International Journal of Financial Markets and Derivatives / Inderscience Enterprises Ltd
Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
4
Impact Factor (IF)
0.11
5 Years IF
0.19
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 | |
| 2009 | 0 | 0.47 | 0 | 0 | 7 | 7 | 4 | 0 | 0 | 0 | 0 | 0 | 0.23 | |||||
| 2010 | 0 | 0.48 | 0 | 0 | 17 | 24 | 10 | 0 | 7 | 7 | 0 | 0 | 0.21 | |||||
| 2011 | 0.04 | 0.52 | 0.05 | 0.04 | 20 | 44 | 14 | 2 | 2 | 24 | 1 | 24 | 1 | 0 | 1 | 0.05 | 0.24 | |
| 2012 | 0.05 | 0.51 | 0.06 | 0.07 | 7 | 51 | 1 | 3 | 5 | 37 | 2 | 44 | 3 | 0 | 0 | 0.22 | ||
| 2013 | 0.04 | 0.56 | 0.04 | 0.04 | 4 | 55 | 0 | 2 | 7 | 27 | 1 | 51 | 2 | 0 | 0 | 0.24 | ||
| 2014 | 0 | 0.55 | 0.03 | 0.04 | 8 | 63 | 6 | 2 | 9 | 11 | 55 | 2 | 0 | 0 | 0.23 | |||
| 2015 | 0 | 0.55 | 0.03 | 0.04 | 16 | 79 | 9 | 2 | 11 | 12 | 56 | 2 | 1 | 50 | 0 | 0.23 | ||
| 2016 | 0.08 | 0.53 | 0.06 | 0.05 | 5 | 84 | 0 | 5 | 16 | 24 | 2 | 55 | 3 | 0 | 0 | 0.21 | ||
| 2017 | 0.14 | 0.55 | 0.08 | 0.08 | 8 | 92 | 8 | 7 | 23 | 21 | 3 | 40 | 3 | 0 | 1 | 0.13 | 0.21 | |
| 2018 | 0.08 | 0.57 | 0.07 | 0.07 | 4 | 96 | 0 | 7 | 30 | 13 | 1 | 41 | 3 | 0 | 0 | 0.24 | ||
| 2019 | 0 | 0.6 | 0.03 | 0.05 | 9 | 105 | 2 | 3 | 33 | 12 | 41 | 2 | 0 | 0 | 0.24 | |||
| 2020 | 0.08 | 0.73 | 0.1 | 0.1 | 10 | 115 | 0 | 12 | 45 | 13 | 1 | 42 | 4 | 0 | 0 | 0.34 | ||
| 2021 | 0.11 | 1.02 | 0.1 | 0.19 | 10 | 125 | 0 | 12 | 57 | 19 | 2 | 36 | 7 | 0 | 1 | 0.1 | 0.38 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years 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 | 2015 | Financial market contagion during the global financial crisis: evidence from the Moroccan stock market. (2015). SAIDI, Youssef ; El Ghini, Ahmed. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:1:p:78-95. Full description at Econpapers || Download paper | 6 |
| 2 | 2010 | Hedging effectiveness in shipping industry during financial crises. (2010). Samitas, Aristeidis ; Tsakalos, Ioannis . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:2:p:196-212. Full description at Econpapers || Download paper | 5 |
| 3 | 2010 | Regime switching stochastic volatility option pricing. (2010). Mitra, Sovan. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:2:p:213-242. Full description at Econpapers || Download paper | 4 |
| 4 | 2011 | Intraday high-frequency FX trading with adaptive neuro-fuzzy inference systems. (2011). Kablan, Abdalla ; Ng, Wing Lon . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:68-87. Full description at Econpapers || Download paper | 4 |
| 5 | 2011 | Can we use the Black-Scholes-Merton model to value temperature options?. (2011). Meissner, Gunter ; Burke, James . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:298-313. Full description at Econpapers || Download paper | 3 |
| 6 | 2014 | The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships. (2014). Adhikari, Binay K. ; Hilliard, Jimmy E.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:3:p:222-240. Full description at Econpapers || Download paper | 3 |
| 7 | 2011 | Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model. (2011). Liu, David ; Zhang, Lei. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:314-330. Full description at Econpapers || Download paper | 2 |
| 8 | 2017 | CDS spreads in the aftermath of central clearing. (2017). Kaya, Orun. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:2:p:75-101. Full description at Econpapers || Download paper | 2 |
| 9 | 2011 | Pricing two dimensional derivatives under stochastic correlation. (2011). Escobar Anel, Marcos ; Alvarez, Alexander ; Olivares, Pablo. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:265-287. Full description at Econpapers || Download paper | 2 |
| 10 | 2017 | A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics. (2017). Singh, Arti ; Dharmaraja, Selvamuthu . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:2:p:102-119. Full description at Econpapers || Download paper | 2 |
| 11 | 2012 | The investor sentiment endurance index and its forecasting ability. (2012). He, Ling T.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2012:i:1:p:61-70. Full description at Econpapers || Download paper | 2 |
| 12 | 2009 | Volatility dynamics in three euro exchange rates: correlations, spillovers and commonality. (2009). Ruiz, Isabel ; McMillan, David G.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2009:i:1:p:64-74. Full description at Econpapers || Download paper | 2 |
