Citation analysis for University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

5 Years IF

Data available in this report

[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	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0	0.14	0	0	7	7	0		0	6		23			0		0	0.07
1991	0	0.11	0	0	8	15	3		0	12		23			0		0	0.06
1992	0	0.1	0	0	7	22	1		0	15		24			0		0	0.07
1993	0.07	0.13	0.03	0.04	7	29	55	1	1	15	1	28	1		0		0	0.07
1994	0	0.13	0	0	2	31	0		1	14		34			0		0	0.06
1995	0.11	0.18	0.05	0.03	6	37	46	2	3	9	1	31	1		0		0	0.09
1996	0.5	0.22	0.15	0.2	4	41	1	6	9	8	4	30	6		0		0	0.11
1997	0.1	0.23	0.08	0.08	8	49	13	4	13	10	1	26	2		0		0	0.12
1998	0.17	0.24	0.18	0.26	12	61	22	11	24	12	2	27	7	1	9.1	1	0.08	0.15
1999	0.1	0.32	0.12	0.16	13	74	23	9	33	20	2	32	5	1	11.1	1	0.08	0.21
2000	0.2	0.46	0.16	0.26	27	101	93	15	49	25	5	43	11	6	40	4	0.15	0.2
2001	0.28	0.39	0.23	0.23	19	120	656	27	76	40	11	64	15	4	14.8	2	0.11	0.22
2002	0.59	0.42	0.26	0.39	17	137	86	36	112	46	27	79	31	4	11.1	2	0.12	0.24
2003	0.89	0.41	0.41	0.51	13	150	27	62	174	36	32	88	45		0	1	0.08	0.24
2004	0.33	0.47	0.34	0.48	22	172	217	58	232	30	10	89	43	4	6.9	9	0.41	0.27
2005	0.57	0.49	0.39	0.59	18	190	35	75	307	35	20	98	58	5	6.7	2	0.11	0.29
2006	0.33	0.48	0.31	0.43	0	190	0	58	365	40	13	89	38		0		0	0.26
2007	0.06	0.4	0.31	0.36	0	190	0	59	424	18	1	70	25		0		0	0.22
2008	0	0.45	0.44	0.34	0	190	0	84	508	0		53	18		0		0	0.23
2009	0	0.43	0.36	0.4	0	190	0	69	577	0		40	16		0		0	0.23
2010	0	0.37	0.26	0.17	0	190	0	49	626	0		18	3		0		0	0.19
2011	0	0.47	0.29	0	0	190	0	55	681	0		0			0		0	0.25
2012	0	0.5	0.31	0	0	190	0	58	739	0		0			0		0	0.26
2013	0	0.52	0.37	0	0	190	0	70	809	0		0			0		0	0.24
2014	0	0.55	0.44	0	0	190	0	84	893	0		0			0		0	0.28
2015	0	0.54	0.45	0	0	190	0	85	978	0		0			0		0	0.28
2016	0	0.58	0.53	0	0	190	0	100	1078	0		0			0		0	0.29
2017	0	0.6	0.46	0	0	190	0	87	1165	0		0			0		0	0.3
2018	0	0.62	0.46	0	0	190	0	87	1252	0		0			0		0	0.33

