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Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
27
Impact Factor
0
5 Years IF
0.71
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 0.13 0 0 3 3 7 0 1 1 0 0 0.07
1991 0.5 0.11 0.43 0.5 4 7 31 3 3 4 2 4 2 0 1 0.25 0.06
1992 0.14 0.1 0.11 0.13 2 9 17 1 4 7 1 8 1 0 0 0.07
1993 0 0.13 0.08 0.1 3 12 9 1 5 6 10 1 0 0 0.07
1994 0.2 0.13 0.08 0.08 1 13 2 1 6 5 1 13 1 0 0 0.06
1995 0.25 0.19 0.35 0.38 4 17 11 6 12 4 1 13 5 0 1 0.25 0.09
1996 0.2 0.22 0.31 0.21 9 26 47 7 20 5 1 14 3 0 4 0.44 0.12
1997 0.31 0.23 0.34 0.42 15 41 76 14 34 13 4 19 8 1 7.1 2 0.13 0.12
1998 0.25 0.24 0.3 0.25 22 63 208 19 53 24 6 32 8 2 10.5 9 0.41 0.15
1999 0.43 0.32 0.31 0.43 21 84 120 26 79 37 16 51 22 0 3 0.14 0.21
2000 0.63 0.47 0.4 0.48 25 109 84 43 123 43 27 71 34 2 4.7 4 0.16 0.2
2001 0.39 0.4 0.48 0.49 28 137 151 60 189 46 18 92 45 2 3.3 6 0.21 0.22
2002 0.58 0.41 0.6 0.72 37 174 329 102 293 53 31 111 80 2 2 9 0.24 0.23
2003 0.74 0.42 0.62 0.68 27 201 89 125 418 65 48 133 91 3 2.4 7 0.26 0.24
2004 1 0.47 0.6 0.7 40 241 65 144 562 64 64 138 96 0 6 0.15 0.27
2005 0.3 0.49 0.42 0.48 21 262 75 109 672 67 20 157 75 0 3 0.14 0.29
2006 0.38 0.48 0.37 0.47 26 288 141 106 779 61 23 153 72 1 0.9 2 0.08 0.27
2007 0.45 0.41 0.35 0.4 24 312 153 107 888 47 21 151 60 0 13 0.54 0.22
2008 0.68 0.46 0.35 0.38 16 328 99 114 1003 50 34 138 52 0 7 0.44 0.23
2009 0.78 0.43 0.3 0.44 19 347 442 100 1107 40 31 127 56 0 5 0.26 0.23
2010 0.94 0.37 0.39 0.76 17 364 143 143 1250 35 33 106 81 1 0.7 7 0.41 0.2
2011 1.42 0.47 0.44 0.97 31 395 132 172 1425 36 51 102 99 2 1.2 9 0.29 0.25
2012 0.94 0.5 0.34 0.81 17 412 131 141 1567 48 45 107 87 3 2.1 8 0.47 0.26
2013 0.65 0.52 0.39 0.87 5 417 23 158 1729 48 31 100 87 2 1.3 1 0.2 0.24
2014 1.27 0.54 0.43 1.26 7 424 53 182 1911 22 28 89 112 2 1.1 11 1.57 0.28
2015 1.67 0.54 0.36 0.91 0 424 0 152 2063 12 20 77 70 0 0 0.28
2016 0.71 0.57 0.39 0.7 0 424 0 166 2229 7 5 60 42 0 0 0.29
2017 0 0.58 0.34 1.14 0 424 0 143 2372 0 29 33 0 0 0.28
2018 0 0.6 0.31 0.58 0 424 0 132 2504 0 12 7 0 0 0.31
2019 0 0.65 0.3 0.71 0 424 0 126 2630 0 7 5 0 0 0.38
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
12009A Preferred-Habitat Model of the Term Structure of Interest Rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp641.

Full description at Econpapers || Download paper

217
22002Market Timing and Return Prediction under Model Instability. (2002). Timmermann, Allan ; Pesaran, M. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp412.

Full description at Econpapers || Download paper

126
32007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

Full description at Econpapers || Download paper

99
42009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

98
52010Limits of Arbitrage: The State of the Theory. (2010). Vayanos, Dimitri ; Gromb, Denis. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp650.

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75
62009Negative Nominal Interest Rates: Three ways to overcome the zero lower bound. (2009). Buiter, Willem. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp636.

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67
71999A Model of the Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp313.

