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FMG Discussion Papers / Financial Markets Group

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
28
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 0.14 0 0 3 3 7 0 1 1 0 0 0.07
1991 0.5 0.11 0.43 0.5 4 7 33 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 10 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 0.18 0.41 0.38 4 17 13 7 13 4 1 13 5 0 2 0.5 0.09
1996 0.4 0.21 0.35 0.29 9 26 46 8 22 5 2 14 4 0 4 0.44 0.12
1997 0.31 0.23 0.34 0.42 15 41 78 14 36 13 4 19 8 1 7.1 2 0.13 0.13
1998 0.25 0.24 0.32 0.25 22 63 237 20 56 24 6 32 8 3 15 10 0.45 0.15
1999 0.43 0.32 0.32 0.43 21 84 129 27 83 37 16 51 22 0 4 0.19 0.21
2000 0.6 0.44 0.39 0.45 25 109 88 41 125 43 26 71 32 1 2.4 4 0.16 0.2
2001 0.41 0.4 0.49 0.5 28 137 155 61 192 46 19 92 46 2 3.3 6 0.21 0.22
2002 0.58 0.42 0.59 0.73 37 174 349 103 295 53 31 111 81 2 1.9 9 0.24 0.23
2003 0.72 0.42 0.62 0.68 27 201 100 124 419 65 47 133 90 3 2.4 7 0.26 0.24
2004 1 0.47 0.6 0.7 40 241 66 145 564 64 64 138 96 0 6 0.15 0.27
2005 0.3 0.49 0.44 0.5 21 262 85 114 679 67 20 157 79 0 3 0.14 0.29
2006 0.39 0.47 0.37 0.48 26 288 172 106 786 61 24 153 73 1 0.9 2 0.08 0.27
2007 0.45 0.39 0.36 0.43 24 312 163 111 899 47 21 151 65 0 13 0.54 0.22
2008 0.74 0.46 0.38 0.4 16 328 102 122 1022 50 37 138 55 0 7 0.44 0.23
2009 0.8 0.43 0.31 0.45 19 347 529 103 1129 40 32 127 57 0 5 0.26 0.22
2010 1 0.37 0.41 0.79 17 364 185 151 1280 35 35 106 84 1 0.7 7 0.41 0.19
2011 1.44 0.46 0.46 0.98 31 395 139 178 1462 36 52 102 100 3 1.7 10 0.32 0.25
2012 1 0.5 0.36 0.85 17 412 154 149 1612 48 48 107 91 3 2 9 0.53 0.25
2013 0.69 0.5 0.4 0.89 5 417 30 162 1778 48 33 100 89 2 1.2 1 0.2 0.24
2014 1.23 0.53 0.47 1.33 7 424 71 201 1979 22 27 89 118 2 1 12 1.71 0.27
2015 1.67 0.53 0.37 0.95 0 424 0 157 2136 12 20 77 73 0 0 0.27
2016 0.71 0.54 0.4 0.65 0 424 0 168 2304 7 5 60 39 0 0 0.27
2017 0 0.54 0.38 1.24 0 424 0 161 2465 0 29 36 0 0 0.27
2018 0 0.53 0.36 0.58 0 424 0 151 2616 0 12 7 0 0 0.26
2019 0 0.55 0.35 1.14 0 424 0 150 2766 0 7 8 0 0 0.32
2020 0 0.63 0.25 0 0 424 0 108 2874 0 0 0 0 0.58
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

282
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

134
32009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

110
42007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

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103
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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92
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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78
71998Informed Trading, Investment, and Welfare. (1998). Rahi, Rohit ; Dow, James. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp292.

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55
82006(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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50
91999A Model of the Lender of Last Resort. (1999). Huang, Haizhou ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp313.

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48
102014Network 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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46
112012Financial 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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46
121998Optimal 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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39
132006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

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38
142012Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

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38
152005Subadditivity 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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35
162002Family Firms. (2002). Shleifer, Andrei ; Burkart, Mike ; Panunzi, Fausto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp406.

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35
172012Liquidity 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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34
182011Balance 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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34
192003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

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34
202002Coordination 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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33
211999A 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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33
221991The 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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30
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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30
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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29
252006Recovery 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
261998Beyond 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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29
271998Data-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
282008Bond Supply and Excess Bond Returns. (2008). Vayanos, Dimitri ; Greenwood, Robin. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp607.

