Published Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney
Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
12
Impact Factor
0.22
5 Years IF
0.28
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
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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 | 6 | 0 | 1 | 1 | 6 | 6 | 6 | 2 | 2 | 0 | 0 | 0.07 | ||||
| 1991 |  0.5 |
0.11 | 1.75 | 0.33 | 3 | 4 | 9 | 7 | 13 | 2 | 1 | 3 | 1 | 0 | 0 | 0.06 | ||
| 1992 | 0 | 0.1 | 0.33 | 0 | 2 | 6 | 19 | 2 | 15 | 4 | 6 | 0 | 0 | 0.07 | ||||
| 1993 | 0 | 0.13 | 0.33 | 0.13 | 0 | 6 | 0 | 2 | 17 | 5 | 8 | 1 | 0 | 0 | 0.07 | |||
| 1994 | 0 | 0.13 | 0.75 | 0 | 2 | 8 | 9 | 6 | 23 | 2 | 7 | 0 | 0 | 0.06 | ||||
| 1995 | 0.5 |
0.18 | 1.22 | 0.5 | 1 | 9 | 0 | 10 | 34 | 2 | 1 | 8 | 4 | 0 | 0 | 0.09 | ||
| 1996 | 0 | 0.22 | 0.23 | 0 | 4 | 13 | 37 | 3 | 37 | 3 | 8 | 0 | 0 | 0.11 | ||||
| 1997 |  0.2 |
0.23 | 0.6 | 0.11 | 2 | 15 | 10 | 9 | 46 | 5 | 1 | 9 | 1 | 0 | 0 | 0.12 | ||
| 1998 | 0.17 |
0.24 | 0.25 | 0.11 | 1 | 16 | 24 | 4 | 50 | 6 | 1 | 9 | 1 | 0 | 0 | 0.15 | ||
| 1999 | 0.33 |
0.32 | 0.58 | 0.3 | 3 | 19 | 40 | 10 | 61 | 3 | 1 | 10 | 3 | 0 | 1 | 0.33 | 0.21 | |
| 2000 | 0.25 |
0.46 | 0.24 | 0.27 | 2 | 21 | 0 | 5 | 66 | 4 | 1 | 11 | 3 | 0 | 0 | 0.2 | ||
| 2001 | 0.2 |
0.39 | 0.25 | 0.17 | 3 | 24 | 17 | 6 | 72 | 5 | 1 | 12 | 2 | 0 | 0 | 0.22 | ||
| 2002 | 0.2 |
0.42 | 0.39 | 0.27 | 4 | 28 | 3 | 11 | 83 | 5 | 1 | 11 | 3 | 0 | 0 | 0.24 | ||
| 2003 | 0.14 |
0.41 | 0.29 | 0.15 | 3 | 31 | 22 | 9 | 92 | 7 | 1 | 13 | 2 | 0 | 0 | 0.24 | ||
| 2004 | 0 | 0.47 | 0.59 | 0.27 | 8 | 39 | 20 | 23 | 115 | 7 | 15 | 4 | 0 | 0 | 0.27 | |||
| 2005 | 0.18 |
0.49 | 0.49 | 0.2 | 8 | 47 | 28 | 23 | 138 | 11 | 2 | 20 | 4 | 0 | 2 | 0.25 | 0.29 | |
| 2006 | 0.06 |
0.48 | 0.52 | 0.15 | 5 | 52 | 13 | 27 | 165 | 16 | 1 | 26 | 4 | 0 | 0 | 0.26 | ||
| 2007 | 0.15 |
0.4 | 0.3 | 0.14 | 11 | 63 | 26 | 18 | 184 | 13 | 2 | 28 | 4 | 0 | 1 | 0.09 | 0.22 | |
| 2008 | 0.31 |
0.45 | 0.6 | 0.23 | 5 | 68 | 2 | 40 | 225 | 16 | 5 | 35 | 8 | 0 | 0 | 0.23 | ||
| 2009 | 0.13 |
0.43 | 0.42 | 0.19 | 10 | 78 | 7 | 32 | 258 | 16 | 2 | 37 | 7 | 0 | 0 | 0.23 | ||
| 2010 | 0 | 0.37 | 0.31 | 0.05 | 8 | 86 | 28 | 26 | 285 | 15 | 39 | 2 | 0 | 0 | 0.19 | |||
| 2011 | 0.17 |
0.47 | 0.39 | 0.18 | 8 | 94 | 20 | 36 | 322 | 18 | 3 | 39 | 7 | 0 | 2 | 0.25 | 0.25 | |
| 2012 | 0 | 0.5 | 0.48 | 0.14 | 4 | 98 | 15 | 47 | 369 | 16 | 42 | 6 | 0 | 0 | 0.26 | |||
| 2013 | 0.58 |
0.52 | 0.4 | 0.29 | 10 | 108 | 50 | 43 | 412 | 12 | 7 | 35 | 10 | 0 | 1 | 0.1 | 0.24 | |
| 2014 | 0.07 |
0.55 | 0.26 | 0.18 | 9 | 117 | 2 | 30 | 443 | 14 | 1 | 40 | 7 | 0 | 0 | 0.28 | ||
| 2015 | 0.53 |
0.54 | 0.34 | 0.44 | 11 | 128 | 15 | 42 | 487 | 19 | 10 | 39 | 17 | 0 | 1 | 0.09 | 0.28 | |
| 2016 | 0.25 |
0.58 | 0.46 | 0.6 | 6 | 134 | 3 | 61 | 549 | 20 | 5 | 42 | 25 | 0 | 0 | 0.29 | ||
| 2017 | 0.41 |
0.6 | 0.47 | 0.45 | 3 | 137 | 9 | 64 | 613 | 17 | 7 | 40 | 18 | 0 | 2 | 0.67 | 0.3 | |
| 2018 | 0.22 |
0.62 | 0.43 | 0.28 | 1 | 138 | 0 | 57 | 672 | 9 | 2 | 39 | 11 | 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 | 1983 | Diagnostic tests as residual analysis. (1983). pagan, adrian ; Hall, Anthony. In: Published Paper Series. RePEc:uts:ppaper:1983-1. Full description at Econpapers || Download paper | 201 |
| 2 | 2013 | What do price discovery metrics really measure?. (2013). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2013-2. Full description at Econpapers || Download paper | 34 |
