Last updated February, 3 2014 581.217 documents processed, 14.657.417 references and 5.549.674 citations

ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.08000000.04
19910.08000000.04
19920.09000000.05
19930.1000000.04
19940.12000000.05
19950.16000000.09
19960.19000000.09
19970.2000000.09
19980.21000000.13
19990.27000000.16
20000.3999015000.16
20010.110.37122110.05339100.17
20020.330.38264780.171421710010.040.18
20030.4166340.063138010.060.19
20040.10.43157860.0815424010.070.19
20050.10.451997120.121531333.330.160.24
20060.4612109130.1233400.2
20070.060.391212180.076312500.17
20080.080.417128180.14824200.18
20090.050.3715143170.12219110010.070.18
20100.090.334147140.1222200.16
20110.45147150.101900.23
20120.50.46147110.0704200.24
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published 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
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

Most cited documents in this series:

YearTitleCited
2001The Statistical Properties of Hedge Fund Index Returns. (2001). Kat, Harry ; Brooks, Chris ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-09.

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21
2003Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Brooks, Chris ; Persand, Gita ; Burke, Simon. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07.

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14
2000The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). Engle, Robert ; Dufour, Alfonso. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-05.

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7
2008Interest in medieval accounts: Examples from England, 1272-1340. (2008). Brooks, Chris ; Bell, Adrian ; Moore, Tony . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-07.

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5
Value at Risk and Market Crashes. (2000). Brooks, Chris ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-01.

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4
2004MTS Time Series: Market and Data Description for the European Bond and Repo Database. (2004). Dufour, Alfonso ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-06.

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4
2003An Empirical Study of Credit Default Swaps. (2003). Diaz, Antonio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-04.

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4
2005The Spider in the Hedge. (2005). Alexander, Carol ; Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-05.

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4
2000Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices. (2000). Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-06.

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4
2003Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency. (2003). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-02.

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4
2004The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations. (2004). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-01.

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4
2002What Drives Swap Spreads, Credit or Liquidity?. (2002). Jersey, Ira ; Huang, Ying ; Neftci, Salih . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-05.

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4
2001Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility. (2001). Alexander, Carol ; Narayanan, Sujit. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-10.

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3
Detecting Switching Strategies in Equity Hedge Funds. (2005). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-07.

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3
2003Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange. (2003). Hinich, Melvin ; Brooks, Chris ; Patterson, Douglas M. ; Melvin. J. Hinich, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-14.

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3
2001Estimating Corporate Yield Curves. (2001). Diaz, Antionio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-01.

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3
2007Low-Cost Momentum Strategies. (2007). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-12.

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2
2001Cointegration and Asset Allocation: A New Fund Strategy. (2001). Alexander, Carol ; Giblin, Ian ; Weddington, Wayne. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-03.

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2
Cross Hedging with Single Stock Futures. (2005). Davies, Ryan ; Brooks, Chris ; Kim, Sang Soo . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-15.

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2
2002A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index. (2002). Brooks, Chris ; Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-14.

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2
2003Statistical Properties of Forward Libor Rates. (2003). Alexander, Carol ; Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03.

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2
2008Stochastic Local Volatility. (2008). Alexander, Carol ; Nogueira, Leonardo. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-02.

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2
2004A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds. (2004). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-03.

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2
2007Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk. (2007). Alexander, Carol ; Sheedy, Elizabeth . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-02.

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2
2003Symmetric Normal Mixture GARCH. (2003). Alexandra, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-09.

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2
2005Asymmetries and Volatility Regimes in the European Equity Markets. (2005). Alexandra, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-14.

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2
Credit Risk Diversification. (2001). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-07.

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2
2005The Long-Term P/E Radio. (2005). Brooks, Chris ; Anderson, Keith . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-02.

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2
2002Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments. (2002). Kat, Harry ; Amin, Gaurav ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-15.

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1
2002Performance Evaluation and Conditioning Information: The case of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Miffre, Joelle . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-10.

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1
2006Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?. (2006). Brooks, Chris ; Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-07.

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1
2004Gambling on the S&P 500s Gold Seal: New Evidence on the Index Effect. (2004). Ward, Charles ; Brooks, Chris ; Kappou, Konstantina . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-04.

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1
2005Predicting Agency Rating Migrations with Spread Implied Ratings. (2005). Varotto, Simone ; Kou, Jianming . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-06.

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1
2007Should Defined Benefit Pension Schemes be Career Average or Final Salary?. (2007). Sutcliffe, Charles. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-06.

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1
2003Long-term Information, Short-lived Securities. (2003). Davies, Ryan ; Bernhardt, Dan ; Spicer, John. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-10.

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1
2010Pricing and Hedging in the Freight Futures Market. (2010). Prokopczuk, Marcel. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-04.

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1
2004The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH. (2004). Alexandra, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-13.

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1
2002The Performance and Long-Run Characteristics of the Chinese IPO Market. (2002). Padgett, Carol ; Chi, Jing . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-09.

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1
2006The Stock Performance of America’s 100 Best Corporate Citizens. (2006). Pavelin, Stephen ; Brooks, Chris ; Brammer, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-06.

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1
2001International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks. (2001). Brooks, Chris ; Tsolacos, Sotiris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-08.

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1
2002Persistence in Hedge Fund Performance: The True Value of a Track Record. (2002). Kat, Harry ; Menexe, Faye ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-13.

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1
2010An Empirical Model Comparison for Valuing Crack Spread Options. (2010). Prokopczuk, Marcel ; Mahringer, Steffen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-01.

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1
2004Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-10.

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1
2002Best-advice and the true mortgate term. Actuaries endowment advice principles revisited. (2002). Godley, Andrew. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-01.

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1
2008Markov Switching GARCH Diffusion. (2008). Alexander, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-01.

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1
2004Measuring the Impact of Regulationon Market Stability: Evidence from the US Markets. (2004). Beardsley, Colin ; O'Brien, John R.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-02.

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1
2005Decomposing the P/E Ratio. (2005). Brooks, Chris ; Anderson, Keith . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-03.

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1
2002An Excursion into the Statistical Properties of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Lu, Sa. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-12.

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1
2007Hedging and Cross-hedging ETFs. (2007). Alexander, Carol ; Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-01.

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1
2009Analytic Approximations for Spread Options. (2009). Alexander, Carol ; Venkatramanan, Aanand . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-06.

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1

Citing documents used to compute impact factor 2:

YearTitleSee
2012Are freight futures markets efficient? Evidence from IMAREX. (2012). Skiadopoulos, George ; Goulas, Lambros . In: International Journal of Forecasting. RePEc:eee:intfor:v:28:y:2012:i:3:p:644-659.

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[Citation Analysis]
2012Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?. (2012). Wang, Yudong ; Wu, Chongfeng . In: Energy Economics. RePEc:eee:eneeco:v:34:y:2012:i:6:p:2167-2181.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2010

YearTitleSee

Recent citations received in: 2009

YearTitleSee
2009Meshfree Approximation for Multi-Asset Options. (2009). Venkatramanan, Aanand ; Hanert, Emmanuel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-07.

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[Citation Analysis]

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.