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Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
16
Impact Factor (IF)
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
1979 0 3 3 0 0
1980 0 4 7 0 0
1982 0 5 12 0 1 0
1983 0 4 16 0 0
1984 0 9 25 0 0
1985 0 7 32 0 0
1986 0 7 39 0 2 0
1987 0 3 42 0 1 0
1988 0 1 43 0 1 0
1989 0 5 48 0 0
1990 0 0.17 0 0 7 55 0 0 6 23 0 0 0.09
1991 0 0.14 0 0 8 63 4 0 12 23 0 0 0.1
1992 0 0.13 0 0 7 70 1 0 15 24 0 0 0.09
1993 0.07 0.17 0.04 0.07 7 77 98 3 3 15 1 28 2 0 0 0.1
1994 0 0.17 0 0 2 79 1 3 14 34 0 0 0.08
1995 0.11 0.22 0.02 0.03 6 85 52 2 5 9 1 31 1 0 0 0.13
1996 0.38 0.25 0.07 0.17 4 89 3 6 11 8 3 30 5 0 0 0.14
1997 0.1 0.28 0.04 0.08 8 97 17 4 15 10 1 26 2 0 0 0.15
1998 0.17 0.31 0.11 0.3 12 109 49 12 27 12 2 27 8 1 8.3 1 0.08 0.18
1999 0.1 0.39 0.07 0.16 13 122 33 9 36 20 2 32 5 1 11.1 1 0.08 0.25
2000 0.28 0.54 0.13 0.33 27 149 137 18 55 25 7 43 14 6 33.3 4 0.15 0.24
2001 0.4 0.49 0.24 0.33 19 168 1096 40 96 40 16 64 21 5 12.5 4 0.21 0.27
2002 0.8 0.54 0.26 0.52 17 185 113 48 145 46 37 79 41 4 8.3 2 0.12 0.31
2003 1.11 0.53 0.41 0.7 13 198 51 82 227 36 40 88 62 0 1 0.08 0.3
2004 0.53 0.6 0.4 0.7 22 220 446 88 315 30 16 89 62 6 6.8 9 0.41 0.36
2005 0.8 0.6 0.45 0.81 18 238 71 108 423 35 28 98 79 6 5.6 2 0.11 0.36
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
#YearTitleCited
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

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911
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

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353
32001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

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87
41993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

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76
52001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

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56
62002East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331.

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45
71989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

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40
81998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7dm2d31p.

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34
92000Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w.

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28
101995An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx.

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25
112002Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

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22
122002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

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20
132004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dv8v999.

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20
142004How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv.

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18
152000Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z.

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17
162005Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706.

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16
171995Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?. (1995). Field, Laura C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1136n8ps.

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14
182000Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). LIU, JUN ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f.

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14
192000The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6.

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13
201993Private vs. Public Lending: Evidence from Covenants. (1993). Tuckman, Bruce ; Kahan, Marcel . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1xw4w7sk.

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12
212001The Disposition Effect and Momentum. (2001). han, bing ; Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6qg5d62p.

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11
222003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Wang, Ashley W ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8.

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11
232004Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Strebulaev, Ilya ; Nyborg, Kjell ; Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn.

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11
241995Regime Shifts in Short Term Riskless Interest Rates. (1995). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5hs021jf.

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11
252005Asset Pricing in Markets with Illiquid Assets. (2005). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2458g38x.

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11
261999The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence. (1999). Grinblatt, Mark ; Moskowitz, Tobias J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1k67p66s.

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10
272003Risk and Valuation Under an Intertemporal. (2003). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt98x741b1.

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10
281997Bond Pricing with Default Risk. (1997). Santa-Clara, Pedro ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch.

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10
292005The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc.

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10
302002Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7mh2m2bt.

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9
312000Valuation of Information Technology Investments as Real Options. (2000). Zozaya-Gorostiza, Carlos ; Schwartz, Eduardo S.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4dv270zv.

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9
322001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Santa-Clara, Pedro ; Cochrane, John ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd.

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9
332002ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3mw4q41x.

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9
342004THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g.

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8
352005Dollar Cost Averaging. (2005). Brennan, Michael ; Li, Feifei ; Torous, Walt . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53p0r65q.

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8
362003Changing Motives for Share Repurchases. (2003). Weston, Fred J. ; Siu, Juan A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9146588t.

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8
372001Dynamic Choice and Risk Aversion. (2001). LIU, JUN. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt36v1d9zg.

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8
382000The Feds Effect on Excess Returns and Inflation is Much Bigger Than You Think. (2000). Goto, Shingo . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt04f1z5hb.

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8
392000Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj.

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8
402000Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. (2000). Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3167f8mz.

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7
411993The Blind Leading the Blind: Social Influence, Fads, and Informational Cascades. (1993). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8wz980p5.

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7
422005Information, Diversification, and Cost of Capital. (2005). LIU, JUN ; Hughes, John S. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt82j2d59r.

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7
432003Bond Pricing with Default Risk. (2003). Santa-Clara, Pedro ; Hsu, Jason C. ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5bb1j39q.

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7
441998Resolution of a Financial Puzzle. (1998). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh.

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7
451999Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption. (1999). Schwartz, Eduardo ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3qs6r307.

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7
462004Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt632436gt.

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7
472001Financial Distress as a Selection Mechanism: Evidence from the United States. (2001). Kahl, Matthias . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0dg192r9.

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7
482000The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Santa-Clara, Pedro ; Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt65f1914p.

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6
492003A Model of R&D Valuation and the Design of Research Incentives. (2003). Schwartz, Eduardo S. ; Hsu, Jason C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt28j7c9r4.

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6
502005Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6zx6m7fp.

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6
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

Full description at Econpapers || Download paper

173
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

Full description at Econpapers || Download paper

85
32001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

Full description at Econpapers || Download paper

9
42005Corruption, Firm Governance, and the Cost of Capital. (2005). LIU, JUN ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706.

Full description at Econpapers || Download paper

4
52002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

Full description at Econpapers || Download paper

4
61993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

Full description at Econpapers || Download paper

3
72001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

Full description at Econpapers || Download paper

2
82002Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

Full description at Econpapers || Download paper

2
92005The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc.

Full description at Econpapers || Download paper

2
102001Dynamic Choice and Risk Aversion. (2001). LIU, JUN. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt36v1d9zg.

Full description at Econpapers || Download paper

2
112000Dynamic Asset Allocation under Inflation. (2000). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8p95456t.

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2
122002East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331.

Full description at Econpapers || Download paper

2
132004How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv.

Full description at Econpapers || Download paper

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