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Citation Profile [Updated: 2025-01-21 09:43:16]
5 Years H Index
23
Impact Factor (IF)
0.35
5 Years IF
0.58
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
Impact factorIFCIFAIF199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202300.250.50.751Impact Factor Highcharts.com
Immediacy IndexIIAII199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202300.250.50.751Immediacy index Highcharts.com
Citations to papers published in year y19901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220230200400600Citations Highcharts.com
Cumulative citations received by year19901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220230100200300Documents Highcharts.com
Documents published by year1990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023010203040Documents Highcharts.com
Cumulative documents published19901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220230200400600Documents Highcharts.com
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 19 438 16 19 0 0 0 16 0.84 0.24
2006 0.89 0.51 0.59 0.89 22 41 138 23 43 19 17 19 17 3 13 6 0.27 0.23
2007 0.51 0.46 0.58 0.51 21 62 101 34 79 41 21 41 21 9 26.5 10 0.48 0.2
2008 0.33 0.49 0.61 0.58 23 85 186 51 131 43 14 62 36 4 7.8 11 0.48 0.23
2009 0.34 0.48 0.63 0.48 26 111 266 68 201 44 15 85 41 18 26.5 23 0.88 0.24
2010 0.45 0.48 0.56 0.51 27 138 239 76 278 49 22 111 57 20 26.3 9 0.33 0.21
2011 0.74 0.52 0.7 0.63 24 162 94 114 392 53 39 119 75 23 20.2 8 0.33 0.24
2012 0.59 0.52 0.53 0.55 24 186 236 98 490 51 30 121 67 12 12.2 4 0.17 0.22
2013 0.54 0.56 0.71 0.71 35 221 199 157 648 48 26 124 88 21 13.4 5 0.14 0.24
2014 0.73 0.55 0.65 0.65 25 246 113 161 809 59 43 136 88 31 19.3 4 0.16 0.23
2015 0.42 0.55 0.68 0.61 19 265 97 179 988 60 25 135 82 19 10.6 6 0.32 0.23
2016 0.66 0.52 0.75 0.56 19 284 48 213 1201 44 29 127 71 19 8.9 1 0.05 0.21
2017 0.5 0.54 0.58 0.48 18 302 70 173 1375 38 19 122 59 20 11.6 3 0.17 0.22
2018 0.65 0.55 0.57 0.58 23 325 66 184 1559 37 24 116 67 17 9.2 6 0.26 0.23
2019 0.51 0.56 0.52 0.42 20 345 57 177 1737 41 21 104 44 15 8.5 4 0.2 0.23
2020 0.42 0.67 0.46 0.43 22 367 97 168 1905 43 18 99 43 20 11.9 9 0.41 0.32
2021 0.83 0.79 0.51 0.57 20 387 35 197 2102 42 35 102 58 11 5.6 2 0.1 0.29
2022 0.6 0.83 0.37 0.54 20 407 13 150 2252 42 25 103 56 9 6 2 0.1 0.25
2023 0.35 0.82 0.41 0.58 20 427 3 173 2425 40 14 105 61 13 7.5 0 0.23
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
12005Option 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.

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155
22009A 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.

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123
32005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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65
42012Affine 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.

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58
52009Entrepreneurship in macroeconomics. (2009). Quadrini, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:5:y:2009:i:3:p:295-311.

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50
62005On 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.

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50
72010A 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.

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49
82008Optimal 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.

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42
92012Analysing 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.

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42
102005Relative arbitrage in volatility-stabilized markets. (2005). . In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:149-177.

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40
112014Robust 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.

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37
122013An 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.

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35
132006Risk 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.

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34
142012Estimation 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.

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34
15Determinants 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.

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31
162008Prospect and Markowitz stochastic dominance. (2008). Wong, Wing-Keung. In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:1:p:105-129.

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30
172005On 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.

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29
182010The 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.

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29
19Minority 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.

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28
202010Robust 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.

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25
212020Efficient 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.

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24
222013Asset 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.

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24
232017Analysis of variance based instruments for Ornstein–Uhlenbeck 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.

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23
242010Irreversible 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.

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23
252006A 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.

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21
262013Measures 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.

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19
272014Portfolio 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.

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19
282005American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292.

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19
292008Short-term relative arbitrage in volatility-stabilized markets. (2008). . In: Annals of Finance. RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454.

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19
302011On 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.

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18
312010On 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.

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18
322012A 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.

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17
332015Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382.

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16
342015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

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16
352012Stochastic volatility and stochastic leverage. (2012). Veraart, Almut. In: Annals of Finance. RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233.

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16
362013Pension 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.

