In a recent article in JASIST, L. Leydesdorff and L. Vaughan (2006) asserted that raw cocitation data should be analyzed directly, without first applying a normalization such as the Pearson correlation. In this communication, it is argued that there is nothing wrong with the widely adopted...

In a recent paper in the Journal of the American Society for Information Science and Technology, Leydesdorff and Vaughan assert that raw cocitation data should be analyzed directly, without first applying a normalization like the Pearson correlation. In this report, it is argued that there is...

We provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity...

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive...