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Annals of Finance / Springer

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
19
Impact Factor
0.4
5 Years IF
0.42
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 0.09 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 0.11 0 0 0 0 0 0 0 0 0 0 0.05
1994 0 0.12 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.19 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 0.22 0 0 0 0 0 0 0 0 0 0 0.09
1998 0 0.26 0 0 0 0 0 0 0 0 0 0 0.12
1999 0 0.27 0 0 0 0 0 0 0 0 0 0 0.13
2000 0 0.32 0 0 0 0 0 0 0 0 0 0 0.14
2001 0 0.35 0 0 0 0 0 0 0 0 0 0 0.15
2002 0 0.37 0 0 0 0 0 0 0 0 0 0 0.19
2003 0 0.4 0 0 0 0 0 0 0 0 0 0 0.19
2004 0 0.44 0 0 0 0 0 2 0 0 0 0 0.2
2005 0 0.45 0.63 0 19 19 344 11 14 0 0 0 11 0.58 0.21
2006 0.74 0.46 0.49 0.74 22 41 115 19 34 19 14 19 14 3 15.8 5 0.23 0.2
2007 0.44 0.42 0.48 0.44 21 62 70 28 64 41 18 41 18 8 28.6 8 0.38 0.18
2008 0.33 0.44 0.6 0.56 23 85 154 50 115 43 14 62 35 4 8 11 0.48 0.2
2009 0.23 0.43 0.53 0.4 26 111 122 57 174 44 10 85 34 18 31.6 20 0.77 0.21
2010 0.35 0.43 0.49 0.45 27 138 207 66 241 49 17 111 50 17 25.8 8 0.3 0.18
2011 0.47 0.45 0.56 0.48 24 162 76 90 331 53 25 119 57 22 24.4 6 0.25 0.2
2012 0.59 0.45 0.42 0.42 24 186 178 79 410 51 30 121 51 12 15.2 4 0.17 0.19
2013 0.44 0.5 0.57 0.55 35 221 146 125 536 48 21 124 68 18 14.4 5 0.14 0.21
2014 0.69 0.51 0.61 0.59 25 246 85 149 685 59 41 136 80 29 19.5 4 0.16 0.2
2015 0.38 0.5 0.61 0.57 18 264 63 161 846 60 23 135 77 19 11.8 6 0.33 0.19
2016 0.72 0.5 0.63 0.55 19 283 33 179 1025 43 31 126 69 15 8.4 1 0.05 0.18
2017 0.51 0.5 0.47 0.45 18 301 53 139 1165 37 19 121 55 17 12.2 3 0.17 0.18
2018 0.62 0.54 0.5 0.54 23 324 34 161 1326 37 23 115 62 16 9.9 6 0.26 0.21
2019 0.51 0.58 0.47 0.42 20 344 27 159 1486 41 21 103 43 13 8.2 4 0.2 0.21
2020 0.4 0.75 0.4 0.42 22 366 26 145 1631 43 17 98 41 15 10.3 4 0.18 0.29
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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116
22009A 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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47
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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41
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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40
52005Relative 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
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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37
72008Optimal 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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36
82012Affine 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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34
92012Analysing 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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33
102013An 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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30
112010The 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
12Determinants 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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29
132014Robust 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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28
142010Robust 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
152006Risk 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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24
162010Irreversible 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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21
172017Analysis 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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20
182005On 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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20
192008Short-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
202012Estimation 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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17
212005American 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
222010On 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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16
232012A 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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16
242008Who 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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15
252013Measures 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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15
262013Asset 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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14
272012Stochastic 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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14
28Minority 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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14
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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13
302007Maximum 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
312010Macroeconomics 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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13
322008Pricing 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
332006A 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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13
342008Prospect 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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13
352015Asset 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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13
362011Short 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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12
372007A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367.

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12
382010An 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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12
392007An 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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12
402014Portfolio 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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12
412006Asset 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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12
422015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

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11
432007Towards 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
442006Arbitrage 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
452009Entrepreneurship in macroeconomics. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311.

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11
462006The 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
472013Dynamic 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
482012On 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
492019Extreme-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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10
502011On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29.

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10
50 most relevant documents in this series (papers most cited in the last two years)
#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.

Full description at Econpapers || Download paper

24
22009A 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

22
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

21
42017Analysis 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

16
52012Analysing 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

13
62014Robust 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

12
72013Asset 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.

Full description at Econpapers || Download paper

11
82013An 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

11
92019Extreme-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.

Full description at Econpapers || Download paper

10
102010A 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

8
112012Estimation 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
122010Irreversible 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

7
132020Infinitesimal 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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7
142008Optimal 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

7
152009Entrepreneurship in macroeconomics. (2009). . In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311.

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7
162020Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Kirkby, Lars J ; Nguyen, Duy. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0.

