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Working Papers / Warwick Business School, Finance Group


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Impact Factor

0.48

5-Years IF

10

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
19960.220100 (%)0.1
19970.22000 (%)0.09
19980.24000 (%)0.13
19990.3191936001 (2.8%)0.16
20000.37625319191 (33.3%)0.14
20010.120.370.12164160.15332532536 (18.2%)20.130.17
20020.370.05125340.0822224121 (4.5%)0.18
20030.140.40.095350.09284535 (%)0.19
20040.080.410.022275100.13631215311 (1.6%)70.320.18
20050.360.430.181994180.195422856101 (1.9%)30.160.21
20060.320.440.2842136250.184241136919 (%)30.070.19
20070.020.370.0619155140.09406119565 (12.5%)30.160.17
20080.10.390.1211166220.1311616102125 (45.5%)20.180.17
20090.30.360.178174270.161830911319 (%)0.17
20100.340.125179210.12241999121 (4.2%)0.15
20110.460.410.154183330.1871368513 (%)0.2
20120.110.450.138191160.0822914761 (4.5%)0.21
20130.250.50.3113204420.21171233611 (%)10.080.2
20140.570.550.5204360.1821123819 (%)0.25
20150.230.570.5204410.21333015 (%)0.26
20160.660.48204380.1902512 (%)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
12005Towards 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

27
21999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

21
32007True 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

20
42004Dynamic copula models for multivariate high-frequency data in finance. (2004). Dias, Alexandra ; Embrechts, Paul . In: Working Papers. RePEc:wbs:wpaper:wpn04-01.

Full description at Econpapers || Download paper

19
52010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

16
62006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

13
7Time-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

13
82001Copulas: an Open Field for Risk Management. (2001). Roncalli, Thierry ; Nikeghbali, Ashkan ; Durrleman, Vado ; Riboulet, Gael ; Bouy, Erick . In: Working Papers. RePEc:wbs:wpaper:wp01-01.

Full description at Econpapers || Download paper

12
92004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates. (2004). Patton, Andrew ; Chen, Xiaohong ; Fan, Yanqin . In: Working Papers. RePEc:wbs:wpaper:wp04-19.

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11
102004Properties 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
112012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

Full description at Econpapers || Download paper

10
122009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

Full description at Econpapers || Download paper

9
132004Predictive Density Accuracy Tests. (2004). Swanson, Norman ; Corradi, Valentina. In: Working Papers. RePEc:wbs:wpaper:wp04-16.

Full description at Econpapers || Download paper

8
142012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Paap, Richard ; Fidrmuc, Jana P. ; Teunissen, Tim ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

Full description at Econpapers || Download paper

8
152005Mispricing of S&P 500 Index Options. (2005). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George . In: Working Papers. RePEc:wbs:wpaper:wp05-07.

Full description at Econpapers || Download paper

8
162002Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea. In: Working Papers. RePEc:wbs:wpaper:wpn02-02.

Full description at Econpapers || Download paper

8
172006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

Full description at Econpapers || Download paper

7
182002Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds. (2002). Thomas, Dylan ; Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-09.

Full description at Econpapers || Download paper

7
192010Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei . In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

Full description at Econpapers || Download paper

6
202013Microprudential Regulation in a Dynamic Model of Banking. (2013). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

6
212006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10.

Full description at Econpapers || Download paper

6
222007An 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

6
232013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

Full description at Econpapers || Download paper

6
242001Optimal Investment in Derivative Securities. (2001). Xing, Jin ; Carr, Peter ; Dilip, Madam . In: Working Papers. RePEc:wbs:wpaper:wpn01-01.

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6
252004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. (2004). Timmermann, Allan ; Patton, Andrew. In: Working Papers. RePEc:wbs:wpaper:wp04-05.

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5
26A 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.

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5
272011The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

Full description at Econpapers || Download paper

5
282009Customer 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

4
292001Investigating 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

4
302001A 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

4
312009Least 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.

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4
322008Investment Under Uncertainty, Debt and Taxes. (2008). Gamba, Andrea ; Gordon, Leon ; Leon, Carmen Aranda. In: Working Papers. RePEc:wbs:wpaper:wpn08-03.

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4
332000Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05.

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3
341999How 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.

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3
352002Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds. (2002). Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-08.

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3
362006When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?. (2006). Hung, Chi-Hsiou ; Stremme, Alexander ; Oomen, Roel ; Basu, Devraj . In: Working Papers. RePEc:wbs:wpaper:wpn06-13.

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3
372004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-10.

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3
381999An Analysis of the Performance of European Foreign Exchange Forecasters. (1999). Marsh, Ian. In: Working Papers. RePEc:wbs:wpaper:wp99-07.

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3
392006Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders. (2006). Bottazzi, Giulio ; Anufriev, Mikhail. In: Working Papers. RePEc:wbs:wpaper:wp06-02.

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3
402006Price 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.

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3
412005Using 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.

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3
422006Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp06-24.

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3
432010The information Content of a Limit Order Book:the Case of an FX Market. (2010). Kozhan, Roman ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn10-05.

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2
442004Minority games with finite score memory. (2004). Challet, Damien ; De Martino, Andrea ; Marsili, Matteo ; Castillo, Isaac . In: Working Papers. RePEc:wbs:wpaper:wp04-07.

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2
452008Valuing Corporate Financing Strategies. (2008). Gamba, Andrea ; Triantis, Alexander J.. In: Working Papers. RePEc:wbs:wpaper:wpn08-02.

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2
462001Small Sample Properties of Panel Time-series Estimators with I(1) Errors. (2001). Smith, Ronald ; Fuertes, Ana-Maria ; Coakley, Jerry. In: Working Papers. RePEc:wbs:wpaper:wp01-08.

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2
472007Equilibrium 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.

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2
48Some Important Issues Involving Real Options. (2005). Gamba, Andrea ; Sick, Gordon . In: Working Papers. RePEc:wbs:wpaper:wpn05-02.

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2
492004Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina . In: Working Papers. RePEc:wbs:wpaper:wp04-06.

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2
502007Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. (2007). Lux, Thomas. In: Working Papers. RePEc:wbs:wpaper:wp07-11.

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2

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


#YearTitleCited
12010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

10
21999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

9
32007True 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

8
42005Towards 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

8
52004Dynamic copula models for multivariate high-frequency data in finance. (2004). Dias, Alexandra ; Embrechts, Paul . In: Working Papers. RePEc:wbs:wpaper:wpn04-01.

Full description at Econpapers || Download paper

8
62012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Paap, Richard ; Fidrmuc, Jana P. ; Teunissen, Tim ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

Full description at Econpapers || Download paper

7
72012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

Full description at Econpapers || Download paper

6
82006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

Full description at Econpapers || Download paper

6
92002Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds. (2002). Thomas, Dylan ; Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-09.

Full description at Econpapers || Download paper

4
102013Microprudential Regulation in a Dynamic Model of Banking. (2013). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

4
112006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10.

Full description at Econpapers || Download paper

3
122009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

Full description at Econpapers || Download paper

3
132006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

3
142010Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei . In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

Full description at Econpapers || Download paper

3
152013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

Full description at Econpapers || Download paper

3
162011The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

Full description at Econpapers || Download paper

2
172006Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders. (2006). Bottazzi, Giulio ; Anufriev, Mikhail. In: Working Papers. RePEc:wbs:wpaper:wp06-02.

Full description at Econpapers || Download paper

2
182009Customer 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

2
192007An 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

2
202012Optimal Insurance under Advserse Selection and Ambiguity Aversion. (2012). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn12-07.

Full description at Econpapers || Download paper

2
212001A 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

Citing documents used to compute impact factor 0:


YearTitle

Recent citations (cites in year: CiY)


Recent citations received in 2013

YearCiting document
2013Debt, equity, and capital investment. (2013). Salzsieder, Leigh ; Keune, Timothy M. ; Jackson, Scott B.. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:56:y:2013:i:2:p:291-310.

Full description at Econpapers || Download paper

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, 1st 2017. Contact: CitEc Team