Annals of Finance / Springer
Citation Profile [Updated: 2024-05-13 08:04:26]
5 Years H Index
22
Impact Factor (IF)
0.4
5 Years IF
0.6
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
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 2005 | 0 | 0.51 | 0.89 | 0 | 19 | 19 | 427 | 16 | 19 | 0 | 0 | 0 | 16 | 0.84 | 0.23 | |||
| 2006 | 0.84 | 0.51 | 0.56 | 0.84 | 22 | 41 | 131 | 22 | 42 | 19 | 16 | 19 | 16 | 3 | 13.6 | 6 | 0.27 | 0.23 |
| 2007 | 0.51 | 0.47 | 0.56 | 0.51 | 21 | 62 | 94 | 33 | 77 | 41 | 21 | 41 | 21 | 9 | 27.3 | 9 | 0.43 | 0.2 |
| 2008 | 0.33 | 0.49 | 0.61 | 0.58 | 23 | 85 | 184 | 51 | 129 | 43 | 14 | 62 | 36 | 4 | 7.8 | 11 | 0.48 | 0.23 |
| 2009 | 0.34 | 0.48 | 0.63 | 0.48 | 26 | 111 | 261 | 68 | 199 | 44 | 15 | 85 | 41 | 18 | 26.5 | 23 | 0.88 | 0.24 |
| 2010 | 0.45 | 0.49 | 0.56 | 0.51 | 27 | 138 | 234 | 76 | 276 | 49 | 22 | 111 | 57 | 20 | 26.3 | 9 | 0.33 | 0.21 |
| 2011 | 0.7 | 0.52 | 0.69 | 0.61 | 24 | 162 | 92 | 112 | 388 | 53 | 37 | 119 | 73 | 23 | 20.5 | 8 | 0.33 | 0.24 |
| 2012 | 0.59 | 0.52 | 0.53 | 0.55 | 24 | 186 | 227 | 98 | 486 | 51 | 30 | 121 | 67 | 12 | 12.2 | 4 | 0.17 | 0.22 |
| 2013 | 0.52 | 0.56 | 0.7 | 0.69 | 35 | 221 | 194 | 154 | 641 | 48 | 25 | 124 | 85 | 21 | 13.6 | 5 | 0.14 | 0.24 |
| 2014 | 0.73 | 0.55 | 0.66 | 0.65 | 25 | 246 | 107 | 162 | 803 | 59 | 43 | 136 | 88 | 31 | 19.1 | 4 | 0.16 | 0.23 |
| 2015 | 0.42 | 0.55 | 0.67 | 0.6 | 19 | 265 | 83 | 178 | 981 | 60 | 25 | 135 | 81 | 19 | 10.7 | 6 | 0.32 | 0.23 |
| 2016 | 0.7 | 0.53 | 0.75 | 0.57 | 19 | 284 | 44 | 214 | 1195 | 44 | 31 | 127 | 73 | 19 | 8.9 | 1 | 0.05 | 0.21 |
| 2017 | 0.5 | 0.54 | 0.58 | 0.48 | 18 | 302 | 65 | 173 | 1369 | 38 | 19 | 122 | 59 | 20 | 11.6 | 3 | 0.17 | 0.22 |
| 2018 | 0.65 | 0.56 | 0.57 | 0.59 | 23 | 325 | 61 | 185 | 1554 | 37 | 24 | 116 | 68 | 17 | 9.2 | 6 | 0.26 | 0.24 |
| 2019 | 0.51 | 0.57 | 0.52 | 0.43 | 20 | 345 | 53 | 178 | 1733 | 41 | 21 | 104 | 45 | 15 | 8.4 | 4 | 0.2 | 0.23 |
| 2020 | 0.44 | 0.69 | 0.46 | 0.44 | 22 | 367 | 75 | 169 | 1902 | 43 | 19 | 99 | 44 | 20 | 11.8 | 9 | 0.41 | 0.33 |
| 2021 | 0.83 | 0.83 | 0.52 | 0.59 | 20 | 387 | 27 | 200 | 2102 | 42 | 35 | 102 | 60 | 11 | 5.5 | 2 | 0.1 | 0.31 |
| 2022 | 0.62 | 0.9 | 0.38 | 0.56 | 20 | 407 | 10 | 155 | 2257 | 42 | 26 | 103 | 58 | 9 | 5.8 | 2 | 0.1 | 0.27 |
| 2023 | 0.4 | 0.98 | 0.41 | 0.6 | 20 | 427 | 0 | 177 | 2434 | 40 | 16 | 105 | 63 | 12 | 6.8 | 0 | 0.27 |
| 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 | 2005 | Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers || Download paper | 149 |
| 2 | 2009 | A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers || Download paper | 122 |
| 3 | 2005 | A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224. Full description at Econpapers || Download paper | 63 |
| 4 | 2012 | Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers || Download paper | 56 |
| 5 | 2010 | A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers || Download paper | 49 |
| 6 | 2005 | On user costs of risky monetary assets. (2005). Wu, Shu ; Barnett, William. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:35-50. Full description at Econpapers || Download paper | 49 |
| 7 | 2009 | Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers || Download paper | 47 |
| 8 | 2008 | Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers || Download paper | 42 |
| 9 | 2012 | Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers || Download paper | 42 |
| 10 | 2005 | Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177. Full description at Econpapers || Download paper | 40 |
| 11 | 2014 | Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers || Download paper | 35 |
| 12 | 2013 | An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers || Download paper | 35 |
| 13 | 2012 | Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers || Download paper | 31 |
| 14 | Determinants of stock market volatility and risk premia. (2005). Motolese, Maurizio ; Kurz, Mordecai. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:109-147. Full description at Econpapers || Download paper | 31 | |
| 15 | 2006 | Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers || Download paper | 30 |
| 16 | 2005 | On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market. (2005). Plott, Charles ; Feri, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:1:p:73-107. Full description at Econpapers || Download paper | 29 |
| 17 | 2010 | The fundamental theorem of asset pricing for continuous processes under small transaction costs. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:2:p:157-191. Full description at Econpapers || Download paper | 29 |
