Oxford Financial Research Centre / OFRC Working Papers Series

Raw citation data, Impact Factor, Immediacy Index, Published documents, Citations received, , Most cited papers , Recent citations and documents published in this series in EconPapers.

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Raw data:
IF AIF DOC CIT D2Y C2Y SC(%) CiY II AII 1996 0.18 0 0 0 0.09 1997 0.18 0 0 0 0.09 1998 0.21 0 0 0 0.13 1999 0.29 30 58 0 0 6 0.2 0.17 2000 0.13 0.39 11 43 30 4 25 4 0.36 0.2 2001 0.71 0.37 25 109 41 29 13.8 11 0.44 0.18 2002 0.81 0.42 13 44 36 29 10.3 3 0.23 0.2 2003 0.76 0.43 22 100 38 29 17.2 10 0.45 0.21 2004 0.97 0.49 23 110 35 34 29.4 11 0.48 0.24 2005 0.84 0.5 18 25 45 38 23.7 4 0.22 0.29 2006 0.83 0.53 14 40 41 34 23.5 8 0.57 0.28 2007 0.53 0.44 6 16 32 17 17.6 2 0.33 0.24
IF: Impact Factor: C2Y / D2Y AIF: Average Impact Factor for series in RePEc in year y DOC: Number of documents published in year y CIT: Number of citations to the series 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 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 IdI: Immediacy Index: CiY / Documents.   AII: Average Immediacy Index for series in RePEc in year y
Impact Factor:	Immediacy Index:
Documents published:	Citations received:

Most cited documents in this series:

(1) RePEc:sbs:wpsefe:2004fe21 A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004).
Cited: 43 times.

(2) RePEc:sbs:wpsefe:2001fe11 Ownership and Control of German Corporations (2001).
Cited: 34 times.

(3) RePEc:sbs:wpsefe:2003fe08 Equilibrium Analysis, Banking and Financial Instability (2003).
Cited: 30 times.

(4) RePEc:sbs:wpsefe:2000mf01 Non-Gaussian OU based models and some of their uses in financial economics (2000).
Cited: 25 times.

(5) RePEc:sbs:wpsefe:2001fe06 Global Integration in Primary Equity Markets: The Role of U.S. Banks and U.S. Investors (2001).
Cited: 25 times.

(6) RePEc:sbs:wpsefe:2003fe13 A Model to Analyse Financial Fragility (2003).
Cited: 24 times.

(7) RePEc:sbs:wpsefe:2004fe05 A Model to Analyse Financial Fragility: Applications (2004).
Cited: 22 times.

(8) RePEc:sbs:wpsefe:1999fe09 Finance, Investment and Growth (1999).
Cited: 22 times.

(9) RePEc:sbs:wpsefe:2006fe05 Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise (2006).
Cited: 21 times.

(10) RePEc:sbs:wpsefe:2002fe07 IPO Pricing in the Dot-com Bubble (2002).
Cited: 20 times.

(11) RePEc:sbs:wpsefe:2004fe20 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004).
Cited: 19 times.

(12) RePEc:sbs:wpsefe:1999fe08 How Do Financial Systems Affect Economic Performance? (1999).
Cited: 16 times.

(13) RePEc:sbs:wpsefe:2003fe03 Equilibrium Analysis, Banking, Contagion and Financial Fragility (2003).
Cited: 16 times.

(14) RePEc:sbs:wpsefe:2007fe03 A Note on the Central Limit Theorem for Bipower Variation of General Functions (2007).
Cited: 15 times.

(15) RePEc:sbs:wpsefe:2001fe05 A Theory of the Syndicate: Form Follows Function (2001).
Cited: 15 times.

(16) RePEc:sbs:wpsefe:2003fe14 Ownership: Evolution and Regulation (2003).
Cited: 14 times.

(17) RePEc:sbs:wpsefe:2001fe15 Sources of Funds and Investment Strategies of Venture Capital Funds: Evidence from Germany, Israel, Japan and the UK (2001).
Cited: 13 times.

(18) RePEc:sbs:wpsefe:2004fe02 Likelihood-based estimation of latent generalised ARCH structures (2004).
Cited: 12 times.

(19) RePEc:sbs:wpsefe:2004fe11 A Risk Assessment Model for Banks (2004).
Cited: 9 times.

