Citation analysis for Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney

Citation Profile [Updated: 2025-11-20 18:08:17]

5 Years H Index

Impact Factor (IF)

5 Years IF

0.15

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	0	3	3	10		0	0		0			0		0	0.18
1999	0.33	0.41	0.33	0.33	27	30	245	9	10	3	1	3	1	5	55.6	8	0.3	0.26
2000	0.47	0.56	0.51	0.47	17	47	156	17	34	30	14	30	14	9	52.9	3	0.18	0.25
2001	0.61	0.49	0.63	0.6	25	72	401	44	79	44	27	47	28	21	47.7	13	0.52	0.27
2002	0.4	0.55	0.42	0.38	14	86	95	36	115	42	17	72	27	13	36.1	1	0.07	0.31
2003	0.77	0.53	0.63	0.51	27	113	159	70	186	39	30	86	44	29	41.4	7	0.26	0.3
2004	0.68	0.6	0.99	0.5	31	144	243	143	329	41	28	110	55	61	42.7	23	0.74	0.36
2005	0.47	0.61	0.78	0.51	27	171	454	131	462	58	27	114	58	52	39.7	11	0.41	0.36
2006	0.52	0.58	0.67	0.48	15	186	146	124	586	58	30	124	60	21	16.9	3	0.2	0.34
2007	0.64	0.52	0.53	0.44	26	212	124	113	699	42	27	114	50	25	22.1	3	0.12	0.29
2008	0.54	0.58	0.64	0.56	27	239	250	150	851	41	22	126	70	43	28.7	5	0.19	0.29
2009	0.45	0.59	0.67	0.57	24	263	133	176	1028	53	24	126	72	42	23.9	5	0.21	0.33
2010	0.57	0.52	0.6	0.51	21	284	226	171	1199	51	29	119	61	36	21.1	7	0.33	0.3
2011	0.4	0.61	0.59	0.52	12	296	65	174	1374	45	18	113	59	27	15.5		0	0.36
2012	1.03	0.67	0.61	0.58	24	320	79	194	1569	33	34	110	64	42	21.6	7	0.29	0.36
2013	0.44	0.64	0.73	0.66	18	338	62	248	1817	36	16	108	71	27	10.9	1	0.06	0.34
2014	0.57	0.67	0.58	0.45	11	349	104	200	2018	42	24	99	45	17	8.5	6	0.55	0.34
2015	0.59	0.65	0.45	0.57	15	364	64	165	2183	29	17	86	49	16	9.7	3	0.2	0.36
2016	0.65	0.63	0.48	0.5	13	377	51	182	2365	26	17	80	40	15	8.2	4	0.31	0.34
2017	0.86	0.61	0.52	0.49	7	384	18	198	2563	28	24	81	40	9	4.5	2	0.29	0.33
2018	0.75	0.6	0.5	0.59	10	394	90	196	2759	20	15	64	38	14	7.1	11	1.1	0.34
2019	1.18	0.6	0.35	0.55	9	403	9	142	2901	17	20	56	31	5	3.5	1	0.11	0.35
2020	0.58	0.68	0.25	0.43	14	417	14	106	3007	19	11	54	23	5	4.7	2	0.14	0.72
2021	0.39	0.91	0.27	0.58	4	421	11	114	3121	23	9	53	31	1	0.9		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

