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FAME Research Paper Series / International Center for Financial Asset Management and Engineering

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
12
Impact Factor
0
5 Years IF
0
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 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.18 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.21 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.13
1998 0 0.24 0.5 0 2 2 9 1 0 0 0 0 0.15
1999 1.5 0.32 0.44 1.5 7 9 35 4 5 2 3 2 3 0 1 0.14 0.21
2000 0.44 0.44 0.27 0.44 13 22 51 6 11 9 4 9 4 0 2 0.15 0.2
2001 0.5 0.4 0.49 0.55 15 37 144 17 29 20 10 22 12 0 3 0.2 0.22
2002 0.5 0.42 0.26 0.43 33 70 88 18 47 28 14 37 16 2 11.1 0 0.23
2003 0.31 0.42 0.3 0.29 31 101 182 29 77 48 15 70 20 2 6.9 7 0.23 0.24
2004 0.25 0.47 0.28 0.3 22 123 79 33 111 64 16 99 30 2 6.1 3 0.14 0.27
2005 0.34 0.49 0.27 0.25 36 159 168 43 154 53 18 114 29 3 7 6 0.17 0.29
2006 0.41 0.47 0.42 0.38 0 159 0 67 221 58 24 137 52 0 0 0.27
2007 0.31 0.39 0.26 0.25 0 159 0 41 262 36 11 122 31 0 0 0.22
2008 0 0.46 0.26 0.35 0 159 0 42 304 0 89 31 0 0 0.23
2009 0 0.43 0.26 0.24 0 159 0 41 345 0 58 14 0 0 0.22
2010 0 0.37 0.3 0.25 0 159 0 48 393 0 36 9 0 0 0.19
2011 0 0.46 0.33 0 0 159 0 53 446 0 0 0 0 0.25
2012 0 0.5 0.25 0 0 159 0 39 485 0 0 0 0 0.25
2013 0 0.5 0.18 0 0 159 0 28 513 0 0 0 0 0.24
2014 0 0.53 0.24 0 0 159 0 38 551 0 0 0 0 0.27
2015 0 0.53 0.26 0 0 159 0 42 593 0 0 0 0 0.27
2016 0 0.54 0.21 0 0 159 0 34 627 0 0 0 0 0.27
2017 0 0.54 0.19 0 0 159 0 31 658 0 0 0 0 0.27
2018 0 0.53 0.17 0 0 159 0 27 685 0 0 0 0 0.26
2019 0 0.55 0.16 0 0 159 0 25 710 0 0 0 0 0.32
2020 0 0.63 0.11 0 0 159 0 18 728 0 0 0 0 0.58
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
12001Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

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100
22003Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

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58
32003European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84.

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53
42005Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman. In: FAME Research Paper Series. RePEc:fam:rpseri:rp130.

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35
52005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

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26
62004Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

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25
71999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Viceira, Luis ; Chacko, George . In: FAME Research Paper Series. RePEc:fam:rpseri:rp11.

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24
82002Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65.

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20
92000European Financial Markets After EMU: A First Assessment. (2000). von Thadden, Ernst-Ludwig ; Giavazzi, Francesco ; Danthine, Jean-Pierre. In: FAME Research Paper Series. RePEc:fam:rpseri:rp13.

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19
102001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38.

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18
112005Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp156.

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16
122003Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Padula, Mario ; Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81.

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12
132005Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp146.

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11
142005Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp155.

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11
152000Extreme Value Theory for Tail-Related Risk Measures. (2000). Gilli, Manfred ; Kellezi, Evis . In: FAME Research Paper Series. RePEc:fam:rpseri:rp18.

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10
161998Who Should Buy Long-Term Bonds?. (1998). Viceira, Luis ; Campbell, John. In: FAME Research Paper Series. RePEc:fam:rpseri:rp5.

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10
172003Profitable Innovation Without Patent Protection: The Case of Derivatives.. (2003). Schroth, Enrique ; Herrera, Helios. In: FAME Research Paper Series. RePEc:fam:rpseri:rp76.

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10
182004A Simple Alternative House Price Index Method. (2004). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp119.

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10
192002Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69.

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10
202003The capital structure of Swiss companies: an empirical analysis using dynamic panel data. (2003). Hoesli, Martin ; Bender, Andre ; Gaud, Philippe ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp68.

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10
212002Mutual Fund Flows and Performance in Rational Markets. (2002). Green, Richard ; Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100.

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9
222005Testing for Stochastic Dominance Efficiency. (2005). Topaloglou, Nikolas ; Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp154.

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9
232005Multiariate Wavelet-based sahpe preserving estimation for dependant observation. (2005). Scaillet, Olivier ; Cosma, Antonio ; von Sachs, Rainer. In: FAME Research Paper Series. RePEc:fam:rpseri:rp144.