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45
82012Financial Regulation in General Equilibrium. (2012). Tsomocos, Dimitrios ; Kashyap, Anil ; Vardoulakis, Alexandros ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp702.

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40
92014Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. (2014). Yuan, Kathy ; Julliard, Christian ; Denbee, Edward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp734.

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40
101998Optimal Monetary Policy in a Model of Asymmetric Central Bank Preferences. (1998). Peel, David ; Nobay, Bob. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp306.

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38
112002Family Firms. (2002). Shleifer, Andrei ; Burkart, Mike ; Panunzi, Fausto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp406.

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35
122002Coordination Failures and the Lender of Last Resort: Was Bagehot Right After All?. (2002). Vives, Xavier ; Rochet, Jean. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp408.

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32
132011Balance Sheet Capacity and Endogenous Risk. (2011). Shin, Hyun Song ; Danielsson, Jon ; Zigrand, Jean-Pierre. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp665.

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32
142012Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

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32
152006(UBS Pensions Series 041) The Economics of Pensions. (2006). Diamond, Peter ; Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp563.

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31
161999A Simple Model of an International Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp336.

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30
171998Beyond the Sample: Extreme Quantile and Probability Estimation. (1998). de Vries, Casper ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp298.

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30
182006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

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30
191998Informed Trading, Investment, and Welfare. (1998). Rahi, Rohit ; Dow, James. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp292.

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29
202006Recovery Rates, Default Probabilities and the Credit Cycle. (2006). González-Aguado, Carlos ; Bruche, Max ; Gonzalez-Aguado, Carlos . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp572.

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29
211998Data-Snooping, Technical Trading, Rule Performance and the Bootstrap. (1998). White, Halbert ; Timmermann, Allan ; Sullivan, Ryan. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp303.

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29
222005Subadditivity Re–Examined: the Case for Value-at-Risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Samorodnitsky, Gennady ; Mandira, Sarma. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp549.

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29
231998Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp296.

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29
242002Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy. (2002). Segoviano, Miguel ; Lowe, Philip. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp428.

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28
251991The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market. (1991). Goodhart, Charles ; Curcio, Riccardo. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp110.

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28
262012Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp708.

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27
271996Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market. (1996). Payne, Richard. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp238.

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27
282009Financial Volatility and Economic Activity. (2009). Mele, Antonio. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp642.

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26
292008Bond Supply and Excess Bond Returns. (2008). Vayanos, Dimitri ; Greenwood, Robin. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp607.

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26
302010Risk Appetite and Endogenous Risk. (2010). Zigrand, Jean-Pierre ; Shin, Hyun Song ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp647.

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26
312001Housing Market Dynamics: on the Contribution of Income Shocks and Credit Constraints. (2001). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp375.

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25
322003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

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25
332010Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. (2010). Ellul, Andrew ; Yerramilli, Vijay . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp646.

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24
342011Anticipated and Repeated Shocks in Liquid Markets. (2011). ZHANG, JINFAN ; Yan, Hongjun ; Lou, Dong. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp684.

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24
352001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model. (2001). Zigrand, Jean-Pierre ; Danielsson, Jon. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp393.

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19
361997Team Structure Modelling of Defaultable Bonds. (1997). Schönbucher, Philipp. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp272.

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19
371999Optimal Bail Out Policy, Conditionality and Creative Ambiguity. (1999). FREIXAS, XAVIER. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp327.

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18
382006(UBS Pensions Series 040) Pensions: Overview of Issues. (2006). Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp562.

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18
391998Boom In, Bust Out: Young Households and the Housing Price Cycle. (1998). Rady, Sven ; Ortalo-Magne, Francois. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp310.

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17
402008Central banks and financial crises. (2008). Buiter, Willem ; Guriev, Sergei ; Bhattacharya, Sudipto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp619.

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16
412008Can Rare Events Explain the Equity Premium Puzzle?. (2008). Julliard, Christian ; Ghosh, Anisha. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp610.

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16
422000Public Trading and Private Incentives. (2000). Gromb, Denis ; Faure-Grimaud, Antoine . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp347.

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16
432004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations. (2004). Sentana, Enrique. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp502.

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16
442003Macroeconomic news, order flows and exchange rates. (2003). Payne, Richard ; Love, Ryan . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp475.

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15
452001The Impact of Technology on Cash Usage. (2001). Krueger, Malte ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp374.

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15
462002Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements. (2002). Tonks, Ian ; Acker, Daniella ; Stalker, Matthew. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp404.