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	264
2	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	174
3	2008	Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong (Tony) ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:231. Full description at Econpapers \|\| Download paper	143
4	2004	A Benchmark Approach to Finance. (2004). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:138. Full description at Econpapers \|\| Download paper	107
5	2001	Arbitrage in Continuous Complete Markets. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:72. Full description at Econpapers \|\| Download paper	85
6	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong (Tony) ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	79
7	2006	Volatility Forecast Comparison using Imperfect Volatility Proxies. (2006). Patton, Andrew. In: Research Paper Series. RePEc:uts:rpaper:175. Full description at Econpapers \|\| Download paper	78
8	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong (Tony) ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	78
9	2001	A Minimal Financial Market Model. (2001). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:48. Full description at Econpapers \|\| Download paper	65
10	2010	Financialization, Crisis and Commodity Correlation Dynamics. (2010). Thorp, Susan ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:267. Full description at Econpapers \|\| Download paper	65
11	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	65
12	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	57
13	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	50
14	2000	Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. (2000). He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:35. Full description at Econpapers \|\| Download paper	46
15	2007	Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices. (2007). Platen, Eckhard ; Sidorowicz, Renata. In: Research Paper Series. RePEc:uts:rpaper:194. Full description at Econpapers \|\| Download paper	42
16	2008	The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines. (2008). Kang, Boda ; Meyer, Gunter H. ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:219. Full description at Econpapers \|\| Download paper	37
17	1999	A Multi-Factor Model for Energy Derivatives. (1999). Clewlow, Les ; Strickland, Chris . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	37
18	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	35
19	2009	Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs. (2009). Zheng, Min ; Li, Kai ; Wei, Junjie. In: Research Paper Series. RePEc:uts:rpaper:252. Full description at Econpapers \|\| Download paper	33
20	2011	Estimating Behavioural Heterogeneity Under Regime Switching. (2011). Zheng, Huanhuan ; Huang, Weihong ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:290. Full description at Econpapers \|\| Download paper	29
21	2002	An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies. (2002). He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:84. Full description at Econpapers \|\| Download paper	29
22	2005	Market Mood, Adaptive Beliefs and Asset Price Dynamics. (2005). He, Xuezhong (Tony) ; Gardini, Laura ; Dieci, Roberto ; Foroni, Ilaria. In: Research Paper Series. RePEc:uts:rpaper:162. Full description at Econpapers \|\| Download paper	28
23	2001	Filtering and Forecasting Spot Electricity Prices in the Increasingly Deregulated Australian Electricity Market. (2001). Stevenson, Max. In: Research Paper Series. RePEc:uts:rpaper:63. Full description at Econpapers \|\| Download paper	25
24	2015	Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30. (2015). Li, Youwei ; He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:354. Full description at Econpapers \|\| Download paper	24
25	2003	Modeling the Volatility and Expected Value of a Diversified World Index. (2003). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:103. Full description at Econpapers \|\| Download paper	24
26	2000	Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices. (2000). Bohm, Volker. In: Research Paper Series. RePEc:uts:rpaper:46. Full description at Econpapers \|\| Download paper	23
27	2001	Speculative Behaviour and Complex Asset Price Dynamics. (2001). Gardini, Laura ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:49. Full description at Econpapers \|\| Download paper	23
