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OFRC Working Papers Series / Oxford Financial Research Centre


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Impact Factor

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5-Years IF

16

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
19990.28303040.135100 (%)40.130.16
20000.130.370.13124260.14523043041 (1.9%)10.080.14
20010.310.360.312466170.2615742134213 (%)40.170.17
20020.390.370.321379250.323536146621 (%)20.150.18
20030.570.40.3422101340.3415237217927 (%)60.270.19
20040.830.420.4323124550.44163352910143 (%)70.30.19
20050.730.430.4721145520.3690453394441 (1.1%)20.10.21
20060.520.450.515160710.4464442310352 (%)50.330.2
20070.390.390.446166620.371536149441 (%)20.330.17
20080.710.390.4633199690.35170211587401 (%)120.360.17
20090.640.370.6742031060.521439259866 (%)20.50.18
20100.590.330.47203800.3937227937 (%)0.15
20110.50.410.6203930.46425835 (%)0.2
20120.460.42203540.2704318 (%)0.21
20130.50.89203910.4503733 (%)0.21
20140.540.5203530.26042 (%)0.26
20150.6203560.2800 (%)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
12001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

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83
22008Fitting vast dimensional time-varying covariance models. (2008). Shephard, Neil ; Engle, Robert ; Shepphard, Kevin. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe30.

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58
32003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

55
42005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

Full description at Econpapers || Download paper

50
52004A Model to Analyse Financial Fragility: Applications. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe05.

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46
62000Credit Derivatives, Disintermediation and Investment Decisions. (2000). Morrison, Alan. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe01.

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34
72001A Theory of the Syndicate: Form Follows Function. (2001). Pichler, Pegaret ; Wilhelm, William . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe05.

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33
82004Likelihood-based estimation of latent generalised ARCH structures. (2004). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe02.

Full description at Econpapers || Download paper

31
92008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe29.

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27
102004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe21.

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27
112003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

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21
122006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe05.

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19
132003Ownership: Evolution and Regulation. (2003). Rossi, Stefano ; Mayer, Colin ; Franks, Julian . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe14.

Full description at Econpapers || Download paper

18
142003A Model to Analyse Financial Fragility. (2003). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe13.

Full description at Econpapers || Download paper

18
151999Finance, Investment and Growth. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe09.

Full description at Econpapers || Download paper

16
162004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe20.

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16
171999How Do Financial Systems Affect Economic Performance?. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe08.

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15
182006Searching for a Metric for Financial Stability. (2006). Zicchino, Lea ; Tsomocos, Dimitrios ; Goodhart, C. ; Aspachs, O. ; Segoviano, M.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe09.

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14
192001From market games to real-world markets. (2001). Hart, Michael ; Jefferies, Paul ; Hui, P. M. ; Johnson, Neil . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf02.

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12
202003Procyclicality and the new Basel Accord - Banks choice of loan rating system. (2003). Tsomocos, Dimitrios ; Catarineu-Rabell, Eva ; Jackson, Patricia . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe06.

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12
212006Evaluation of macroeconomic models for financial stability analysis. (2006). Tsomocos, Dimitrios ; BÃ¥rdsen, Gunnar ; Bardsen, Gunnar ; Lindquist, Kjersti-Gro . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe01.

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12
222005Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe05.

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12
232007A Note on the Central Limit Theorem for Bipower Variation of General Functions. (2007). Podolskij, Mark ; Kinnebrock, Silja . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2007fe03.

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11
242008Copula-Based Models for Financial Time Series. (2008). Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe21.

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11
252009Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2009fe02.

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11
262003Partnership Firms, Reputation and Human Capital. (2003). Morrison, Alan ; William J. Wilhelm, Jr., . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe02.

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11
272000Non-Gaussian OU based models and some of their uses in financial economics. (2000). Shephard, Neil ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2000mf01.

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10
282003Why are European IPOs so rarely priced outside the indicative price range?. (2003). Morrison, Alan ; Jenkinson, Tim ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe05.

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10
292003Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects. (2003). Morrison, Alan ; Loranth, Gyongyi . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe11.

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10
302008Board structures around the world: An experimental investigation. (2008). Noe, Thomas ; Gillette, Ann B. ; Rebello, Michael J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe15.

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9
312001Application of multi-agent games to the prediction of financial time-series. (2001). lamper, David ; Howison, Sam ; Jefferies, Paul ; Johnson, Neil F. ; Hart, Michael L.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf04.

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9
322008Evaluating Volatility and Correlation Forecasts. (2008). Sheppard, Kevin ; Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe22.

