Warwick Business School, Financial Econometrics Research Centre / Working Papers

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 19 15 0 0 0.17 2000 0.05 0.39 6 0 19 1 0 0.2 2001 0.37 15 1 25 0 0.18 2002 0.42 10 2 21 0 0.2 2003 0.04 0.43 0 25 1 0 0.21 2004 0.1 0.49 19 18 10 1 0 6 0.32 0.24 2005 0.32 0.5 16 13 19 6 0 2 0.13 0.29 2006 0.11 0.53 23 7 35 4 0 3 0.13 0.28 2007 0.13 0.44 13 5 39 5 0 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:wbs:wpaper:wp99-17 Modelling Emerging Market Risk Premia Using Higher Moments (1999).
Cited: 11 times.

(2) RePEc:wbs:wpaper:wp05-02 Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach (2005).
Cited: 6 times.

(3) RePEc:wbs:wpaper:wp04-05 Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (2004).
Cited: 5 times.

(4) RePEc:wbs:wpaper:wp05-13 The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields (2005).
Cited: 4 times.

(5) RePEc:wbs:wpaper:wp04-16 Predictive Density Accuracy Tests (2004).
Cited: 4 times.

(6) RePEc:wbs:wpaper:wp06-18 Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation (2006).
Cited: 3 times.

(7) RePEc:wbs:wpaper:wp04-14 Properties of Realized Variance for a Pure Jump Process: Calendar Time Sampling versus Business Time Sampling (2004).
Cited: 3 times.

(8) RePEc:wbs:wpaper:wp07-02 Should Network Structure Matter in Agent-Based Finance? (2007).
Cited: 2 times.

(9) RePEc:wbs:wpaper:wp99-21 How do UK-Based Foreign Exchange Dealers Think Their Market Operates? (1999).
Cited: 2 times.

(10) RePEc:wbs:wpaper:wp04-11 Modeling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers (2004).
Cited: 2 times.

(11) RePEc:wbs:wpaper:wp05-10 Incentive Contracts and Hedge Fund Management (2005).
Cited: 2 times.

(12) RePEc:wbs:wpaper:wp07-08 A Prototype Model of Speculative Dynamics With Position-Based Trading (2007).
Cited: 2 times.

(13) RePEc:wbs:wpaper:wp04-06 Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average (2004).
Cited: 1 times.

(14) RePEc:wbs:wpaper:wp02-10 Reinterpreting the Real Exchange Rate - Yield Diffential Nexus (2002).
Cited: 1 times.

(15) RePEc:wbs:wpaper:wp99-11 On the Evolution of Credibility and Flexible Exchange Rate Target Zones (1999).
Cited: 1 times.

(16) RePEc:wbs:wpaper:wp01-09 Numerical Issues in Threshold Autoregressive Modelling of Time Series (2001).
Cited: 1 times.

(17) RePEc:wbs:wpaper:wp06-15 A Behavioral Model for Participation Games with Negative Feedback (2006).
Cited: 1 times.

(18) RePEc:wbs:wpaper:wp07-11 Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey (2007).
Cited: 1 times.

(19) RePEc:wbs:wpaper:wp04-08 Is Seasonal Heteroscedasticity Real? An International Perspective (2004).
Cited: 1 times.

(20) RePEc:wbs:wpaper:wp07-07 Estimation of a Microfounded Herding Model On German Survey Expectations (2007).
Cited: 1 times.

(21) RePEc:wbs:wpaper:wp06-19 The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility (2006).
Cited: 1 times.

(22) RePEc:wbs:wpaper:wp02-08 Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds (2002).
Cited: 1 times.

(23) RePEc:wbs:wpaper:wp06-17 Dynamic instability in a phenomenological model of correlated assets (2006).
Cited: 1 times.

(24) RePEc:wbs:wpaper:wp04-12 Federal Funds Rate Prediction (2004).
Cited: 1 times.

(25) RePEc:wbs:wpaper:wp99-02 Intraday Technical Trading in the Foreign Exchange Market (1999).
Cited: 1 times.

(26) RePEc:wbs:wpaper:wp06-02 Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders (2006).
Cited: 1 times.

(27) RePEc:wbs:wpaper:wp04-10 Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts (2004).
Cited: 1 times.

(28) RePEc:wbs:wpaper:wp05-11 Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? (2005).
Cited: 1 times.

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

Recent citations received in: 2007

Recent citations received in: 2006

(1) RePEc:ams:ndfwpp:06-10 A Behavioral Model for Participation Games with Negative Feedback (2006). Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance / CeNDEF Working Papers

(2) RePEc:dgr:uvatin:20060073 A Behavioral Model for Participation Games with Negative Feedback (2006). Tinbergen Institute / Tinbergen Institute Discussion Papers

(3) RePEc:nbr:nberwo:12797 Multifrequency Jump-Diffusions: An Equilibrium Approach (2006). National Bureau of Economic Research, Inc / NBER Working Papers

Recent citations received in: 2005

(1) RePEc:kap:compec:v:26:y:2005:i:1:p:19-49 Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005). Computational Economics

(2) RePEc:zbw:cauewp:3559 A noise trader model as a generator of apparent financial power laws and long memory (2005). Christian-Albrechts-University of Kiel, Department of Economics / Economics working papers

Recent citations received in: 2004

(1) RePEc:ecm:ausm04:208 Analysis of the predictive ability of information accumulated over nights, weekends and holidays (2004). Econometric Society / Econometric Society 2004 Australasian Meetings

(2) RePEc:nuf:econwp:0428 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004). Economics Group, Nuffield College, University of Oxford / Economics Papers

(3) RePEc:rut:rutres:200418 Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection (2004). Rutgers University, Department of Economics / Departmental Working Papers

(4) RePEc:rut:rutres:200422 An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series (2004). Rutgers University, Department of Economics / Departmental Working Papers

(5) RePEc:sbs:wpsefe:2004fe20 Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise (2004). Oxford Financial Research Centre / OFRC Working Papers Series

(6) RePEc:van:wpaper:0419 Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification (2004). Department of Economics, Vanderbilt University / Working Papers

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Source data used to compute the impact factor of RePEc series.