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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

Working Papers / Warwick Business School, Finance Group

0.52

Impact Factor

0.42

5-Years IF

9

5-Years H index

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw data

IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.08000 (%)0.05
19910.08000 (%)0.05
19920.09000 (%)0.05
19930.1000 (%)0.05
19940.11000 (%)0.05
19950.15000 (%)0.1
19960.190100 (%)0.09
19970.2000 (%)0.08
19980.21000 (%)0.12
19990.27191926001 (3.8%)0.15
20000.36625319191 (33.3%)0.14
20010.120.360.12164160.15312532536 (19.4%)20.130.17
20020.370.05125340.0813224121 (7.7%)0.18
20030.110.390.085340.08283534 (%)0.18
20040.410.02227560.0845125311 (2.2%)30.140.18
20050.230.430.131994120.13342255671 (2.9%)0.22
20060.270.450.2342136220.162541116916 (%)30.070.19
20070.020.380.0519155130.08246119555 (20.8%)30.160.17
20080.070.380.0911166180.11761410295 (71.4%)20.180.17
20090.10.350.138174210.121230311315 (%)0.17
20100.320.085179150.0811199981 (9.1%)0.15
20110.460.410.144183290.1641368512 (%)0.2
20120.110.460.138191120.0610914761 (10%)0.21
20130.250.490.2813204310.15121233610 (%)10.080.22
20140.520.560.42204310.1521113816 (%)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

 

50 most cited documents in this series:

[Click on heading to sort table]

YearTitleCited
2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?. (2005). . In: Working Papers. RePEc:wbs:wpaper:wp05-11.

Full description at Econpapers || Download paper

16
Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach. (2005). Wagner, Friedrich . In: Working Papers. RePEc:wbs:wpaper:wp05-02.

Full description at Econpapers || Download paper

14
2001Copulas: an Open Field for Risk Management. (2001). Nikeghbali, Ashkan ; Durrleman, Vado ; Riboulet, Gael ; Bouy, Erick . In: Working Papers. RePEc:wbs:wpaper:wp01-01.

Full description at Econpapers || Download paper

12
1999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

11
2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Matteo, Di. In: Working Papers. RePEc:wbs:wpaper:wp07-12.

Full description at Econpapers || Download paper

11
2004Dynamic copula models for multivariate high-frequency data in finance. (2004). Dias, Alexandra ; Embrechts, Paul . In: Working Papers. RePEc:wbs:wpaper:wpn04-01.

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11
2004Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes. (2004). . In: Working Papers. RePEc:wbs:wpaper:wp04-15.

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10
2004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates. (2004). Chen, Xiaohong ; Fan, Yanqin . In: Working Papers. RePEc:wbs:wpaper:wp04-19.

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9
2006Pricing Multivariate Currency Options with Copulas. (2006). . In: Working Papers. RePEc:wbs:wpaper:wp06-21.

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9
2010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

7
2013Microprudential Regulation in a Dynamic Model of Banking. (2013). Gamba, Andrea ; Lucchetta, Marcella ; De Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

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

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5
A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets. (2007). Franke, Reiner . In: Working Papers. RePEc:wbs:wpaper:wp07-01.

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5
2002Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea . In: Working Papers. RePEc:wbs:wpaper:wpn02-02.

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5
2004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. (2004). . In: Working Papers. RePEc:wbs:wpaper:wp04-05.

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5
2012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Fidrmuc, Jana P. ; Teunissen, Tim ; Paap, Richard ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

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5
2001Optimal Investment in Derivative Securities. (2001). Xing, Jin ; Carr, Peter ; Dilip, Madam . In: Working Papers. RePEc:wbs:wpaper:wpn01-01.

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5
2006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

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4
2004Predictive Density Accuracy Tests. (2004). Corradi, Valentina . In: Working Papers. RePEc:wbs:wpaper:wp04-16.

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

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4
2012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Gamba, Andrea ; Lucchetta, Marcella ; De Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

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4
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. (2009). . In: Working Papers. RePEc:wbs:wpaper:wp09-02.

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4
2000Properties of Cross-sectional Volatility. (2000). . In: Working Papers. RePEc:wbs:wpaper:wp00-05.