(20) RePEc:sbs:wpsefe:2000mf02 Likelihood inference for discretely observed non-linear diffusions (2000).
Cited: 9 times.

(21) RePEc:sbs:wpsefe:2008fe21 Copula-Based Models for Financial Time Series (2008).
Cited: 9 times.

(22) RePEc:sbs:wpsefe:2003fe06 Procyclicality and the new Basel Accord - Banks choice of loan rating system (2003).
Cited: 9 times.

(23) RePEc:sbs:wpsefe:2003fe02 Partnership Firms, Reputation and Human Capital (2003).
Cited: 8 times.

(24) RePEc:sbs:wpsefe:2005fe09 Limit theorems for bipower variation in financial econometrics (2005).
Cited: 8 times.

(25) RePEc:sbs:wpsefe:2003fe16 A New Test of Capital Structure (2003).
Cited: 8 times.

(26) RePEc:sbs:wpsefe:2004fe18 A Time Series Analysis of Financial Fragility in the UK Banking System (2004).
Cited: 8 times.

(27) RePEc:sbs:wpsefe:2008fe29 Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2008).
Cited: 8 times.

(28) RePEc:sbs:wpsefe:2006fe03 Devaluation without common knowledge (2006).
Cited: 7 times.

(29) RePEc:sbs:wpsefe:2001fe01 Credit Derivatives, Disintermediation and Investment Decisions (2001).
Cited: 7 times.

(30) RePEc:sbs:wpsefe:2004fe10 Financial Liberalisation and Capital Regulation in Open Economies (2004).
Cited: 7 times.

(31) RePEc:sbs:wpsefe:1999fe07 Firm Control (1999).
Cited: 6 times.

(32) RePEc:sbs:wpsefe:2008fe25 An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models (2008).
Cited: 6 times.

(33) RePEc:sbs:wpsefe:2005fe04 Why are Securitization Issues Tranched? (2005).
Cited: 6 times.

(34) RePEc:sbs:wpsefe:2005fe05 Estimating quadratic variation when quoted prices jump by a constant increment (2005).
Cited: 6 times.

(35) RePEc:sbs:wpsefe:2006fe09 Searching for a Metric for Financial Stability (2006).
Cited: 6 times.

(36) RePEc:sbs:wpsefe:2002fe05 Crises and Capital Requirements in Banking (2002).
Cited: 5 times.

(37) RePEc:sbs:wpsefe:2002mf04 Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing (2002).
Cited: 5 times.

(38) RePEc:sbs:wpsefe:1999fe04 IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies (1999).
Cited: 5 times.

(39) RePEc:sbs:wpsefe:2002mf05 Variational Sums and Power Variation: a unifying approach to model selection and estimation in semimartingale models (2002).
Cited: 5 times.

(40) RePEc:sbs:wpsefe:2003fe11 Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects (2003).
Cited: 5 times.

(41) RePEc:sbs:wpsefe:2001fe08 IPO Allocations: Discriminatory or Discretionary? (2001).
Cited: 5 times.

(42) RePEc:sbs:wpsefe:2000fe03 Firm Value and Managerial Incentives: A Stochastic Frontier Approach (2000).
Cited: 4 times.

(43) RePEc:sbs:wpsefe:2006fe01 ().
Cited: 4 times.

(44) RePEc:sbs:wpsefe:2006fe06 Subsampling realised kernels (2006).
Cited: 4 times.

(45) RePEc:sbs:wpsefe:2008fe07 Returns to Shareholder Activism (2008).
Cited: 4 times.

(46) RePEc:sbs:wpsefe:2003fe15 Spending Less Time with the Family: The Decline of Family Ownership in the UK (2003).
Cited: 3 times.

(47) RePEc:sbs:wpsefe:2004fe01 Econometrics of testing for jumps in financial economics using bipower variation  (2004).
Cited: 3 times.

(48) RePEc:sbs:wpsefe:1999fe01 Who Disciplines Management in Poorly Performing Companies? (1999).
Cited: 3 times.

(49) RePEc:sbs:wpsefe:2005fe15 On Modelling Endogenous Default (2005).
Cited: 3 times.

(50) RePEc:sbs:wpsefe:2003mf05 Estimation of Integrated Volatility in Stochastic Volatility Models (2003).
Cited: 3 times.