| 13 | 2017 | Intraday price discovery in Indian stock index futures market: new evidence from neural network approach. (2017). Kumar, Saurabh ; Inani, Sarveshwar Kumar. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:1:p:12-29. Full description at Econpapers || Download paper | 2 |
| 14 | 2015 | An equilibrium model for the OTC derivative with the counterparty risk via the credit charge. (2015). Takino, Kazuhiro . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:2:p:97-121. Full description at Econpapers || Download paper | 1 |
| 15 | 2009 | Design and use of weather derivatives for farmers: the case of hedging rain risk by soyabean growers in Jhalawar district in India. (2009). Datta, Manipadma ; Ansari, Valeed A. ; Seth, Rajiv . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2009:i:1:p:49-63. Full description at Econpapers || Download paper | 1 |
| 16 | 2011 | Constrained mean-risk portfolio optimisation: an application of multiobjective simulated annealing. (2011). Mamanis, Georgios ; Anagnostopoulos, Konstantinos P.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:50-67. Full description at Econpapers || Download paper | 1 |
| 17 | 2014 | Sovereign CDS and bond credit spread dynamics in the Euro zone: evidence of an asymmetric price transmission in sovereign debt markets. (2014). Silva, Paulo ; da Silva, Paulo Pereira . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:4:p:293-321. Full description at Econpapers || Download paper | 1 |
| 18 | 2017 | The impact of monetary policy expectations on interbank interest rates in Malaysia. (2017). Ito, Takayasu. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:1:p:1-11. Full description at Econpapers || Download paper | 1 |
| 19 | 2020 | The role of investor sentiment in the valuation of bitcoin and bitcoin derivatives. (2020). Abraham, Rebecca . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:7:y:2020:i:3:p:203-223. Full description at Econpapers || Download paper | 1 |
| 20 | 2009 | Hedging under production and price uncertainty: a decision analysis. (2009). Alghalith, Moawia. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2009:i:1:p:1-4. Full description at Econpapers || Download paper | 1 |
| 21 | 2017 | Information processing in freight and freight forward markets: an event study on OPEC announcements. (2017). Lauenstein, Philipp ; Simic, Andr Kster. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:2:p:149-181. Full description at Econpapers || Download paper | 1 |
| 22 | 2011 | Selecting pair-copulas with downside risk minimisation. (2011). Maringer, Dietmar ; Zhang, Jin. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:121-148. Full description at Econpapers || Download paper | 1 |
| 23 | 2014 | Barrier options in three dimensions. (2014). Escobar Anel, Marcos ; Wen, Xianzhang ; Ferrando, Sebastian. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:3:p:260-292. Full description at Econpapers || Download paper | 1 |
| 24 | 2016 | Option pricing in stochastic volatility models driven by fractional Lévy processes. (2016). Tong, Zhigang. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:5:y:2016:i:1:p:56-75. Full description at Econpapers || Download paper | 1 |
| 25 | 2019 | Measuring portfolio risk of non-energy commodity using time-varying vine copula. (2019). Ghorbel, Ahmed ; Attafi, Zeineb ; Boujelbene, Younes. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:7:y:2019:i:2:p:163-190. Full description at Econpapers || Download paper | 1 |
| 26 | 2015 | Pricing American options when there is short-lived arbitrage. (2015). Hilliard, Jimmy E.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:1:p:43-53. Full description at Econpapers || Download paper | 1 |
| 27 | 2017 | The impact of market participants interaction on futures prices: comparing three US wheat futures markets. (2017). Bosch, David . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:2:p:120-148. Full description at Econpapers || Download paper | 1 |
| 28 | 2011 | New kernel methods for asset pricing: application to natural gas price prediction. (2011). Trafalis, Theodore B. ; Hu, Yinan . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:1/2:p:106-120. Full description at Econpapers || Download paper | 1 |
| 29 | 2015 | A regime switching quadratic model for VIX futures valuation. (2015). Tong, Zhigang. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:246-272. Full description at Econpapers || Download paper | 1 |
| 30 | 2009 | The effect of the EMU on short and long-run stock market dynamics: new evidence on financial integration. (2009). Lafuente, Juan Angel ; Ordonez, Javier . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2009:i:1:p:75-95. Full description at Econpapers || Download paper | 1 |
