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Working Papers / Warwick Business School, Finance Group


0.23

Impact Factor

0.43

5-Years IF

9

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.1000 (%)0.06
19910.09000 (%)0.05
19920.11000 (%)0.06
19930.14000 (%)0.07
19940.12000 (%)0.06
19950.16000 (%)0.1
19960.20100 (%)0.09
19970.21000 (%)0.09
19980.22000 (%)0.13
19990.28191932001 (3.1%)0.16
20000.37625319191 (33.3%)0.14
20010.120.360.12164160.15312532536 (19.4%)20.130.17
20020.370.05125340.0820224121 (5%)0.18
20030.140.40.095350.09284535 (%)0.19
20040.080.420.04227590.12521215321 (1.9%)50.230.19
20050.230.430.131994130.14392255671 (2.6%)10.050.21
20060.290.450.2642136240.183941126918 (%)30.070.2
20070.020.390.0519155130.08366119555 (13.9%)30.160.17
20080.10.390.1111166200.1210616102115 (50%)20.180.17
20090.270.370.178174270.161430811319 (%)0.18
20100.330.15179190.11141999101 (7.1%)0.15
20110.460.410.164183320.1751368514 (%)0.2
20120.110.460.138191150.0817914761 (5.9%)0.21
20130.250.50.3113204400.2141233611 (%)10.080.21
20140.520.540.42204320.1621113816 (%)0.26
20150.230.60.43204350.171333013 (%)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:


#YearTitleCited
12005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?. (2005). Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp05-11.

Full description at Econpapers || Download paper

21
22007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Lux, Thomas ; Liu, Ruipeng ; Matteo, Di. In: Working Papers. RePEc:wbs:wpaper:wp07-12.

Full description at Econpapers || Download paper

18
31999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

17
42004Dynamic 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

16
5Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach. (2005). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich . In: Working Papers. RePEc:wbs:wpaper:wp05-02.

Full description at Econpapers || Download paper

14
62006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

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12
72001Copulas: an Open Field for Risk Management. (2001). Roncalli, Thierry ; Nikeghbali, Ashkan ; Durrleman, Vado ; Riboulet, Gael ; Bouy, Erick . In: Working Papers. RePEc:wbs:wpaper:wp01-01.

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12
82004Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes. (2004). Oomen, Roel. In: Working Papers. RePEc:wbs:wpaper:wp04-15.

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10
92010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

9
102012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

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9
112004Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates. (2004). Patton, Andrew ; Chen, Xiaohong ; Fan, Yanqin . In: Working Papers. RePEc:wbs:wpaper:wp04-19.

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9
122002Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea. In: Working Papers. RePEc:wbs:wpaper:wpn02-02.

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8
132012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Paap, Richard ; Fidrmuc, Jana P. ; Teunissen, Tim ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

Full description at Econpapers || Download paper

7
142006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

Full description at Econpapers || Download paper

7
152009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

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7
162013Microprudential Regulation in a Dynamic Model of Banking. (2013). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

6
17A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets. (2007). Alfarano, Simone ; Franke, Reiner . In: Working Papers. RePEc:wbs:wpaper:wp07-01.

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6
182006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10.

Full description at Econpapers || Download paper

5
192004Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. (2004). Timmermann, Allan ; Patton, Andrew. In: Working Papers. RePEc:wbs:wpaper:wp04-05.

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5
202001Optimal Investment in Derivative Securities. (2001). Xing, Jin ; Carr, Peter ; Dilip, Madam . In: Working Papers. RePEc:wbs:wpaper:wpn01-01.

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5
212002Noise 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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5
222004Predictive Density Accuracy Tests. (2004). Swanson, Norman. In: Working Papers. RePEc:wbs:wpaper:wp04-16.

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4
232001Investigating Dynamic Dependence Using Copulae. (2001). Salmon, Mark ; Bouy, Eric ; Gaussel, Nicolas . In: Working Papers. RePEc:wbs:wpaper:wp01-03.

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4
242007An 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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4
252009Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise. (2009). Voev, Valeri ; Nolte, Ingmar. In: Working Papers. RePEc:wbs:wpaper:wp09-02.

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4
262011The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01.

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4
272008Investment 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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4
282000Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05.

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3
292013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

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3
302006Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp06-24.

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3
312010Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei . In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

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3
321999An Analysis of the Performance of European Foreign Exchange Forecasters. (1999). Marsh, Ian. In: Working Papers. RePEc:wbs:wpaper:wp99-07.

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3
332002Testing 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
342004Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-10.

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3
352001A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12.

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3
361999How do UK-Based Foreign Exchange Dealers Think Their Market Operates?. (1999). Marsh, Ian ; Cheung, Yin-Wong ; Chinn, Menzie. In: Working Papers. RePEc:wbs:wpaper:wp99-21.

