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  Updated Jun, 1 2012 364.619 documents processed, 8.178.370 references and 3.213.942 citations

 

 
 

Working Papers / Financial Econometrics Research Centre, Warwick Business School

Raw citation data, Main indicators, Most cited papers , cites used to compute the impact factor (2010), Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII
19900.090000.04
19910.080000.04
19920.090000.05
19930.110000.05
19940.130000.05
19950.140000.09
19960.170000.09
19970.180000.09
19980.210000.14
19990.271931000.16
20000.050.376219100.15
20010.3515112500.18
20020.391032100.19
20030.160.42025400.21
20040.10.451939101050.260.21
20050.420.451619198020.130.26
20060.230.482318358030.130.22
20070.130.4113939500.19
20080.190.417036700.19
20090.050.374120100.19
20100.2801100.16
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CIT: Number of citations to the series in 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
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
IdI: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Main indicators

Most cited documents in this series:
YearTitleCited
2004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates
RePEc:wbs:wpaper:wp04-19 [Citation Analysis]
13
1999Modelling Emerging Market Risk Premia Using Higher Moments
RePEc:wbs:wpaper:wp99-17 [Citation Analysis]
13
2005Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
RePEc:wbs:wpaper:wp05-02 [Citation Analysis]
10
2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity
RePEc:wbs:wpaper:wp04-05 [Citation Analysis]
9
2006Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation
RePEc:wbs:wpaper:wp06-18 [Citation Analysis]
8
1999Technical Analysis and Central Bank Intervention
RePEc:wbs:wpaper:wp99-04 [Citation Analysis]
6
1999The Disappearance of Style in the US Equity Market
RePEc:wbs:wpaper:wp99-18 [Citation Analysis]
5
2001Investigating Dynamic Dependence Using Copulae
RePEc:wbs:wpaper:wp01-03 [Citation Analysis]
4
2001Copulas: an Open Field for Risk Management
RePEc:wbs:wpaper:wp01-01 [Citation Analysis]
4
2005The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields
RePEc:wbs:wpaper:wp05-13 [Citation Analysis]
4
2004Predictive Density Accuracy Tests
RePEc:wbs:wpaper:wp04-16 [Citation Analysis]
4
2007Should Network Structure Matter in Agent-Based Finance?
RePEc:wbs:wpaper:wp07-02 [Citation Analysis]
3
2001Tracking Error: Ex-Ante versus Ex-Post Measures
RePEc:wbs:wpaper:wp01-15 [Citation Analysis]
3
2004Is Seasonal Heteroscedasticity Real? An International Perspective
RePEc:wbs:wpaper:wp04-08 [Citation Analysis]
2
2004Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling
RePEc:wbs:wpaper:wp04-14 [Citation Analysis]
2
1999An Analysis of the Performance of European Foreign Exchange Forecasters
RePEc:wbs:wpaper:wp99-07 [Citation Analysis]
2
2006Dynamic instability in a phenomenological model of correlated assets
RePEc:wbs:wpaper:wp06-17 [Citation Analysis]
2
2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence
RePEc:wbs:wpaper:wp07-12 [Citation Analysis]
2
1999How do UK-Based Foreign Exchange Dealers Think Their Market Operates?
RePEc:wbs:wpaper:wp99-21 [Citation Analysis]
2
2000Properties of Cross-sectional Volatility
RePEc:wbs:wpaper:wp00-05 [Citation Analysis]
2
2004Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers
RePEc:wbs:wpaper:wp04-11 [Citation Analysis]
2
2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?
RePEc:wbs:wpaper:wp05-11 [Citation Analysis]
2
2007A Prototype Model of Speculative Dynamics With Position-Based Trading
RePEc:wbs:wpaper:wp07-08 [Citation Analysis]
2
2004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
RePEc:wbs:wpaper:wp04-10 [Citation Analysis]
2
2005Incentive Contracts and Hedge Fund Management
RePEc:wbs:wpaper:wp05-10 [Citation Analysis]
2
2006The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility
RePEc:wbs:wpaper:wp06-19 [Citation Analysis]
2
2004Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes
RePEc:wbs:wpaper:wp04-15 [Citation Analysis]
2
2006Effects of Tobin Taxes in Minority Game Markets
RePEc:wbs:wpaper:wp06-08 [Citation Analysis]
2
2007Estimation of a Microfounded Herding Model On German Survey Expectations
RePEc:wbs:wpaper:wp07-07 [Citation Analysis]
1
1999Market Risk and the Concept of Fundamental Volatility: Measuring Volatility Across Asset and Derivative Markets and Testing for the Impact of Derivatives Markets on Financial Markets
RePEc:wbs:wpaper:wp99-16 [Citation Analysis]
1
2005Employee Stock Options: Much More Valuable Than You Thought
RePEc:wbs:wpaper:wp05-09 [Citation Analysis]
1
2002Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds
RePEc:wbs:wpaper:wp02-08 [Citation Analysis]
1
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
RePEc:wbs:wpaper:wp09-02 [Citation Analysis]
1
2006Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders
RePEc:wbs:wpaper:wp06-02 [Citation Analysis]
1
2004Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
RePEc:wbs:wpaper:wp04-06 [Citation Analysis]
1
2002Combining Heterogeneous Classifiers for Stock Selection
RePEc:wbs:wpaper:wp02-01 [Citation Analysis]
1
2004Federal Funds Rate Prediction
RePEc:wbs:wpaper:wp04-12 [Citation Analysis]
1
2007A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
RePEc:wbs:wpaper:wp07-01 [Citation Analysis]
1
2006A Behavioral Model for Participation Games with Negative Feedback
RePEc:wbs:wpaper:wp06-15 [Citation Analysis]
1
2007Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey
RePEc:wbs:wpaper:wp07-11 [Citation Analysis]
1
2006Pricing Multivariate Currency Options with Copulas
RePEc:wbs:wpaper:wp06-21 [Citation Analysis]
1
2004Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability
RePEc:wbs:wpaper:wp04-01 [Citation Analysis]
1
1999Predictability in International Asset Returns: A Re-examination
RePEc:wbs:wpaper:wp99-03 [Citation Analysis]
1
2006Statistical mechanics of socio-economic systems with heterogeneous agents
RePEc:wbs:wpaper:wp06-12 [Citation Analysis]
1
2001Numerical Issues in Threshold Autoregressive Modelling of Time Series
RePEc:wbs:wpaper:wp01-09 [Citation Analysis]
1
2002Reinterpreting the Real Exchange Rate - Yield Diffential Nexus
RePEc:wbs:wpaper:wp02-10 [Citation Analysis]
1
1999Intraday Technical Trading in the Foreign Exchange Market
RePEc:wbs:wpaper:wp99-02 [Citation Analysis]
1

Citing documents used to compute impact factor 0:
YearTitleSee

Cites in year: CiY

Recent citations received in: 2007

YearTitleSee

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

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