28	2013	The Return-Volatility Relation in Commodity Futures Markets. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Research Paper Series. RePEc:uts:rpaper:336. Full description at Econpapers \|\| Download paper	22
29	2010	Approximating the Numeraire Portfolio by Naive Diversification. (2010). Platen, Eckhard ; Rendek, Renata. In: Research Paper Series. RePEc:uts:rpaper:281. Full description at Econpapers \|\| Download paper	22
30	2008	Hedging for the Long Run. (2008). Platen, Eckhard ; Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:214. Full description at Econpapers \|\| Download paper	21
31	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	21
32	2002	Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:78. Full description at Econpapers \|\| Download paper	21
33	2010	The Economic Plausibility of Strict Local Martingales in Financial Modelling. (2010). Hulley, Hardy. In: Research Paper Series. RePEc:uts:rpaper:279. Full description at Econpapers \|\| Download paper	20
34	2005	The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia. In: Research Paper Series. RePEc:uts:rpaper:152. Full description at Econpapers \|\| Download paper	20
35	2003	Tracking Error and Active Portfolio Management. (2003). El-Hassan, Nadima ; Kofman, Paul. In: Research Paper Series. RePEc:uts:rpaper:98. Full description at Econpapers \|\| Download paper	20
36	2009	A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong (Tony) ; Dieci, Roberto ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:254. Full description at Econpapers \|\| Download paper	19
37	2010	The Evaluation Of Barrier Option Prices Under Stochastic Volatility. (2010). Kang, Boda ; Meyer, Gunter H. ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:266. Full description at Econpapers \|\| Download paper	19
38	2004	A Survey of the Integral Representation of American Option Prices. (2004). Ziogas, Andrew ; Kucera, Adam. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	18
39	1999	Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing. (1999). Platen, Eckhard ; Craddock, Mark ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:27. Full description at Econpapers \|\| Download paper	18
40	1999	Classes of Interest Rate Models Under the HJM Framework. (1999). Kwon, Oh-Kang. In: Research Paper Series. RePEc:uts:rpaper:13. Full description at Econpapers \|\| Download paper	18
41	2016	Trading Heterogeneity Under Information Uncertainty. (2016). Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	17
42	2012	Local Risk-Minimization under the Benchmark Approach. (2012). Platen, Eckhard ; Cretarola, Alessandra ; Biagini, Francesca. In: Research Paper Series. RePEc:uts:rpaper:319. Full description at Econpapers \|\| Download paper	17
43	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc. In: Research Paper Series. RePEc:uts:rpaper:180. Full description at Econpapers \|\| Download paper	16
44	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	16
45	2006	Approximating the Growth Optimal Portfolio with a Diversified World Stock Index. (2006). Platen, Eckhard ; Le, Truc. In: Research Paper Series. RePEc:uts:rpaper:184. Full description at Econpapers \|\| Download paper	16
46	2000	Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay. (2000). Platen, Eckhard ; Kuchler, Uwe. In: Research Paper Series. RePEc:uts:rpaper:44. Full description at Econpapers \|\| Download paper	16
47	2006	Analytic Models of the ROC Curve: Applications to Credit Rating Model Validation. (2006). Xia, Wei ; Satchel, Stephen. In: Research Paper Series. RePEc:uts:rpaper:181. Full description at Econpapers \|\| Download paper	15
48	1999	Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model. (1999). He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:18. Full description at Econpapers \|\| Download paper	15
49	2002	A Variance Reduction Technique Based on Integral Representations. (2002). Platen, Eckhard ; Heath, David. In: Research Paper Series. RePEc:uts:rpaper:75. Full description at Econpapers \|\| Download paper	14
50	2009	The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach. (2009). Kang, Boda. In: Research Paper Series. RePEc:uts:rpaper:245. Full description at Econpapers \|\| Download paper	14