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8
332008Good IPOs draw in bad: Inelastic banking capacity and hot markets. (2008). Noe, Thomas ; Khanna, Naveen ; Sonti, Ramana . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe10.

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8
342008The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe24.

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8
352004The Demise of Investment-Banking Partnerships: Theory and Evidence.. (2004). Morrison, Alan ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe14.

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7
362002IPO Pricing in the Dot-com Bubble. (2002). Ljungqvist, Alexander ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002fe07.

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7
372006Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe06.

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7
382004A Time Series Analysis of Financial Fragility in the UK Banking System. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe18.

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7
392008Where do firms incorporate? Deregulation and the cost of entry. (2008). Wagner, Hannes ; Mayer, Colin ; Becht, Marco. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe04.

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7
402004A Risk Assessment Model for Banks. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe11.

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7
412005Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe04.

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7
422004Financial Liberalisation and Capital Regulation in Open Economies. (2004). Morrison, Alan ; White, Lucy . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe10.

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7
432005Matched asymptotic expansions in financial engineering. (2005). Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005mf01.

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6
442008Leverage and Pricing in Buyouts: An Empirical Analysis. (2008). Weisbach, Michael ; Jenkinson, Tim ; STRMBERG, PER ; Axelson, Ulf . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe20.

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6
452003Spending Less Time with the Family: The Decline of Family Ownership in the UK. (2003). Rossi, Stefano ; Mayer, Colin ; Franks, Julian . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe15.

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6
462008Returns to Shareholder Activism. (2008). Rossi, Stefano ; Mayer, Colin ; Becht, Marco ; Franks, Julian . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe07.

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6
472002Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models. (2002). Jeannette H. C. Woerner, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002mf05.

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5
482002Stock Based Compensation: Firm-specific risk, Efficiency and Incentives. (2002). Henderson, Vicky . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002fe01.

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5
492002Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing. (2002). Cartea, Álvaro ; Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002mf04.

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5
502001Business Groups and Risk Sharing around the World. (2001). Khanna, Tarun ; Yafeh, Yishay . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe02.

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5

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


#YearTitleCited
12008Fitting vast dimensional time-varying covariance models. (2008). Shephard, Neil ; Engle, Robert ; Shepphard, Kevin. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe30.

Full description at Econpapers || Download paper

21
22005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

Full description at Econpapers || Download paper

14
32001A Theory of the Syndicate: Form Follows Function. (2001). Pichler, Pegaret ; Wilhelm, William . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe05.

Full description at Econpapers || Download paper

12
42003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

11
52001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

Full description at Econpapers || Download paper

9
62004Likelihood-based estimation of latent generalised ARCH structures. (2004). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe02.

Full description at Econpapers || Download paper

9
72003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

Full description at Econpapers || Download paper

8
82004A Model to Analyse Financial Fragility: Applications. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe05.

Full description at Econpapers || Download paper

7
92008Where do firms incorporate? Deregulation and the cost of entry. (2008). Wagner, Hannes ; Mayer, Colin ; Becht, Marco. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe04.

Full description at Econpapers || Download paper

4
102008Good IPOs draw in bad: Inelastic banking capacity and hot markets. (2008). Noe, Thomas ; Khanna, Naveen ; Sonti, Ramana . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe10.

Full description at Econpapers || Download paper

4
112008Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe23.

Full description at Econpapers || Download paper

3
122009Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2009fe02.

Full description at Econpapers || Download paper

3
132009Competitive IPOs. (2009). Jones, Howard ; Jenkinson, Tim. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2009fe01.

Full description at Econpapers || Download paper

3
142004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe20.

Full description at Econpapers || Download paper

3
152001On the Equivalence of Floating and Fixed-Strike Asian Options. (2001). Wojakowski, Rafal ; Henderson, Vicky . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf08.

Full description at Econpapers || Download paper

2
162008Multinational Ownership and Subsidiary Investment. (2008). Mayer, Colin ; Carlin, Wendy ; Charlton, Andrew . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe05.

Full description at Econpapers || Download paper

2
172005Matched asymptotic expansions in financial engineering. (2005). Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005mf01.

Full description at Econpapers || Download paper

2
182008Board structures around the world: An experimental investigation. (2008). Noe, Thomas ; Gillette, Ann B. ; Rebello, Michael J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe15.

Full description at Econpapers || Download paper

2
192001Application of multi-agent games to the prediction of financial time-series. (2001). lamper, David ; Howison, Sam ; Jefferies, Paul ; Johnson, Neil F. ; Hart, Michael L.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf04.

Full description at Econpapers || Download paper

2
202004Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange. (2004). Bowsher, Clive. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe19.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:


YearTitle

Recent citations (cites in year: CiY)


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