| 18 | 2008 | Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129. Full description at Econpapers || Download paper | 28 |
| 19 | Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers || Download paper | 28 | |
| 20 | 2010 | Robust consumption and portfolio choice for time varying investment opportunities. (2010). . In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:435-454. Full description at Econpapers || Download paper | 25 |
| 21 | 2010 | Irreversible investment and discounting: an arbitrage pricing approach. (2010). Thijssen, Jacco. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:3:p:295-315. Full description at Econpapers || Download paper | 23 |
| 22 | 2013 | Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers || Download paper | 23 |
| 23 | 2017 | Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers || Download paper | 22 |
| 24 | 2020 | Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers || Download paper | 21 |
| 25 | 2006 | A Time Series Analysis of Financial Fragility in the UK Banking System. (2006). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:1-21. Full description at Econpapers || Download paper | 20 |
| 26 | 2013 | Measures of systemic risk and financial fragility in Korea. (2013). Tsomocos, Dimitrios ; Lee, Jong ; Ryu, Jaemin . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:757-786. Full description at Econpapers || Download paper | 19 |
| 27 | 2008 | Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. Full description at Econpapers || Download paper | 19 |
| 28 | 2011 | On the realized volatility of the ECX CO 2 emissions 2008 futures contract: distribution, dynamics and forecasting. (2011). Sévi, Benoît ; Chevallier, Julien. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:1:p:1-29. Full description at Econpapers || Download paper | 18 |
| 29 | 2014 | Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers || Download paper | 18 |
| 30 | 2005 | American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers || Download paper | 18 |
| 31 | 2010 | On dividend restrictions and the collapse of the interbank market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:455-473. Full description at Econpapers || Download paper | 18 |
| 32 | 2012 | A two price theory of financial equilibrium with risk management implications. (2012). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:4:p:489-505. Full description at Econpapers || Download paper | 17 |
| 33 | 2012 | Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233. Full description at Econpapers || Download paper | 16 |
| 34 | 2013 | Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588. Full description at Econpapers || Download paper | 15 |
| 35 | 2008 | Who controls Allianz?. (2008). Shorish, Jamsheed ; Ritzberger, Klaus ; Lang, Larry. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:75-103. Full description at Econpapers || Download paper | 15 |
| 36 | 2008 | Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. (2008). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:399-429. Full description at Econpapers || Download paper | 15 |
| 37 | 2015 | Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers || Download paper | 15 |
| 38 | 2006 | Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von NeumannâGale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355. Full description at Econpapers || Download paper | 14 |
| 39 | 2011 | Short term persistence in mutual fund market timing and stock selection abilities. (2011). Benos, Evangelos. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:2:p:221-246. Full description at Econpapers || Download paper | 14 |
| 40 | 2015 | Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers || Download paper | 14 |
| 41 | 2008 | Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers || Download paper | 14 |
| 42 | 2011 | Central bank haircut policy. (2011). Molico, Miguel ; Chapman, James ; Chiu, Jonathan. In: Annals of Finance. RePEc:kap:annfin:v:7:y:2011:i:3:p:319-348. Full description at Econpapers || Download paper | 14 |
| 43 | 2019 | Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z. Full description at Econpapers || Download paper | 14 |
| 44 | 2007 | Towards a measure of financial fragility. (2007). Zicchino, Lea ; Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:37-74. Full description at Econpapers || Download paper | 13 |
