. Full description at Econpapers || Download paper | |
| 2014 | Efficient solution of structural default models with correlated jumps and mutual obligations. (2014). Lipton, Alexander ; Itkin, Andrey . In: Papers. RePEc:arx:papers:1408.6513. Full description at Econpapers || Download paper | |
| 2014 | Volatility is rough. (2014). Gatheral, Jim ; Jaisson, Thibault ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1410.3394. Full description at Econpapers || Download paper | |
| 2014 | Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling. (2014). Bacry, Emmanuel ; Jaisson, Thibault ; Muzy, Jean-Francois . In: Papers. RePEc:arx:papers:1412.7096. Full description at Econpapers || Download paper | |
| 2014 | An optimal stochastic control framework for determining the cost of hedging of variable annuities. (2014). Vetzal, Kenneth ; Forsyth, Peter . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:44:y:2014:i:c:p:29-53. Full description at Econpapers || Download paper | |
| 2014 | Optimal corporate hedging using options with basis and production risk. (2014). Barbi, Massimiliano ; Bajo, Emanuele ; Romagnoli, Silvia . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:30:y:2014:i:c:p:56-71. Full description at Econpapers || Download paper | |
| 2014 | Pricing and hedging of variable annuities with state-dependent fees. (2014). Delong, Ukasz . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:58:y:2014:i:c:p:24-33. Full description at Econpapers || Download paper | |
| 2014 | Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216. Full description at Econpapers || Download paper | |
| 2014 | A general HJM framework for multiple yield curve modeling. (2014). Cuchiero, Christa ; Gnoatto, Alessandro ; Fontana, Claudio . In: Working Papers. RePEc:hal:wpaper:hal-01011752. Full description at Econpapers || Download paper | |
| 2014 | Centrality-based Capital Allocations. (2014). Raupach, Peter ; Alter, Adrian ; Craig, Ben . In: IMF Working Papers. RePEc:imf:imfwpa:14/237. Full description at Econpapers || Download paper | |
| 2014 | Learning Continuous Time Bayesian Network Classifiers Using MapReduce. (2014). Villa, Simone ; Rossetti, Marco . In: Journal of Statistical Software. RePEc:jss:jstsof:v:062:i03. Full description at Econpapers || Download paper | |
| 2014 | Design of Risk Weights. (2014). Glasserman, Paul ; Kang, Wanmo . In: Working Papers. RePEc:ofr:wpaper:14-06. Full description at Econpapers || Download paper | |
| 2014 | Analysis of deviance in household financial portfolio choice: evidence from Spain. (2014). González Chapela, Jorge ; Callado-Muñoz, Francisco ; Callado Muñoz, Francisco Jose, . In: MPRA Paper. RePEc:pra:mprapa:57497. Full description at Econpapers || Download paper | |
| 2014 | Clustering of financial time series in risky scenarios. (2014). Durante, Fabrizio ; Pappada, Roberta ; Torelli, Nicola . In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:8:y:2014:i:4:p:359-376. Full description at Econpapers || Download paper |
Recent citations received in 2013
| Year | Citing document | |
|---|---|---|
| 2013 | Hawkes model for price and trades high-frequency dynamics. (2013). Bacry, E. ; J. F Muzy, . In: Papers. RePEc:arx:papers:1301.1135. Full description at Econpapers || Download paper | |
| 2013 | Modelling systemic price cojumps with Hawkes factor models. (2013). Corsi, Fulvio ; Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo . In: Papers. RePEc:arx:papers:1301.6141. Full description at Econpapers || Download paper | |
| 2013 | Conditional correlation in asset return and GARCH intensity model. (2013). Choe, Geon Ho ; Lee, Kyungsub . In: Papers. RePEc:arx:papers:1311.4977. Full description at Econpapers || Download paper | |
| 2013 | Market Impact Paradoxes. (2013). Skachkov, Igor . In: Papers. RePEc:arx:papers:1312.3349. Full description at Econpapers || Download paper | |
| 2013 | Equity, commodity and interest rate volatility derivatives. (2013). Balbas, Alejandro ; Blanco, Ivan ; Navarro, Eliseo . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:id-13-02. Full description at Econpapers || Download paper | |
| 2013 | Correlated risks vs contagion in stochastic transition models. (2013). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:37:y:2013:i:11:p:2241-2269. Full description at Econpapers || Download paper | |
| 2013 | Testing for financial crashes using the Log Periodic Power Law model. (2013). Bree, David S. ; Joseph, Nathan Lael . In: International Review of Financial Analysis. RePEc:eee:finana:v:30:y:2013:i:c:p:287-297. Full description at Econpapers || Download paper | |
| 2013 | Pricing and static hedging of American-style options under the jump to default extended CEV model. (2013). Ruas, Joo Pedro ; Vidal Nunes, João Pedro, ; Dias, Jose Carlos . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:37:y:2013:i:11:p:4059-4072. Full description at Econpapers || Download paper | |
| 2013 | Clarifications to questions and criticisms on the JohansenâLedoitâSornette financial bubble model. (2013). Yan, Wanfeng ; Sornette, Didier ; Zhou, Wei-Xing ; Woodard, Ryan . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:392:y:2013:i:19:p:4417-4428. Full description at Econpapers || Download paper | |
| 2013 | Continuous time trading of a small investor in a limit order market. (2013). Kuhn, Christoph ; Stroh, Maximilian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:6:p:2011-2053. Full description at Econpapers || Download paper | |
| 2013 | Some limit theorems for Hawkes processes and application to financial statistics. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:123:y:2013:i:7:p:2475-2499. Full description at Econpapers || Download paper | |
| 2013 | Stability and price scaling limit of a Hawkes-process based order book model. (2013). Jedidi, Aymen ; Abergel, Frederic . In: Working Papers. RePEc:hal:wpaper:hal-00821607. Full description at Econpapers || Download paper | |
| 2013 | Oil and gold price dynamics in a multivariate cointegration framework. (2013). Czudaj, Robert ; Beckmann, Joscha. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:10:y:2013:i:3:p:453-468. Full description at Econpapers || Download paper | |
| 2013 | Bubbles, shocks and elementary technical trading strategies. (2013). Fry, John. In: MPRA Paper. RePEc:pra:mprapa:47052. Full description at Econpapers || Download paper | |
| 2013 | Price, Return and Volatility Linkages of Base Metal Futures traded in India. (2013). Sinha, Pankaj ; Mathur, Kritika. In: MPRA Paper. RePEc:pra:mprapa:47864. Full description at Econpapers || Download paper | |
| 2013 | Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Christensen, Hugh L. ; Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1779-1799. Full description at Econpapers || Download paper | |
| 2013 | Equity Market Contagion during the Global Financial Crisis: Evidence from the Worldâs Eight Largest Economies. (2013). Gajurel, Dinesh ; Dungey, Mardi. In: Working Papers. RePEc:tas:wpaper:17213. Full description at Econpapers || Download paper | |
| 2013 | Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Chiarella, Carl ; Ziveyi, Jonathan ; Adolfsson, Thomas . In: Research Paper Series. RePEc:uts:rpaper:327. Full description at Econpapers || Download paper | |
| 2013 | Multifractal models in finance: Their origin, properties, and applications. (2013). Segnon, Mawuli ; Lux, Thomas . In: Kiel Working Papers. RePEc:zbw:ifwkwp:1860. Full description at Econpapers || Download paper |
10 most frequent citing series
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Source data used to compute the impact factor of RePEc series.
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team