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


0.04

Impact Factor

0.14

5-Years IF

6

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12000 (%)0.06
19950.16000 (%)0.1
19960.2000 (%)0.09
19970.21000 (%)0.09
19980.22000 (%)0.13
19990.28000 (%)0.16
20000.37992500 (%)0.14
20010.110.360.11122110.0532919110 (31.3%)0.17
20020.330.370.33264780.17242172173 (12.5%)10.040.18
20030.40.06166340.0640384732 (5%)10.060.19
20040.10.420.1157870.09244246362 (8.3%)10.070.19
20050.10.430.121997130.13183137893 (16.7%)30.160.21
20060.450.1412109130.1293488121 (11.1%)0.2
20070.060.390.061212190.0773128851 (14.3%)0.17
20080.080.390.187128190.15102427413 (%)0.17
20090.050.370.0615143200.1471916541 (14.3%)10.070.18
20100.090.330.0812155200.13122226552 (16.7%)10.080.15
20110.070.410.0715170130.084272584 (%)0.2
20120.070.460.088178140.086272615 (%)0.21
20130.130.50.128186250.13233577 (%)0.21
20140.060.540.032020690.043161582 (%)0.26
20150.040.60.147213230.11281639 (%)0.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
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
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%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

 

50 most cited documents in this series:


#YearTitleCited
12001The 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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19
22003Multivariate 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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19
32000The 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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10
42000Orthogonal 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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8
52004MTS 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.

Full description at Econpapers || Download paper

8
6Value 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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6
72002An 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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5
82002Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001. (2002). Kat, Harry ; Amin, Gaurav S.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-02.

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5
92008Interest 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
102004The 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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5
112001Estimating 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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4
122002What 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
132003An 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
14Detecting 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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4
152003Statistical 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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4
162001Option 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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4
172005The 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
182003Equity 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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3
192006Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. (2006). Kaeck, Andreas ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-08.

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3
202008Stochastic Local Volatility. (2008). Alexander, Carol ; Nogueira, Leonardo. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-02.

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3
212003Intra-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
222010An 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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3
23Cross 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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3
242007Low-Cost Momentum Strategies. (2007). Brooks, Chris ; Li, Xiafei . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-12.

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3
252004Pricing Convertible Bonds by Simulation. (2004). Yigitsbasioglu, Ali Bora ; El-Bachir, Naoufel ; Lvov, Dmitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-14.

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3
262004The 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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2
272010American Option Valuation: Implied Calibration of GARCH Pricing-Models. (2010). Prokopczuk, Marcel ; Weber, Michael . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-02.

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2
282005Asymmetries 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
292010VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-11.

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2
302007Model-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
312004A 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
322005The 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
332012Diversification of Equity with VIX Futures: Personal Views and Skewness Preference. (2012). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-07.

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2
34Credit Risk Diversification. (2001). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-07.

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2
352009The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks. (2009). Padgett, Carol ; Deelchand, Tara . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-12.

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2
362006Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model. (2006). Brigo, Damiano ; El-Bachir, Naoufel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-13.

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2
372003Matching and the Estimated Impact of Inter-listing (updated July 2003). (2003). Davies, Ryan. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-11.

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2
382002A 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
392012The interactive financial effects between corporate social responsibility and irresponsibility. (2012). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-02.

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2
402009Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price. (2009). Sutcliffe, Charles ; Brooks, Chris ; Bell, Adrian ; Matthews, David . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-08.

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2
412003Symmetric 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
422010The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis. (2010). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-12.

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2
432014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Clements, Michael ; Galvo, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04.

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1
442003Bivariate Normal Mixture Spread Option Valuation. (2003). Alexander, Carol ; Scourse, Andrew ; Alexandra, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-15.

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1
452011Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options. (2011). Prokopczuk, Marcel ; Back, Janis ; Rudolf, Markus . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-16.

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1
462007Should 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
472004Gambling 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
482009Analytic Approximations for Multi-Asset Option Pricing. (2009). Alexander, Carol ; Venkatramanan, Aanand . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-05.

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1
492005Decomposing 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
502002A Constructive Review of Basels Proposals on Operational Risk. (2002). Pezier, Jacques . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-20.

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1

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12004MTS 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.

Full description at Econpapers || Download paper

4
22000Orthogonal 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.

Full description at Econpapers || Download paper

3
32012Diversification of Equity with VIX Futures: Personal Views and Skewness Preference. (2012). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-07.

Full description at Econpapers || Download paper

2
42010American Option Valuation: Implied Calibration of GARCH Pricing-Models. (2010). Prokopczuk, Marcel ; Weber, Michael . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-02.

Full description at Econpapers || Download paper

2
52010The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis. (2010). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-12.

Full description at Econpapers || Download paper

2
62010An 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.

Full description at Econpapers || Download paper

2
72010VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-11.

Full description at Econpapers || Download paper

2
82003Multivariate 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.

Full description at Econpapers || Download paper

2
92003Statistical Properties of Forward Libor Rates. (2003). Alexander, Carol ; Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 1:


YearTitle
2015A regime switching approach for hedging tanker shipping freight rates. (2015). Alizadeh, Amir H. ; van Dellen, Stefan ; Huang, Chih-Yueh . In: Energy Economics. RePEc:eee:eneeco:v:49:y:2015:i:c:p:44-59.

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Recent citations (cites in year: CiY)


Recent citations received in 2014

YearCiting document

Recent citations received in 2012

YearCiting document

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team