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Annals of Finance / Springer

Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
17
Impact Factor
0.37
5 Years IF
0.32
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 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1991 0 0.08 0 0 0 0 0 0 0 0 0 0 0.04
1992 0 0.09 0 0 0 0 0 0 0 0 0 0 0.04
1993 0 0.1 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.2 0 0 0 0 0 0 0 0 0 0 0.08
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.1
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.1
1998 0 0.27 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.29 0 0 0 0 0 0 0 0 0 0 0.14
2000 0 0.34 0 0 0 0 0 0 0 0 0 0 0.15
2001 0 0.36 0 0 0 0 0 0 0 0 0 0 0.16
2002 0 0.4 0 0 0 0 0 0 0 0 0 0 0.21
2003 0 0.41 0 0 0 0 0 0 0 0 0 0 0.2
2004 0 0.46 0 0 0 0 0 2 0 0 0 0 0.21
2005 0 0.47 0.63 0 19 19 308 11 14 0 0 0 11 0.58 0.22
2006 0.74 0.47 0.49 0.74 22 41 111 19 34 19 14 19 14 3 15.8 5 0.23 0.21
2007 0.41 0.42 0.47 0.41 21 62 64 27 63 41 17 41 17 8 29.6 8 0.38 0.19
2008 0.33 0.45 0.6 0.56 23 85 141 50 114 43 14 62 35 4 8 11 0.48 0.21
2009 0.23 0.44 0.53 0.4 26 111 89 57 173 44 10 85 34 18 31.6 20 0.77 0.21
2010 0.35 0.44 0.48 0.45 27 138 187 66 239 49 17 111 50 17 25.8 8 0.3 0.18
2011 0.47 0.46 0.55 0.48 24 162 67 89 328 53 25 119 57 22 24.7 6 0.25 0.21
2012 0.59 0.47 0.44 0.42 24 186 141 80 409 51 30 121 51 12 15 4 0.17 0.19
2013 0.44 0.53 0.57 0.55 35 221 116 126 535 48 21 124 68 19 15.1 6 0.17 0.22
2014 0.66 0.55 0.56 0.56 25 246 59 138 673 59 39 136 76 29 21 3 0.12 0.21
2015 0.38 0.55 0.59 0.56 18 264 47 156 829 60 23 135 75 18 11.5 5 0.28 0.21
2016 0.72 0.56 0.59 0.53 19 283 18 168 997 43 31 126 67 15 8.9 1 0.05 0.2
2017 0.49 0.58 0.46 0.44 18 301 30 136 1134 37 18 121 53 17 12.5 2 0.11 0.21
2018 0.59 0.7 0.46 0.5 23 324 14 150 1284 37 22 115 57 16 10.7 6 0.26 0.28
2019 0.37 0.88 0.39 0.32 20 344 7 135 1419 41 15 103 33 13 9.6 6 0.3 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
#YearTitleCited
12005Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432.

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94
22005Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177.

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40
32005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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37
42005On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50.

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35
52008Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28.

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33
62010A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581.

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33
72010The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191.

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29
8Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147.

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28
92009A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464.

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26
102010Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454.

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25
112006Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71.

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22
122012Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74.

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22
132012Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378.

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21
142013An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

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20
152005On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107.

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19
162008Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454.

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19
172014Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265.

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17
182010Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315.

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17
192005American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292.

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16
202012A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505.

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15
212008Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103.

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14
222013Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786.

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13
232007Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507.

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13
242012Estimation and pricing under long-memory stochastic volatility. (2012). Chronopoulou, Alexandra ; Viens, Frederi . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403.

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13
252008Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429.

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13
262012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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13
272010Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Sobrinho, Nelson. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32.

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12
282010On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473.

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12
292013Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588.

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11
302006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

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11
31Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396.

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11
322013Dynamic capital structure and the contingent capital option. (2013). Barucci, Emilio ; del Viva, Luca . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364.

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11
332007Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74.

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11
342010An economy with personal currency: theory and experimental evidence. (2010). Sunder, Shyam ; Shubik, Martin. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:475-509.

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11
352006Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:287-301.

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11
362006A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21.

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11
372006The Discounted Economic Stock of Money with VAR Forecasting. (2006). Keating, John ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:229-258.

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11
38Small caps in international equity portfolios: the effects of variance risk. (2009). Nicodano, Giovanna ; Guidolin, Massimo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:15-48.

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10
392011Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246.

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10
402012On the necessity of five risk measures. (2012). GUEGAN, Dominique ; Tarrant, Wayne . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:533-552.

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10
412014Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455.

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10
422017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

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10
432006Heterogeneous Beliefs, the Term Structure and Time-varying Risk Premia. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:3:p:259-285.

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10
442015Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35.

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10
452007An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, Agustín ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105.

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10
462010On the neutrality of debt in investment intensity. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:335-356.

