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

Working Papers / Warwick Business School, Finance Group

[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
19960.19010000.09
19970.2000000.09
19980.21000000.13
19990.27191909000.16
20000.39625031900.16
20010.080.37164130.07232525010.060.17
20020.38125310.0232200.18
20030.110.45340.08028300.19
20040.43227570.092512030.140.19
20050.140.45199460.062322300.24
20060.170.4642136140.1941700.2
20070.391915570.051161010.050.17
20080.411116650.0336100.18
20090.170.378174200.119305400.18
20100.33517990.0511900.16
20110.230.454183210.11013300.23
20120.468191120.061900.24
 
 
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
2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?. (2005). Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp05-11.

Full description at Econpapers || Download paper

11
2001Copulas: an Open Field for Risk Management. (2001). Roncalli, Thierry ; Bouy, Erick ; Durrleman, Vado ; Nikeghbali, Ashkan ; Riboulet, Gael . In: Working Papers. RePEc:wbs:wpaper:wp01-01.

Full description at Econpapers || Download paper

11
2004Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes. (2004). Oomen, Roel. In: Working Papers. RePEc:wbs:wpaper:wp04-15.

Full description at Econpapers || Download paper

10
2005Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach. (2005). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich . In: Working Papers. RePEc:wbs:wpaper:wp05-02.

Full description at Econpapers || Download paper

10
2004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates. (2004). Patton, Andrew ; Fan, Yanqin ; Chen, Xiaohong . In: Working Papers. RePEc:wbs:wpaper:wp04-19.

Full description at Econpapers || Download paper

6
2006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

6
2001Optimal Investment in Derivative Securities. (2001). Carr, Peter ; Dilip, Madam ; Xing, Jin . In: Working Papers. RePEc:wbs:wpaper:wpn01-01.

Full description at Econpapers || Download paper

5
2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Lux, Thomas ; Liu, Ruipeng ; Matteo, Di. In: Working Papers. RePEc:wbs:wpaper:wp07-12.

Full description at Econpapers || Download paper

5
2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. (2004). Timmermann, Allan ; Patton, Andrew. In: Working Papers. RePEc:wbs:wpaper:wp04-05.

Full description at Econpapers || Download paper

4
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. (2009). Voev, Valeri ; Nolte, Ingmar. In: Working Papers. RePEc:wbs:wpaper:wp09-02.

Full description at Econpapers || Download paper

4
2009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

Full description at Econpapers || Download paper

4
2000Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05.

Full description at Econpapers || Download paper

3
2001Investigating Dynamic Dependence Using Copulae. (2001). Salmon, Mark ; Bouy, Eric ; Gaussel, Nicolas . In: Working Papers. RePEc:wbs:wpaper:wp01-03.

Full description at Econpapers || Download paper

3
2006Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation. (2006). Tuinstra, Jan ; Sonnemans, Joep ; Hommes, Cars ; Heemeijer, Peter . In: Working Papers. RePEc:wbs:wpaper:wp06-18.

Full description at Econpapers || Download paper

3
2007Informational differences and learning in an asset market with boundedly rational agents. (2007). Dindo, Pietro ; Diks, Cees. In: Working Papers. RePEc:wbs:wpaper:wp07-06.

Full description at Econpapers || Download paper

2
2001A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12.

Full description at Econpapers || Download paper

2
1999The Disappearance of Style in the US Equity Market. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-18.

Full description at Econpapers || Download paper

2
2004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-10.

Full description at Econpapers || Download paper

2
1999An Analysis of the Performance of European Foreign Exchange Forecasters. (1999). Marsh, Ian. In: Working Papers. RePEc:wbs:wpaper:wp99-07.

Full description at Econpapers || Download paper

2
2008Investment Under Uncertainty, Debt and Taxes. (2008). Gamba, Andrea ; Leon, Carmen Aranda ; Gordon, Leon . In: Working Papers. RePEc:wbs:wpaper:wpn08-03.

Full description at Econpapers || Download paper

2
1999Predictability in International Asset Returns: A Re-examination. (1999). Neely, Christopher ; Weller, Paul . In: Working Papers. RePEc:wbs:wpaper:wp99-03.

Full description at Econpapers || Download paper

1
2007The Value of Financial Flexibility. (2007). Gamba, Andrea ; Triantis, Alexander J.. In: Working Papers. RePEc:wbs:wpaper:wpn07-02.

Full description at Econpapers || Download paper

1
1999Improved Testing for the Efficiency of Asset Pricing Theories in Linear Factor Models. (1999). Hwang, Soosung ; Satchell, Steve . In: Working Papers. RePEc:wbs:wpaper:wp99-19.

