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OFRC Working Papers Series / Oxford Financial Research Centre

Citation Profile [Updated: 2020-06-03 07:38:54]
5 Years H
17
Impact Factor
0
5 Years IF
0
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 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 0.19 0 0 0 0 0 0 0 0 0 0 0.09
1996 0 0.22 0 0 0 0 0 0 0 0 0 0 0.12
1997 0 0.23 0 0 0 0 0 0 0 0 0 0 0.12
1998 0 0.24 0 0 0 0 0 0 0 0 0 0 0.15
1999 0 0.32 0.13 0 30 30 66 4 4 0 0 0 4 0.13 0.21
2000 0.13 0.47 0.14 0.13 12 42 70 6 10 30 4 30 4 0 1 0.08 0.2
2001 0.31 0.4 0.26 0.31 24 66 242 17 27 42 13 42 13 0 4 0.17 0.22
2002 0.42 0.41 0.33 0.32 13 79 37 26 53 36 15 66 21 0 2 0.15 0.23
2003 0.65 0.42 0.39 0.39 22 101 157 38 92 37 24 79 31 0 7 0.32 0.24
2004 0.8 0.47 0.45 0.41 23 124 189 53 148 35 28 101 41 1 1.9 8 0.35 0.27
2005 0.76 0.49 0.4 0.5 21 145 148 58 206 45 34 94 47 0 2 0.1 0.29
2006 0.57 0.48 0.5 0.5 15 160 73 80 286 44 25 103 52 0 6 0.4 0.27
2007 0.42 0.41 0.36 0.37 6 166 15 58 346 36 15 94 35 1 1.7 3 0.5 0.22
2008 0.81 0.46 0.4 0.48 33 199 238 79 425 21 17 87 42 0 12 0.36 0.23
2009 0.72 0.43 0.6 0.66 4 203 16 122 547 39 28 98 65 1 0.8 3 0.75 0.23
2010 0.59 0.37 0.4 0.48 0 203 0 81 628 37 22 79 38 0 0 0.2
2011 0.5 0.47 0.5 0.64 0 203 0 101 729 4 2 58 37 0 0 0.25
2012 0 0.5 0.35 0.53 0 203 0 71 800 0 43 23 0 0 0.26
2013 0 0.52 0.53 1.19 0 203 0 107 907 0 37 44 0 0 0.24
2014 0 0.54 0.33 0.5 0 203 0 68 975 0 4 2 0 0 0.28
2015 0 0.54 0.38 0 0 203 0 77 1052 0 0 0 0 0.28
2016 0 0.57 0.29 0 0 203 0 58 1110 0 0 0 0 0.29
2017 0 0.58 0.19 0 0 203 0 39 1149 0 0 0 0 0.28
2018 0 0.6 0.33 0 0 203 0 66 1215 0 0 0 0 0.31
2019 0 0.65 0.21 0 0 203 0 42 1257 0 0 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
12001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

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120
22005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

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90
32008Fitting vast dimensional time-varying covariance models. (2008). Shephard, Neil ; Engle, Robert ; Shepphard, Kevin. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe30.

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84
42003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

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57
52000Credit Derivatives, Disintermediation and Investment Decisions. (2000). Morrison, Alan. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe01.

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52
62001A Theory of the Syndicate: Form Follows Function. (2001). Pichler, Pegaret ; Wilhelm, William . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe05.

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51
72004A Model to Analyse Financial Fragility: Applications. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe05.

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46
82004Likelihood-based estimation of latent generalised ARCH structures. (2004). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe02.

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39
92008Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading. (2008). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe29.

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30
102004A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales. (2004). Shephard, Neil ; Podolskij, Mark ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Svend Erik . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe21.

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28
112003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

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28
122004Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise. (2004). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe20.

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23
132006Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe05.

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23
142008Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models. (2008). Shephard, Neil ; Flury, Thomas. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe32.

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19
151999Finance, Investment and Growth. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe09.

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19
162003A Model to Analyse Financial Fragility. (2003). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe13.

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18
172001From market games to real-world markets. (2001). Hart, Michael ; Jefferies, Paul ; Hui, P. M. ; Johnson, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf02.

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18
182003Ownership: Evolution and Regulation. (2003). Rossi, Stefano ; Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe14.

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17
191999How Do Financial Systems Affect Economic Performance?. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe08.

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16
202006Searching for a Metric for Financial Stability. (2006). Zicchino, Lea ; Tsomocos, Dimitrios ; Goodhart, C. ; Aspachs, O. ; Segoviano, M.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe09.

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15
212005Estimating quadratic variation when quoted prices jump by a constant increment. (2005). Large, Jeremy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe05.

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14
222008Copula-Based Models for Financial Time Series. (2008). Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe21.

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14
23On the Equivalence of Floating and Fixed-Strike Asian Options. (2001). Wojakowski, Rafal ; Henderson, Vicky. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf08.

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14
242008Board structures around the world: An experimental investigation. (2008). Noe, Thomas ; Gillette, Ann B. ; Rebello, Michael J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe15.

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13
252008Where do firms incorporate? Deregulation and the cost of entry. (2008). Wagner, Hannes ; Mayer, Colin ; Becht, Marco. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe04.

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13
262006Evaluation of macroeconomic models for financial stability analysis. (2006). Tsomocos, Dimitrios ; BÃ¥rdsen, Gunnar ; Bardsen, Gunnar ; Lindquist, Kjersti-Gro . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe01.

