0.06
Impact Factor
0.03
5-Years IF
5
5-Years H index
CitEc is a RePEc service
providing citation data for Economics since 2001
providing citation data for Economics since 2001
Last updated December, 3 2015 760.408 documents
processed, 20.499.313 references and 8.066.571 citations
[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
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| IF | AIF | IF5 | DOC | CDO | CCU | CIF | CIT | D2Y | C2Y | D5Y | C5Y | %SC | CiY | II | AII | |
| 1990 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1991 | 0.08 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1992 | 0.09 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1993 | 0.1 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1994 | 0.11 | 0 | 0 | 0 | (%) | 0.05 | ||||||||||
| 1995 | 0.15 | 0 | 0 | 0 | (%) | 0.1 | ||||||||||
| 1996 | 0.19 | 0 | 0 | 0 | (%) | 0.09 | ||||||||||
| 1997 | 0.2 | 0 | 0 | 0 | (%) | 0.08 | ||||||||||
| 1998 | 0.21 | 0 | 0 | 0 | (%) | 0.12 | ||||||||||
| 1999 | 0.27 | 0 | 0 | 0 | (%) | 0.15 | ||||||||||
| 2000 | 0.36 | 9 | 9 | 21 | 0 | 0 | (%) | 0.14 | ||||||||
| 2001 | 0.11 | 0.36 | 0.11 | 12 | 21 | 1 | 0.05 | 30 | 9 | 1 | 9 | 1 | 10 (33.3%) | 0.17 | ||
| 2002 | 0.33 | 0.37 | 0.33 | 26 | 47 | 8 | 0.17 | 21 | 21 | 7 | 21 | 7 | 3 (14.3%) | 1 | 0.04 | 0.18 |
| 2003 | 0.39 | 0.06 | 16 | 63 | 4 | 0.06 | 37 | 38 | 47 | 3 | 2 (5.4%) | 1 | 0.06 | 0.18 | ||
| 2004 | 0.1 | 0.41 | 0.1 | 15 | 78 | 7 | 0.09 | 20 | 42 | 4 | 63 | 6 | 2 (10%) | 1 | 0.07 | 0.18 |
| 2005 | 0.1 | 0.43 | 0.12 | 19 | 97 | 13 | 0.13 | 17 | 31 | 3 | 78 | 9 | 3 (17.6%) | 3 | 0.16 | 0.22 |
| 2006 | 0.45 | 0.13 | 12 | 109 | 12 | 0.11 | 7 | 34 | 88 | 11 | 1 (14.3%) | 0.19 | ||||
| 2007 | 0.06 | 0.38 | 0.06 | 12 | 121 | 9 | 0.07 | 6 | 31 | 2 | 88 | 5 | 1 (16.7%) | 0.17 | ||
| 2008 | 0.08 | 0.38 | 0.16 | 7 | 128 | 18 | 0.14 | 9 | 24 | 2 | 74 | 12 | (%) | 0.17 | ||
| 2009 | 0.05 | 0.35 | 0.06 | 15 | 143 | 18 | 0.13 | 5 | 19 | 1 | 65 | 4 | 1 (20%) | 1 | 0.07 | 0.17 |
| 2010 | 0.05 | 0.32 | 0.05 | 12 | 155 | 17 | 0.11 | 6 | 22 | 1 | 65 | 3 | 2 (33.3%) | 1 | 0.08 | 0.15 |
| 2011 | 0.04 | 0.41 | 0.05 | 15 | 170 | 13 | 0.08 | 3 | 27 | 1 | 58 | 3 | (%) | 0.2 | ||
| 2012 | 0.04 | 0.46 | 0.07 | 8 | 178 | 12 | 0.07 | 1 | 27 | 1 | 61 | 4 | (%) | 0.21 | ||
| 2013 | 0.04 | 0.49 | 0.09 | 8 | 186 | 18 | 0.1 | 23 | 1 | 57 | 5 | (%) | 0.22 | |||
| 2014 | 0.06 | 0.56 | 0.03 | 20 | 206 | 9 | 0.04 | 1 | 16 | 1 | 58 | 2 | (%) | 0.3 |
| 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 |
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50 most cited documents in this series:
[Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2001 | The Statistical Properties of Hedge Fund Index Returns. (2001). Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-09. Full description at Econpapers || Download paper | 17 |
| 2003 | Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Persand, Gita ; Burke, Simon. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07. Full description at Econpapers || Download paper | 16 |
| 2000 | Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices. (2000). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-06. Full description at Econpapers || Download paper | 8 |
| 2000 | The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-05. Full description at Econpapers || Download paper | 8 |
| 2004 | MTS Time Series: Market and Data Description for the European Bond and Repo Database. (2004). Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-06. Full description at Econpapers || Download paper | 6 |
| 2002 | Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001. (2002). Amin, Gaurav S.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-02. Full description at Econpapers || Download paper | 5 |
| 2004 | The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations. (2004). Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-01. Full description at Econpapers || Download paper | 5 |
| 2003 | Statistical Properties of Forward Libor Rates. (2003). Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03. Full description at Econpapers || Download paper | 4 |
| Value at Risk and Market Crashes. (2000). Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-01. Full description at Econpapers || Download paper | 4 | |
| 2001 | Estimating 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 |
| 2003 | Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency. (2003). Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-02. Full description at Econpapers || Download paper | 4 |
| 2005 | The Spider in the Hedge. (2005). Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-05. Full description at Econpapers || Download paper | 4 |
| 2002 | What 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 |
| 2008 | Interest in medieval accounts: Examples from England, 1272-1340. (2008). Bell, Adrian R. ; Moore, Tony ; Brooks, Chris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-07. Full description at Econpapers || Download paper | 4 |
| 2003 | An 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 |
| 2001 | Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility. (2001). Narayanan, Sujit. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-10. Full description at Econpapers || Download paper | 4 |
| Detecting Switching Strategies in Equity Hedge Funds. (2005). Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-07. Full description at Econpapers || Download paper | 4 | |
| Cross Hedging with Single Stock Futures. (2005). Kim, Sang Soo . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-15. Full description at Econpapers || Download paper | 3 | |
| 2008 | Stochastic 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 | 3 |
| 2002 | An Excursion into the Statistical Properties of Hedge Funds. (2002). Harry. M Kat, ; Lu, Sa. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-12. Full description at Econpapers || Download paper | 3 |
| 2003 | Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange. (2003). 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 |
| 2007 | Low-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 | 3 |
| 2003 | Symmetric 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 |
| 2007 | Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk. (2007). Sheedy, Elizabeth . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-02. Full description at Econpapers || Download paper | 2 |
| 2004 | Pricing Convertible Bonds by Simulation. (2004). Yigitsbasioglu, Ali Bora ; El-Bachir, Naoufel ; Lvov, Dmitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-14. Full description at Econpapers || Download paper | 2 |
