Citation analysis for Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

0.46

Impact Factor

0.44

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		3	3			11	0		0		(%)			0.13
1999	0.33	0.3	0.33	27	30	8	0.27	156	3	1	3	1	26 (16.7%)	5	0.19	0.16
2000	0.4	0.37	0.4	17	47	19	0.4	134	30	12	30	12	25 (18.7%)	2	0.12	0.14
2001	0.57	0.37	0.55	25	72	38	0.53	292	44	25	47	26	73 (25%)	8	0.32	0.17
2002	0.43	0.37	0.4	14	86	34	0.4	77	42	18	72	29	26 (33.8%)	1	0.07	0.18
2003	0.77	0.4	0.56	27	113	62	0.55	122	39	30	86	48	37 (30.3%)	6	0.22	0.19
2004	0.8	0.41	0.75	31	144	138	0.96	181	41	33	110	83	55 (30.4%)	16	0.52	0.18
2005	0.41	0.43	0.61	27	171	113	0.66	237	58	24	114	69	21 (8.9%)	7	0.26	0.21
2006	0.48	0.44	0.55	15	186	103	0.55	115	58	28	124	68	16 (13.9%)	3	0.2	0.19
2007	0.48	0.37	0.46	26	212	88	0.42	75	42	20	114	52	13 (17.3%)	3	0.12	0.17
2008	0.46	0.39	0.54	27	239	132	0.55	165	41	19	126	68	35 (21.2%)	5	0.19	0.17
2009	0.4	0.36	0.58	24	263	147	0.56	70	53	21	126	73	20 (28.6%)	5	0.21	0.17
2010	0.55	0.34	0.51	21	284	151	0.53	131	51	28	119	61	16 (12.2%)	6	0.29	0.15
2011	0.38	0.41	0.53	12	296	144	0.49	33	45	17	113	60	6 (18.2%)			0.2
2012	0.79	0.45	0.55	24	320	154	0.48	35	33	26	110	61	8 (22.9%)	2	0.08	0.21
2013	0.36	0.5	0.69	18	338	196	0.58	21	36	13	108	75	4 (19%)	1	0.06	0.2
2014	0.33	0.55	0.38	11	349	141	0.4	30	42	14	99	38	1 (3.3%)	4	0.36	0.25
2015	0.48	0.57	0.49	15	364	120	0.33	15	29	14	86	42	5 (33.3%)	3	0.2	0.26
2016	0.46	0.66	0.44	13	377	125	0.33	9	26	12	80	35	3 (33.3%)	2	0.15	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	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo . In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	113
2	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	99
3	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	94
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	79
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	73
6	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	62
7	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	45
8	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	41
9	2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers \|\| Download paper	41
10	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	35
11	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	30
12	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	30
13	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	29
14	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	26
15	2003	Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers \|\| Download paper	25
16		Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Chiarella, Carl ; Bohm, Volker . In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers \|\| Download paper	24
17	2001	Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers \|\| Download paper	23
18	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max . In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	23
19	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	22
20	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	21
21	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	20
22	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	20
23	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	18
24	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	18
25	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	17
26	2001	Testing for Time Dependence in Parameters. (2001). Hurn, Stan ; Enders, Walter ; Becker, Ralf . In: Research Paper Series. RePEc:uts:rpaper:58. Full description at Econpapers \|\| Download paper	15
27	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	15
28	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers \|\| Download paper	15
29	2000	Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models. (2000). Hwang, Soosung ; Hall, Anthony ; Satchell, Steve . In: Research Paper Series. RePEc:uts:rpaper:31. Full description at Econpapers \|\| Download paper	15
30	2003	A Benchmark Framework for Risk Management. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:113. Full description at Econpapers \|\| Download paper	15
31	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	14
32	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Heath, David ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	14
33	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	14
34	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	13
35	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	13
36	1999	Classes of Interest Rate Models Under the HJM Framework. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers \|\| Download paper	13
37	2004	Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129. Full description at Econpapers \|\| Download paper	13
38	2001	Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:55. Full description at Econpapers \|\| Download paper	13
39	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	12
40	1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers \|\| Download paper	12
41	1999	Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model. (1999). Chiarella, Carl ; Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:5. Full description at Econpapers \|\| Download paper	12
42	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie . In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	12
43	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	11
44	2004	A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139. Full description at Econpapers \|\| Download paper	11
45	2002	Benchmark Model with Intensity Based Jumps. (2002). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:81. Full description at Econpapers \|\| Download paper	11
46	2003	A Structure for General and Specific Market Risk. (2003). Platen, Eckhard ; Stahl, Gerhard . In: Research Paper Series. RePEc:uts:rpaper:91. Full description at Econpapers \|\| Download paper	11
47	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc . In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers \|\| Download paper	11
48	2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers \|\| Download paper	10
49	2001	Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:53. Full description at Econpapers \|\| Download paper	10
50	2002	A Discrete Time Benchmark Approach for Finance and Insurance. (2002). Platen, Eckhard ; Buhlmann, Hans . In: Research Paper Series. RePEc:uts:rpaper:74. Full description at Econpapers \|\| Download paper	10