| 3 | 1998 | Balanced Implicit Methods for Stiff Stochastic Systems. (1998). Platen, Eckhard ; Schurz, H ; Milstein, G N. In: Published Paper Series. RePEc:uts:ppaper:1998-1. Full description at Econpapers || Download paper | 25 |
| 4 | 1999 | Option pricing for a logstable asset price model. (1999). Platen, Eckhard ; Rachev, S T ; Hurst, S R. In: Published Paper Series. RePEc:uts:ppaper:1999-2. Full description at Econpapers || Download paper | 21 |
| 5 | 1999 | The value of dividends: Evidence from cum-dividend trading in the ex-dividend period. (1999). Walker, Scott ; Partington, Graham. In: Published Paper Series. RePEc:uts:ppaper:1999-1. Full description at Econpapers || Download paper | 19 |
| 6 | 2010 | Endogeneity and the corporate governance - performance relation. (2010). Walsh, Kathleen ; Tan, David T ; Schultz, Emma L. In: Published Paper Series. RePEc:uts:ppaper:2010-6. Full description at Econpapers || Download paper | 18 |
| 7 | 1996 | Principles for modelling financial markets. (1996). Platen, Eckhard ; Rebolledo, Rolando . In: Published Paper Series. RePEc:uts:ppaper:1996-3. Full description at Econpapers || Download paper | 17 |
| 8 | 1996 | On effects of discretization on estimators of drift parameters for diffusion processes. (1996). Platen, Eckhard ; Sorensen, M ; Schurz, H ; Kloeden, P E. In: Published Paper Series. RePEc:uts:ppaper:1996-2. Full description at Econpapers || Download paper | 17 |
| 9 | 2003 | The performance of value and momentum investment portfolios: Recent experience in the major European markets. (2003). Bird, Ron ; Whitaker, Jonathan . In: Published Paper Series. RePEc:uts:ppaper:2003-1. Full description at Econpapers || Download paper | 17 |
| 10 | 1992 | Higher-order implicit strong numerical schemes for stochastic differential equations. (1992). Platen, Eckhard ; Kloeden, P E. In: Published Paper Series. RePEc:uts:ppaper:1992-1. Full description at Econpapers || Download paper | 15 |
| 11 | 2007 | Stress-testing credit risk parameters: An application to retail loan portfolios. (2007). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2007-1. Full description at Econpapers || Download paper | 13 |
| 12 | 1988 | Time Discrete Taylor Approximations for Ito Processes with Jump Component. (1988). Platen, Eckhard ; Mikulevicius, Remigijus . In: Published Paper Series. RePEc:uts:ppaper:1988-1. Full description at Econpapers || Download paper | 13 |
| 13 | 2001 | Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging. (2001). Platen, Eckhard ; Schweizer, Martin ; Heath, David. In: Published Paper Series. RePEc:uts:ppaper:2001-3. Full description at Econpapers || Download paper | 12 |
| 14 | 1997 | The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects. (1997). Michayluk, David ; Brockman, Paul. In: Published Paper Series. RePEc:uts:ppaper:1997-1. Full description at Econpapers || Download paper | 11 |
| 15 | 2005 | A multi-factor approach for systematic default and recovery risk. (2005). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2005-1. Full description at Econpapers || Download paper | 10 |
| 16 | 2013 | What do price discovery metrics really measure?. (2013). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2013:2. Full description at Econpapers || Download paper | 10 |
| 17 | 2005 | The Role of Growth in Long Term Investment Returns. (2005). Michayluk, David ; Broussard, John ; Neely, Walter P. In: Published Paper Series. RePEc:uts:ppaper:2005-3. Full description at Econpapers || Download paper | 10 |