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9
472006The modified mixture of distributions model: a revisit. (2006). . In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:2:p:167-178.

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9
482015Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382.

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9
492009Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:1:p:49-68.

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8
502008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

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8
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12009A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464.

Full description at Econpapers || Download paper

15
22005Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432.

Full description at Econpapers || Download paper

15
32012Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378.

Full description at Econpapers || Download paper

10
42013An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215.

Full description at Econpapers || Download paper

10
52017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index. (2017). Issaka, Aziz ; Sengupta, Indranil. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3.

Full description at Econpapers || Download paper

10
62010A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581.

Full description at Econpapers || Download paper

10
72012Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Ng, Wing ; Peng, Yue . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74.

Full description at Econpapers || Download paper

8
82012Estimation and pricing under long-memory stochastic volatility. (2012). Chronopoulou, Alexandra ; Viens, Frederi . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403.

Full description at Econpapers || Download paper

8
92005On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50.

Full description at Econpapers || Download paper

7
102009Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396.

Full description at Econpapers || Download paper

7
112014Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265.

Full description at Econpapers || Download paper

7
122008Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28.

Full description at Econpapers || Download paper

5
132010Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315.

Full description at Econpapers || Download paper

5
142016The skewness risk premium in equilibrium and stock return predictability. (2016). Sasaki, Hiroshi. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-016-0275-7.

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5
152013Dynamic capital structure and the contingent capital option. (2013). Barucci, Emilio ; del Viva, Luca . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364.

Full description at Econpapers || Download paper

5
162015Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382.

Full description at Econpapers || Download paper

5
172006Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71.

Full description at Econpapers || Download paper

5
182017Optimal mean-reverting spread trading: nonlinear integral equation approach. (2017). Leung, Tim ; Kitapbayev, Yerkin . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0295-y.

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5
192006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

Full description at Econpapers || Download paper

4
202012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

Full description at Econpapers || Download paper

4
212005On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107.

Full description at Econpapers || Download paper

4
222013Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786.

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4
232018Business cycles, financial cycles and capital structure. (2018). Al-Zoubi, Haitham ; Alwathnani, Abdulaziz M ; Osullivan, Jennifer A. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0306-z.

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3
242010Investigating the dependence structure between credit default swap spreads and the U.S. financial market. (2010). Gatfaoui, Hayette. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:511-535.

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3
252018Debt financing in private and public firms. (2018). Huynh, Kim ; Petrunia, Robert ; Paligorova, Teodora. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0323-6.

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3
262005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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3
272015Dynamic portfolio selection with mispricing and model ambiguity. (2015). Law, Baron ; Li, Zhongfei ; Viens, Frederi ; Yi, BO. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75.

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3
282013Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144.

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3
292014Stability of marketable payoffs with long-term assets. (2014). BONNISSEAU, Jean-Marc ; Chery, Achis. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:4:p:523-552.

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3
302013Introduction: behavioral and evolutionary finance. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; Ziemba, William ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:115-119.

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3
312015Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35.

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3
322014Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455.

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3
332013Negative call prices. (2013). Ruf, Johannes. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:787-794.

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3
342012A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505.

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3
352016Intragroup transfers, intragroup diversification and their risk assessment. (2016). Haier, Andreas ; Molchanov, Ilya ; Schmutz, Michael . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0284-6.

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3
362017The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred?. (2017). Arrassen, Wassini . In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0296-x.

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3
372008Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103.

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382012On the necessity of five risk measures. (2012). GUEGAN, Dominique ; Tarrant, Wayne . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:533-552.

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392008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

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402019Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z.

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412019Optimal dynamic basis trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00348-x.

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422014Pricing of discount bonds with a Markov switching regime. (2014). Nishide, Katsumasa ; Elliott, Robert. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:509-522.

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432020Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. (2020). Sengupta, Indranil ; Roberts, Michael. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00355-y.

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442007Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74.

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452018On the implied market price of risk under the stochastic numéraire. (2018). Dokuchaev, Nikolai. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0315-y.

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462017Novel advancements in the Markov chain stock model: analysis and inference. (2017). Barbu, Vlad Stefan ; Blasis, Riccardo ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:2:d:10.1007_s10436-017-0297-9.

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472008The price of rapid exit in venture capital-backed IPOs. (2008). rossetto, silvia. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:29-53.

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482019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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492012Option pricing under a stressed-beta model. (2012). Tashman, Adam ; Fouque, Jean-Pierre. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:183-203.

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502012The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. (2012). Faria, Gonçalo ; Correia-da-Silva, Joao ; João Correia-da-Silva, ; João Correia-da-Silva, . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:507-531.

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Citing documents used to compute impact factor: 15
YearTitle
2019A copula based Markov Reward approach to the credit spread in European Union. (2019). Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe ; Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1902.00691.