| 2010 | An 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 |
| 2006 | Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model. (2006). El-Bachir, Naoufel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-13. Full description at Econpapers || Download paper | 2 |
| Credit Risk Diversification. (2001). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-07. Full description at Econpapers || Download paper | 2 | |
| 2005 | Asymmetries 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 |
| 2003 | Matching and the Estimated Impact of Inter-listing (updated July 2003). (2003). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-11. Full description at Econpapers || Download paper | 2 |
| 2006 | Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. (2006). Kaeck, Andreas . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-08. Full description at Econpapers || Download paper | 2 |
| 2004 | A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds. (2004). Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-03. Full description at Econpapers || Download paper | 2 |
| 2005 | The Long-Term P/E Radio. (2005). Anderson, Keith . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-02. Full description at Econpapers || Download paper | 2 |
| 2002 | A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index. (2002). Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-14. Full description at Econpapers || Download paper | 2 |
| 2007 | Should Defined Benefit Pension Schemes be Career Average or Final Salary?. (2007). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-06. Full description at Econpapers || Download paper | 1 |
| 2004 | Measuring 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 |
| 2009 | Analytic Approximations for Spread Options. (2009). Venkatramanan, Aanand ; Alexander, Carol . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-06. Full description at Econpapers || Download paper | 1 |
| 2011 | A Comprehensive Evaluation of Portfolio Insurance Strategies. (2011). Pezier, Jacques ; Scheller, Johanna . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-15. Full description at Econpapers || Download paper | 1 |
| 2002 | Persistence in Hedge Fund Performance: The True Value of a Track Record. (2002). 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 |
| 2006 | The Stock Performance of Americaâs 100 Best Corporate Citizens. (2006). Brammer, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-06. Full description at Econpapers || Download paper | 1 |
| 2004 | An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds. (2004). Yigibasioglu, Ali Bora ; Alexandra, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-07. Full description at Econpapers || Download paper | 1 |
| 2010 | Seasonality and the Valuation of Commodity Options. (2010). Back, Janis ; Rudolf, Markus ; Prokopczuk, Marcel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-08. Full description at Econpapers || Download paper | 1 |
| 2005 | Predicting Agency Rating Migrations with Spread Implied Ratings. (2005). Kou, Jianming . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-06. Full description at Econpapers || Download paper | 1 |
| 2009 | Analytic Approximations for Multi-Asset Option Pricing. (2009). Venkatramanan, Aanand ; Alexander, Carol . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-05. Full description at Econpapers || Download paper | 1 |
| 2001 | International Evidence of the Predictability of Prices of Securititised Real Estate Assets: Econometric Models versus Neural Networks. (2001). 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 |
| 2011 | Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-02. Full description at Econpapers || Download paper | 1 |
| 2006 | Hedging Options with Scale-Invariant Models. (2006). Nogueira, Leonardo M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-03. Full description at Econpapers || Download paper | 1 |
| 2008 | Markov 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 |
| 2000 | An EVT Approach to calculating Risk Capital Requirements. (2000). Clare, Andrew D. ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-07. Full description at Econpapers || Download paper | 1 |
| 2002 | Best-advice and the true mortgate term. Actuaries endowment advice principles revisited. (2002). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-01. Full description at Econpapers || Download paper | 1 |
50 most relevant documents in this series:
Papers most cited in the last two years. [Click on heading to sort table]
| Year | Title | Cited |
|---|---|---|
| 2000 | Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices. (2000). . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-06. Full description at Econpapers || Download paper | 4 |
| 2004 | MTS Time Series: Market and Data Description for the European Bond and Repo Database. (2004). Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-06. Full description at Econpapers || Download paper | 3 |
| 2008 | Stochastic 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 | 3 |
| 2001 | The Statistical Properties of Hedge Fund Index Returns. (2001). Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-09. Full description at Econpapers || Download paper | 2 |
| 2006 | Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. (2006). Kaeck, Andreas . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-08. Full description at Econpapers || Download paper | 2 |
| 2003 | Statistical Properties of Forward Libor Rates. (2003). Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03. Full description at Econpapers || Download paper | 2 |
| 2003 | Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Persand, Gita ; Burke, Simon. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07. Full description at Econpapers || Download paper | 2 |
| 2002 | Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001. (2002). Amin, Gaurav S.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-02. Full description at Econpapers || Download paper | 2 |
Citing documents used to compute impact factor 1:
[Click on heading to sort table]
| Year | Title | See |
|---|---|---|
| 2014 | Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution. (2014). Isogai, Takashi . In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp14e01. Full description at Econpapers || Download paper | [Citation Analysis] |
10 most frequent citing series:
[Click on heading to sort table]
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.