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

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃÂ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo . In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	29
2	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	20
3	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	17
4	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin . In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	13
5	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	11
6	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	10
7	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	8
8	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	8
9	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	8
10	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca . In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	8
11	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie . In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	7
12	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	6
13	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃÂ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	5
14	1999	A Multi-Factor Model for Energy Derivatives. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	5
15	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	4
16	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Chiarella, Carl ; Meyer, Gunter H.. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	4
17	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Strickland, Chris ; Clewlow, Les . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	4
18	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	4
19	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	4
20	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong ; Gardini, Laura ; Foroni, Ilaria ; Dieci, Roberto . In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	4
21	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	4
22	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	4
23	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	4
24	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	4
25	2004	A Behavioural Asset Pricing Model with a Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo . In: Research Paper Series. RePEc:uts:rpaper:141. Full description at Econpapers \|\| Download paper	3
26	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	3
27	2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	3
28	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	3
29	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe . In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	3
30	2012	Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets. (2012). He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:316. Full description at Econpapers \|\| Download paper	3
31	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David . In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	3
32	2014	Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model. (2014). Zhang, Xiaohui ; Peng, Bin ; Hong, Kihoon Jimmy . In: Research Paper Series. RePEc:uts:rpaper:347. Full description at Econpapers \|\| Download paper	3
33	2010	Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Maina, Samuel Chege . In: Research Paper Series. RePEc:uts:rpaper:283. Full description at Econpapers \|\| Download paper	2
34	2004	Diversified Portfolios with Jumps in a Benchmark Framework. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:129. Full description at Econpapers \|\| Download paper	2
35	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	2
36	2009	The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:245. Full description at Econpapers \|\| Download paper	2
37	2015	The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers \|\| Download paper	2
38	2007	Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution. (2007). Chan, Jennifer ; Choy, S.T. Boris ; Makov, Udi . In: Research Paper Series. RePEc:uts:rpaper:196. Full description at Econpapers \|\| Download paper	2
39	2011	Three-Dimensional Brownian Motion and the Golden Ratio Rule. (2011). Hulley, Hardy ; Glover, Kristoffer ; Peskir, Goran . In: Research Paper Series. RePEc:uts:rpaper:295. Full description at Econpapers \|\| Download paper	2
40	2008	A Visual Classification of Local Martingales. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:238. Full description at Econpapers \|\| Download paper	2
41	2013	Liability Driven Investments under a Benchmark Based Approach. (2013). Platen, Eckhard ; Baldeaux, Jan. In: Research Paper Series. RePEc:uts:rpaper:325. Full description at Econpapers \|\| Download paper	2
42	2013	Herding, Trend Chasing and Market Volatility. (2013). Li, Kai ; He, Xuezhong ; Di Guilmi, Corrado. In: Research Paper Series. RePEc:uts:rpaper:337. Full description at Econpapers \|\| Download paper	2
43	2005	Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions. (2005). Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:145. Full description at Econpapers \|\| Download paper	2
44	2015	Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:366. Full description at Econpapers \|\| Download paper	2
45	2004	A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten. In: Research Paper Series. RePEc:uts:rpaper:139. Full description at Econpapers \|\| Download paper	2
46	2004	CAPM and Option Pricing with Elliptical Disbributions. (2004). Valdez, Emiliano ; Hamada, Mahmoud. In: Research Paper Series. RePEc:uts:rpaper:120. Full description at Econpapers \|\| Download paper	2
47	2016	Lie Symmetry Methods for Local Volatility Models. (2016). Grasselli, Martino ; Craddock, Mark . In: Research Paper Series. RePEc:uts:rpaper:377. Full description at Econpapers \|\| Download paper	2
48	2012	The Affine Nature of Aggregate Wealth Dynamics. (2012). Platen, Eckhard ; Rendek, Renata . In: Research Paper Series. RePEc:uts:rpaper:322. Full description at Econpapers \|\| Download paper	2
49	1999	Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). TerÃÂ¤svirta, Timo ; He, C. ; Terasvirta, Timo ; Malmsten, H.. In: Research Paper Series. RePEc:uts:rpaper:29. Full description at Econpapers \|\| Download paper	2
50	2016	Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:367. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 12:

Year	Title
2016	Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper
2016	Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Podobnik, B ; Havlin, S ; Kononovicius, A ; Stanley, H E ; Gontis, V. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102. Full description at Econpapers \|\| Download paper
2016	Volatility clustering: A nonlinear theoretical approach. (2016). He, Xuezhong ; Wang, Chuncheng ; Li, Kai . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:274-297. Full description at Econpapers \|\| Download paper
2016	Trading heterogeneity under information uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:130:y:2016:i:c:p:64-80. Full description at Econpapers \|\| Download paper
2016	Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:367. Full description at Econpapers \|\| Download paper
2016	Empirical Hedging Performance on Long-dDted Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376. Full description at Econpapers \|\| Download paper
2016	Microfoundations for switching behavior in heterogeneous agent models: An experiment. (2016). Tuinstra, Jan ; Bao, Te ; Anufriev, Mikhail . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:129:y:2016:i:c:p:74-99. Full description at Econpapers \|\| Download paper
2016	Market ecologies: The effect of information on the interaction and profitability of technical trading strategies. (2016). Ladley, Daniel ; Jackson, Antony . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:270-280. 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	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	Patents and R&D expenditure in explaining stock price movements. (2016). Yu, Gun Jea ; Hong, Kihoon . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:197-203. Full description at Econpapers \|\| Download paper
2016	Global oil market and the U.S. stock returns. (2016). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam . In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:1277-1287. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2016

Year	Citing document
2016	Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:375. Full description at Econpapers \|\| Download paper
2016	Empirical Hedging Performance on Long-dDted Crude Oil Derivatives. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin . In: Research Paper Series. RePEc:uts:rpaper:376. Full description at Econpapers \|\| Download paper

Recent citations received in 2015

Year	Citing document
2015	Students? Project-Based Learning: Local Commercial Products and Marketing Mix. (2015). Khairiree, Krongthong ; Meenanun, Chonnart . In: Proceedings of International Academic Conferences. RePEc:sek:iacpro:2604495. Full description at Econpapers \|\| Download paper
2015	The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong. In: Research Paper Series. RePEc:uts:rpaper:364. Full description at Econpapers \|\| Download paper
2015	Volatility Clustering: A Nonlinear Theoretical Approach. (2015). Li, Kai ; He, Xuezhong ; Wan, Chuncheng . In: Research Paper Series. RePEc:uts:rpaper:365. Full description at Econpapers \|\| Download paper

Recent citations received in 2014

Year	Citing document
2014	Booms, busts and behavioural heterogeneity in stock prices. (2014). Hommes, Cars ; In, D. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:14-14. Full description at Econpapers \|\| Download paper
2014	Herding, trend chasing and market volatility. (2014). Li, Kai ; He, Xuezhong ; Di Guilmi, Corrado. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:48:y:2014:i:c:p:349-373. Full description at Econpapers \|\| Download paper
2014	Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai . In: PhD Thesis. RePEc:uts:finphd:13. Full description at Econpapers \|\| Download paper
2014	Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics. (2014). Ghonghadze, Jaba ; Franke, Reiner . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:4. Full description at Econpapers \|\| Download paper

Recent citations received in 2013

Year	Citing document
2013	Learning and Evolution of Trading Strategies in Limit Order Markets. (2013). Wei, Lijian ; He, Xuezhong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:335. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	Cites
1	Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney	90
2	Papers / arXiv.org	78
3	Journal of Economic Dynamics and Control / Elsevier	22
4	PhD Thesis / Finance Discipline Group, UTS Business School, University of Technology, Sydney	19
5	Insurance: Mathematics and Economics / Elsevier	12
6	Quantitative Finance / Taylor & Francis Journals	11
7	Journal of Economic Behavior & Organization / Elsevier	10
8		10
9	Finance and Stochastics / Springer	6
10	MPRA Paper / University Library of Munich, Germany	6
11	BERG Working Paper Series / Bamberg University, Bamberg Economic Research Group	6

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.