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15
372006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model. (2006). Evstigneev, Igor. In: Annals of Finance. RePEc:kap:annfin:v:2:y:2006:i:4:p:327-355.

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15
382015Diversity-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.

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15
392008Who 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.

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15
402011Central 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.

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15
412015Asset 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.

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15
422008Pricing 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.

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15
432007An equilibrium approach to financial stability analysis: the Colombian case. (2007). Saade Ospina, Agustín ; Osorio-Rodriguez, Daniel ; Estrada, Dairo. In: Annals of Finance. RePEc:kap:annfin:v:3:y:2007:i:1:p:75-105.

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14
442011Short 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.

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14
452008Fractals 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.

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14
462019Extreme-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.

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14
472007A 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.

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14
482013Dynamic capital structure and the contingent capital option. (2013). del Viva, Luca ; Barucci, Emilio. In: Annals of Finance. RePEc:kap:annfin:v:9:y:2013:i:3:p:337-364.

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13
492007Towards 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.

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13
502015Dynamic portfolio selection with mispricing and model ambiguity. (2015). Li, Zhongfei ; Viens, Frederi ; Yi, BO ; Law, Baron. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75.

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13
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12005Option 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

25
22012Affine 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

23
32020Efficient 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

15
42009A 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

15
52012Estimation 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

13
62014Robust 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

11
72006Risk 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

10
82019Extreme-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

10
92010A 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
102020Proper 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.

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9
112019Momentum 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.

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9
122009Entrepreneurship 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

8
132013Asset 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.

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7
142020Forecasting 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.

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7
152018The 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.

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7
162020The 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.

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6
172015Dynamic portfolio selection with mispricing and model ambiguity. (2015). Li, Zhongfei ; Viens, Frederi ; Yi, BO ; Law, Baron. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75.

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6
182012Analysing 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.

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5
192021Systemic 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.

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5
202015Optimization of relative arbitrage. (2015). Wong, Ting-Kam . In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:3:p:345-382.

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5
212021The 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.

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5
222020Application 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.

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5
232022Bootstrap 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.

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5
242017Does 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.

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5
252008Prospect 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
262008Fractals 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.

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4
272020A 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.

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4
282013Liquidity-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.

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4
292008Optimal 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
302015Diversity-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.

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4
312005A risk assessment model for banks. (2005). Tsomocos, Dimitrios. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:2:p:197-224.

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322005American options: the EPV pricing model. (2005). Boyarchenko, Svetlana. In: Annals of Finance. RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292.

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332021Fractional 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.

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342021On 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.

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352014Portfolio 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.

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362015Diversified minimum-variance portfolios. (2015). Coqueret, Guillaume. In: Annals of Finance. RePEc:kap:annfin:v:11:y:2015:i:2:p:221-241.

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372013An 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.

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382011Central 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.

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392018Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis. (2018). Volkova, Ekaterina ; Bastos, Felipe. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0314-z.

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402017An 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.

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412016Benchmark-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.

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422021Valuation 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.

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432018Correction 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.

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442014The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market. (2014). Perlin, Marcelo ; Dufour, Alfonso ; Brooks, Chris. In: Annals of Finance. RePEc:kap:annfin:v:10:y:2014:i:3:p:457-480.

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452019Endogenous 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.

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462018Option 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.

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472016How 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.

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482018Bubbles, growth and imperfection of credit market in a two-country model. (2018). Shimizu, Ryosuke. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-018-0320-9.

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492006A 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.

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502018Modeling 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.

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Citing documents used to compute impact factor: 14
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2023
2023Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158.

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2023Analysis 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.

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2023Valuing 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.

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2023Asset 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.

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2023Quantifying 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.

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2023Extraction 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.

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2023Predicting macro-financial instability – 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.

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2023The 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.

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2023A 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.

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2023Smooth Value Function for a Consumption-Wealth Preference and Leverage Constraint. (2022). Zhu, Zimu ; Tian, Weidong. In: Papers. RePEc:arx:papers:2210.01016.

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Recent citations
Recent citations received in 2023

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Recent citations received in 2022

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2022Exploring 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.

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Recent citations received in 2021

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2021Does 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.

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2021Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Çevik, 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.

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2020Sequential hypothesis testing in machine learning driven crude oil jump detection. (2020). Sengupta, Indranil ; Roberts, Michael. In: Papers. RePEc:arx:papers:2004.08889.

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2020Asymptotic 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.

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2020A continuous-time asset market game with short-lived assets. (2020). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:2008.13230.

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2020A 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.

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2020An 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.

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2020Randomization 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.

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2020.

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2020On 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.

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