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3
1999How do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (1999). . In: Working Papers. RePEc:wbs:wpaper:wp99-21.

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3
2007An Improved Binomial Lattice Method for Multi-Dimensional Options. (2007). Gamba, Andrea ; Trigeorgis, Lenos . In: Working Papers. RePEc:wbs:wpaper:wpn07-01.

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3
2002Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds. (2002). Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-08.

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3
2013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Koufopoulos, Kostas ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

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3
2011The Case of Negative Day-Ahead Electricity Prices. (2011). Gamba, Andrea ; Prokopczuk, Marcel ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

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3
1999An Analysis of the Performance of European Foreign Exchange Forecasters. (1999). . In: Working Papers. RePEc:wbs:wpaper:wp99-07.

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3
2001A New Measure of Herding and Empirical Evidence. (2001). . In: Working Papers. RePEc:wbs:wpaper:wp01-12.

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3
2008Investment 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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3
2006Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wp06-24.

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3
2004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2004). . In: Working Papers. RePEc:wbs:wpaper:wp04-13.

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2
2007Informational differences and learning in an asset market with boundedly rational agents. (2007). . In: Working Papers. RePEc:wbs:wpaper:wp07-06.

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2
2001Small Sample Properties of Panel Time-series Estimators with I(1) Errors. (2001). . In: Working Papers. RePEc:wbs:wpaper:wp01-08.

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2
On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates. (2008). Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wp08-06.

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2
Some Important Issues Involving Real Options. (2005). Gamba, Andrea ; Sick, Gordon . In: Working Papers. RePEc:wbs:wpaper:wpn05-02.

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2
2006Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation. (2006). Heemeijer, Peter . In: Working Papers. RePEc:wbs:wpaper:wp06-18.

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2
2006When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?. (2006). Stremme, Alexander ; Oomen, Roel ; Basu, Devraj ; Hung, Chi-Hsiou . In: Working Papers. RePEc:wbs:wpaper:wpn06-13.

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2
2010The information Content of a Limit Order Book:the Case of an FX Market. (2010). Salmon, Mark ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wpn10-05.

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2
2004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). . In: Working Papers. RePEc:wbs:wpaper:wp04-10.

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

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2
2008Valuing Corporate Financing Strategies. (2008). Triantis, Alexander J. ; Gamba, Andrea . In: Working Papers. RePEc:wbs:wpaper:wpn08-02.

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2
1999The Disappearance of Style in the US Equity Market. (1999). Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-18.

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2
2006Pricing 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
2010Asymmetric Momentum Effects Under Uncertainty. (2010). Kelsey, David ; Pang, Wei ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

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2
2001Numerical Issues in Threshold Autoregressive Modelling of Time Series. (2001). Perez, Maria-Teresa . In: Working Papers. RePEc:wbs:wpaper:wp01-09.

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2
2002Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds. (2002). Thomas, Dylan ; Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-09.

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2
2009Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform. (2009). . In: Working Papers. RePEc:wbs:wpaper:wp09-01.

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2
2006Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders. (2006). . In: Working Papers. RePEc:wbs:wpaper:wp06-02.

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1

50 most relevant documents in this series:

Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
1999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

9
2010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

7
2007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Matteo, Di. In: Working Papers. RePEc:wbs:wpaper:wp07-12.

Full description at Econpapers || Download paper

7
2013Microprudential Regulation in a Dynamic Model of Banking. (2013). Gamba, Andrea ; Lucchetta, Marcella ; De Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

6
2012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Fidrmuc, Jana P. ; Teunissen, Tim ; Paap, Richard ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

Full description at Econpapers || Download paper

5
2012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Gamba, Andrea ; Lucchetta, Marcella ; De Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

Full description at Econpapers || Download paper

4
2006Pricing Multivariate Currency Options with Copulas. (2006). . In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

4
2005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?. (2005). . In: Working Papers. RePEc:wbs:wpaper:wp05-11.

Full description at Econpapers || Download paper

4
2004Dynamic 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

4
2005Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach. (2005). Wagner, Friedrich . In: Working Papers. RePEc:wbs:wpaper:wp05-02.