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7
172005On 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

6
182006Risk 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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5
192019A 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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5
202016On the impact of macroeconomic news surprises on Treasury-bond returns. (2016). Mignon, Valérie ; El Ouadghiri, Imane ; Boitout, Nicolas. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-015-0271-3.

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5
212016Intragroup 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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5
222005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

Full description at Econpapers || Download paper

5
232015Asset 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.

Full description at Econpapers || Download paper

5
242008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

Full description at Econpapers || Download paper

5
252007A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367.

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5
262018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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4
272019Optimal 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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4
282013Measures 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
292014Portfolio 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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4
302014Pricing 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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4
312016How suboptimal are linear sharing rules?. (2016). Jensen, Bjarne Astrup ; Nielsen, Jorgen Aase . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0279-3.

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4
322018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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4
332011Independents’ day? Analyst behavior surrounding the Global Settlement. (2011). Rau, Raghavendra. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:4:p:529-547.

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4
342010On 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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4
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362010Investigating 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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372018What determines the share of non-resident public debt ownership? Evidence from Euro Area countries. (2018). Jalles, Joao. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0321-8.

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382014Implied cost of capital investment strategies: evidence from international stock markets. (2014). Schroder, David ; Esterer, Florian . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:171-195.

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392015Optimization 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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402015Dynamic optimal capital structure with regime switching. (2015). Elliott, Robert ; Shen, Jia. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:199-220.

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412017Novel 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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422010The decline of calendar seasonality in the Australian stock exchange, 1958–2005. (2010). Worthington, Andrew. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:421-433.

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432016The 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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442014Generalized volatility-stabilized processes. (2014). Pickova, Radka . In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:1:p:101-125.

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452006Asset 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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462005On 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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472013Identifying the determinants of mortgage default in Colombia between 1997 and 2004. (2013). Estrada, Dairo ; carranza, juan esteban. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:501-518.

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482012Stochastic 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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492015Dynamic 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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502012A 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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Citing documents used to compute impact factor: 17
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2020Bubbles, the U.S. Interest Policy, and the Impact on Global Economic Growth: Reverse Growth Effects of Lower Interest Rates after Bubble Bursting. (2020). Motohashi, Atsushi. In: KIER Working Papers. RePEc:kyo:wpaper:1041.

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2020Effectiveness of Bailout Policies for Asset Bubbles in a Small Open Economy. (2020). Motohashi, Atsushi. In: KIER Working Papers. RePEc:kyo:wpaper:1048.

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2020Bilateral multiple gamma returns: Their risks and rewards. (2020). Wang, King ; Schoutens, Wim ; Madan, Dilip B. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500085.

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2020Dynamic capital structure under changing market conditions in the oil industry: An empirical investigation. (2020). Uribe, Jorge ; Manotas, Diego F ; Restrepo, Natalia. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720300684.

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2020Systemic risk, economic policy uncertainty and firm bankruptcies: Evidence from multivariate causal inference. (2020). Shchepeleva, Maria ; Stolbov, Mikhail. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919302570.

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2020Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Torrente, Maria-Laura ; Maggi, Mario. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3.

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2020The contribution of shadow insurance to systemic risk. (2020). Urga, Giovanni ; Pellegrini, Carlo Bellavite ; Leong, Soon Heng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300772.

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2020Indice agrégé de stabilité financière au Maroc. (2020). Dehmej, Salim ; Mikou, Mohammed . In: Document de travail. RePEc:ris:bkamdt:2020_002.

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2020Rough stochastic elasticity of variance and option pricing. (2020). Zhang, Wenjun ; Kim, See-Woo ; Cao, Jiling. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319308050.

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2020Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model. (2020). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2006.15431.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

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2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-02367200.

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2020Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. (2020). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:2002.05143.

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2020Managing Wind Power Generation via Indexed Semi-Markov Model and Copula. (2020). Sobolewski, Robert Adam ; Petroni, Filippo ; Masala, Giovanni ; Damico, Guglielmo. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:16:p:4246-:d:399947.

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2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

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2020Fractional Hawkes processes. (2020). Hainaut, Donatien. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301096.

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2020Optimal trading of a basket of futures contracts. (2020). Leung, Tim ; Angoshtari, Bahman. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:2:d:10.1007_s10436-019-00357-w.

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Recent citations
Recent citations received in 2020
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2020Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889.

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2020A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s0096300320304318.

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2020An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186.

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2020Randomization under ambiguity: Efficiency and incentive compatibility. (2020). Yannelis, Nicholas C ; Song, Xinxi ; Liu, Zhiwei. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:90:y:2020:i:c:p:1-11.

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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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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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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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2018The Impact of Capital Structure on Risk and Firm Performance: Empirical Evidence for the Bucharest Stock Exchange Listed Companies. (2018). Vintila, Georgeta ; Gherghina, Åžtefan ; 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
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2017.

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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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