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International Journal of Financial Markets and Derivatives / Inderscience Enterprises Ltd

Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
4
Impact Factor (IF)
0
5 Years IF
0.05
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 5 0 0 0 0 0 0.24
2010 0 0.48 0 0 17 24 11 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 0.52 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 0.05 0.04 8 63 8 3 10 11 55 2 0 1 0.13 0.23
2015 0 0.55 0.03 0.04 16 79 9 2 12 12 56 2 1 50 0 0.23
2016 0.08 0.53 0.06 0.05 5 84 1 5 17 24 2 55 3 0 0 0.21
2017 0.14 0.54 0.08 0.08 8 92 9 7 24 21 3 40 3 0 1 0.13 0.22
2018 0.08 0.56 0.07 0.07 4 96 0 7 31 13 1 41 3 0 0 0.24
2019 0 0.58 0.03 0.05 9 105 2 3 34 12 41 2 0 0 0.23
2020 0.08 0.7 0.11 0.12 10 115 0 13 47 13 1 42 5 0 0 0.33
2021 0.11 0.87 0.1 0.19 10 125 2 12 59 19 2 36 7 0 1 0.1 0.32
2022 0 1 0.07 0.05 9 134 0 10 69 20 41 2 0 0 0.31
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
12015Financial 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.

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6
22010Hedging 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.

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5
32011Intraday 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.

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4
42014The 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.

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4
52010Regime 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.

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4
62011Can 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.

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3
72012The 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.

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2
82017Information 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.

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2
92009The 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.

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2
102011Pricing 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.

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2
112009Volatility 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.

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2
122021An event study on the impacts of Covid-19 on the global stock markets. (2021). Kumari, Vineeta ; Pandey, Dharen Kumar. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:8:y:2021:i:2:p:148-168.

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2
132017A 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.

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2
142011Pricing 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.

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2
152017Intraday 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.

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2
162017CDS 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.

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2
172017The 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.

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1
182019Measuring 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.

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1
192010Valuation of volatility sensitive interest rate derivatives in an emerging market. (2010). Witzany, Jiří. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:1:y:2010:i:4:p:438-451.

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1
202015An 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.

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1
212014Sovereign 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.

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1
222016Option 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.

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1
232019A 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.

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1
242010The Sao Paulo Stock Exchange: a multilevel analysis of firm and industry effects on profitability evolution and hedge strategies. (2010). Fávero, 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.

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1
252017The 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.

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1
262011Constrained 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.

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1
272014Barrier 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.

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1
282016An efficient grid lattice algorithm for pricing American-style options. (2016). Liu, Zhongkai ; Pang, Tao. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:5:y:2016:i:1:p:36-55.

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1
292019Predictable 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.

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1
302010A 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.

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1
312015Pricing 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.

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1
322009Design 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.

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1
332021Liquidity 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.

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1
342011Selecting 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.

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1
352015A 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.

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1
362018The Asian financial crisis: market inefficiency and speculative bubbles. (2018). Wuthisatian, Rattaphon ; Thanetsunthorn, Namporn. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:6:y:2018:i:3:p:240-267.

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1
372014On 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.

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1
382009Hedging 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.

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1
392020The 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.

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1
402011New 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.

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1
412014Option pricing based on the generalised Tukey distribution. (2014). JIMENEZ MOSCOSO, JOSE ; Serna, Gregorio Manuel ; Arunachalam, Viswanathan ; Jimnez, Jos Alfredo . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:3:y:2014:i:3:p:191-221.

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1
422015Non-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.

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1
432011On 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.

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1
442014Copulas 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.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12010Hedging 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
22011Can 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
32021An event study on the impacts of Covid-19 on the global stock markets. (2021). Kumari, Vineeta ; Pandey, Dharen Kumar. In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:8:y:2021:i:2:p:148-168.

Full description at Econpapers || Download paper

2
42017Information 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

2
52015Financial 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

2
Citing documents used to compute impact factor:
YearTitle
Recent citations
Recent citations received in 2021
YearCiting document
2021A Data Paradigm to Operationalise Expanded Filtration: Realized Volatilities and Kernels from Non-Synchronous NASDAQ Quotes and Trades. (2021). Pani, Sudhanshu ; Chakravarty, Ranjan R. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:4:d:10.1007_s40953-021-00252-0.

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Recent citations received in 2019
YearCiting document