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8
242000EMU and Portfolio Diversification Opportunities. (2000). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp31.

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8
252005Spatial Dependence, Housing Submarkets, and House Prices. (2005). Hoesli, Martin ; Bourassa, Steven ; Cantoni, Eva . In: FAME Research Paper Series. RePEc:fam:rpseri:rp151.

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7
262005Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp132.

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7
272004Capital Structure, Credit Risk, and Macroeconomic Conditions. (2004). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan. In: FAME Research Paper Series. RePEc:fam:rpseri:rp125.

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6
282000International CAPM with Regime Switching GARCH Parameters. (2000). Cappiello, Lorenzo ; FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp17.

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6
292002Implicit Forward Rents as Predictors of Future Rents. (2002). Hoesli, Martin ; Soderberg, Bo ; Englund, Peter ; GUNNELIN, ke. In: FAME Research Paper Series. RePEc:fam:rpseri:rp59.

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6
302005Monte Carlo Simulations for Real Estate Valuation. (2005). Hoesli, Martin ; Bender, Andre ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp148.

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6
312003The Price of Aesthetic Externalities. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp98.

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6
322003Competition Between Stock Exchanges: A Survey. (2003). Ramos, Sofia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp77.

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6
331999Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse. (1999). Hamelink, Foort. In: FAME Research Paper Series. RePEc:fam:rpseri:rp6.

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5
342003What’s in a View?. (2003). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp79.

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5
352002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities. (2002). vanini, paolo ; Trojani, Fabio ; Leippold, Markus. In: FAME Research Paper Series. RePEc:fam:rpseri:rp48.

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5
362001Portfolio Diversification: Alive and Well in Euroland!. (2001). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp32.

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5
372004On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. (2004). Giannikos, Christos ; Danthine, Jean-Pierre ; Guirguis, Hany ; Donaldson, John B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp73.

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5
382005Repurchasing Shares on a Second Trading Line. (2005). Perignon, Christophe ; Isakov, Dusan ; Chung, Dennis Y.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp162.

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5
392005Theory and Calibration of Swap Market Models. (2005). Scaillet, Olivier ; Galluccio, Stefano ; J.-M. Ly, ; Huang, Z.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp107.

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5
402003Are practitioners right? On the relative importance of industrial factors in international stock returns. (2003). Isakov, Dusan ; Sonney, Frederic . In: FAME Research Paper Series. RePEc:fam:rpseri:rp72.

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5
412002Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds. (2002). FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp95.

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5
422001Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001. (2001). Hamelink, Foort ; Hillion, Pierre ; Harasty, Helene . In: FAME Research Paper Series. RePEc:fam:rpseri:rp35.

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5
432000Prospect Theory and Asset Prices. (2000). HUANG, MING ; Santos, Tano ; Barberis, Nicholas. In: FAME Research Paper Series. RePEc:fam:rpseri:rp16.

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4
442004R2 Around the World: New Theory and New Tests. (2004). Jin, LI ; Myers, Stewart C.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp158.

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4
452004Nonparametric Estimation of Conditional Expected Shortfall. (2004). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp112.

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4
462002Irreversible Investment with Regime Shifts. (2002). Miao, Jianjun ; Morellec, Erwan ; Guo, Xin. In: FAME Research Paper Series. RePEc:fam:rpseri:rp99.

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4
472005Are European Corporate Bond and Default Swap Markets Segmented?. (2005). Cossin, Didier ; Lu, Hongze. In: FAME Research Paper Series. RePEc:fam:rpseri:rp133.

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4
482004SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS. (2004). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp108.

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4
492002Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng. In: FAME Research Paper Series. RePEc:fam:rpseri:rp67.

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4
502002Optimal Investment With Default Risk. (2002). Jin, Xiangrong ; Hou, Yuanfeng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp46b.

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4
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34.

Full description at Econpapers || Download paper

19
22005A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128.

Full description at Econpapers || Download paper

8
32003Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57.

Full description at Econpapers || Download paper

3
42003European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84.

Full description at Econpapers || Download paper

3
52005Times-To-Default:Life Cycle, Global and Industry Cycle Impact. (2005). Couderc, Fabien ; Renault, Olivier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp142.

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2
62002Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69.

Full description at Econpapers || Download paper

2
71999Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse. (1999). Hamelink, Foort. In: FAME Research Paper Series. RePEc:fam:rpseri:rp6.

Full description at Econpapers || Download paper

2
82001Assessing Market Risk for Hedge Funds Portfolios. (2001). Lhabitant, Franois-Serge . In: FAME Research Paper Series. RePEc:fam:rpseri:rp24.

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2
92004Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117.

Full description at Econpapers || Download paper

2
102004R2 Around the World: New Theory and New Tests. (2004). Jin, LI ; Myers, Stewart C.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp158.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations