Katja Ignatieva

609 total citations
48 papers, 402 citations indexed

About

Katja Ignatieva is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Katja Ignatieva has authored 48 papers receiving a total of 402 indexed citations (citations by other indexed papers that have themselves been cited), including 37 papers in Finance, 23 papers in Economics and Econometrics and 11 papers in Demography. Recurrent topics in Katja Ignatieva's work include Stochastic processes and financial applications (21 papers), Financial Risk and Volatility Modeling (20 papers) and Market Dynamics and Volatility (14 papers). Katja Ignatieva is often cited by papers focused on Stochastic processes and financial applications (21 papers), Financial Risk and Volatility Modeling (20 papers) and Market Dynamics and Volatility (14 papers). Katja Ignatieva collaborates with scholars based in Australia, United States and Israel. Katja Ignatieva's co-authors include Stefan Trück, Jonathan Ziveyi, José Da Fonseca, Zinoviy Landsman, Michael Sherris, J. Huston McCulloch, David R. Gallagher, Eckhard Platen, Paulo M.M. Rodrigues and Natalia Ponomareva and has published in prestigious journals such as Journal of Banking & Finance, Energy Economics and Journal of Business and Economic Statistics.

In The Last Decade

Katja Ignatieva

43 papers receiving 382 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Katja Ignatieva Australia 14 215 202 126 79 75 48 402
Lars Stentoft Canada 12 539 2.5× 283 1.4× 90 0.7× 83 1.1× 17 0.2× 66 638
Rosella Giacometti Italy 11 285 1.3× 218 1.1× 125 1.0× 130 1.6× 14 0.2× 52 463
Tobias Basse Germany 15 369 1.7× 375 1.9× 44 0.3× 81 1.0× 33 0.4× 44 652
Gregorio Serna Spain 9 324 1.5× 281 1.4× 29 0.2× 29 0.4× 17 0.2× 30 447
Kristian R. Miltersen Denmark 10 644 3.0× 414 2.0× 219 1.7× 62 0.8× 15 0.2× 17 773
Alex Weissensteiner Italy 12 242 1.1× 158 0.8× 70 0.6× 144 1.8× 9 0.1× 63 380
Mei Choi Chiu Hong Kong 15 453 2.1× 278 1.4× 290 2.3× 249 3.2× 8 0.1× 29 629
Peter Vlaar Netherlands 9 322 1.5× 266 1.3× 60 0.5× 35 0.4× 9 0.1× 27 421
Aleš Černý United Kingdom 13 412 1.9× 285 1.4× 83 0.7× 135 1.7× 5 0.1× 44 523
Nicole Branger Germany 14 554 2.6× 363 1.8× 113 0.9× 120 1.5× 7 0.1× 94 675

Countries citing papers authored by Katja Ignatieva

Since Specialization
Citations

This map shows the geographic impact of Katja Ignatieva's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Katja Ignatieva with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Katja Ignatieva more than expected).

Fields of papers citing papers by Katja Ignatieva

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Katja Ignatieva. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Katja Ignatieva. The network helps show where Katja Ignatieva may publish in the future.

Co-authorship network of co-authors of Katja Ignatieva

This figure shows the co-authorship network connecting the top 25 collaborators of Katja Ignatieva. A scholar is included among the top collaborators of Katja Ignatieva based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Katja Ignatieva. Katja Ignatieva is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Ignatieva, Katja & Zinoviy Landsman. (2025). Tail variance for generalised hyper-elliptical models. Astin Bulletin. 55(1). 144–167.
2.
Ignatieva, Katja, et al.. (2025). The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. Energy Economics. 144. 108296–108296. 1 indexed citations
3.
Ignatieva, Katja, et al.. (2024). The pre-FOMC announcement drift: short-lived or long-lasting? Evidence from financial and volatility markets. Applied Economics. 57(17). 2021–2037.
4.
Alexeev, Vitali, Jun Chen, & Katja Ignatieva. (2023). Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging. Studies in Nonlinear Dynamics and Econometrics. 27(5). 733–763. 1 indexed citations
5.
Ignatieva, Katja, et al.. (2022). Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. Energy Economics. 108. 105873–105873. 5 indexed citations
6.
Alexeev, Vitali & Katja Ignatieva. (2020). Biases in variance of decomposed portfolio returns. International Review of Finance. 21(4). 1152–1178. 1 indexed citations
7.
Alexeev, Vitali, et al.. (2019). Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals. Studies in Nonlinear Dynamics and Econometrics. 25(2). 2 indexed citations
8.
McCulloch, J. Huston & Katja Ignatieva. (2019). Intra-day Electricity Demand and Temperature. The Energy Journal. 41(3). 161–182. 6 indexed citations
9.
McCulloch, J. Huston & Katja Ignatieva. (2017). Forecasting High Frequency Intra-Day Electricity Demand Using Temperature. SSRN Electronic Journal. 6 indexed citations
10.
Ignatieva, Katja, et al.. (2016). Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality. SSRN Electronic Journal. 14 indexed citations
11.
Ignatieva, Katja, et al.. (2015). Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. SSRN Electronic Journal. 1 indexed citations
12.
Ignatieva, Katja. (2013). A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets. Studies in Nonlinear Dynamics and Econometrics. 18(5). 483–505. 3 indexed citations
13.
Ignatieva, Katja, et al.. (2013). Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities. SSRN Electronic Journal. 7 indexed citations
14.
Baldeaux, Jan, Katja Ignatieva, & Eckhard Platen. (2012). A Tractable Model for Indices Approximating the Growth Optimal Portfolio. SSRN Electronic Journal. 1 indexed citations
15.
Ignatieva, Katja & Stefan Trück. (2012). Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management. SSRN Electronic Journal. 6 indexed citations
16.
Ignatieva, Katja & Eckhard Platen. (2011). Estimating the diffusion coefficient function for a diversified world stock index. Computational Statistics & Data Analysis. 56(6). 1333–1349. 5 indexed citations
17.
Ignatieva, Katja, et al.. (2011). Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index. Journal of Statistical Theory and Practice. 5(3). 425–452. 3 indexed citations
18.
Ignatieva, Katja. (2011). Modelling spot price dependence in Australian electricity markets with applications to risk management. 46–47. 1 indexed citations
19.
Ignatieva, Katja & Eckhard Platen. (2011). Estimating the Diffusion Coefficient Function for a Diversified World Stock Index. SSRN Electronic Journal. 1 indexed citations
20.
Ignatieva, Katja, et al.. (2009). Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics. SSRN Electronic Journal. 9 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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