This book is concerned with modelling economic and social time series and with addressing the special problems which the treatment of such series pose.
Wilmott Template
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About the Wilmott format
Wilmott is a peer-reviewed journal published by Wiley, covering Stochastic processes and financial applications, Financial Markets and Investment Strategies, Human auditory perception and evaluation.
| Publisher | Wiley |
|---|---|
| Reference style | Author–year (Chicago) Author–year — (Smith, 2023) in the text Smith, Ada, Ben Jones, and Cara Lee. 2023. "A Representative Article Title." Wilmott 12 (3): 45–58.
Formats any DOI in Wilmott style. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Markets and Investment Strategies Human auditory perception and evaluation Diverse Scientific and Economic Studies Complex Systems and Time Series Analysis |
| ISSN | 1540-6962 |
| Citation impact (2-yr) | 0.11 |
| h-index | 28 |
| i10-index | 70 |
| Total citations | 4,295 |
| Top institutions publishing here | Department of Mathematical Sciences |
| Journal website | onlinelibrary.wiley.com |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Papers published in Wilmott per year
Citation impact of Wilmott by publication year
Citations each year’s papers have accumulated so far — the most recent years are still building up.
Most-cited papers in Wilmott
Sobol' sequence generators are actively used in financial applications. In this paper, we explore the effect of the uniformity properties A and A' on the generator performance in high dimensional problems. It is shown that these properties provide an additional guarantee of uniformity for high-dimensional problems even at a small number of sampled points. By…
We show that several advanced equity option models incorporating stochastic volatility can be calibrated very nicely to a realistic option surface. More specifically, we focus on the Heston Stochastic Volatility model (with and without jumps in the stock price process), the BarndorffNielsen-Shephard model and Levy models with stochastic time. All these models are capable of…
Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio.A popular tool to this end is the F-test for the equality of variances.Unfortunately, this test is not valid when the returns are correlated, have tails…