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3
372006When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?. (2006). Hung, Chi-Hsiou ; Stremme, Alexander ; Oomen, Roel ; Basu, Devraj . In: Working Papers. RePEc:wbs:wpaper:wpn06-13.

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3
382006Price Stability and Volatility in Markets with Positive and Negative Expectations Feedback: An Experimental Investigation. (2006). Tuinstra, Jan ; Sonnemans, Joep ; Hommes, Cars ; Heemeijer, Peter . In: Working Papers. RePEc:wbs:wpaper:wp06-18.

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3
392004Minority games with finite score memory. (2004). Challet, Damien ; De Martino, Andrea ; Marsili, Matteo ; Castillo, Isaac . In: Working Papers. RePEc:wbs:wpaper:wp04-07.

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2
402001Small Sample Properties of Panel Time-series Estimators with I(1) Errors. (2001). Smith, Ronald ; Fuertes, Ana-Maria ; Coakley, Jerry. In: Working Papers. RePEc:wbs:wpaper:wp01-08.

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2
412006A Behavioral Model for Participation Games with Negative Feedback. (2006). Tuinstra, Jan ; Dindo, Pietro. In: Working Papers. RePEc:wbs:wpaper:wp06-15.

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2
422007Informational differences and learning in an asset market with boundedly rational agents. (2007). Dindo, Pietro ; Diks, Cees. In: Working Papers. RePEc:wbs:wpaper:wp07-06.

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2
431999Technical Analysis and Central Bank Intervention. (1999). Neely, Christopher ; Weller, Paul . In: Working Papers. RePEc:wbs:wpaper:wp99-04.

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2
442007Equilibrium Return and Agents Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model. (2007). Dindo, Pietro ; Anufriev, Mikhail. In: Working Papers. RePEc:wbs:wpaper:wp07-03.

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2
451999The Disappearance of Style in the US Equity Market. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-18.

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2
462009Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform. (2009). Nolte, Ingmar ; Nolte (Lechner), Sandra. In: Working Papers. RePEc:wbs:wpaper:wp09-01.

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2
472007Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey. (2007). Lux, Thomas. In: Working Papers. RePEc:wbs:wpaper:wp07-11.

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2
482004The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2004). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard. In: Working Papers. RePEc:wbs:wpaper:wp04-13.

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2
492006Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders. (2006). Bottazzi, Giulio ; Anufriev, Mikhail. In: Working Papers. RePEc:wbs:wpaper:wp06-02.

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2
50On Uncertainty, Market Timing and the Predictability of Tick by Tick Exchange Rates. (2008). Salmon, Mark ; Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp08-06.

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2

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
11999Modelling Emerging Market Risk Premia Using Higher Moments. (1999). Hwang, Soosung ; Satchell, Stephen . In: Working Papers. RePEc:wbs:wpaper:wp99-17.

Full description at Econpapers || Download paper

10
22012Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking. (2012). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn12-04.

Full description at Econpapers || Download paper

9
32007True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence. (2007). Lux, Thomas ; Liu, Ruipeng ; Matteo, Di. In: Working Papers. RePEc:wbs:wpaper:wp07-12.

Full description at Econpapers || Download paper

8
42004Dynamic 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

8
52012One size Does Not Fit All: Selling Firms to Private Equity Versus Strategic Acquirers. (2012). Paap, Richard ; Fidrmuc, Jana P. ; Teunissen, Tim ; Roosenboom, Peter . In: Working Papers. RePEc:wbs:wpaper:wpn12-02.

Full description at Econpapers || Download paper

7
62010Culture, 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
72006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas . In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

Full description at Econpapers || Download paper

6
82013Microprudential Regulation in a Dynamic Model of Banking. (2013). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni . In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

Full description at Econpapers || Download paper

6
92005Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand?. (2005). Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp05-11.

Full description at Econpapers || Download paper

6
102002Noise 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

3
112013Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information. (2013). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn13-13.

Full description at Econpapers || Download paper

3
122006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

2
132006Pricing 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
142005Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach. (2005). Lux, Thomas ; Alfarano, Simone ; Wagner, Friedrich . In: Working Papers. RePEc:wbs:wpaper:wp05-02.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 3:


YearTitle
2015Determining Optimal Macroprudential Instruments. (2015). Winkler, Kay . In: Working Paper Series. RePEc:vuw:vuwcsr:4182.

Full description at Econpapers || Download paper

2015Bank Capital, Liquid Reserves, and Insolvency Risk. (2015). Morellec, Erwan ; Hugonnier, Julien . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10378.

Full description at Econpapers || Download paper

2015Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model. (2015). Begenau, Juliane . In: 2015 Meeting Papers. RePEc:red:sed015:687.

Full description at Econpapers || Download paper

Recent citations (cites in year: CiY)


Recent citations received in 2013

YearCiting document
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.

Full description at Econpapers || Download paper

Recent citations received in 2012

YearCiting document

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.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team