| 45 | 2007 | A multicriteria discrimination approach for the credit rating of Asian banks. (2007). Pasiouras, Fotios ; Gaganis, Chrysovalantis. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:3:p:351-367. Full description at Econpapers || Download paper | 13 |
| 46 | 2007 | Maximum likelihood estimation of the double exponential jump-diffusion process. (2007). . In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:4:p:487-507. Full description at Econpapers || Download paper | 13 |
| 47 | 2015 | Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382. Full description at Econpapers || Download paper | 13 |
| 48 | 2009 | A conversation with 590 Nascent Entrepreneurs. (2009). De Nardi, Mariacristina ; Campbell, Jeffrey. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:313-340. Full description at Econpapers || Download paper | 13 |
| 49 | 2010 | Macroeconomics of bank interest spreads: evidence from Brazil. (2010). Sobrinho, Nelson. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:1-32. Full description at Econpapers || Download paper | 13 |
| 50 | 2015 | Asset pricing theory for two price economies. (2015). Madan, Dilip. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:1-35. Full description at Econpapers || Download paper | 13 |
50 most relevant documents in this series (papers most cited in the last two years)
| # | Year | Title | Cited |
|---|---|---|---|
| 1 | 2012 | Affine fractional stochastic volatility models. (2012). Renault, Eric ; Coutin, L. ; Comte, F.. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:337-378. Full description at Econpapers || Download paper | 21 |
| 2 | 2005 | Option pricing and Esscher transform under regime switching. (2005). Siu, Tak Kuen. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:4:p:423-432. Full description at Econpapers || Download paper | 19 |
| 3 | 2009 | A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. (2009). Buera, Francisco. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:443-464. Full description at Econpapers || Download paper | 14 |
| 4 | 2020 | Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00366-0. Full description at Econpapers || Download paper | 12 |
| 5 | 2012 | Estimation and pricing under long-memory stochastic volatility. (2012). Viens, Frederi ; Chronopoulou, Alexandra . In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:379-403. Full description at Econpapers || Download paper | 10 |
| 6 | 2014 | Robust portfolio choice with stochastic interest rates. (2014). Flor, Christian ; Larsen, Linda. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:2:p:243-265. Full description at Econpapers || Download paper | 9 |
| 7 | 2019 | Extreme-strike asymptotics for general Gaussian stochastic volatility models. (2019). Zhang, Xin ; Viens, Frederi ; Gulisashvili, Archil. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0338-z. Full description at Econpapers || Download paper | 9 |
| 8 | 2010 | A financial stability index for Colombia. (2010). Morales Mosquera, Miguel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:4:p:555-581. Full description at Econpapers || Download paper | 9 |
| 9 | 2019 | Momentum and reversal in financial markets with persistent heterogeneity. (2019). Dindo, Pietro ; Bottazzi, Giulio ; Giachini, Daniele. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:4:d:10.1007_s10436-019-00353-0. Full description at Econpapers || Download paper | 7 |
| 10 | 2018 | The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9. Full description at Econpapers || Download paper | 7 |
| 11 | 2006 | Risk measure pricing and hedging in incomplete markets. (2006). Xu, Mingxin. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:1:p:51-71. Full description at Econpapers || Download paper | 6 |
| 12 | 2013 | Asset market games of survival: a synthesis of evolutionary and dynamic games. (2013). Schenk-Hoppé, Klaus ; Evstigneev, Igor ; AMIR, Rabah ; Schenk-Hoppe, Klaus . In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:121-144. Full description at Econpapers || Download paper | 6 |
| 13 | 2017 | Does the Hurst index matter for option prices under fractional volatility?. (2017). Kijima, Masaaki ; Funahashi, Hideharu. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0289-1. Full description at Econpapers || Download paper | 5 |
| 14 | 2020 | Proper measures of connectedness. (2020). Uberti, Pierpaolo ; Torrente, Maria-Laura ; Maggi, Mario. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:4:d:10.1007_s10436-020-00363-3. Full description at Econpapers || Download paper | 5 |
| 15 | 2009 | Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311. Full description at Econpapers || Download paper | 5 |
| 16 | 2020 | The price leadership share: a new measure of price discovery in financial markets. (2020). de Blasis, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00371-3. Full description at Econpapers || Download paper | 5 |
| 17 | 2008 | Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129. Full description at Econpapers || Download paper | 5 |
| 18 | 2012 | Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. (2012). Peng, Yue. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:1:p:49-74. Full description at Econpapers || Download paper | 5 |
| 19 | 2013 | Liquidity-saving mechanisms in collateral-based RTGS payment systems. (2013). Martin, Antoine ; Jurgilas, Marius. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:1:p:29-60. Full description at Econpapers || Download paper | 4 |
| 20 | 2021 | Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. (2021). Sengupta, Indranil ; Salmon, Nicholas. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00394-4. Full description at Econpapers || Download paper | 4 |
| 21 | 2008 | Optimal portfolio allocation with higher moments. (2008). POLIMENIS, VASSILIS ; Cvitanic, Jaksa. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28. Full description at Econpapers || Download paper | 4 |
| 22 | 2021 | Systemic risk measurement: bucketing global systemically important banks. (2021). Riccetti, Luca ; Lagasio, Valentina ; Brogi, Marina. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00391-7. Full description at Econpapers || Download paper | 4 |
| 23 | 2020 | Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (2020). Lagasio, Valentina ; Fabozzi, Frank J ; Brogi, Marina ; Russo, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-020-00358-0. Full description at Econpapers || Download paper | 4 |
| 24 | 2020 | Forecasting volatility in bitcoin market. (2020). Bekiros, Stelios ; Segnon, Mawuli. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00368-y. Full description at Econpapers || Download paper | 4 |
| 25 | 2022 | Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors. (2022). Chevallier, Julien ; Dhaoui, Abderrazak ; Nakhli, Mohamed Sahbi. In: Annals of Finance. RePEc:kap:annfin:v:18:y:2022:i:2:d:10.1007_s10436-021-00399-z. Full description at Econpapers || Download paper | 4 |
| 26 | 2008 | Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. (2008). Sun, Edward ; Fabozzi, Frank. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:2:p:217-241. Full description at Econpapers || Download paper | 4 |
| 27 | 2020 | A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. (2020). Pesce, Marialaura ; Yannelis, Nicholas C ; Castro, Luciano I. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00349-w. Full description at Econpapers || Download paper | 4 |
| 28 | 2013 | An evolutionary CAPM under heterogeneous beliefs. (2013). Li, Kai ; He, Xuezhong (Tony) ; Chiarella, Carl ; Dieci, Roberto. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:2:p:185-215. Full description at Econpapers || Download paper | 3 |
| 29 | 2021 | The Shapley value decomposition of optimal portfolios. (2021). Shalit, Haim. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00380-2. Full description at Econpapers || Download paper | 3 |
| 30 | 2015 | Diversity-weighted portfolios with negative parameter. (2015). Karatzas, Ioannis ; Vervuurt, Alexander . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:411-432. Full description at Econpapers || Download paper | 3 |
| 31 | 2018 | Correction to: Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension. (2018). Cruz Rambaud, Salvador ; Ventre, Viviana ; Fernandez, Isabel Gonzalez. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0322-7. Full description at Econpapers || Download paper | 3 |
| 32 | 2021 | On the money creation approach to banking. (2021). Gersbach, Hans ; Faure, Salomon. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00385-5. Full description at Econpapers || Download paper | 3 |
| 33 | 2021 | Valuation of R&D compound option using Markov chain approach. (2021). Villani, Giovanni ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:3:d:10.1007_s10436-021-00389-1. Full description at Econpapers || Download paper | 3 |
| 34 | 2005 | American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292. Full description at Econpapers || Download paper | 3 |
| 35 | 2017 | An empirical analysis of organized crime, corruption and economic growth. (2017). Neanidis, Kyriakos ; Blackburn, Keith ; Rana, Maria Paola. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0299-7. Full description at Econpapers || Download paper | 3 |
| 36 | 2021 | Revisiting the link between financial development and industrialization: evidence from low and middle income countries. (2021). Bhupatiraju, Samyukta ; Sirohi, Rahul A ; Kothakapa, Gouthami. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-020-00376-y. Full description at Econpapers || Download paper | 3 |
| 37 | 2015 | Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241. Full description at Econpapers || Download paper | 3 |
| 38 | 2019 | Endogenous heterogeneity in duopoly with deterministic one-way spillovers. (2019). Masson, Virginie ; Gama, Adriana ; Maret, Isabelle. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:1:d:10.1007_s10436-018-0329-0. Full description at Econpapers || Download paper | 3 |
| 39 | 2018 | Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension. (2018). Cruz Rambaud, Salvador ; Ventre, Viviana ; Fernandez, Isabel Gonzalez. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0318-3. Full description at Econpapers || Download paper | 3 |
| 40 | 2009 | Minority self-employment in the United States and the impact of affirmative action programs. (2009). Blanchflower, David. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:361-396. Full description at Econpapers || Download paper | 3 |
| 41 | 2014 | Portfolio management with stochastic interest rates and inflation ambiguity. (2014). Munk, Claus ; Rubtsov, Alexey. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:419-455. Full description at Econpapers || Download paper | 3 |
| 42 | 2021 | Bank default indicators with volatility clustering. (2021). Dibooglu, Selahattin ; ÃÂevik, Emrah ; Kenc, Turalay. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00369-x. Full description at Econpapers || Download paper | 3 |
| 43 | 2016 | Benchmark-based evaluation of portfolio performance: a characterization. (2016). Sokolov, Mikhail ; Alekseev, Aleksandr G. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0286-4. Full description at Econpapers || Download paper | 2 |
| 44 | 2010 | No arbitrage conditions for simple trading strategies. (2010). Bayraktar, Erhan. In: Annals of Finance. RePEc:kap:annfin:v:6:y:2010:i:1:p:147-156. Full description at Econpapers || Download paper | 2 |
| 45 | 2019 | A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5. Full description at Econpapers || Download paper | 2 |
| 46 | 2013 | Regime-switching measure of systemic financial stress. (2013). Abdymomunov, Azamat. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:455-470. Full description at Econpapers || Download paper | 2 |
| 47 | 2017 | Analysis of variance based instruments for OrnsteinâUhlenbeck type models: swap and price index. (2017). Sengupta, Indranil ; Issaka, Aziz. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:4:d:10.1007_s10436-017-0302-3. Full description at Econpapers || Download paper | 2 |
| 48 | 2018 | Option pricing under fast-varying and rough stochastic volatility. (2018). Solna, Knut ; Garnier, Josselin. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4. Full description at Econpapers || Download paper | 2 |
| 49 | 2016 | How suboptimal are linear sharing rules?. (2016). Nielsen, Jorgen Aase ; Jensen, Bjarne Astrup. In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0279-3. Full description at Econpapers || Download paper | 2 |
| 50 | 2019 | Relative performance concerns among investment managers. (2019). Whitmeyer, Mark. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-019-00343-2. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor: 16
| Year | Title | |
|---|---|---|
| 2023 | ||
| 2023 | Does financial development really spur industrialization in sub?Saharan African countries?. (2023). SAWADOGO, Relwendé ; KINDA, Somlanare. In: African Development Review. RePEc:bla:afrdev:v:35:y:2023:i:4:p:390-402. Full description at Econpapers || Download paper | |
| 2023 | Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits. (2023). Selvamuthu, Dharmaraja ; Singh, Shakti ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-022-00422-x. Full description at Econpapers || Download paper | |
| 2023 | Valuing new drug R&D project under economic fluctuation, technical risks and subjective uncertainty. (2023). Chen, Peimin ; Song, Aimin ; Wang, Tong ; Zhao, Pingping. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004186. Full description at Econpapers || Download paper | |
