Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

FMG Discussion Papers / Financial Markets 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
19900.093307100.04
19910.250.094710.14184100.05
19920.140.092910.11127100.06
19930.131210.0812600.05
19940.1211303500.05
19950.250.1641740.2494100.09
19960.20.292670.273951030.330.09
19970.080.2154180.271131020.130.08
19980.250.222263160.25185246070.320.12
19990.380.272184240.29993714030.140.15
20000.60.3725109410.38724326030.120.14
20010.330.3828137580.421254615040.140.17
20020.530.3937174910.522235328070.190.19
20030.660.42272011140.57496543060.220.19
20040.940.43402411340.56526460080.20.19
20050.280.45212621080.41596719030.140.23
20060.340.4626288910.32676121020.080.2
20070.450.424312960.3111747210120.50.17
20080.640.416328960.29655032060.380.18
20090.680.3719347900.261224027040.210.18
20100.80.33173641170.32613528070.410.16
20111.190.45323961480.37403643080.250.22
20120.650.4817413960.232249326.330.180.24
20130.450.5414141390.34049224.50.26
20140.330.23414490.12018600.17
 
 
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
2007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

Full description at Econpapers || Download paper

91
2002Market Timing and Return Prediction under Model Instability. (2002). Timmermann, Allan ; Pesaran, M. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp412.

Full description at Econpapers || Download paper

64
2009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

42
1999A Model of the Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp313.

Full description at Econpapers || Download paper

40
2002Family Firms. (2002). Shleifer, Andrei ; Burkart, Mike ; Panunzi, Fausto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp406.

Full description at Econpapers || Download paper

34
2002Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?. (2002). Vives, Xavier ; Rochet, Jean. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp408.

Full description at Econpapers || Download paper

31
1998Informed Trading, Investment, and Welfare. (1998). Rahi, Rohit ; Dow, James. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp292.

Full description at Econpapers || Download paper

31
1998Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences. (1998). Peel, David ; Nobay, Bob. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp306.

Full description at Econpapers || Download paper

29
1998Beyond the Sample: Extreme Quantile and Probability Estimation. (1998). de Vries, Casper ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp298.

Full description at Econpapers || Download paper

29
2009A Preferred-Habitat Model of the Term Structure of Interest Rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp641.

Full description at Econpapers || Download paper

28
1998Data-Snooping, Technical Trading, Rule Performance and the Bootstrap. (1998). White, Halbert ; Timmermann, Allan ; Sullivan, Ryan . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp303.

Full description at Econpapers || Download paper

28
1999A Simple Model of an International Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp336.

Full description at Econpapers || Download paper

27
1998Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp296.

Full description at Econpapers || Download paper

23
2001Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints. (2001). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp375.

Full description at Econpapers || Download paper

22
2006Recovery Rates, Default Probabilities and the Credit Cycle. (2006). González-Aguado, Carlos ; Bruche, Max ; Gonzalez-Aguado, Carlos . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp572.

Full description at Econpapers || Download paper

22
1996Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market. (1996). Payne, Richard. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp238.

Full description at Econpapers || Download paper

19
1999Optimal Bail Out Policy, Conditionality and Creative Ambiguity. (1999). FREIXAS, XAVIER. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp327.

Full description at Econpapers || Download paper

19
2010Risk Appetite and Endogenous Risk. (2010). Zigrand, Jean-Pierre ; Danielsson, Jon ; Shin, Hyun Song . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp647.

Full description at Econpapers || Download paper

19
1998Boom In, Bust Out: Young Households and the Housing Price Cycle. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp310.

Full description at Econpapers || Download paper

19
2010Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. (2010). Ellul, Andrew ; Yerramilli, Vijay . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp646.

Full description at Econpapers || Download paper

19
2005Subadditivity Re–Examined: the Case for Value-at-Risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Samorodnitsky, Gennady ; Mandira, Sarma. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp549.