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28
292010Risk 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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27
301996Announcement 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
312009Financial Volatility and Economic Activity. (2009). Mele, Antonio. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp642.

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26
322001Housing 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
332011Anticipated 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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25
342010Credit Rating and Competition. (2010). Liu, Zijun ; Deb, Pragyan ; Camanho, Nelson. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp653.

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25
351999Optimal Bail Out Policy, Conditionality and Creative Ambiguity. (1999). FREIXAS, XAVIER. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp327.

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24
362010Stronger 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
371997Team Structure Modelling of Defaultable Bonds. (1997). Schönbucher, Philipp. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp272.

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22
382006(UBS Pensions Series 040) Pensions: Overview of Issues. (2006). Barr, Nicholas. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp562.

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20
392001What 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
402001The Impact of Technology on Cash Usage. (2001). Krueger, Malte ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp374.

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18
412002Daily 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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18
421998Boom 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
432008Central banks and financial crises. (2008). Buiter, Willem ; Guriev, Sergei ; Bhattacharya, Sudipto. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp619.

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16
442008Can 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
452004Estimation 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
462000Public Trading and Private Incentives. (2000). Gromb, Denis ; Faure-Grimaud, Antoine . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp347.

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16
472003Macroeconomic news, order flows and exchange rates. (2003). Payne, Richard ; Love, Ryan . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp475.

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15
482005The Interest Rate Conditioning Assumption. (2005). Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp547.

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15
492013Debt 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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14
502001Does 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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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

102
22006(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

27
32010Limits 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

26
42002Market 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

17
52009Negative 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

16
62009Banking Stability Measures. (2009). Goodhart, Charles ; Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp627.

Full description at Econpapers || Download paper

12
72012Financial 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

12
82003Equilibrium analysis, banking, contagion and financial fragility. (2003). Tsomocos, Dimitrios. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp450.

Full description at Econpapers || Download paper

10
92012Liquidity 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

10
102014Network 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

9
112012Bond 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

7
122006(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

6
131999Optimal Bail Out Policy, Conditionality and Creative Ambiguity. (1999). FREIXAS, XAVIER. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp327.

Full description at Econpapers || Download paper

5
142006Consistent Information Multivariate Density Optimizing Methodology. (2006). Segoviano, Miguel . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp557.

Full description at Econpapers || Download paper

5
152006Recovery 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
162011Preferred-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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4
172007Efficient 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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4
182010On Dividend Restrictions and the Collapse of the Interbank Market. (2010). Tsomocos, Dimitrios ; Peiris, M. Udara ; Vardoulakis, Alexandros ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp648.

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4
192010Credit Rating and Competition. (2010). Liu, Zijun ; Deb, Pragyan ; Camanho, Nelson. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp653.

Full description at Econpapers || Download paper

3
202005Subadditivity 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
212007Market Liquidity and Funding Liquidity. (2007). Brunnermeier, Markus ; Pederson, Lasse Heje. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp580.

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3
222014CEO JOB SECURITY AND RISK-TAKING. (2014). Xu, Moqi ; Cziraki, Peter. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp729.

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3
232013Rights offerings, trading, and regulation: A global perspective. (2013). Vermaelen, Theo ; Massa, Massimo ; Xu, Moqi . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp727.

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3
242011Anticipated 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

3
252011Balance 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

3
262013Debt Maturity and the Liquidity of Secondary Debt Markets. (2013). Segura, Anatoli ; Bruche, Max. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp726.

Full description at Econpapers || Download paper

3
271991The 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.

Full description at Econpapers || Download paper

3
282014The Economics of Collateral. (2014). Jõeveer, Karin ; Jeveer, Karin ; Anderson, Ronald W.. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp732.

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3
291998Informed Trading, Investment, and Welfare. (1998). Rahi, Rohit ; Dow, James. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp292.

Full description at Econpapers || Download paper

2
302008From 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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2
312001The Impact of Technology on Cash Usage. (2001). Krueger, Malte ; Goodhart, Charles. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp374.

Full description at Econpapers || Download paper

2
322007Intergenerational Risksharing and Equilibrium Asset Prices. (2007). Campbell, John ; Nosbusch, Yves . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp589.

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2
332004Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach. (2004). Sentana, Enrique ; Peñaranda, Francisco ; Penaranda, Francisco . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp497.

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2
342005Spot Market Power and Future Market Trading. (2005). ... ..., ; Shore, Stephen ; Muermann, Alexander. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp531.

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2
352012Market Liquidity - Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp709.

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