| 18 | 2004 | Forecasting retail portfolio credit risk. (2004). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2004-1. Full description at Econpapers || Download paper | 9 |
| 19 | 1994 | Stability of weak numerical schemes for stochastic differential equations. (1994). Platen, Eckhard ; Hofmann, N. In: Published Paper Series. RePEc:uts:ppaper:1994-1. Full description at Econpapers || Download paper | 9 |
| 20 | 2011 | Default and Recovery Risk Dependencies in a Simple Credit Risk Model. (2011). Bade, Benjamin ; Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:v:17:y:2011:i:1:p:120-144. Full description at Econpapers || Download paper | 9 |
| 21 | 2005 | The Role of Growth in Long Term Investment Returns. (2005). Broussard, John Paul ; Neely, Walter P ; Michayluk, David . In: Published Paper Series. RePEc:uts:ppaper:v:21:y:2005:i:1:p:93-105. Full description at Econpapers || Download paper | 8 |
| 22 | 2012 | The Determinants of the Convexity in the Flow-Performance Relationship. (2012). Navone, Marco ; Fu, Richard ; Pantos, Themis D ; Pagani, Marco. In: Published Paper Series. RePEc:uts:ppaper:2012-1. Full description at Econpapers || Download paper | 8 |
| 23 | 2011 | Default and Recovery Risk Dependencies in a Simple Credit Risk Model. (2011). Bade, Benjamin ; Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2011-1. Full description at Econpapers || Download paper | 8 |
| 24 | 2013 | Financial risk tolerance: An analysis of unexplored factors. (2013). Van de Venter, Gerhard ; Michayluk, David ; Gibson, Ryan. In: Published Paper Series. RePEc:uts:ppaper:2013-1. Full description at Econpapers || Download paper | 8 |
| 25 | 2012 | Processes of Class Sigma, Last Passage Times, and Drawdowns. (2012). Platen, Eckhard ; Nikeghbali, Ashkan ; Cheridito, Patrick. In: Published Paper Series. RePEc:uts:ppaper:2012-4. Full description at Econpapers || Download paper | 7 |
| 26 | 2017 | Asset Pricing with Downside Liquidity Risks. (2017). Putnins, Talis ; Anthonisz, Sean A. In: Published Paper Series. RePEc:uts:ppaper:2017-1. Full description at Econpapers || Download paper | 7 |
| 27 | 1990 | A stop loss approach to portfolio insurance. (1990). Bird, Ron ; Tippett, Mark ; Dennis, Davis. In: Published Paper Series. RePEc:uts:ppaper:1990-1. Full description at Econpapers || Download paper | 7 |
| 28 | 2007 | Strong approximations of stochastic differential equations with jumps. (2007). Platen, Eckhard ; Bruti-Liberati, Nicola . In: Published Paper Series. RePEc:uts:ppaper:2007-7. Full description at Econpapers || Download paper | 7 |
| 29 | 2003 | Economic implications of passive investing. (2003). Bird, Ron ; Woolley, Paul . In: Published Paper Series. RePEc:uts:ppaper:2003-2. Full description at Econpapers || Download paper | 6 |
| 30 | 1997 | The holiday anomaly: An investigation of firm size versus share price effects. (1997). Brockman, Paul ; Michayluk, David . In: Published Paper Series. RePEc:uts:ppaper:y:1997:1. Full description at Econpapers || Download paper | 6 |
| 31 | 2001 | The prediction of earnings movements using accounting data: An update and extension of Ou and Penman. (2001). Hall, Anthony ; Bird, Ron ; Gerlach, Richard. In: Published Paper Series. RePEc:uts:ppaper:2001-2. Full description at Econpapers || Download paper | 6 |
| 32 | 1992 | The approximation of multiple stochastic integrals. (1992). Platen, Eckhard ; Wright, I W ; Kloeden, P E. In: Published Paper Series. RePEc:uts:ppaper:1992-2. Full description at Econpapers || Download paper | 6 |
