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

0.19

Impact Factor

0.16

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 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.11
19960.22000 (%)0.1
19970.22000 (%)0.09
19980.24000 (%)0.13
19990.3000 (%)0.16
20000.37992600 (%)0.14
20010.110.370.11122110.0533919110 (30.3%)0.17
20020.330.370.33264780.17262172173 (11.5%)10.040.18
20030.40.06166340.0641384732 (4.9%)10.060.19
20040.10.410.13157890.12294246382 (6.9%)10.070.18
20050.130.430.131997140.142131478103 (14.3%)30.160.21
20060.440.1412109130.1293488121 (11.1%)0.19
20070.060.370.061212190.0773128851 (14.3%)0.17
20080.080.390.187128190.15102427413 (%)0.17
20090.050.360.0615143200.1481916541 (12.5%)10.070.17
20100.090.340.0812155190.12172226552 (11.8%)10.080.15
20110.070.410.0715170150.097272584 (%)0.2
20120.070.450.088178140.087272615 (%)0.21
20130.130.50.148186260.14233578 (%)0.2
20140.060.550.0520206110.057161583 (%)0.25
20150.040.570.167213230.1152816310 (%)0.26
20160.190.660.168221220.1275589 (%)0.34
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
12003Multivariate 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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21
22001The 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
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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12
42004MTS 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

10
52000Orthogonal 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
62004The 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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6
7Value 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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5
82002An 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
92001Estimating 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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5
102008Interest 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
112002Welcome 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
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
13Detecting 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
14Cross 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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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
162004Pricing 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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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
182001Option 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
192003Intra-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
202010The 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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3
212007Low-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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3
222003An 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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3
232014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04.

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3
242010Generalized Beta-Generated Distributions. (2010). Sarabia, José María ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-09.

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3
252006Regimes 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
262008Stochastic 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
272015Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision. (2015). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-02.

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3
282010An 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
292003Equity 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
302004Ex Ante versus Ex Post Regulation of Bank Capital. (2004). Varotto, Simone ; Daripa, Arup. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-12.

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2
312009Over 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
322006Credit 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
332004A 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
342005The 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
352010Stress Testing Credit Risk: The Great Depression Scenario. (2010). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-03.

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2
362014Monte Carlo Approximate Tensor Moment Simulations. (2014). Arismendi Zambrano, Juan. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-08.

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2
372010VIX 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
382012The 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
392015Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011. (2015). Sutcliffe, Charles. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-05.

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2
402010American 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
41Credit Risk Diversification. (2001). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-07.

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2
422005Predicting 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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2
432003Matching 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
442002A 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
452005Asymmetries 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
462003Symmetric 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
472004The 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
482009The 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
492002Persistence 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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2
502011Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-02.

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2

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
22015Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision. (2015). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-02.

Full description at Econpapers || Download paper

3
32014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04.

Full description at Econpapers || Download paper

3
42010The 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

3
52014Monte Carlo Approximate Tensor Moment Simulations. (2014). Arismendi Zambrano, Juan. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-08.

Full description at Econpapers || Download paper

2
62010American 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
72012Diversification 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
82004The 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.

Full description at Econpapers || Download paper

2
92000Orthogonal 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

2
102010Generalized Beta-Generated Distributions. (2010). Sarabia, José María ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-09.

Full description at Econpapers || Download paper

2
112004Pricing 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.

Full description at Econpapers || Download paper

2
122010VIX 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

Citing documents used to compute impact factor 5:

YearTitle
2016Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence. (2016). Friedrici, Karola ; Baetje, Fabian . In: Economics Letters. RePEc:eee:ecolet:v:143:y:2016:i:c:p:38-43.

Full description at Econpapers || Download paper

2016Data Revisions and DSGE Models. (2016). Galvão, Ana ; Galvao, Ana Beatriz . In: EMF Research Papers. RePEc:wrk:wrkemf:11.

Full description at Econpapers || Download paper

2016Determinants of the Atlantic salmon futures risk premium. (2016). Misund, BÃ¥rd ; Oglend, Atle ; Asche, Frank . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:2:y:2016:i:1:p:6-17.

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2016The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios. (2016). Domino, Krzysztof . In: Papers. RePEc:arx:papers:1605.09181.

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2016Forecast Disagreement and the Inflation Outlook: New International Evidence. (2016). Siklos, Pierre. In: IMES Discussion Paper Series. RePEc:ime:imedps:16-e-03.

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Recent citations (cites in year: CiY)

Recent citations received in 2015
YearCiting document

Recent citations received in 2014
YearCiting document

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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, 1st 2017. Contact: CitEc Team