Full description at Econpapers || Download paper

4
2013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Koufopoulos, Kostas ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

Full description at Econpapers || Download paper

3
2006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

Full description at Econpapers || Download paper

3
2007An 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

2
2001Copulas: an Open Field for Risk Management. (2001). Nikeghbali, Ashkan ; Durrleman, Vado ; Riboulet, Gael ; Bouy, Erick . In: Working Papers. RePEc:wbs:wpaper:wp01-01.

Full description at Econpapers || Download paper

2
2006Pricing 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
2007Informational differences and learning in an asset market with boundedly rational agents. (2007). . In: Working Papers. RePEc:wbs:wpaper:wp07-06.

Full description at Econpapers || Download paper

2
2009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. (2009). . In: Working Papers. RePEc:wbs:wpaper:wp09-02.

Full description at Econpapers || Download paper

2
2011The Case of Negative Day-Ahead Electricity Prices. (2011). Gamba, Andrea ; Prokopczuk, Marcel ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

Full description at Econpapers || Download paper

2
2001Small Sample Properties of Panel Time-series Estimators with I(1) Errors. (2001). . In: Working Papers. RePEc:wbs:wpaper:wp01-08.

Full description at Econpapers || Download paper

2
2002Noise 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

2
2010Asymmetric Momentum Effects Under Uncertainty. (2010). Kelsey, David ; Pang, Wei ; Kozhan, Roman . In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 11:

[Click on heading to sort table]

YearTitleSee
2014Credit Default Swaps: A Survey. (2014). Tang, Dragon Yongjun ; Wang, Sarah Qian ; Augustin, Patrick ; Subrahmanyam, Marti G.. In: Foundations and Trends(R) in Finance. RePEc:now:fntfin:0500000040.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Bank Liquidity and Capital Regulation in General Equilibrium. (2014). Covas, Francisco . In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2014-85.

Full description at Econpapers || Download paper

[Citation Analysis]
2014A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints. (2014). Michaelides, Alexander ; Pagratis, Spyros ; Mankart, Jochen . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10299.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Price pressures in the UK index-linked market: an empirical investigation. (2014). Zinna, Gabriele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_968_14.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Public Bads, Heterogeneous Beliefs, and the Value of Information. (2014). . In: Discussion papers. RePEc:kue:dpaper:e-13-009.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Ambiguïté, comportements et marchés financiers.. (2014). Jeleva, Meglena . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14064.

Full description at Econpapers || Download paper

[Citation Analysis]
2014Ambiguïté, comportements et marchés financiers. (2014). Jeleva, Meglena ; Tallon, Jean-Marc . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01109639.

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[Citation Analysis]
2014The liquidity reserve funding and management strategies. (2014). Buschmann, Christian ; Heidorn, Thomas . In: Frankfurt School - Working Paper Series. RePEc:zbw:fsfmwp:210.

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[Citation Analysis]
2014Why Do We Need Countercyclical Capital Requirements?. (2014). Jokivuolle, Esa ; Vesala, Timo ; Kiema, Ilkka . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:46:y:2014:i:1:p:55-76.

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[Citation Analysis]
2014An Overview of Macroprudential Policy Tools. (2014). Claessens, Stijn . In: IMF Working Papers. RePEc:imf:imfwpa:14/214.

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[Citation Analysis]
2014Bidder Contests in International Mergers and Acquisitions: The Impact of Toeholds, Preemptive Bidding, and Termination Fees. (2014). Schneck, Colin ; Bessler, Wolfgang ; Zimmermann, Jan . In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy. RePEc:zbw:vfsc14:100493.

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[Citation Analysis]

Cites in year: CiY

Recent citations received in: 2013

[Click on heading to sort table]

YearTitleSee
2013Debt, equity, and capital investment. (2013). Salzsieder, Leigh ; Keune, Timothy M. ; Jackson, Scott B.. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:56:y:2013:i:2:p:291-310.

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[Citation Analysis]

Recent citations received in: 2012

[Click on heading to sort table]

YearTitleSee

Recent citations received in: 2011

[Click on heading to sort table]

YearTitleSee

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.