| 33 | 2007 | Stress-testing credit risk parameters: An application to retail loan portfolios. (2007). Roesch, Daniel ; Scheule, Harald. In: Published Paper Series. RePEc:uts:ppaper:v:1:y:2007:i:1:p:55-75. Full description at Econpapers || Download paper | 6 |
| 34 | 1991 | Rate of Convergence of the Euler Approximation for Diffusion Processes. (1991). Platen, Eckhard ; Mikulevicius, Remigijus . In: Published Paper Series. RePEc:uts:ppaper:1991-3. Full description at Econpapers || Download paper | 6 |
| 35 | 2005 | Rating Properties and their Implication on Basel II-Capital. (2005). Scheule, Harald ; Rauhmeier, Robert. In: Published Paper Series. RePEc:uts:ppaper:2005-2. Full description at Econpapers || Download paper | 5 |
| 36 | 2007 | Multi-Year Dynamics for Forecasting Economic and Regulatory Capital in Banking. (2007). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2007-2. Full description at Econpapers || Download paper | 5 |
| 37 | 2013 | The impact of foreign ownership on stock volatility in Indonesia. (2013). Wang, Jianxin. In: Published Paper Series. RePEc:uts:ppaper:2013-4. Full description at Econpapers || Download paper | 5 |
| 38 | 1989 | A survey of numerical methods for stochastic differential equations. (1989). Platen, Eckhard ; Kloeden, P E. In: Published Paper Series. RePEc:uts:ppaper:1989-1. Full description at Econpapers || Download paper | 5 |
| 39 | 2009 | Credit Portfolio Loss Forecasts for Economic Downturns. (2009). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2009-2. Full description at Econpapers || Download paper | 4 |
| 40 | 2010 | Naked short sales and fails-to-deliver: An overview of clearing and settlement procedures for stock trades in the USA. (2010). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2010-2. Full description at Econpapers || Download paper | 4 |
| 41 | 2006 | Biases and information in analystsrecommendations: The European experience. (2006). Bird, Ron ; Rossi, Emanuele ; Ghiringhelli, Paolo ; Azzi, Sarah. In: Published Paper Series. RePEc:uts:ppaper:2006-2. Full description at Econpapers || Download paper | 4 |
| 42 | 2006 | Forecasting credit event frequency â empirical evidence for West German firms. (2006). Scheule, Harald ; Liebig, Thilo ; Hamerle, Alfred. In: Published Paper Series. RePEc:uts:ppaper:2006-1. Full description at Econpapers || Download paper | 4 |
| 43 | 2005 | The case for market inefficiency: Investment style and market pricing. (2005). He, Xuezhong ; Bird, Ron ; Woolley, Paul ; Thosar, Satish . In: Published Paper Series. RePEc:uts:ppaper:2005-5. Full description at Econpapers || Download paper | 4 |
| 44 | 2015 | Pricing and hedging of long dated variance swaps under a 3/2 volatility model. (2015). Platen, Eckhard ; Chan, Leunglung. In: Published Paper Series. RePEc:uts:ppaper:2015-6. Full description at Econpapers || Download paper | 4 |
| 45 | 2004 | Symmetry group methods for fundamental solutions. (2004). Platen, Eckhard ; Craddock, Mark . In: Published Paper Series. RePEc:uts:ppaper:2004-6. Full description at Econpapers || Download paper | 4 |
| 46 | 2011 | A Brief Critical Review of Australias Retirement Savings System. (2011). Bird, Ron ; Gray, Jack. In: Published Paper Series. RePEc:uts:ppaper:2011-4. Full description at Econpapers || Download paper | 4 |