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2005	Panel Smooth Transition Regression Models. (2005). van Dijk, Dick ; TerÃ¤svirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: Research Paper Series. RePEc:uts:rpaper:165. Full description at Econpapers \|\| Download paper	23
2	2018	Heterogeneous Agent Models in Finance. (2018). He, Xuezhong (Tony) ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers \|\| Download paper	17
3	2014	Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong (Tony) ; Remco C. J. Zwinkels, . In: Research Paper Series. RePEc:uts:rpaper:344. Full description at Econpapers \|\| Download paper	11
4	2021	Short Rate Dynamics: A Fed Funds and SOFR Perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Research Paper Series. RePEc:uts:rpaper:420. Full description at Econpapers \|\| Download paper	9
5	1999	An Introduction to Numerical Methods for Stochastic Differential Equations. (1999). Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:6. Full description at Econpapers \|\| Download paper	8
6	1999	Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris . In: Research Paper Series. RePEc:uts:rpaper:10. Full description at Econpapers \|\| Download paper	6
7	2015	Application of Maximum Likelihood Estimation to Stochastic Short Rate Models. (2015). Platen, Eckhard ; Fergusson, Kevin. In: Research Paper Series. RePEc:uts:rpaper:361. Full description at Econpapers \|\| Download paper	5
8	2010	M6 - On Minimal Market Models and Minimal Martingale Measures. (2010). Hulley, Hardy ; Schweizer, Martin. In: Research Paper Series. RePEc:uts:rpaper:280. Full description at Econpapers \|\| Download paper	5
9	1999	A Multi-Factor Model for Energy Derivatives. (1999). Clewlow, Les ; Strickland, Chris . In: Research Paper Series. RePEc:uts:rpaper:28. Full description at Econpapers \|\| Download paper	4
10	2007	A Benchmark Approach to Portfolio Optimization under Partial Information. (2007). Platen, Eckhard ; Runggaldier, Wolfgang. In: Research Paper Series. RePEc:uts:rpaper:191. Full description at Econpapers \|\| Download paper	3
11	2007	Optimal VWAP Trading Strategy and Relative Volume. (2007). McCulloch, James ; Kazakov, Vladimir. In: Research Paper Series. RePEc:uts:rpaper:201. Full description at Econpapers \|\| Download paper	3
12	2016	Pricing American Options under Regime Switching Using Method of Lines. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Yang, Hongang ; Chiarella, Carl. In: Research Paper Series. RePEc:uts:rpaper:368. Full description at Econpapers \|\| Download paper	3
13	2001	Asset Price and Wealth Dynamics Under Heterogeneous Expectations. (2001). He, Xuezhong (Tony). In: Research Paper Series. RePEc:uts:rpaper:56. Full description at Econpapers \|\| Download paper	3
14	2010	Dynamics of Moving Average Rules in a Continuous-time Financial Market Model. (2010). Zheng, Min. In: Research Paper Series. RePEc:uts:rpaper:268. Full description at Econpapers \|\| Download paper	2
15	2007	Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities. (2007). Platen, Eckhard ; Kuchler, Uwe. In: Research Paper Series. RePEc:uts:rpaper:195. Full description at Econpapers \|\| Download paper	2
16	2016	Trading Heterogeneity Under Information Uncertainty. (2016). Zheng, Huanhuan. In: Research Paper Series. RePEc:uts:rpaper:373. Full description at Econpapers \|\| Download paper	2
17	1999	Fourth Moment Structure of a Family of First-Order Exponential GARCH Models. (1999). TerÃ¤svirta, Timo ; Terasvirta, Timo ; Malmsten, H. ; He, C.. In: Research Paper Series. RePEc:uts:rpaper:29. Full description at Econpapers \|\| Download paper	2
18	2004	A Survey of the Integral Representation of American Option Prices. (2004). Ziogas, Andrew ; Kucera, Adam. In: Research Paper Series. RePEc:uts:rpaper:118. Full description at Econpapers \|\| Download paper	2
19	2005	Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations. (2005). TerÃ¤svirta, Timo ; Silvennoinen, Annastiina. In: Research Paper Series. RePEc:uts:rpaper:168. Full description at Econpapers \|\| Download paper	2
20	2018	Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries. (2018). Konstandatos, Otto. In: Research Paper Series. RePEc:uts:rpaper:396. Full description at Econpapers \|\| Download paper	2
21	2013	Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics. (2013). Adolfsson, Thomas ; Ziveyi, Jonathan ; Ziogas, Andrew. In: Research Paper Series. RePEc:uts:rpaper:327. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor:

Year	Title

Recent citations

Recent citations received in 2021

Year	Citing document

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	86
2	Journal of Economic Dynamics and Control / Elsevier	127	26
3	Journal of Economic Behavior & Organization / Elsevier	132	17
4	Energy Economics / Elsevier	175	15
5	Computational Economics / Springer	33	11
6	Chaos, Solitons & Fractals / Elsevier	43	10
7	Finance Research Letters / Elsevier	87	9
8	Department of Economics / University of Modena and Reggio E., Faculty of Economics Marco Biagi	13	8
9	Annals of Operations Research / Springer	53	8
10	Quantitative Finance / Taylor & Francis Journals	63	7
11	Post-Print / HAL	216	7