Abstract The paper analyses academic journal quality and impact using quality weighted citations that are based on the widely-used Thomson Reuters ISI Web of Science citations database (ISI). A recently developed Index of Citations Quality (ICQ), based on quality weighted citations, is used to...

Purpose – The purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high‐frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or...

Purpose – The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The...

Purpose – Both journal self-citations and exchanged citations have the effect of increasing a journal’s impact factor, which may be deceptive. The purpose of this paper is to analyse academic journal quality and research impact using quality-weighted citations vs total citations, based on...