| 47 | 2006 | Insights into the Momentum Life Cycle for European Stocks. (2006). Casavecchia, Lorenzo ; Bird, Ron. In: Published Paper Series. RePEc:uts:ppaper:2006-3. Full description at Econpapers || Download paper | 3 |
| 48 | 2015 | Enhancing Risk-Adjusted Return Using Time Series Momentum in Sovereign Bonds. (2015). Hambusch, Gerhard ; Webster, Ellenora ; Hong, Kihoon Jimmy . In: Published Paper Series. RePEc:uts:ppaper:2015-4. Full description at Econpapers || Download paper | 3 |
| 49 | 1977 | Financial Ratios - An Empirical Study. (1977). Bird, Ron ; McHugh, A J. In: Published Paper Series. RePEc:uts:ppaper:1977-1. Full description at Econpapers || Download paper | 3 |
| 50 | 2008 | Liquidity issues surrounding neglected firms. (2008). Michayluk, David ; Prather, Laurie ; Bertin, William J. In: Published Paper Series. RePEc:uts:ppaper:2008-2. 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 | 2013 | What do price discovery metrics really measure?. (2013). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2013-2. Full description at Econpapers || Download paper | 15 |
| 2 | 1983 | Diagnostic tests as residual analysis. (1983). pagan, adrian ; Hall, Anthony. In: Published Paper Series. RePEc:uts:ppaper:1983-1. Full description at Econpapers || Download paper | 11 |
| 3 | 2010 | Endogeneity and the corporate governance - performance relation. (2010). Walsh, Kathleen ; Tan, David T ; Schultz, Emma L. In: Published Paper Series. RePEc:uts:ppaper:2010-6. Full description at Econpapers || Download paper | 8 |
| 4 | 2013 | Financial risk tolerance: An analysis of unexplored factors. (2013). Van de Venter, Gerhard ; Michayluk, David ; Gibson, Ryan. In: Published Paper Series. RePEc:uts:ppaper:2013-1. Full description at Econpapers || Download paper | 8 |
| 5 | 1992 | Higher-order implicit strong numerical schemes for stochastic differential equations. (1992). Platen, Eckhard ; Kloeden, P E. In: Published Paper Series. RePEc:uts:ppaper:1992-1. Full description at Econpapers || Download paper | 7 |
| 6 | 2011 | Default and Recovery Risk Dependencies in a Simple Credit Risk Model. (2011). Bade, Benjamin ; Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:v:17:y:2011:i:1:p:120-144. Full description at Econpapers || Download paper | 6 |
| 7 | 1998 | Balanced Implicit Methods for Stiff Stochastic Systems. (1998). Platen, Eckhard ; Schurz, H ; Milstein, G N. In: Published Paper Series. RePEc:uts:ppaper:1998-1. Full description at Econpapers || Download paper | 6 |
| 8 | 2003 | The performance of value and momentum investment portfolios: Recent experience in the major European markets. (2003). Bird, Ron ; Whitaker, Jonathan . In: Published Paper Series. RePEc:uts:ppaper:2003-1. Full description at Econpapers || Download paper | 5 |
| 9 | 2013 | What do price discovery metrics really measure?. (2013). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2013:2. Full description at Econpapers || Download paper | 5 |
| 10 | 2017 | Asset Pricing with Downside Liquidity Risks. (2017). Putnins, Talis ; Anthonisz, Sean A. In: Published Paper Series. RePEc:uts:ppaper:2017-1. Full description at Econpapers || Download paper | 5 |
| 11 | 2005 | The Role of Growth in Long Term Investment Returns. (2005). Michayluk, David ; Broussard, John ; Neely, Walter P. In: Published Paper Series. RePEc:uts:ppaper:2005-3. Full description at Econpapers || Download paper | 4 |
| 12 | 1999 | Option pricing for a logstable asset price model. (1999). Platen, Eckhard ; Rachev, S T ; Hurst, S R. In: Published Paper Series. RePEc:uts:ppaper:1999-2. Full description at Econpapers || Download paper | 4 |