Full description at Econpapers || Download paper

1
2004Federal Funds Rate Prediction. (2004). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-12.

Full description at Econpapers || Download paper

1
2012Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts. (2012). Antoniou, Constantinos ; Read, Daniel ; Galariotis, Emilios . In: Working Papers. RePEc:wbs:wpaper:wpn12-01.

Full description at Econpapers || Download paper

1
2005Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised). (2005). Schleicher, Christoph ; Salmon, Mark ; Hurd, Matthew . In: Working Papers. RePEc:wbs:wpaper:wp05-14.

Full description at Econpapers || Download paper

1
2002Reinterpreting the Real Exchange Rate - Yield Diffential Nexus. (2002). Wood, Andrew ; Fuertes, Ana-Maria ; Coakley, Jerry. In: Working Papers. RePEc:wbs:wpaper:wp02-10.

Full description at Econpapers || Download paper

1
2007An Improved Binomial Lattice Method for Multi-Dimensional Options. (2007). Gamba, Andrea ; Trigeorgis, Lenos . In: Working Papers. RePEc:wbs:wpaper:wpn07-01.

Full description at Econpapers || Download paper

1
2004Predictive Density Accuracy Tests. (2004). Swanson, Norman ; Corradi, Valentina . In: Working Papers. RePEc:wbs:wpaper:wp04-16.

Full description at Econpapers || Download paper

1
2007Equilibrium Return and Agents Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model. (2007). Dindo, Pietro ; Anufriev, Mikhail. In: Working Papers. RePEc:wbs:wpaper:wp07-03.

Full description at Econpapers || Download paper

1
2001Numerical Issues in Threshold Autoregressive Modelling of Time Series. (2001). Fuertes, Ana-Maria ; Coakley, Jerry ; Perez, Maria-Teresa . In: Working Papers. RePEc:wbs:wpaper:wp01-09.

Full description at Econpapers || Download paper

1
2004Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-11.

Full description at Econpapers || Download paper

1
2010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

1
2009Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform. (2009). Nolte, Ingmar ; Nolte (Lechner), Sandra. In: Working Papers. RePEc:wbs:wpaper:wp09-01.

Full description at Econpapers || Download paper

1
2002Event-related GARCH: the impact of stock dividends in Turkey. (2002). Batchelor, Roy ; Orgakcioglu, Ismail . In: Working Papers. RePEc:wbs:wpaper:wp02-02.

Full description at Econpapers || Download paper

1
2007A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets. (2007). Alfarano, Simone ; Franke, Reiner . In: Working Papers. RePEc:wbs:wpaper:wp07-01.

Full description at Econpapers || Download paper

1
1999The Effects of Systematic Sampling and Temporal Aggregation on Discrete Time Long Memory Processes and their Finite Sample Properties. (1999). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp99-15.

Full description at Econpapers || Download paper

1
2005Incentive Contracts and Hedge Fund Management. (2005). Jackwerth, Jens ; Hodder, James . In: Working Papers. RePEc:wbs:wpaper:wp05-10.

Full description at Econpapers || Download paper

1
2008On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates. (2008). Salmon, Mark ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wp08-06.

Full description at Econpapers || Download paper

1
2002Combining Heterogeneous Classifiers for Stock Selection. (2002). Batchelor, Roy ; Albanis, George . In: Working Papers. RePEc:wbs:wpaper:wp02-01.

Full description at Econpapers || Download paper

1
1999How do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (1999). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie. In: Working Papers. RePEc:wbs:wpaper:wp99-21.

Full description at Econpapers || Download paper

1
2004Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling. (2004). Oomen, Roel. In: Working Papers. RePEc:wbs:wpaper:wp04-14.

Full description at Econpapers || Download paper

1
2004Minority games with finite score memory. (2004). Challet, Damien ; Castillo, Isaac ; De Martino, Andrea ; Marsili, Matteo . In: Working Papers. RePEc:wbs:wpaper:wp04-07.

Full description at Econpapers || Download paper

1
2001An Analysis of Performance Measures Using Copulae. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-13.

Full description at Econpapers || Download paper

1
1999Forecasting Volatility using LINEX Loss Functions. (1999). Hwang, Soosung ; Knight, John ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-20.

Full description at Econpapers || Download paper

1
2004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2004). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard. In: Working Papers. RePEc:wbs:wpaper:wp04-13.

Full description at Econpapers || Download paper

1

Citing documents used to compute impact factor 0:

YearTitleSee

Cites in year: CiY

Recent citations received in: 2009

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.