Recent citations received in: | 2007 | 2006 | 2005 | 2004

Recent citations received in: 2007

(1) RePEc:aah:create:2007-42 Power variation for Gaussian processes with stationary increments (2007). School of Economics and Management, University of Aarhus / CREATES Research Papers

(2) RePEc:cep:stiecm:/2007/523 Inference about Realized Volatility using Infill Subsampling (2007). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

Recent citations received in: 2006

(1) RePEc:cep:stiecm:/2006/509 Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006). Suntory and Toyota International Centres for Economics and Related Disciplines, LSE / STICERD - Econometrics Paper Series

(2) RePEc:cpr:ceprdp:5876 Discrete Devaluations and Multiple Equilibria in a First Generation Model of Currency Crises (2006). C.E.P.R. Discussion Papers / CEPR Discussion Papers

(3) RePEc:imf:imfwpa:06/263 Can Good Events Lead to Bad Outcomes? Endogenous Banking Crises and Fiscal Policy Responses (2006). International Monetary Fund / IMF Working Papers

(4) RePEc:nuf:econwp:0610 Subsampling realised kernels (2006). Economics Group, Nuffield College, University of Oxford / Economics Papers

(5) RePEc:oxf:wpaper:278 Subsampling realised kernels (2006). University of Oxford, Department of Economics / Economics Series Working Papers

(6) RePEc:rut:rutres:200620 Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures (2006). Rutgers University, Department of Economics / Departmental Working Papers

(7) RePEc:sbs:wpsefe:2006fe06 Subsampling realised kernels (2006). Oxford Financial Research Centre / OFRC Working Papers Series

(8) RePEc:sbs:wpsefe:2006fe15 Endogenous State Prices, Liquidity, Default, and the Yield Curve (2006). Oxford Financial Research Centre / OFRC Working Papers Series

Recent citations received in: 2005

(1) RePEc:nuf:econwp:0516 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). Economics Group, Nuffield College, University of Oxford / Economics Papers

(2) RePEc:oxf:wpaper:230 Explaining Launch Spreads on Structured Bonds (2005). University of Oxford, Department of Economics / Economics Series Working Papers

(3) RePEc:sbs:wpsefe:2005fe06 Limit theorems for multipower variation in the presence of jumps (2005). Oxford Financial Research Centre / OFRC Working Papers Series

(4) RePEc:sbs:wpsefe:2005fe08 Variation, jumps, market frictions and high frequency data in financial econometrics (2005). Oxford Financial Research Centre / OFRC Working Papers Series

Recent citations received in: 2004

(1) RePEc:cmf:wpaper:wp2004_0422 ECONOMIC AND REGULATORY CAPITAL. WHAT IS THE DIFFERENCE? (2004). CEMFI / Working Papers

(2) RePEc:ecm:ausm04:273 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average (2004). Econometric Society / Econometric Society 2004 Australasian Meetings

(3) RePEc:ecm:nasm04:487 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average (2004). Econometric Society / Econometric Society 2004 North American Summer Meetings

(4) RePEc:fip:fedgfe:2004-56 Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2004). Board of Governors of the Federal Reserve System (U.S.) / Finance and Economics Discussion Series

(5) RePEc:mse:wpsorb:b04118 The limit-price exchange process. (2004). Université Panthéon-Sorbonne (Paris 1) / Cahiers de la Maison des Sciences Economiques

(6) RePEc:nbr:nberwo:10664 A Model of Forum Shopping, with Special Reference to Standard Setting Organizations (2004). National Bureau of Economic Research, Inc / NBER Working Papers

(7) RePEc:nuf:econwp:0430 Multipower Variation and Stochastic Volatility (2004). Economics Group, Nuffield College, University of Oxford / Economics Papers

(8) RePEc:sbs:wpsefe:2004fe11 A Risk Assessment Model for Banks (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(9) RePEc:sbs:wpsefe:2004fe18 A Time Series Analysis of Financial Fragility in the UK Banking System (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(10) RePEc:sbs:wpsefe:2004fe22 Multipower Variation and Stochastic Volatility (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(11) RePEc:upf:upfgen:802 Interbank Comptetition with Costly Screening (2004). Department of Economics and Business, Universitat Pompeu Fabra / Economics Working Papers

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.