FAME Research Paper Series / International Center for Financial Asset Management and Engineering
Citation Profile [Updated: 2024-12-09 13:41:37]
5 Years H Index
15
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 | |
| 1998 | 0 | 0.32 | 0.5 | 0 | 2 | 2 | 14 | 1 | 0 | 0 | 0 | 0 | 0.18 | |||||
| 1999 | 2 | 0.39 | 0.56 | 2 | 7 | 9 | 48 | 5 | 6 | 2 | 4 | 2 | 4 | 0 | 1 | 0.14 | 0.26 | |
| 2000 | 0.56 | 0.54 | 0.41 | 0.56 | 13 | 22 | 101 | 9 | 15 | 9 | 5 | 9 | 5 | 0 | 3 | 0.23 | 0.25 | |
| 2001 | 0.95 | 0.49 | 0.84 | 1.05 | 15 | 37 | 254 | 30 | 46 | 20 | 19 | 22 | 23 | 1 | 3.3 | 5 | 0.33 | 0.28 |
| 2002 | 1.07 | 0.54 | 0.56 | 0.89 | 33 | 70 | 165 | 38 | 85 | 28 | 30 | 37 | 33 | 9 | 23.7 | 1 | 0.03 | 0.31 |
| 2003 | 0.75 | 0.53 | 0.59 | 0.69 | 31 | 101 | 243 | 59 | 145 | 48 | 36 | 70 | 48 | 8 | 13.6 | 7 | 0.23 | 0.3 |
| 2004 | 0.41 | 0.6 | 0.46 | 0.51 | 22 | 123 | 136 | 56 | 202 | 64 | 26 | 99 | 50 | 2 | 3.6 | 4 | 0.18 | 0.36 |
| 2005 | 0.4 | 0.6 | 0.4 | 0.42 | 36 | 159 | 249 | 63 | 265 | 53 | 21 | 114 | 48 | 3 | 4.8 | 6 | 0.17 | 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
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2001 | Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34. Full description at Econpapers || Download paper | 150 |
| 2 | 2003 | Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57. Full description at Econpapers || Download paper | 82 |
| 3 | 2003 | European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84. Full description at Econpapers || Download paper | 74 |
| 4 | 2002 | Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Marketsââ¬â¢ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65. Full description at Econpapers || Download paper | 63 |
| 5 | 2000 | European Financial Markets After EMU: A First Assessment. (2000). von Thadden, Ernst-Ludwig ; Giavazzi, Francesco ; Danthine, Jean-Pierre. In: FAME Research Paper Series. RePEc:fam:rpseri:rp13. Full description at Econpapers || Download paper | 51 |
| 6 | 2004 | Equity Returns and Integration: Is Europe Changing?. (2004). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp117. Full description at Econpapers || Download paper | 38 |
| 7 | 2005 | Financial Intermediation and the Costs of Trading in an Opaque Market. (2005). Schuerhoff, Norman ; Hollifield, Burton ; Green, Richard ; Schurhoff, Norman. In: FAME Research Paper Series. RePEc:fam:rpseri:rp130. Full description at Econpapers || Download paper | 36 |
| 8 | 1999 | Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (1999). Viceira, Luis ; Chacko, George . In: FAME Research Paper Series. RePEc:fam:rpseri:rp11. Full description at Econpapers || Download paper | 34 |
| 9 | 2001 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (2001). Winker, Peter ; Gilli, Manfred. In: FAME Research Paper Series. RePEc:fam:rpseri:rp38. Full description at Econpapers || Download paper | 33 |
| 10 | 2005 | Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp156. Full description at Econpapers || Download paper | 32 |
| 11 | 2005 | A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128. Full description at Econpapers || Download paper | 30 |
| 12 | 2005 | Can Information Heterogeneity Explain the Exchange Rate Determination?. (2005). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp155. Full description at Econpapers || Download paper | 25 |
| 13 | 2005 | Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp132. Full description at Econpapers || Download paper | 19 |
| 14 | 2005 | Order Submission Strategies and Information: Empirical Evidence from the NYSE. (2005). Beber, Alessandro ; Caglio, Cecilia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp146. Full description at Econpapers || Download paper | 17 |
| 15 | 2002 | Conditional Dependency of Financial Series: The Copula-GARCH Model. (2002). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp69. Full description at Econpapers || Download paper | 15 |
| 16 | 2004 | SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS. (2004). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp108. Full description at Econpapers || Download paper | 15 |
| 17 | 2003 | Does Poor Legal Enforcement Make Households Credit-Constrained?. (2003). Padula, Mario ; Fabbri, Daniela . In: FAME Research Paper Series. RePEc:fam:rpseri:rp81. Full description at Econpapers || Download paper | 15 |
| 18 | 1998 | Who Should Buy Long-Term Bonds?. (1998). Viceira, Luis ; Campbell, John. In: FAME Research Paper Series. RePEc:fam:rpseri:rp5. Full description at Econpapers || Download paper | 14 |