Full description at Econpapers || Download paper

18
2000Public Trading and Private Incentives. (2000). Gromb, Denis ; Faure-Grimaud, Antoine . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp347.

Full description at Econpapers || Download paper

17
2010Limits of Arbitrage: The State of the Theory. (2010). Vayanos, Dimitri ; Gromb, Denis. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp650.

Full description at Econpapers || Download paper

17
1991The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market. (1991). Goodhart, Charles ; Curcio, Riccardo. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp110.

Full description at Econpapers || Download paper

16
2008Bond Supply and Excess Bond Returns. (2008). Vayanos, Dimitri ; Greenwood, Robin . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp607.

Full description at Econpapers || Download paper

16
1997Team Structure Modelling of Defaultable Bonds. (1997). Schönbucher, Philipp. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp272.

Full description at Econpapers || Download paper

16
2002Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy. (2002). Segoviano, Miguel ; Lowe, Philip . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp428.

Full description at Econpapers || Download paper

15
2009Financial Volatility and Economic Activity. (2009). Mele, Antonio. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp642.

Full description at Econpapers || Download paper

14
1997The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour. (1997). Payne, Richard ; Almeida, Alvaro ; Goodhart, Charles . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp258.

Full description at Econpapers || Download paper

14
2003Macroeconomic news, order flows and exchange rates. (2003). Payne, Richard ; Love, Ryan . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp475.

Full description at Econpapers || Download paper

13
2004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp502.

Full description at Econpapers || Download paper

13
2002Bubbles and Crashes. (2002). Brunnermeier, Markus ; Abreu, Dilip . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp401.

Full description at Econpapers || Download paper

13
2001Agency Conflicts, Ownership Concentration, and Legal Shareholder Protection. (2001). Burkart, Mike ; Panunzi, Fausto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp378.

Full description at Econpapers || Download paper

13
2001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model. (2001). Zigrand, Jean-Pierre ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp393.

Full description at Econpapers || Download paper

13
2001Coordination Risk and the Price of Debt. (2001). Morris, Stephen ; Shin, Hyun Song . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp373.

Full description at Econpapers || Download paper

13
1997Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility. (1997). Robinson, Peter ; Zaffaroni, Paolo . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp253.

Full description at Econpapers || Download paper

10
2009Negative Nominal Interest Rates: Three ways to overcome the zero lower bound. (2009). Buiter, Willem. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp636.

Full description at Econpapers || Download paper

10
2005The Interest Rate Conditioning Assumption. (2005). Goodhart, Charles . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp547.

Full description at Econpapers || Download paper

10
2008Can Rare Events Explain the Equity Premium Puzzle?. (2008). Julliard, Christian ; Ghosh, Anisha . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp610.

Full description at Econpapers || Download paper

10
2001The Impact of Technology on Cash Usage. (2001). Krueger, Malte ; Goodhart, Charles . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp374.

Full description at Econpapers || Download paper

10
1997R&D Intensity and Finance: Are Innovative Firms Financially Constrained?. (1997). Brown, Ward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp271.

Full description at Econpapers || Download paper

10
2000External Financing Costs and Banks Loan Supply: Does the Structure of the Bank Sector Matter?. (2000). Ostergaard, Charlotte. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp357.

Full description at Econpapers || Download paper

10
2006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

Full description at Econpapers || Download paper

10
2001Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders. (2001). Morris, Stephen ; Corsetti, Giancarlo ; Dasgupta, Amil ; Shin, Hyun Song . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp372.

Full description at Econpapers || Download paper

9
2008Do Reputational Concerns Lead to Reliable Ratings?. (2008). Mariano, Beatriz. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp613.

Full description at Econpapers || Download paper

9
2011Bank Bailout Menus. (2011). Nyborg, Kjell ; Bhattacharya, Sudipto . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp676.

Full description at Econpapers || Download paper

9
1993UK Directors Trading: The Impact of Dealings in Smaller Firms. (1993). Tonks, Ian ; Gregory, Alan ; Purkis, Richard ; Matatko, John. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp160.

Full description at Econpapers || Download paper

9
1999Moral Hazard, Insurance and Some Collusion. (1999). Ma, Ching-to ; Alger, Ingela. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp318.

Full description at Econpapers || Download paper

9
1999Bank Moral Hazard and Market Discipline. (1999). Carletti, Elena . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp326.

Full description at Econpapers || Download paper

9
2012Financial Regulation in General Equilibrium. (2012). Tsomocos, Dimitrios ; Vardoulakis, Alexandros ; Goodhart, Charles ; Kashyap, Anil K. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp702.

Full description at Econpapers || Download paper

9

Citing documents used to compute impact factor 6:

YearTitleSee
2014Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities. (2014). Zhou, Yinggang . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:38:y:2014:i:c:p:216-228.

Full description at Econpapers || Download paper

[Citation Analysis]
2014The importance of the volatility risk premium for volatility forecasting. (2014). Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:40:y:2014:i:c:p:303-320.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A jump model for fads in asset prices under asymmetric information. (2014). Buckley, Winston ; Perera, Sandun ; Long, Hongwei . In: European Journal of Operational Research. RePEc:eee:ejores:v:236:y:2014:i:1:p:200-208.

Full description at Econpapers || Download paper

[Citation Analysis]
2014[Citation Analysis]
2014bank capital regulation model. (2014). cho, hyejin . In: MPRA Paper. RePEc:pra:mprapa:54365.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Liquidity policies and systemic risk. (2014). Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:661.

Full description at Econpapers || Download paper

[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2012

YearTitleSee
2012When Credit Bites Back: Leverage, Business Cycles and Crises. (2012). Taylor, Alan ; Schularick, Moritz ; Jorda, Oscar. In: Working Papers. RePEc:cda:wpaper:12-24.

Full description at Econpapers || Download paper

[Citation Analysis]
2012Intermediary leverage cycles and financial stability. (2012). Boyarchenko, Nina ; Adrian, Tobias. In: Staff Reports. RePEc:fip:fednsr:567.

Full description at Econpapers || Download paper

[Citation Analysis]
2012The Cost of Financial Frictions for Life Insurers. (2012). Yogo, Motohiro ; koijen, ralph ; Ralph S. J. Koijen, . In: NBER Working Papers. RePEc:nbr:nberwo:18321.

Full description at Econpapers || Download paper

[Citation Analysis]

Recent citations received in: 2011

YearTitleSee
2011Rescue packages and bank lending. (2011). von Peter, Goetz ; Gambacorta, Leonardo ; Brei, Michael. In: BIS Working Papers. RePEc:bis:biswps:357.

Full description at Econpapers || Download paper

[Citation Analysis]
2011An estimated DSGE model: explaining variation in term premia. (2011). Andreasen, Martin. In: Bank of England working papers. RePEc:boe:boeewp:0441.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Informational Rents, Macroeconomic Rents, and Efficient Bailouts. (2011). PHILIPPON, Thomas ; Schnabl, Philipp . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8216.

Full description at Econpapers || Download paper

[Citation Analysis]
2011A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk. (2011). Acharya, Viral ; Drechsler, Itamar ; Schnabl, Philipp . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:8679.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Delegated activism and disclosure. (2011). Dasgupta, Amil ; Zachariadis, Konstantinos . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:43078.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Risk, uncertainty, and expected returns. (2011). Zhou, Hao ; Bali, Turan G.. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2011-45.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Stock return predictability and variance risk premia: statistical inference and international evidence. (2011). Zhou, Hao ; Bollerslev, Tim ; Xu, Lai ; Marrone, James . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2011-52.

Full description at Econpapers || Download paper

[Citation Analysis]
2011Walking Wounded or Living Dead? Making Banks Foreclose Bad Loans. (2011). Llobet, Gerard ; Bruche, Max. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp675.

Full description at Econpapers || Download paper

[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.