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Working Papers / Warwick Business School, Finance Group


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Impact Factor

0.38

5-Years IF

11

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.11000 (%)0.06
19910.1000 (%)0.04
19920.1000 (%)0.05
19930.13000 (%)0.06
19940.14000 (%)0.06
19950.17000 (%)0.1
19960.220100 (%)0.09
19970.22000 (%)0.09
19980.24000 (%)0.12
19990.3191943001 (2.3%)0.15
20000.050.360.0562510.0431911911 (33.3%)0.14
20010.120.360.12164160.15392532536 (15.4%)20.130.16
20020.370.07125350.0927224131 (3.7%)0.18
20030.140.390.095350.09284535 (%)0.19
20040.080.40.042275110.15721215321 (1.4%)70.320.18
20050.410.420.211994200.216522956121 (1.5%)30.160.2
20060.320.450.342136290.214741136921 (%)40.10.19
20070.030.380.0719155160.1456129575 (11.1%)30.160.16
20080.110.390.1711166280.1713617102175 (38.5%)20.180.17
20090.330.360.188174280.1622301011320 (%)0.17
20100.050.340.145179250.143219199141 (3.1%)0.15
20110.460.40.164183350.19101368514 (%)0.19
20120.110.440.138191190.129914761 (3.4%)0.2
20130.330.490.3313204460.23201243612 (%)10.080.2
20140.570.520.55204370.1821123821 (%)0.23
20150.230.540.5204430.211333015 (%)0.24
20160.60.68204460.2302517 (%)0.27
20170.640.38204420.210218 (%)0.28
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

35
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

26
32004Dynamic 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

25
42010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

23
52007True 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

22
6Time-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
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

13
82006Pricing 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
92009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

Full description at Econpapers || Download paper

13
102004Simple 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.

Full description at Econpapers || Download paper

12
112001Copulas: 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
122012One 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

11
132002Noise 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

10
142004Properties 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
152002Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea. In: Working Papers. RePEc:wbs:wpaper:wpn02-02.

Full description at Econpapers || Download paper

9
162001Optimal Investment in Derivative Securities. (2001). Xing, Jin ; Carr, Peter ; Dilip, Madam . In: Working Papers. RePEc:wbs:wpaper:wpn01-01.

Full description at Econpapers || Download paper

8
172004Predictive Density Accuracy Tests. (2004). Swanson, Norman ; Corradi, Valentina. In: Working Papers. RePEc:wbs:wpaper:wp04-16.

Full description at Econpapers || Download paper

8
182007An 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

8
192005Mispricing 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
202010Asymmetric 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

7
212006Financial 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
222013Welfare-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

7
23A 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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6
242013Microprudential 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
252006Pricing 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
262011The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

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5
272004Properties 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
282008Investment 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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5
292001Small 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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5
302011The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns. (2011). Zhang, Weina ; LI, HAITAO ; Kim, Gi H. ; Gi H. Kim, . In: Working Papers. RePEc:wbs:wpaper:wpn11-04.

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5
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
322006Price 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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4
332001Investigating Dynamic Dependence Using Copulae. (2001). Salmon, Mark ; Bouy, Eric ; Gaussel, Nicolas . In: Working Papers. RePEc:wbs:wpaper:wp01-03.

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4
342009Customer 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.

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4
352001A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12.

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4
361999How 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.

Full description at Econpapers || Download paper

4
372002Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds. (2002). Gemmill, Gordon. In: Working Papers. RePEc:wbs:wpaper:wp02-08.

Full description at Econpapers || Download paper

4
382004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-10.

Full description at Econpapers || Download paper

3
392000Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05.

Full description at Econpapers || Download paper

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
412006Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp06-24.

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3
422006A Behavioral Model for Participation Games with Negative Feedback. (2006). Tuinstra, Jan ; Dindo, Pietro. In: Working Papers. RePEc:wbs:wpaper:wp06-15.

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3
432006When 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
442005Using 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
451999An 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
462012Optimal 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

3
472006More hedging instruments may destabilize markets. (2006). Wagener, Florian ; Hommes, Cars ; Brock, William. In: Working Papers. RePEc:wbs:wpaper:wp06-11.

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2
482004Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling. (2004). Oomen, Roel. In: Working Papers. RePEc:wbs:wpaper:wp04-14.

Full description at Econpapers || Download paper

2
491999Technical Analysis and Central Bank Intervention. (1999). Neely, Christopher ; Weller, Paul . In: Working Papers. RePEc:wbs:wpaper:wp99-04.

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2
502007Estimation of a Microfounded Herding Model On German Survey Expectations. (2007). Franke, Reiner. In: Working Papers. RePEc:wbs:wpaper:wp07-07.

Full description at Econpapers || Download paper

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

14
22005Towards 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

12
32004Dynamic 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
41999Modelling 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

8
52007True 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

7
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

6
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
82009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

Full description at Econpapers || Download paper

5
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
102013Welfare-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

4
112012Optimal 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

3
122007An 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

3
132008Stochastic Behavioral Asset Pricing Models and the Stylized Facts. (2008). Lux, Thomas. In: Working Papers. RePEc:wbs:wpaper:wp08-03.

Full description at Econpapers || Download paper

2
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

2
152011The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns. (2011). Zhang, Weina ; LI, HAITAO ; Kim, Gi H. ; Gi H. Kim, . In: Working Papers. RePEc:wbs:wpaper:wpn11-04.

Full description at Econpapers || Download paper

2
162006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10.

Full description at Econpapers || Download paper

2
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

2
182006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

2
192013Investor Sentiment and Beta Pricing. (2013). Subrahmanyam, Avanidhar ; Doukas, John A. ; Antonio, Constantinos . In: Working Papers. RePEc:wbs:wpaper:wpn13-05.

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, 2th 2018. Contact: CitEc Team