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until 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:	selft citations in y to articles published in y-1 plus y-2
%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	Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb. Full description at Econpapers \|\| Download paper	564
2	2004	The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs. Full description at Econpapers \|\| Download paper	157
3	1993	Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd. Full description at Econpapers \|\| Download paper	49
4	2002	East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331. Full description at Econpapers \|\| Download paper	38
5	2001	The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3. Full description at Econpapers \|\| Download paper	38
6	1989	Facilitation of Competing Bids and the Price of a Takeover Target. (1989). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g. Full description at Econpapers \|\| Download paper	30
7	2001	An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn. Full description at Econpapers \|\| Download paper	30
8	1995	An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx. Full description at Econpapers \|\| Download paper	23
9	2000	Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w. Full description at Econpapers \|\| Download paper	21
10	2002	Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t. Full description at Econpapers \|\| Download paper	17
11	1998	Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7dm2d31p. Full description at Econpapers \|\| Download paper	16
12	2000	The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6. Full description at Econpapers \|\| Download paper	13
13	1995	Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?. (1995). Field, Laura C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1136n8ps. Full description at Econpapers \|\| Download paper	12
14	2004	How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv. Full description at Econpapers \|\| Download paper	12
15	2002	Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543. Full description at Econpapers \|\| Download paper	11
16	1995	Regime Shifts in Short Term Riskless Interest Rates. (1995). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5hs021jf. Full description at Econpapers \|\| Download paper	11
17	2004	Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dv8v999. Full description at Econpapers \|\| Download paper	10
18	2000	Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). LIU, JUN ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f. Full description at Econpapers \|\| Download paper	10
19	2000	Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z. Full description at Econpapers \|\| Download paper	10
20	1997	Bond Pricing with Default Risk. (1997). Santa-Clara, Pedro ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch. Full description at Econpapers \|\| Download paper	10
21	2002	ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3mw4q41x. Full description at Econpapers \|\| Download paper	9
22	2002	Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7mh2m2bt. Full description at Econpapers \|\| Download paper	9
23	2003	Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Wang, Ashley W ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8. Full description at Econpapers \|\| Download paper	8
24	2004	Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Strebulaev, Ilya ; Nyborg, Kjell ; Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn. Full description at Econpapers \|\| Download paper	7
25	2004	THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g. Full description at Econpapers \|\| Download paper	7
26	2001	The Disposition Effect and Momentum. (2001). han, bing ; Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6qg5d62p. Full description at Econpapers \|\| Download paper	7
27	2005	Asset Pricing in Markets with Illiquid Assets. (2005). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2458g38x. Full description at Econpapers \|\| Download paper	7
28	2000	Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. (2000). Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3167f8mz. Full description at Econpapers \|\| Download paper	6
29	2000	Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj. Full description at Econpapers \|\| Download paper	6
30	2000	The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Santa-Clara, Pedro ; Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt65f1914p. Full description at Econpapers \|\| Download paper	6
31	2000	Valuation of Information Technology Investments as Real Options. (2000). Zozaya-Gorostiza, Carlos ; Schwartz, Eduardo S.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4dv270zv. Full description at Econpapers \|\| Download paper	6
32	2004	Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt632436gt. Full description at Econpapers \|\| Download paper	6
33	2001	International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Santa-Clara, Pedro ; Cochrane, John ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd. Full description at Econpapers \|\| Download paper	6
34	1998	Resolution of a Financial Puzzle. (1998). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh. Full description at Econpapers \|\| Download paper	5
35	2004	Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions. (2004). Nyborg, Kjell ; Keloharju, Matti ; Rydqvist, Kristian . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6v17p79w. Full description at Econpapers \|\| Download paper	5
36	2005	Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6zx6m7fp. Full description at Econpapers \|\| Download paper	5
37	2005	Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706. Full description at Econpapers \|\| Download paper	5
38	1993	Private vs. Public Lending: Evidence from Covenants. (1993). Tuckman, Bruce ; Kahan, Marcel . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1xw4w7sk. Full description at Econpapers \|\| Download paper	4
39	2001	Financial Distress as a Selection Mechanism: Evidence from the United States. (2001). Kahl, Matthias . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0dg192r9. Full description at Econpapers \|\| Download paper	4
40	2000	Does Diversification Cause the Ã¢â¬ÅDiversification DiscountÃ¢â¬ ?. (2000). Villalonga, Belen. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt40v212gm. Full description at Econpapers \|\| Download paper	4
41	2005	Information, Diversification, and Cost of Capital. (2005). LIU, JUN ; Hughes, John S. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt82j2d59r. Full description at Econpapers \|\| Download paper	4
42	2004	International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53z0s29k. Full description at Econpapers \|\| Download paper	4
43	1999	Flexible Multivariate GARCH Modeling With an Application to International Stock Markets. (1999). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt93s6p8gb. Full description at Econpapers \|\| Download paper	4
44	2005	The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc. Full description at Econpapers \|\| Download paper	4
45	2005	Dollar Cost Averaging. (2005). Brennan, Michael ; Li, Feifei ; Torous, Walt . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53p0r65q. Full description at Econpapers \|\| Download paper	4
46	2003	Changing Motives for Share Repurchases. (2003). Weston, Fred J. ; Siu, Juan A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9146588t. Full description at Econpapers \|\| Download paper	4
47	1999	The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence. (1999). Grinblatt, Mark ; Moskowitz, Tobias J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1k67p66s. Full description at Econpapers \|\| Download paper	4
48	1999	Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption. (1999). Schwartz, Eduardo ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3qs6r307. Full description at Econpapers \|\| Download paper	4
49	2002	Does the term structure forecast. (2002). Berardi, Andrea ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4kd201gw. Full description at Econpapers \|\| Download paper	3
50	2003	Empirical TIPs. (2003). Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2nr4r8h4. Full description at Econpapers \|\| Download paper	3

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

#	Year	Title	Cited
1	2001	Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb. Full description at Econpapers \|\| Download paper	152
2	2004	The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs. Full description at Econpapers \|\| Download paper	54
3	1993	Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd. Full description at Econpapers \|\| Download paper	9
4	2001	The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3. Full description at Econpapers \|\| Download paper	7
5	2000	Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w. Full description at Econpapers \|\| Download paper	5
6	2002	East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331. Full description at Econpapers \|\| Download paper	4
7	2002	Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543. Full description at Econpapers \|\| Download paper	3
8	2002	Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t. Full description at Econpapers \|\| Download paper	2
9	2005	Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706. Full description at Econpapers \|\| Download paper	2
10	2000	Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj. Full description at Econpapers \|\| Download paper	2
11	2001	An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor:

Year	Title

Recent citations

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	51	85
2	Energy Economics / Elsevier	115	21
3	MPRA Paper / University Library of Munich, Germany	87	16
4	Applied Energy / Elsevier	81	12
5	Working Papers / HAL	32	12
6	Insurance: Mathematics and Economics / Elsevier	43	11
7	International Journal of Theoretical and Applied Finance (IJTAF) / World Scientific Publishing Co. Pte. Ltd.	13	10
8	Quantitative Finance / Taylor & Francis Journals	43	10
9	Journal of Banking & Finance / Elsevier	130	10
10	European Journal of Operational Research / Elsevier	87	9
11	Journal of Economic Dynamics and Control / Elsevier	98	9