| 13 | 2016 | Asset Pricing with Downside Liquidity Risks. (2016). Anthonisz, Sean A ; Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:y:2016:1. Full description at Econpapers || Download paper | 3 |
| 14 | 2005 | The Role of Growth in Long Term Investment Returns. (2005). Broussard, John Paul ; Neely, Walter P ; Michayluk, David . In: Published Paper Series. RePEc:uts:ppaper:v:21:y:2005:i:1:p:93-105. Full description at Econpapers || Download paper | 3 |
| 15 | 1997 | The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects. (1997). Michayluk, David ; Brockman, Paul. In: Published Paper Series. RePEc:uts:ppaper:1997-1. Full description at Econpapers || Download paper | 3 |
| 16 | 2015 | Enhancing Risk-Adjusted Return Using Time Series Momentum in Sovereign Bonds. (2015). Hambusch, Gerhard ; Webster, Ellenora ; Hong, Kihoon Jimmy . In: Published Paper Series. RePEc:uts:ppaper:2015-4. Full description at Econpapers || Download paper | 3 |
| 17 | 1990 | A stop loss approach to portfolio insurance. (1990). Bird, Ron ; Tippett, Mark ; Dennis, Davis. In: Published Paper Series. RePEc:uts:ppaper:1990-1. Full description at Econpapers || Download paper | 3 |
| 18 | 2011 | Default and Recovery Risk Dependencies in a Simple Credit Risk Model. (2011). Bade, Benjamin ; Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2011-1. Full description at Econpapers || Download paper | 3 |
| 19 | 2001 | Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging. (2001). Platen, Eckhard ; Schweizer, Martin ; Heath, David. In: Published Paper Series. RePEc:uts:ppaper:2001-3. Full description at Econpapers || Download paper | 3 |
| 20 | 1991 | Rate of Convergence of the Euler Approximation for Diffusion Processes. (1991). Platen, Eckhard ; Mikulevicius, Remigijus . In: Published Paper Series. RePEc:uts:ppaper:1991-3. Full description at Econpapers || Download paper | 3 |
| 21 | 2012 | Processes of Class Sigma, Last Passage Times, and Drawdowns. (2012). Platen, Eckhard ; Nikeghbali, Ashkan ; Cheridito, Patrick. In: Published Paper Series. RePEc:uts:ppaper:2012-4. Full description at Econpapers || Download paper | 2 |
| 22 | 2015 | Economics of State-Owned Enterprises. (2015). Putnins, Talis. In: Published Paper Series. RePEc:uts:ppaper:2015-3. Full description at Econpapers || Download paper | 2 |
| 23 | 2015 | Real-World Forward Rate Dynamics With Affine Realizations. (2015). Platen, Eckhard ; Tappe, Steffan. In: Published Paper Series. RePEc:uts:ppaper:2015-7. Full description at Econpapers || Download paper | 2 |
| 24 | 2004 | Symmetry group methods for fundamental solutions. (2004). Platen, Eckhard ; Craddock, Mark . In: Published Paper Series. RePEc:uts:ppaper:2004-6. Full description at Econpapers || Download paper | 2 |
| 25 | 2015 | Determining value in a complex service setting. (2015). Plewa, Carolin ; Michayluk, David ; Sweeney, Jillian C. In: Published Paper Series. RePEc:uts:ppaper:y:2015:1. Full description at Econpapers || Download paper | 2 |
| 26 | 2012 | The Determinants of the Convexity in the Flow-Performance Relationship. (2012). Navone, Marco ; Fu, Richard ; Pantos, Themis D ; Pagani, Marco. In: Published Paper Series. RePEc:uts:ppaper:2012-1. Full description at Econpapers || Download paper | 2 |
| 27 | 2015 | Determining value in a complex service setting. (2015). Michayluk, David ; Sweeney, Jillian C ; Plewa, Carolin. In: Published Paper Series. RePEc:uts:ppaper:2015-1. Full description at Econpapers || Download paper | 2 |
