Citation analysis for Working Papers / Warwick Business School, Finance Group

Working Papers / Warwick Business School, Finance Group

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Impact Factor

0.48

5-Years IF

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
1990		0.1			0				0		0		(%)			0.06
1991		0.09			0				0		0		(%)			0.04
1992		0.1			0				0		0		(%)			0.05
1993		0.13			0				0		0		(%)			0.06
1994		0.14			0				0		0		(%)			0.06
1995		0.17			0				0		0		(%)			0.11
1996		0.22			0	1			0		0		(%)			0.1
1997		0.22			0				0		0		(%)			0.09
1998		0.24			0				0		0		(%)			0.13
1999		0.3		19	19			36	0		0		1 (2.8%)			0.16
2000		0.37		6	25			3	19		19		1 (33.3%)			0.14
2001	0.12	0.37	0.12	16	41	6	0.15	33	25	3	25	3	6 (18.2%)	2	0.13	0.17
2002		0.37	0.05	12	53	4	0.08	22	22		41	2	1 (4.5%)			0.18
2003	0.14	0.4	0.09		53	5	0.09		28	4	53	5	(%)			0.19
2004	0.08	0.41	0.02	22	75	10	0.13	63	12	1	53	1	1 (1.6%)	7	0.32	0.18
2005	0.36	0.43	0.18	19	94	18	0.19	54	22	8	56	10	1 (1.9%)	3	0.16	0.21
2006	0.32	0.44	0.28	42	136	25	0.18	42	41	13	69	19	(%)	3	0.07	0.19
2007	0.02	0.37	0.06	19	155	14	0.09	40	61	1	95	6	5 (12.5%)	3	0.16	0.17
2008	0.1	0.39	0.12	11	166	22	0.13	11	61	6	102	12	5 (45.5%)	2	0.18	0.17
2009	0.3	0.36	0.17	8	174	27	0.16	18	30	9	113	19	(%)			0.17
2010		0.34	0.12	5	179	21	0.12	24	19		99	12	1 (4.2%)			0.15
2011	0.46	0.41	0.15	4	183	33	0.18	7	13	6	85	13	(%)			0.2
2012	0.11	0.45	0.13	8	191	16	0.08	22	9	1	47	6	1 (4.5%)			0.21
2013	0.25	0.5	0.31	13	204	42	0.21	17	12	3	36	11	(%)	1	0.08	0.2
2014	0.57	0.55	0.5		204	36	0.18		21	12	38	19	(%)			0.25
2015	0.23	0.57	0.5		204	41	0.2		13	3	30	15	(%)			0.26
2016		0.66	0.48		204	38	0.19		0		25	12	(%)			0.34

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:

#	Year	Title	Cited
1	2005	Towards 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	27
2	1999	Modelling 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	21
3	2007	True 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	20
4	2004	Dynamic 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	19
5	2010	Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01. Full description at Econpapers \|\| Download paper	16
6	2006	Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21. Full description at Econpapers \|\| Download paper	13
7		Time-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	13
8	2001	Copulas: 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. Full description at Econpapers \|\| Download paper	12
9	2004	Simple 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. Full description at Econpapers \|\| Download paper	11
10	2004	Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes. (2004). Oomen, Roel. In: Working Papers. RePEc:wbs:wpaper:wp04-15. Full description at Econpapers \|\| Download paper	10
11	2012	Capital 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	10
12	2009	Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03. Full description at Econpapers \|\| Download paper	9
13	2004	Predictive Density Accuracy Tests. (2004). Swanson, Norman ; Corradi, Valentina. In: Working Papers. RePEc:wbs:wpaper:wp04-16. Full description at Econpapers \|\| Download paper	8
14	2012	One 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	8
15	2005	Mispricing of S&P 500 Index Options. (2005). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George . In: Working Papers. RePEc:wbs:wpaper:wp05-07. Full description at Econpapers \|\| Download paper	8
16	2002	Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea. In: Working Papers. RePEc:wbs:wpaper:wpn02-02. Full description at Econpapers \|\| Download paper	8
17	2006	Financial 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
18	2002	Noise 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	7
19	2010	Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei . In: Working Papers. RePEc:wbs:wpaper:wpn10-04. Full description at Econpapers \|\| Download paper	6
20	2013	Microprudential 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
21	2006	Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10. Full description at Econpapers \|\| Download paper	6
22	2007	An 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	6
23	2013	Welfare-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	6
24	2001	Optimal Investment in Derivative Securities. (2001). Xing, Jin ; Carr, Peter ; Dilip, Madam . In: Working Papers. RePEc:wbs:wpaper:wpn01-01. Full description at Econpapers \|\| Download paper	6
25	2004	Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity. (2004). Timmermann, Allan ; Patton, Andrew. In: Working Papers. RePEc:wbs:wpaper:wp04-05. Full description at Econpapers \|\| Download paper	5
26		A 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. Full description at Econpapers \|\| Download paper	5
27	2011	The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01. Full description at Econpapers \|\| Download paper	5
28	2009	Customer 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. Full description at Econpapers \|\| Download paper	4
29	2001	Investigating Dynamic Dependence Using Copulae. (2001). Salmon, Mark ; Bouy, Eric ; Gaussel, Nicolas . In: Working Papers. RePEc:wbs:wpaper:wp01-03. Full description at Econpapers \|\| Download paper	4
30	2001	A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12. Full description at Econpapers \|\| Download paper	4
31	2009	Least 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. Full description at Econpapers \|\| Download paper	4
32	2008	Investment Under Uncertainty, Debt and Taxes. (2008). Gamba, Andrea ; Gordon, Leon ; Leon, Carmen Aranda. In: Working Papers. RePEc:wbs:wpaper:wpn08-03. Full description at Econpapers \|\| Download paper	4
33	2000	Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05. Full description at Econpapers \|\| Download paper	3
34	1999	How 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. Full description at Econpapers \|\| Download paper	3
35	2002	Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds. (2002). Gemmill, Gordon . In: Working Papers. RePEc:wbs:wpaper:wp02-08. Full description at Econpapers \|\| Download paper	3
36	2006	When 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. Full description at Econpapers \|\| Download paper	3
37	2004	Empirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts. (2004). Valente, Giorgio ; Sarno, Lucio. In: Working Papers. RePEc:wbs:wpaper:wp04-10. Full description at Econpapers \|\| Download paper	3
38	1999	An Analysis of the Performance of European Foreign Exchange Forecasters. (1999). Marsh, Ian. In: Working Papers. RePEc:wbs:wpaper:wp99-07. Full description at Econpapers \|\| Download paper	3
39	2006	Price 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. Full description at Econpapers \|\| Download paper	3
40	2006	Price 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. Full description at Econpapers \|\| Download paper	3
41	2005	Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index (Revised). (2005). Schleicher, Christoph ; Salmon, Mark ; Hurd, Matthew . In: Working Papers. RePEc:wbs:wpaper:wp05-14. Full description at Econpapers \|\| Download paper	3
42	2006	Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp06-24. Full description at Econpapers \|\| Download paper	3
43	2010	The information Content of a Limit Order Book:the Case of an FX Market. (2010). Kozhan, Roman ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn10-05. Full description at Econpapers \|\| Download paper	2
44	2004	Minority games with finite score memory. (2004). Challet, Damien ; De Martino, Andrea ; Marsili, Matteo ; Castillo, Isaac . In: Working Papers. RePEc:wbs:wpaper:wp04-07. Full description at Econpapers \|\| Download paper	2
45	2008	Valuing Corporate Financing Strategies. (2008). Gamba, Andrea ; Triantis, Alexander J.. In: Working Papers. RePEc:wbs:wpaper:wpn08-02. Full description at Econpapers \|\| Download paper	2
46	2001	Small 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. Full description at Econpapers \|\| Download paper	2
47	2007	Equilibrium 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. Full description at Econpapers \|\| Download paper	2
48		Some Important Issues Involving Real Options. (2005). Gamba, Andrea ; Sick, Gordon . In: Working Papers. RePEc:wbs:wpaper:wpn05-02. Full description at Econpapers \|\| Download paper	2
49	2004	Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina . In: Working Papers. RePEc:wbs:wpaper:wp04-06. Full description at Econpapers \|\| Download paper	2
50	2007	Rational 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. Full description at Econpapers \|\| Download paper	2

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

#	Year	Title	Cited
1	2010	Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01. Full description at Econpapers \|\| Download paper	10
2	1999	Modelling 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	9
3	2007	True 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
4	2005	Towards 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	8
5	2004	Dynamic 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
6	2012	One 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
7	2012	Capital 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	6
8	2006	Financial 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
9	2002	Noise 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	4
10	2013	Microprudential 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	4
11	2006	Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10. Full description at Econpapers \|\| Download paper	3
12	2009	Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03. Full description at Econpapers \|\| Download paper	3
13	2006	Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21. Full description at Econpapers \|\| Download paper	3
14	2010	Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei . In: Working Papers. RePEc:wbs:wpaper:wpn10-04. Full description at Econpapers \|\| Download paper	3
15	2013	Welfare-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
16	2011	The Case of Negative Day-Ahead Electricity Prices. (2011). Prokopczuk, Marcel ; Gamba, Andrea ; Fanone, Enzo . In: Working Papers. RePEc:wbs:wpaper:wpn11-01. Full description at Econpapers \|\| Download paper	2
17	2006	Price 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. Full description at Econpapers \|\| Download paper	2
18	2009	Customer 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. Full description at Econpapers \|\| Download paper	2
19	2007	An 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
20	2012	Optimal Insurance under Advserse Selection and Ambiguity Aversion. (2012). Kozhan, Roman ; Koufopoulos, Kostas . In: Working Papers. RePEc:wbs:wpaper:wpn12-07. Full description at Econpapers \|\| Download paper	2
21	2001	A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12. Full description at Econpapers \|\| Download paper	2

Citing documents used to compute impact factor 0:

Year	Title

Recent citations (cites in year: CiY)

Recent citations received in 2013

Year	Citing document
2013	Debt, 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

10 most frequent citing series

#	Series	Cites
1	Working Papers / Warwick Business School, Finance Group	11
2	Kiel Working Papers / Kiel Institute for the World Economy (IfW)	7
3	Physica A: Statistical Mechanics and its Applications / Elsevier	6
4	FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents	3
5	Energy Policy / Elsevier	3
6	Journal of International Financial Markets, Institutions and Money / Elsevier	3
7	Papers / arXiv.org	3
8	HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology	2
9	Working Papers / HAL	2
10	Journal of Banking & Finance / Elsevier	2
11	Journal of Multinational Financial Management / Elsevier	2

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.