| 31 | 2019 | A performance evaluation of smart beta exchange traded funds. (2019). Rompotis, Gerasimos G. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:7:y:2019:i:2:p:124-162. Full description at Econpapers || Download paper | 1 |
| 32 | 2011 | On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques. (2011). Poufinas, Thomas. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:3:p:180-194. Full description at Econpapers || Download paper | 1 |
| 33 | 2014 | On the implied volatility layers under the future risk-free rate uncertainty. (2014). Hin, Lin-Yee ; Dokuchaev, Nikolai. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:4:p:392-408. Full description at Econpapers || Download paper | 1 |
| 34 | 2010 | The Sao Paulo Stock Exchange: a multilevel analysis of firm and industry effects on profitability evolution and hedge strategies. (2010). FÃÆávero, Luiz Paulo ; Luiz Paulo Lopes Favero, . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:3:p:307-325. Full description at Econpapers || Download paper | 1 |
| 35 | 2015 | Non-arbitrage valuation of equities. (2015). Rey, Sebastian. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:3/4:p:231-245. Full description at Econpapers || Download paper | 1 |
| 36 | 2019 | Predictable risks and returns: further evidence from the UK stock market. (2019). Archontakis, Fragiskos ; Grose, Chris ; Georgiou, Catherine. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:7:y:2019:i:1:p:68-100. Full description at Econpapers || Download paper | 1 |
| 37 | 2014 | Copulas and dependence structures: evidences from Indias and Asian rubber futures markets. (2014). Maitra, Debasish ; Dey, Kushankur. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:4:p:322-357. Full description at Econpapers || Download paper | 1 |
| 38 | 2010 | A binomial model for pricing US-style average options with reset features. (2010). Costabile, Massimo ; Russo, Emilio ; Massabo, Ivar. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:3:p:258-273. Full description at Econpapers || Download paper | 1 |
| 39 | 2021 | Liquidity in high resolution in limit order markets. (2021). Pani, Sudhanshu. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:8:y:2021:i:1:p:23-49. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2010 | Hedging effectiveness in shipping industry during financial crises. (2010). Samitas, Aristeidis ; Tsakalos, Ioannis . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:2:p:196-212. Full description at Econpapers || Download paper | 3 |
| 2 | 2011 | Can we use the Black-Scholes-Merton model to value temperature options?. (2011). Meissner, Gunter ; Burke, James . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:298-313. Full description at Econpapers || Download paper | 3 |
| 3 | 2015 | Financial market contagion during the global financial crisis: evidence from the Moroccan stock market. (2015). SAIDI, Youssef ; El Ghini, Ahmed. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:4:y:2015:i:1:p:78-95. Full description at Econpapers || Download paper | 3 |
| 4 | 2014 | The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships. (2014). Adhikari, Binay K. ; Hilliard, Jimmy E.. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:3:p:222-240. Full description at Econpapers || Download paper | 3 |
| 5 | 2017 | Intraday price discovery in Indian stock index futures market: new evidence from neural network approach. (2017). Kumar, Saurabh ; Inani, Sarveshwar Kumar. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:1:p:12-29. Full description at Econpapers || Download paper | 2 |
| 6 | 2011 | Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model. (2011). Liu, David ; Zhang, Lei. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:2:y:2011:i:4:p:314-330. Full description at Econpapers || Download paper | 2 |
| 7 | 2017 | A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics. (2017). Singh, Arti ; Dharmaraja, Selvamuthu . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2017:i:2:p:102-119. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 2
| Year | Title | |
|---|---|---|
| 2021 | Financial Risk and Better Returns through Smart Beta Exchange-Traded Funds?. (2021). ausloos, marcel ; Bowes, Jordan. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:283-:d:579482. Full description at Econpapers || Download paper | |
| 2021 | Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2019
| Year | Citing document |
|---|
10 most frequent citing series