| 28 | 2019 | Shadow Economy Index for Moldova and Romania. (2019). Putnins, Talis ; Maria, Adriana Ana ; Sauka, Arnis. In: Published Paper Series. RePEc:uts:ppaper:2019-1. Full description at Econpapers || Download paper | 2 |
| 29 | 2007 | Strong approximations of stochastic differential equations with jumps. (2007). Platen, Eckhard ; Bruti-Liberati, Nicola . In: Published Paper Series. RePEc:uts:ppaper:2007-7. Full description at Econpapers || Download paper | 2 |
| 30 | 2004 | Forecasting retail portfolio credit risk. (2004). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2004-1. Full description at Econpapers || Download paper | 2 |
| 31 | 2006 | Biases and information in analystsrecommendations: The European experience. (2006). Bird, Ron ; Rossi, Emanuele ; Ghiringhelli, Paolo ; Azzi, Sarah. In: Published Paper Series. RePEc:uts:ppaper:2006-2. Full description at Econpapers || Download paper | 2 |
| 32 | 1997 | The holiday anomaly: An investigation of firm size versus share price effects. (1997). Brockman, Paul ; Michayluk, David . In: Published Paper Series. RePEc:uts:ppaper:y:1997:1. Full description at Econpapers || Download paper | 2 |
| 33 | 2010 | The Banking Relationships Role in the Choice of the Targets Advisor in Mergers and Acquisitions. (2010). Navone, Marco ; Forte, Gianfranco ; Iannotta, Giuliano. In: Published Paper Series. RePEc:uts:ppaper:2010-4. Full description at Econpapers || Download paper | 2 |
| 34 | 2009 | Credit Portfolio Loss Forecasts for Economic Downturns. (2009). Scheule, Harald ; Roesch, Daniel. In: Published Paper Series. RePEc:uts:ppaper:2009-2. Full description at Econpapers || Download paper | 2 |
| 35 | 2009 | Credit Portfolio Loss Forecasts for Economic Downturns. (2009). Roesch, Daniel ; Scheule, Harald. In: Published Paper Series. RePEc:uts:ppaper:v:18:y:2009:i:1:p:1-26. Full description at Econpapers || Download paper | 2 |
| 36 | 2017 | Dynkin games with heterogeneous beliefs. (2017). Glover, Kristoffer ; Ekstrom, Erik ; Leniec, Marta. In: Published Paper Series. RePEc:uts:ppaper:2017-2. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 2
| Year | Title | |
|---|---|---|
| 2018 | The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis. (2018). Camilleri, Silvio ; Farrugia, Ritienne. In: MPRA Paper. RePEc:pra:mprapa:87070. Full description at Econpapers || Download paper | |
| 2018 | Liquidity skewness premium. (2018). Jeong, Giho ; Kwon, Kyung Yoon ; Kang, Jangkoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:130-150. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2017
| Year | Citing document | |
|---|---|---|
| 2017 | Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131. Full description at Econpapers || Download paper | |
| 2017 | Zero-sum stopping games with asymmetric information. (2017). Gensbittel, Fabien ; Grun, Christine. In: TSE Working Papers. RePEc:tse:wpaper:32183. Full description at Econpapers || Download paper |
Recent citations received in 2016
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Recent citations received in 2015
| Year | Citing document | |
|---|---|---|
| 2015 | Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models. (2015). Yuen, Chi Hung ; Kwok, Yue Kuen ; Zheng, Wendong. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:22:y:2015:i:5:p:421-449. Full description at Econpapers || Download paper |
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