| 19 | 2000 | EMU and Portfolio Diversification Opportunities. (2000). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp31. Full description at Econpapers || Download paper | 14 |
| 20 | 2002 | Mutual Fund Flows and Performance in Rational Markets. (2002). Green, Richard ; Berk, Jonathan B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp100. Full description at Econpapers || Download paper | 13 |
| 21 | 2005 | Are European Corporate Bond and Default Swap Markets Segmented?. (2005). Cossin, Didier ; Lu, Hongze. In: FAME Research Paper Series. RePEc:fam:rpseri:rp133. Full description at Econpapers || Download paper | 13 |
| 22 | 2004 | Nonparametric Estimation of Conditional Expected Shortfall. (2004). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp112. Full description at Econpapers || Download paper | 12 |
| 23 | 2003 | The capital structure of Swiss companies: an empirical analysis using dynamic panel data. (2003). Hoesli, Martin ; Bender, Andre ; Gaud, Philippe ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp68. Full description at Econpapers || Download paper | 12 |
| 24 | 2002 | Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility. (2002). Scaillet, Olivier ; Cheng, Peng. In: FAME Research Paper Series. RePEc:fam:rpseri:rp67. Full description at Econpapers || Download paper | 12 |
| 25 | 2000 | Prospect Theory and Asset Prices. (2000). HUANG, MING ; Santos, Tano ; Barberis, Nicholas. In: FAME Research Paper Series. RePEc:fam:rpseri:rp16. Full description at Econpapers || Download paper | 12 |
| 26 | 2001 | Assessing Market Risk for Hedge Funds Portfolios. (2001). Lhabitant, Franois-Serge . In: FAME Research Paper Series. RePEc:fam:rpseri:rp24. Full description at Econpapers || Download paper | 10 |
| 27 | 2001 | Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001. (2001). Hamelink, Foort ; Hillion, Pierre ; Harasty, Helene . In: FAME Research Paper Series. RePEc:fam:rpseri:rp35. Full description at Econpapers || Download paper | 10 |
| 28 | 2004 | Capital Structure, Credit Risk, and Macroeconomic Conditions. (2004). Miao, Jianjun ; Hackbarth, Dirk ; Morellec, Erwan. In: FAME Research Paper Series. RePEc:fam:rpseri:rp125. Full description at Econpapers || Download paper | 10 |
| 29 | 2000 | Extreme Value Theory for Tail-Related Risk Measures. (2000). Gilli, Manfred ; Kellezi, Evis . In: FAME Research Paper Series. RePEc:fam:rpseri:rp18. Full description at Econpapers || Download paper | 10 |
| 30 | 2003 | Profitable Innovation Without Patent Protection: The Case of Derivatives.. (2003). Schroth, Enrique ; Herrera, Helios. In: FAME Research Paper Series. RePEc:fam:rpseri:rp76. Full description at Econpapers || Download paper | 10 |
| 31 | 2004 | A Simple Alternative House Price Index Method. (2004). Hoesli, Martin ; Bourassa, Steven ; Sun, Jian. In: FAME Research Paper Series. RePEc:fam:rpseri:rp119. Full description at Econpapers || Download paper | 10 |
| 32 | 2005 | Testing for Stochastic Dominance Efficiency. (2005). Topaloglou, Nikolas ; Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp154. Full description at Econpapers || Download paper | 10 |
| 33 | 2001 | Coping with Credit Risk. (2001). Schlesinger, Harris ; Louberg̮̩, Henri. In: FAME Research Paper Series. RePEc:fam:rpseri:rp36. Full description at Econpapers || Download paper | 9 |
| 34 | 2004 | On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. (2004). Giannikos, Christos ; Danthine, Jean-Pierre ; Guirguis, Hany ; Donaldson, John B.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp73. Full description at Econpapers || Download paper | 9 |
| 35 | 2001 | Optimal Dynamic rading Strategies with Risk Limits. (2001). He, Hua ; Cuoco, Domenico ; Issaenko, Sergei. In: FAME Research Paper Series. RePEc:fam:rpseri:rp60. Full description at Econpapers || Download paper | 9 |
| 36 | 2001 | Portfolio Diversification: Alive and Well in Euroland!. (2001). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp32. Full description at Econpapers || Download paper | 9 |
| 37 | 2002 | Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds. (2002). FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp95. Full description at Econpapers || Download paper | 8 |
| 38 | 2005 | Multiariate Wavelet-based sahpe preserving estimation for dependant observation. (2005). Scaillet, Olivier ; Cosma, Antonio ; von Sachs, Rainer. In: FAME Research Paper Series. RePEc:fam:rpseri:rp144. Full description at Econpapers || Download paper | 8 |