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2019The Irish Government Bond Market and Quantitative Easing. (2019). Furlong, Sean ; Anderson, PJ ; Larkin, John . In: Quarterly Bulletin Articles. RePEc:cbi:qtbart:y:2019:m:04:p:78-100.

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2019Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. (2019). Arai, Takuji. In: Papers. RePEc:arx:papers:1904.12260.

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2019Infinitesimal generators for two-dimensional L\evy process-driven hypothesis testing. (2019). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:1911.08412.

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2019Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Lévy Processes. (2019). Sengupta, Indranil ; Ghebremichael, Musie ; Habtemicael, Semere. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-017-0145-y.

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2019Symmetric equilibrium strategies in game theoretic real option models with incomplete information. (2019). Delaney, Laura. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:42-47.

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2019A gap between rational annuitization price for producer and price for customer. (2019). Dokuchaev, Nikolai. In: Journal of Revenue and Pricing Management. RePEc:pal:jorapm:v:18:y:2019:i:2:d:10.1057_s41272-018-00163-5.

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2019Optimal Dynamic Basis Trading. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1809.05961.

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2019Change point dynamics for financial data: an indexed Markov chain approach. (2019). Petroni, Filippo ; Lika, Ada ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0337-0.

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2019Endogenous heterogeneity in duopoly with deterministic one-way spillovers. (2019). Gama, Adriana ; Masson, Virginie ; Maret, Isabelle. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0329-0.

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2019Decomposition formula for rough Volterra stochastic volatility models. (2019). Vives, Josep ; Sottinen, Tommi ; Sobotka, Tom'Avs ; Posp, Jan ; Merino, Raul. In: Papers. RePEc:arx:papers:1906.07101.

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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2019Economic and financial modeling techniques in the frequency domain. (2019). Taub, Bart. In: Economic Theory Bulletin. RePEc:spr:etbull:v:7:y:2019:i:1:d:10.1007_s40505-018-0151-x.

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2019Leverage over the Firm Life Cycle, Firm Growth, and Aggregate Fluctuations. (2019). Kalemli-Ozcan, Sebnem ; Hyatt, Henry ; Dinlersoz, Emin ; Penciakova, Veronika. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2019-18.

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2019Portfolio optimisation under rough Heston models. (2019). Duthie, Benjamin James. In: Papers. RePEc:arx:papers:1909.02972.

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Recent citations
Recent citations received in 2019
YearCiting document
2019Optimal Trading of a Basket of Futures Contracts. (2019). Leung, Tim ; Angoshtari, Bahman . In: Papers. RePEc:arx:papers:1910.04943.

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2019Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework. (2019). Leung, Tim ; Zhou, Yang. In: Papers. RePEc:arx:papers:1910.06432.

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2019A Self-Exciting Modelling Framework for Forward Prices in Power Markets. (2019). Sgarra, Carlo ; Mazzoran, Andrea ; Callegaro, Giorgia. In: Papers. RePEc:arx:papers:1910.13286.

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2019The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2019A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. (2019). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1912.08695.

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2019The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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Recent citations received in 2018
YearCiting document
2018On a gap between rational annuitization price for producer and price for customer. (2018). Dokuchaev, Nikolai. In: Papers. RePEc:arx:papers:1809.08960.

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2018Leverage over the Life Cycle and Implications for Firm Growth and Shock Responsiveness. (2018). Kalemli-Ozcan, Sebnem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13337.

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2018The Impact of Capital Structure on Risk and Firm Performance: Empirical Evidence for the Bucharest Stock Exchange Listed Companies. (2018). Vintila, Georgeta ; Gherghina, Ştefan ; Nenu, Elena Alexandra. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:41-:d:140401.

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2018Financial Structure and Financing Constraints: Evidence on Small- and Medium-Sized Enterprises in China. (2018). Luo, Sumei ; Zhou, Guangyou ; Zhang, Yuxi. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1774-:d:149471.

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2018Leverage over the Life Cycle and Implications for Firm Growth and Shock Responsiveness. (2018). Kalemli-Ozcan, Sebnem ; Hyatt, Henry ; Dinlersoz, Emin ; Penciakova, Veronika. In: NBER Working Papers. RePEc:nbr:nberwo:25226.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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Recent citations received in 2017
YearCiting document
2017Quadratic minimization with portfolio and intertemporal wealth constraints. (2017). Zhu, Dian ; Heunis, Andrew J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0300-5.

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2017A theory of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Blackburn, Keith ; Rana, Maria Paola . In: Economic Theory Bulletin. RePEc:spr:etbull:v:5:y:2017:i:2:d:10.1007_s40505-017-0116-5.

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Recent citations received in 2016
YearCiting document
2016Hedging insurance books. (2016). Schoutens, Wim ; Carr, Peter ; Madan, Dilip B ; Melamed, Michael . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:364-372.

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