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13
272003Procyclicality and the new Basel Accord - Banks choice of loan rating system. (2003). Tsomocos, Dimitrios ; Catarineu-Rabell, Eva ; Jackson, Patricia. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe06.

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12
282009Realising the future: forecasting with high frequency based volatility (HEAVY) models. (2009). Sheppard, Kevin ; Shephard, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2009fe02.

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12
292003Partnership Firms, Reputation and Human Capital. (2003). Morrison, Alan ; William J. Wilhelm, Jr., . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe02.

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12
302007A Note on the Central Limit Theorem for Bipower Variation of General Functions. (2007). Podolskij, Mark ; Kinnebrock, Silja . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2007fe03.

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11
312003Why are European IPOs so rarely priced outside the indicative price range?. (2003). Morrison, Alan ; Jenkinson, Tim ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe05.

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11
322001Application of multi-agent games to the prediction of financial time-series. (2001). lamper, David ; Howison, Sam ; Jefferies, Paul ; Johnson, Neil F. ; Hart, Michael L.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf04.

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11
332005Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe04.

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10
342005Matched asymptotic expansions in financial engineering. (2005). Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005mf01.

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10
352004Financial Liberalisation and Capital Regulation in Open Economies. (2004). Morrison, Alan ; White, Lucy . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe10.

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10
362000Non-Gaussian OU based models and some of their uses in financial economics. (2000). Shephard, Neil ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2000mf01.

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10
372008The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe24.

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10
382001Predictability of large future changes in a competitive evolving population. (2001). lamper, David ; Howison, Sam ; Johnson, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf01.

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9
392003Multinational Bank Capital Regulation with Deposit Insurance and Diversification Effects. (2003). Morrison, Alan ; Loranth, Gyongyi. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe11.

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9
402006Subsampling realised kernels. (2006). Shephard, Neil ; Lunde, Asger ; Hansen, Peter ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe06.

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9
412008Good IPOs draw in bad: Inelastic banking capacity and hot markets. (2008). Noe, Thomas ; Khanna, Naveen ; Sonti, Ramana . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe10.

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9
422002IPO Pricing in the Dot-com Bubble. (2002). Ljungqvist, Alexander ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002fe07.

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8
432008Evaluating Volatility and Correlation Forecasts. (2008). Sheppard, Kevin ; Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe22.

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8
442004A Time Series Analysis of Financial Fragility in the UK Banking System. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe18.

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7
451999IPO Underpricing, Wealth Losses and the Curious Role of Venture Capitalists in the Creation of Public Companies. (1999). Ljungqvist, Alexander. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe04.

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7
462004The Demise of Investment-Banking Partnerships: Theory and Evidence.. (2004). Morrison, Alan ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe14.

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7
472008Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe23.

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7
482008Returns to Shareholder Activism. (2008). Rossi, Stefano ; Mayer, Colin ; Becht, Marco ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe07.

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6
492006Devaluation without common knowledge. (2006). Rochon, Celine. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe03.

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6
502004A Risk Assessment Model for Banks. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe11.

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6
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

Full description at Econpapers || Download paper

23
22001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

Full description at Econpapers || Download paper

13
32001A Theory of the Syndicate: Form Follows Function. (2001). Pichler, Pegaret ; Wilhelm, William . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe05.

Full description at Econpapers || Download paper

8
42008Fitting vast dimensional time-varying covariance models. (2008). Shephard, Neil ; Engle, Robert ; Shepphard, Kevin. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe30.

Full description at Econpapers || Download paper

6
52001Predictability of large future changes in a competitive evolving population. (2001). lamper, David ; Howison, Sam ; Johnson, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf01.

Full description at Econpapers || Download paper

6
62003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

Full description at Econpapers || Download paper

6
72003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

6
82001From market games to real-world markets. (2001). Hart, Michael ; Jefferies, Paul ; Hui, P. M. ; Johnson, Neil. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf02.

Full description at Econpapers || Download paper

4
91999A Nonlinear Non-probabilistic Spot Interest Rate Model. (1999). Epstein, David ; Wilmott, Paul. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999mf21.

Full description at Econpapers || Download paper

4
102004Likelihood-based estimation of latent generalised ARCH structures. (2004). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe02.

Full description at Econpapers || Download paper

3
112008Measuring downside risk - realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe01.

Full description at Econpapers || Download paper

3
122008Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe23.

Full description at Econpapers || Download paper

3
132008Board structures around the world: An experimental investigation. (2008). Noe, Thomas ; Gillette, Ann B. ; Rebello, Michael J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe15.

Full description at Econpapers || Download paper

3
142000Credit Derivatives, Disintermediation and Investment Decisions. (2000). Morrison, Alan. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe01.

Full description at Econpapers || Download paper

2
152005Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe04.

Full description at Econpapers || Download paper

2
162004A Model to Analyse Financial Fragility: Applications. (2004). Tsomocos, Dimitrios ; Charles A. E. Goodhart, ; Sunirand, Pojanart ; Charles A. E. Goodhart, . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe05.

Full description at Econpapers || Download paper

2
172006Evaluation of macroeconomic models for financial stability analysis. (2006). Tsomocos, Dimitrios ; BÃ¥rdsen, Gunnar ; Bardsen, Gunnar ; Lindquist, Kjersti-Gro . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe01.

Full description at Econpapers || Download paper

2
182001On the Equivalence of Floating and Fixed-Strike Asian Options. (2001). Wojakowski, Rafal ; Henderson, Vicky. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001mf08.

Full description at Econpapers || Download paper

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