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15
472001Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders. (2001). Shin, Hyun Song ; Morris, Stephen ; Corsetti, Giancarlo ; Dasgupta, Amil . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp372.

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14
482005The Interest Rate Conditioning Assumption. (2005). Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp547.

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14
492001Coordination Risk and the Price of Debt. (2001). Shin, Hyun Song ; Morris, Stephen. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp373.

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13
501997The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour. (1997). Payne, Richard ; Almeida, Alvaro ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp258.

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13
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12009A Preferred-Habitat Model of the Term Structure of Interest Rates. (2009). Vayanos, Dimitri ; Vila, Jean-Luc . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp641.

Full description at Econpapers || Download paper

80
22009Negative Nominal Interest Rates: Three ways to overcome the zero lower bound. (2009). Buiter, Willem. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp636.

Full description at Econpapers || Download paper

23
32002Market Timing and Return Prediction under Model Instability. (2002). Timmermann, Allan ; Pesaran, M. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp412.

Full description at Econpapers || Download paper

21
42010Limits of Arbitrage: The State of the Theory. (2010). Vayanos, Dimitri ; Gromb, Denis. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp650.

Full description at Econpapers || Download paper

18
52006(UBS Pensions Series 041) The Economics of Pensions. (2006). Diamond, Peter ; Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp563.

Full description at Econpapers || Download paper

13
62012Financial Regulation in General Equilibrium. (2012). Tsomocos, Dimitrios ; Kashyap, Anil ; Vardoulakis, Alexandros ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp702.

Full description at Econpapers || Download paper

9
72009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

8
82012Liquidity and Asset Returns under Asymmetric Information and Imperfect Competition. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp708.

Full description at Econpapers || Download paper

7
92003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

Full description at Econpapers || Download paper

6
102011Anticipated and Repeated Shocks in Liquid Markets. (2011). ZHANG, JINFAN ; Yan, Hongjun ; Lou, Dong. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp684.

Full description at Econpapers || Download paper

6
112014Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. (2014). Yuan, Kathy ; Julliard, Christian ; Denbee, Edward. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp734.

Full description at Econpapers || Download paper

5
122011Balance Sheet Capacity and Endogenous Risk. (2011). Shin, Hyun Song ; Danielsson, Jon ; Zigrand, Jean-Pierre. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp665.

Full description at Econpapers || Download paper

5
132012Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

Full description at Econpapers || Download paper

5
142006Recovery Rates, Default Probabilities and the Credit Cycle. (2006). González-Aguado, Carlos ; Bruche, Max ; Gonzalez-Aguado, Carlos . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp572.

Full description at Econpapers || Download paper

5
152006(UBS Pensions Series 040) Pensions: Overview of Issues. (2006). Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp562.

Full description at Econpapers || Download paper

4
162013Debt Maturity and the Liquidity of Secondary Debt Markets. (2013). Segura, Anatoli ; Bruche, Max. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp726.

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4
172008Information Linkages and Correlated Trading. (2008). Mele, Antonio ; Colla, Paolo. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp620.

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3
182005Subadditivity Re–Examined: the Case for Value-at-Risk. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Samorodnitsky, Gennady ; Mandira, Sarma. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp549.

Full description at Econpapers || Download paper

3
192011Preferred-Habitat Investors and the US Term Structure of Real Rates. (2011). Zinna, Gabriele ; Vayanos, Dimitri ; Kaminska, Iryna. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp674.

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3
202008From Fiction to Fact: The Impact of CEO Social Networks. (2008). Stathopoulos, Konstantinos ; Kirchmaier, Thomas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp608.

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3
212011Financing Constraints, Firm Dynamics, Export Decisions and Aggregate productivity. (2011). Cuñat, Vicente ; Caggese, Andrea ; Cunat, Vincente . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp685.

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3
222007Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns. (2007). LINTON, OLIVER ; Connor, Gregory ; Hagmann, Matthias . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp599.

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2
232002Daily Closing Inside Spreads and Trading Volumes around Earnings Announcements. (2002). Tonks, Ian ; Acker, Daniella ; Stalker, Matthew. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp404.

Full description at Econpapers || Download paper

2
242007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

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2
252012Market Liquidity - Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp709.

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2
262014Liquidity Risk and the Dynamics of Arbitrage Capital. (2014). Vayanos, Dimitri ; Kondor, Péter. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp730.

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2
272007Intergenerational Risksharing and Equilibrium Asset Prices. (2007). Campbell, John ; Nosbusch, Yves . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp589.

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