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Working Papers / Warwick Business School, Finance Group

Citation Profile [Updated: 2019-12-04 10:36:47]
5 Years H
12
Impact Factor
0
5 Years IF
0.15
Data available in this report

[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 CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0 0.14 0 0 0 0 0 0 0 0 0 0 0.07
1991 0 0.11 0 0 0 0 0 0 0 0 0 0 0.06
1992 0 0.1 0 0 0 0 0 0 0 0 0 0 0.07
1993 0 0.13 0 0 0 0 0 0 0 0 0 0 0.07
1994 0 0.13 0 0 0 0 0 0 0 0 0 0 0.06
1995 0 0.18 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.22 0 0 0 0 0 1 0 0 0 0 0.11
1997 0 0.23 0 0 0 0 0 1 0 0 0 0 0.12
1998 0 0.24 0 0 0 0 0 1 0 0 0 0 0.15
1999 0 0.32 0 0 19 19 49 1 0 0 0 0 0.21
2000 0.05 0.46 0.04 0.05 6 25 2 1 2 19 1 19 1 0 0 0.2
2001 0.12 0.39 0.15 0.12 16 41 41 6 8 25 3 25 3 2 33.3 2 0.13 0.22
2002 0 0.42 0.09 0.07 12 53 28 3 13 22 41 3 0 0 0.24
2003 0.14 0.41 0.09 0.09 0 53 0 5 18 28 4 53 5 0 0 0.24
2004 0.08 0.47 0.17 0.08 22 75 74 13 31 12 1 53 4 3 23.1 9 0.41 0.27
2005 0.41 0.49 0.22 0.21 19 94 76 20 52 22 9 56 12 1 5 3 0.16 0.29
2006 0.37 0.48 0.24 0.35 42 136 48 32 84 41 15 69 24 3 9.4 4 0.1 0.26
2007 0.05 0.4 0.11 0.08 19 155 45 17 101 61 3 95 8 6 35.3 3 0.16 0.22
2008 0.11 0.45 0.17 0.17 11 166 14 28 129 61 7 102 17 4 14.3 2 0.18 0.23
2009 0.27 0.43 0.16 0.15 8 174 22 27 156 30 8 113 17 3 11.1 0 0.23
2010 0.11 0.37 0.15 0.15 5 179 37 27 183 19 2 99 15 0 0 0.19
2011 0.46 0.47 0.2 0.16 4 183 9 36 219 13 6 85 14 1 2.8 0 0.25
2012 0.11 0.5 0.1 0.13 8 191 37 19 238 9 1 47 6 0 0 0.26
2013 0.33 0.52 0.23 0.31 13 204 20 46 284 12 4 36 11 2 4.3 1 0.08 0.24
2014 0.62 0.55 0.19 0.55 0 204 0 38 322 21 13 38 21 0 0 0.28
2015 0.23 0.54 0.22 0.53 0 204 0 44 366 13 3 30 16 0 0 0.28
2016 0 0.58 0.23 0.64 0 204 0 46 412 0 25 16 0 0 0.29
2017 0 0.6 0.21 0.43 0 204 0 42 454 0 21 9 0 0 0.3
2018 0 0.62 0.18 0.15 0 204 0 36 490 0 13 2 0 0 0.33
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
CIF: Cumulative impact factor
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CIT: Number of citations to papers published in year y
NCI: Number of citations in year y
CCU: Cumulative number of citations to papers published until 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: selft citations 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
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

45
21999Modelling 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

32
32010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

29
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

26
52007True 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

23
62012One 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.

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17
72012Capital 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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15
82006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark. In: Working Papers. RePEc:wbs:wpaper:wp06-21.

Full description at Econpapers || Download paper

14
92009Valuing Modularity as a Real Option. (2009). Gamba, Andrea ; Nicola, Fusari . In: Working Papers. RePEc:wbs:wpaper:wpn09-03.

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13
102001Copulas: 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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13
11Time-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.

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13
122004Simple 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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13
132002Noise 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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12
142004Properties 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
152001Optimal 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

10
162002Real options Valuation: A Monte Carol Approach. (2002). Gamba, Andrea. In: Working Papers. RePEc:wbs:wpaper:wpn02-02.

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9
172004Predictive Density Accuracy Tests. (2004). Swanson, Norman ; Corradi, Valentina. In: Working Papers. RePEc:wbs:wpaper:wp04-16.