| 2023 | Asset pricing models in the presence of higher moments: Theory and evidence from the U.S. and China stock market. (2023). Zhou, Qiyao ; Xiang, George ; Li, Xin ; Hu, Debao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23001191. Full description at Econpapers || Download paper | |
| 2023 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768. Full description at Econpapers || Download paper | |
| 2023 | Extraction of deterministic components for high frequency stochastic process -- an application from CSI 300 index. (2022). Sengupta, Indranil ; Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.02891. Full description at Econpapers || Download paper | |
| 2023 | Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Predicting macro-financial instability â How relevant is sentiment? Evidence from long short-term memory networks. (2023). Sahut, Jean-Michel ; Gaies, Brahim ; Nakhli, Mohamed Sahbi ; Kanzari, Dalel. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000387. Full description at Econpapers || Download paper | |
| 2023 | The instability of U.S. economic policy: A hindrance or a stimulus to green financing?. (2023). Umar, Muhammad ; Tao, Ran ; Su, Chi Wei ; Liu, Fangying. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:33-46. Full description at Econpapers || Download paper | |
| 2023 | A Compound Up-and-In Call like Option for Wind Projects Pricing. (2023). Villani, Giovanni ; di Bari, Antonio ; Bufalo, Michele. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:90-:d:1144622. Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | Smooth Value Function for a Consumption-Wealth Preference and Leverage Constraint. (2022). Zhu, Zimu ; Tian, Weidong. In: Papers. RePEc:arx:papers:2210.01016. Full description at Econpapers || Download paper |
Recent citations
Recent citations received in 2022
| Year | Citing document | |
|---|---|---|
| 2022 | Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models. (2022). Suaysom, Natchanon ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2212.04425. Full description at Econpapers || Download paper | |
| 2022 | Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis. (2022). Sahut, Jean-Michel ; Ayadi, Rim ; Nakhli, Mohamed Sahbi ; Gaies, Brahim. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:204:y:2022:i:c:p:290-303. Full description at Econpapers || Download paper |
Recent citations received in 2021
| Year | Citing document | |
|---|---|---|
| 2021 | Does boardroom gender diversity decrease credit risk in the financial sector? Worldwide evidence. (2021). Sohel, Nurul ; Scagnelli, Simone D ; Zaman, Rashid ; Choudhury, Tonmoy ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000664. Full description at Econpapers || Download paper | |
| 2021 | Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). ÃÂevik, Emrah ; Cevik, Emrah Ismail ; Kenc, Turalay. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6. Full description at Econpapers || Download paper |
Recent citations received in 2020
| Year | Citing document | |
|---|---|---|
| 2020 | Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889. Full description at Econpapers || Download paper | |
| 2020 | Asymptotic minimization of expected time to reach a large wealth level in an asset market game. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2007.04909. Full description at Econpapers || Download paper | |
| 2020 | A continuous-time asset market game with short-lived assets. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2008.13230. Full description at Econpapers || Download paper | |
| 2020 | A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s0096300320304318. Full description at Econpapers || Download paper | |
| 2020 | An analysis of dollar cost averaging and market timing investment strategies. (2020). Nguyen, Duy ; Mitra, Sovan ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1168-1186. Full description at Econpapers || Download paper | |
| 2020 | Randomization under ambiguity: Efficiency and incentive compatibility. (2020). Yannelis, Nicholas C ; Song, Xinxi ; Liu, Zhiwei. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:90:y:2020:i:c:p:1-11. Full description at Econpapers || Download paper | |
| 2020 | . Full description at Econpapers || Download paper | |
| 2020 | On the equivalence of rational expectations equilibrium with perfect Bayesian equilibrium. (2020). Yang, Xintong ; QIN, Cheng-Zhong . In: Economic Theory. RePEc:spr:joecth:v:69:y:2020:i:4:d:10.1007_s00199-019-01192-w. Full description at Econpapers || Download paper |
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