| 39 | 2005 | Spatial Dependence, Housing Submarkets, and House Prices. (2005). Hoesli, Martin ; Bourassa, Steven ; Cantoni, Eva . In: FAME Research Paper Series. RePEc:fam:rpseri:rp151. Full description at Econpapers || Download paper | 8 |
| 40 | 2003 | Competition Between Stock Exchanges: A Survey. (2003). Ramos, Sofia. In: FAME Research Paper Series. RePEc:fam:rpseri:rp77. Full description at Econpapers || Download paper | 8 |
| 41 | 2003 | Are practitioners right? On the relative importance of industrial factors in international stock returns. (2003). Isakov, Dusan ; Sonney, Frederic . In: FAME Research Paper Series. RePEc:fam:rpseri:rp72. Full description at Econpapers || Download paper | 8 |
| 42 | 2001 | On Swiss Timing and Selectivity: In the Quest of Alpha. (2001). Lhabitant, Franois-Serge . In: FAME Research Paper Series. RePEc:fam:rpseri:rp27. Full description at Econpapers || Download paper | 8 |
| 43 | 2000 | International CAPM with Regime Switching GARCH Parameters. (2000). Cappiello, Lorenzo ; FEARNLEY, Tom A.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp17. Full description at Econpapers || Download paper | 8 |
| 44 | 2004 | R2 Around the World: New Theory and New Tests. (2004). Jin, LI ; Myers, Stewart C.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp158. Full description at Econpapers || Download paper | 7 |
| 45 | 2004 | Higher Order Expectations in Asset Pricing. (2004). van Wincoop, Eric ; Bacchetta, Philippe. In: FAME Research Paper Series. RePEc:fam:rpseri:rp110. Full description at Econpapers || Download paper | 7 |
| 46 | 2001 | Liquidity and Credit Risk. (2001). Ericsson, Jan ; Renault, Olivier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp42. Full description at Econpapers || Download paper | 7 |
| 47 | 2002 | Implicit Forward Rents as Predictors of Future Rents. (2002). Hoesli, Martin ; Soderberg, Bo ; Englund, Peter ; GUNNELIN, ke. In: FAME Research Paper Series. RePEc:fam:rpseri:rp59. Full description at Econpapers || Download paper | 6 |
| 48 | 2005 | Monte Carlo Simulations for Real Estate Valuation. (2005). Hoesli, Martin ; Bender, Andre ; Jani, Elion . In: FAME Research Paper Series. RePEc:fam:rpseri:rp148. Full description at Econpapers || Download paper | 6 |
| 49 | 2003 | Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases. (2003). Scaillet, Olivier ; Menoncin, Francesco ; Battocchio, Paolo . In: FAME Research Paper Series. RePEc:fam:rpseri:rp66. Full description at Econpapers || Download paper | 6 |
| 50 | 2002 | Optimal Investment With Default Risk. (2002). Jin, Xiangrong ; Hou, Yuanfeng . In: FAME Research Paper Series. RePEc:fam:rpseri:rp46b. Full description at Econpapers || Download paper | 6 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2001 | Variable Selection for Portfolio Choice. (2001). Ait-Sahalia, Yacine ; Brandt, Michael W.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp34. Full description at Econpapers || Download paper | 7 |
| 2 | 2003 | Nonparametric Estimation of Copulas for Time Series. (2003). Scaillet, Olivier ; Fermanian, Jean-David. In: FAME Research Paper Series. RePEc:fam:rpseri:rp57. Full description at Econpapers || Download paper | 6 |
| 3 | 2002 | Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Marketsââ¬â¢ Information Suffcient to Evaluate Credit Risk?. (2002). Aunon-Nerin, Daniel ; Huang, Zhijiang ; Hricko, Tomas ; Cossin, Didier . In: FAME Research Paper Series. RePEc:fam:rpseri:rp65. Full description at Econpapers || Download paper | 4 |
| 4 | 2005 | A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence. (2005). Scaillet, Olivier. In: FAME Research Paper Series. RePEc:fam:rpseri:rp128. Full description at Econpapers || Download paper | 3 |
| 5 | 2003 | European Financial Integration and Equity Returns: A Theory-Based Assessment. (2003). Danthine, Jean-Pierre ; Adjaoute, Kpate. In: FAME Research Paper Series. RePEc:fam:rpseri:rp84. Full description at Econpapers || Download paper | 2 |
| 6 | 2005 | Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric. In: FAME Research Paper Series. RePEc:fam:rpseri:rp132. Full description at Econpapers || Download paper | 2 |
| 7 | 2004 | R2 Around the World: New Theory and New Tests. (2004). Jin, LI ; Myers, Stewart C.. In: FAME Research Paper Series. RePEc:fam:rpseri:rp158. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor:
| Year | Title |
|---|
Recent citations
10 most frequent citing series