Last updated July, 3 2014 639.049 documents processed, 16.613.935 references and 6.218.529 citations

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

[Raw data] [Main indicators] [Most cited papers] [cites used to compute the impact factor] [Recent citations ][documents published in EconPapers] [Keep updated about new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data:

IF AIF DOC CDO CCU CIF CIT D2Y C2Y %SC CiY II AII
19900.09000000.04
19910.09000000.05
19920.09000000.06
19930.1000000.05
19940.12000000.05
19950.16000000.09
19960.2000000.09
19970.2000000.08
19980.22000000.12
19990.27000000.15
20000.3799017000.14
20010.110.38122110.05349100.17
20020.330.39264780.171421710010.040.19
20030.42166340.063538010.060.19
20040.120.43157880.116425010.070.19
20050.130.451997140.14153142530.160.23
20060.4612109130.1263400.2
20070.060.41212190.076312500.17
20080.130.47128200.16924300.18
20090.050.3715143170.12319110010.070.18
20100.090.334147150.1322200.16
20110.45147140.101900.22
20120.50.48147130.0904200.24
20130.54147140.10000.26
20140.2314710.010000.17
 
 
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
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
%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

 

Most cited documents in this series:

YearTitleCited
2001The 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.

Full description at Econpapers || Download paper

20
2003Multivariate 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.

Full description at Econpapers || Download paper

15
2000The 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.

Full description at Econpapers || Download paper

9
2008Interest 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.

Full description at Econpapers || Download paper

5
Value at Risk and Market Crashes. (2000). Brooks, Chris ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-01.

Full description at Econpapers || Download paper

4
2001Option 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.

Full description at Econpapers || Download paper

4
2003An Empirical Study of Credit Default Swaps. (2003). Diaz, Antonio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-04.

Full description at Econpapers || Download paper

4
2001Estimating Corporate Yield Curves. (2001). Diaz, Antionio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-01.

Full description at Econpapers || Download paper

4
2000Orthogonal 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

4
2003Equity 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.

Full description at Econpapers || Download paper

4
2004The 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

4
2004MTS 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
2005The Spider in the Hedge. (2005). Alexander, Carol ; Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-05.

Full description at Econpapers || Download paper

4
2002What 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.

Full description at Econpapers || Download paper

4
2003Intra-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.

Full description at Econpapers || Download paper

3
Detecting Switching Strategies in Equity Hedge Funds. (2005). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-07.

Full description at Econpapers || Download paper

3
2003Statistical Properties of Forward Libor Rates. (2003). Alexander, Carol ; Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03.

Full description at Econpapers || Download paper

3
2010An 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.

Full description at Econpapers || Download paper

2
2006Regimes 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.

Full description at Econpapers || Download paper

2
2001Cointegration and Asset Allocation: A New Fund Strategy. (2001). Alexander, Carol ; Giblin, Ian ; Weddington, Wayne. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-03.

Full description at Econpapers || Download paper

2
2004A 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.

Full description at Econpapers || Download paper

2
2005The Long-Term P/E Radio. (2005). Brooks, Chris ; Anderson, Keith . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-02.

Full description at Econpapers || Download paper

2
2002A 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.

Full description at Econpapers || Download paper

2
2008Stochastic Local Volatility. (2008). Alexander, Carol ; Nogueira, Leonardo. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-02.

Full description at Econpapers || Download paper

2
2007Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk. (2007). Alexander, Carol ; Sheedy, Elizabeth . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-02.

Full description at Econpapers || Download paper

2
Cross 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.

Full description at Econpapers || Download paper

2
2003Symmetric Normal Mixture GARCH. (2003). Alexandra, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-09.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2
2003Matching 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.

Full description at Econpapers || Download paper

2
2005Asymmetries 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.

Full description at Econpapers || Download paper

2
2007Low-Cost Momentum Strategies. (2007). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-12.

Full description at Econpapers || Download paper

2
2004Gambling on the S&P 500s Gold Seal: New Evidence on the Index Effect. (2004). Ward, Charles ; Brooks, Chris ; Kappou, Konstantina . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-04.

Full description at Econpapers || Download paper

1
2005Decomposing the P/E Ratio. (2005). Brooks, Chris ; Anderson, Keith . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-03.

Full description at Econpapers || Download paper

1
2002Generalization of the Sharpe Ratio and the Arbitrage-Free Pricing of Higher Moments. (2002). Kat, Harry ; Amin, Gaurav ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-15.

Full description at Econpapers || Download paper

1
2008An Assessment of the Internal Rating Based Approach in Basel II. (2008). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-04.

Full description at Econpapers || Download paper

1
2004Ex 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.

Full description at Econpapers || Download paper

1
2002Performance Evaluation and Conditioning Information: The case of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Miffre, Joelle . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-10.

Full description at Econpapers || Download paper

1
2005Leger est aprendre mes fort est arendre;: Wool, Debt and the Dispersal of Pipewell Abbey (1280 - 1330). (2005). Brooks, Chris ; Bell, Adrian ; Dryburgh, Paul. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-08.

Full description at Econpapers || Download paper

1
2007Should Defined Benefit Pension Schemes be Career Average or Final Salary?. (2007). Sutcliffe, Charles. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-06.

Full description at Econpapers || Download paper

1
2009The 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.

Full description at Econpapers || Download paper

1
2006Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?. (2006). Brooks, Chris ; Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-07.

Full description at Econpapers || Download paper

1
2003Long-term Information, Short-lived Securities. (2003). Davies, Ryan ; Bernhardt, Dan ; Spicer, John. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-10.

Full description at Econpapers || Download paper

1
2004Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-10.

Full description at Econpapers || Download paper

1
2002The Performance and Long-Run Characteristics of the Chinese IPO Market. (2002). Padgett, Carol ; Chi, Jing . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-09.

Full description at Econpapers || Download paper

1
2004Measuring the Impact of Regulationon Market Stability: Evidence from the US Markets. (2004). Beardsley, Colin ; O'Brien, John R.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-02.

Full description at Econpapers || Download paper

1
2009Analytic Approximations for Spread Options. (2009). Alexander, Carol ; Venkatramanan, Aanand . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-06.

Full description at Econpapers || Download paper

1
2001International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks. (2001). Brooks, Chris ; Cos, Sotiris Tsola ; Tsolacos, Sotiris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-08.

Full description at Econpapers || Download paper

1
2002Persistence 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.

Full description at Econpapers || Download paper

1
2006The Stock Performance of America’s 100 Best Corporate Citizens. (2006). Pavelin, Stephen ; Brooks, Chris ; Brammer, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-06.

Full description at Econpapers || Download paper

1
2008Markov Switching GARCH Diffusion. (2008). Alexander, Carol ; Lazar, Emese . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-01.

Full description at Econpapers || Download paper

1

Citing documents used to compute impact factor 0:

YearTitleSee

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.