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Working Papers / COMISEF

Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
7
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
2008 0 0.59 0.17 0 6 6 20 1 1 0 0 1 100 1 0.17 0.29
2009 0.33 0.58 0.08 0.33 18 24 33 2 3 6 2 6 2 2 100 0 0.33
2010 0.29 0.52 0.38 0.29 21 45 112 17 20 24 7 24 7 11 64.7 8 0.38 0.3
2011 0.31 0.62 0.37 0.33 1 46 1 17 37 39 12 45 15 0 0 0.37
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
12010Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks. (2010). Rais Shaghaghi, Ali ; Markose, Sheri ; Giansante, Simone ; Gatkowski, Mateusz . In: Working Papers. RePEc:com:wpaper:033.

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47
22010Calibrating the Nelson–Siegel–Svensson model. (2010). Schumann, Enrico ; Gilli, Manfred ; Groe, Stefan . In: Working Papers. RePEc:com:wpaper:031.

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24
32008Review of Heuristic Optimization Methods in Econometrics. (2008). Winker, Peter ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:001.

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17
42010Calibrating Option Pricing Models with Heuristics. (2010). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:030.

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13
52009Optimal enough?. (2009). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:010.

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11
62009Heuristic Optimisation in Financial Modelling. (2009). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:007.

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7
72010Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance. (2010). Winker, Peter ; Savin, Ivan. In: Working Papers. RePEc:com:wpaper:027.

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7
82009Robust Optimization of Currency Portfolios. (2009). Fonseca, Raquel ; Rustem, Berc ; Wiesemann, Wolfram ; Zymler, Steve . In: Working Papers. RePEc:com:wpaper:012.

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5
92010The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies. (2010). Mizen, Paul ; Bystrov, Victor ; Banerjee, Anindya. In: Working Papers. RePEc:com:wpaper:025.

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4
102010Generalized Decision Rule Approximations for Stochastic Programming via Liftings. (2010). Georghiou, Angelos ; Wiesemann, Wolfram ; Kuhn, Daniel. In: Working Papers. RePEc:com:wpaper:043.

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4
112010Multi-regime models for nonlinear nonstationary time series. (2010). Protopapas, Mattheos ; Battaglia, Francesco. In: Working Papers. RePEc:com:wpaper:026.

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4
122008Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models. (2008). Winker, Peter ; Lyra, Marianna ; Sharpe, Chris . In: Working Papers. RePEc:com:wpaper:006.

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3
132010Robust Portfolio Optimization with a Hybrid Heuristic Algorithm. (2010). Winker, Peter ; Fastrich, Bjorn . In: Working Papers. RePEc:com:wpaper:041.

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3
142009Time-varying Multi-regime Models Fitting by Genetic Algorithms. (2009). Protopapas, Mattheos ; Battaglia, Francesco. In: Working Papers. RePEc:com:wpaper:009.

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2
152010Index Mutual Fund Replication. (2010). Maringer, Dietmar ; Zhang, Jin. In: Working Papers. RePEc:com:wpaper:035.

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2
162010A note on ‘good starting values’ in numerical optimisation. (2010). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:044.

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2
172010Robust International Portfolio Management. (2010). Fonseca, Raquel ; Rustem, Berc ; Wiesemann, Wolfram . In: Working Papers. RePEc:com:wpaper:029.

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2
182009Robust regression with optimisation heuristics. (2009). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:011.

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2
192010Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application. (2010). Neck, Reinhard ; Blueschke, Dmitri ; Bluschke, Dmitri ; Bluschke-Nikolaeva, Viktoria . In: Working Papers. RePEc:com:wpaper:032.

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2
202011Heuristic model selection for leading indicators in Russia and Germany. (2011). Winker, Peter ; Savin, Ivan. In: Working Papers. RePEc:com:wpaper:046.

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2
212009Validating Structural Credit Portfolio Models. (2009). Onwunta, Akwum ; Kalkbrener, Michael . In: Working Papers. RePEc:com:wpaper:014.

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2
222010Asset Allocation under Hierarchical Clustering. (2010). Maringer, Dietmar ; Zhang, Jin. In: Working Papers. RePEc:com:wpaper:036.

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1
232010Heuristic Strategies in Finance – An Overview. (2010). Lyra, Marianna. In: Working Papers. RePEc:com:wpaper:045.

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1
242009Optimized U-type Designs on Flexible Regions. (2009). Winker, Peter ; Sharpe, Chris ; Dennis K. J. Lin, . In: Working Papers. RePEc:com:wpaper:013.

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1
252010Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules. (2010). Kuhn, Akwum Daniel ; Rocha, Paula . In: Working Papers. RePEc:com:wpaper:040.

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1
262009Implementing Binomial Trees. (2009). Schumann, Enrico ; Gilli, Manfred. In: Working Papers. RePEc:com:wpaper:008.

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1
272009Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems. (2009). Rustem, Berc ; Parpas, Panos ; Kleniati, P. M.. In: Working Papers. RePEc:com:wpaper:022.

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1
282010Threshold Accepting for Credit Risk Assessment and Validation. (2010). Winker, Peter ; Lyra, Marianna ; Onwunta, Akwum . In: Working Papers. RePEc:com:wpaper:039.

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1
292009Robust Portfolio Optimization with Derivative Insurance Guarantees. (2009). Rustem, Berc ; Zymler, Steve ; Kuhn, Daniel. In: Working Papers. RePEc:com:wpaper:018.

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1
302010Exact Maximum Likelihood Estimation for Copula Models. (2010). Zhang, Jin. In: Working Papers. RePEc:com:wpaper:038.

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1
312009Worst-Case Value-at-Risk of Non-Linear Portfolios. (2009). Rustem, Berc ; Zymler, Steve ; Kuhn, Daniel. In: Working Papers. RePEc:com:wpaper:017.

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1
322010A comparative study of the Lasso-type and heuristic model selection methods. (2010). Savin, Ivan. In: Working Papers. RePEc:com:wpaper:042.

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1
332010Asset Pair-Copula Selection with Downside Risk Minimization. (2010). Maringer, Dietmar ; Zhang, Jin. In: Working Papers. RePEc:com:wpaper:037.

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1
342008Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games. (2008). Protopapas, Mattheos ; Kosmatopoulo, Elias ; Battaglia, Francesco. In: Working Papers. RePEc:com:wpaper:004.

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1
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12010Calibrating the Nelson–Siegel–Svensson model. (2010). Schumann, Enrico ; Gilli, Manfred ; Groe, Stefan . In: Working Papers. RePEc:com:wpaper:031.

Full description at Econpapers || Download paper

3
22010Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks. (2010). Rais Shaghaghi, Ali ; Markose, Sheri ; Giansante, Simone ; Gatkowski, Mateusz . In: Working Papers. RePEc:com:wpaper:033.

Full description at Econpapers || Download paper

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