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8
182005Mispricing of S&P 500 Index Options. (2005). Perrakis, Stylianos ; Jackwerth, Jens ; Constantinides, George. In: Working Papers. RePEc:wbs:wpaper:wp05-07.

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8
192007An 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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8
202006Financial Power Laws: Empirical Evidence, Models, and Mechanism. (2006). Lux, Thomas. In: Working Papers. RePEc:wbs:wpaper:wpn06-08.

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7
212013Welfare-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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7
222008Investment 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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7
232010Asymmetric Momentum Effects Under Uncertainty. (2010). Kozhan, Roman ; Kelsey, David ; Pang, Wei. In: Working Papers. RePEc:wbs:wpaper:wpn10-04.

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7
24A 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
252004Properties 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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6
262013Microprudential Regulation in a Dynamic Model of Banking. (2013). Lucchetta, Marcella ; Gamba, Andrea ; de Nicolo, Gianni. In: Working Papers. RePEc:wbs:wpaper:wpn13-04.

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6
272006Pricing Multivariate Currency Options with Copulas. (2006). Schleicher, Christoph ; Salmon, Mark . In: Working Papers. RePEc:wbs:wpaper:wpn06-10.

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6
282011The 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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5
292001Small 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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5
302011The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns. (2011). Zhang, Weina ; LI, HAITAO ; Kim, Gi H. ; Gi H. Kim, . In: Working Papers. RePEc:wbs:wpaper:wpn11-04.

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5
312002Testing Mertons Model for Credit Spreads on Zero-Coupon Bonds. (2002). Gemmill, Gordon. In: Working Papers. RePEc:wbs:wpaper:wp02-08.

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4
322009Least 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
332006Price 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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4
342006When 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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4
352009Customer 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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4
362001Investigating Dynamic Dependence Using Copulae. (2001). Salmon, Mark ; Bouy, Eric ; Gaussel, Nicolas . In: Working Papers. RePEc:wbs:wpaper:wp01-03.

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4
371999How 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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4
382001A New Measure of Herding and Empirical Evidence. (2001). Salmon, Mark ; Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp01-12.

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4
391999An 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
402012Optimal Insurance under Advserse Selection and Ambiguity Aversion. (2012). Kozhan, Roman ; Koufopoulos, Kostas. In: Working Papers. RePEc:wbs:wpaper:wpn12-07.

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3
412006Price 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
422004Empirical 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
432000Properties of Cross-sectional Volatility. (2000). Hwang, Soosung. In: Working Papers. RePEc:wbs:wpaper:wp00-05.

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3
441999The 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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3
452006Multiple Priors and No-Transaction Region. (2006). Kozhan, Roman. In: Working Papers. RePEc:wbs:wpaper:wp06-24.

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3
462006A 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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3
472005Using 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.

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3
482006Statistical mechanics of socio-economic systems with heterogeneous agents. (2006). de Martino, Andrea ; Marsili, Matteo. In: Working Papers. RePEc:wbs:wpaper:wp06-12.

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2
491999Forecasting Volatility using LINEX Loss Functions. (1999). Knight, John ; Hwang, Soosung ; Satchell, Stephen. In: Working Papers. RePEc:wbs:wpaper:wp99-20.

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2
502013How Effectively Can Debt Covenants Alleviate Financial Agency Problems?. (2013). Gamba, Andrea ; Triantis, Alexander J.. In: Working Papers. RePEc:wbs:wpaper:wpn13-08.

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2
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12010Culture, Agency Costs and Dividends. (2010). Fidrmuc, Jana P. ; Jacob, Marcus . In: Working Papers. RePEc:wbs:wpaper:wpn10-01.

Full description at Econpapers || Download paper

18
22005Towards 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

18
32012One 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
41999Modelling 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

6
52002Noise 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

5
62004Dynamic 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

5
72012Capital 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

5
82007True 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

5
92007An 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

3
102006Pricing 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
112009Valuing 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
122001Optimal 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

3
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
142012Optimal 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
152012The Skew Risk Premium in the Equity Index Market. (2012). Kozhan, Roman ; Neuberger, Anthony ; Schneider, Paul. In: Working Papers. RePEc:wbs:wpaper:wpn12-08.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations