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ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
9
Impact Factor
0
5 Years IF
0.07
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 0.21 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 0.13
1998 0 0.24 0 0 0 0 0 0 0 0 0 0 0.15
1999 0 0.32 0 0 0 0 0 0 0 0 0 0 0.21
2000 0 0.44 0 0 9 9 38 0 0 0 0 0 0.2
2001 0.11 0.4 0.05 0.11 12 21 43 1 1 9 1 9 1 0 0 0.22
2002 0.38 0.42 0.19 0.38 26 47 41 9 10 21 8 21 8 8 88.9 1 0.04 0.23
2003 0 0.42 0.06 0.06 16 63 51 4 14 38 47 3 1 25 1 0.06 0.24
2004 0.1 0.47 0.12 0.11 15 78 37 9 23 42 4 63 7 1 11.1 1 0.07 0.27
2005 0.13 0.49 0.15 0.14 19 97 28 15 38 31 4 78 11 5 33.3 4 0.21 0.29
2006 0 0.47 0.13 0.14 12 109 26 14 52 34 88 12 3 21.4 0 0.27
2007 0.06 0.39 0.08 0.07 12 121 7 10 62 31 2 88 6 1 10 0 0.22
2008 0.08 0.46 0.18 0.19 7 128 9 23 85 24 2 74 14 1 4.3 0 0.23
2009 0.05 0.43 0.16 0.08 15 143 18 23 108 19 1 65 5 4 17.4 2 0.13 0.22
2010 0.05 0.37 0.14 0.08 12 155 20 22 130 22 1 65 5 1 4.5 1 0.08 0.19
2011 0.04 0.46 0.09 0.07 15 170 15 15 145 27 1 58 4 1 6.7 0 0.25
2012 0.07 0.5 0.1 0.08 8 178 16 17 162 27 2 61 5 0 0 0.25
2013 0.13 0.5 0.16 0.14 8 186 2 30 192 23 3 57 8 0 0 0.24
2014 0.13 0.53 0.08 0.07 20 206 11 17 209 16 2 58 4 1 5.9 0 0.27
2015 0.04 0.53 0.14 0.19 8 214 7 29 238 28 1 63 12 0 0 0.27
2016 0.21 0.54 0.11 0.17 8 222 3 24 262 28 6 59 10 0 0 0.27
2017 0.31 0.54 0.15 0.17 10 232 2 35 297 16 5 52 9 2 5.7 0 0.27
2018 0.11 0.53 0.13 0.13 1 233 0 30 327 18 2 54 7 0 0 0.26
2019 0.09 0.55 0.07 0.04 0 233 0 17 344 11 1 47 2 0 0 0.32
2020 0 0.63 0.09 0.07 2 235 0 22 366 1 27 2 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
12003Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Brooks, Chris ; Persand, Gita ; Burke, Simon. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07.

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27
22001The Statistical Properties of Hedge Fund Index Returns. (2001). Kat, Harry ; Brooks, Chris ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-09.

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25
32000The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). Engle, Robert ; Dufour, Alfonso. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-05.

Full description at Econpapers || Download paper

20
42004MTS Time Series: Market and Data Description for the European Bond and Repo Database. (2004). Dufour, Alfonso ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-06.

Full description at Econpapers || Download paper

13
52009The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks. (2009). Padgett, Carol ; Deelchand, Tara . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-12.

Full description at Econpapers || Download paper

12
62002An Excursion into the Statistical Properties of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Lu, Sa. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-12.

Full description at Econpapers || Download paper

10
72000Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices. (2000). Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-06.

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9
82006Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; Brooks, Chris ; Cerny, A. ; Miffre, J.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-12.

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9
92001Estimating Corporate Yield Curves. (2001). Diaz, Antionio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-01.

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9
102010The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis. (2010). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-12.

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7
11Value at Risk and Market Crashes. (2000). Brooks, Chris ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-01.

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7
122012ROM Simulation: Applications to Stress Testing and VaR. (2012). Alexander, Carol ; Ledermann, Daniel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-09.

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7
132006Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices. (2006). Kaeck, Andreas ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-08.

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6
142004The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations. (2004). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-01.

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6
152005The Spider in the Hedge. (2005). Alexander, Carol ; Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-05.

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6
162002What Drives Swap Spreads, Credit or Liquidity?. (2002). Jersey, Ira ; Huang, Ying ; Neftci, Salih . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-05.

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6
172003An Empirical Study of Credit Default Swaps. (2003). Diaz, Antonio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-04.

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5
182012Diversification of Equity with VIX Futures: Personal Views and Skewness Preference. (2012). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-07.

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5
19Cross Hedging with Single Stock Futures. (2005). Davies, Ryan ; Brooks, Chris ; Kim, Sang Soo . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-15.

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5
202008Interest in medieval accounts: Examples from England, 1272-1340. (2008). Brooks, Chris ; Bell, Adrian ; Moore, Tony. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-07.

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5
212003Statistical Properties of Forward Libor Rates. (2003). Alexander, Carol ; Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03.

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5
222004Pricing Convertible Bonds by Simulation. (2004). Yigitsbasioglu, Ali Bora ; El-Bachir, Naoufel ; Lvov, Dmitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-14.

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5
232011Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-02.

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5
242006The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios. (2006). White, Anthony ; Pezier, Jacques . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-10.

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5
252002Welcome to the Dark Side - Hedge Fund Attrition and Survivorship Bias over the period 1994-2001. (2002). Kat, Harry ; Amin, Gaurav S.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-02.

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5
262014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04.

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4
272002Performance Evaluation and Conditioning Information: The case of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Miffre, Joelle. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-10.

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4
28Detecting Switching Strategies in Equity Hedge Funds. (2005). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-07.

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4
292010VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-11.

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4
302005Predicting Agency Rating Migrations with Spread Implied Ratings. (2005). Varotto, Simone ; Kou, Jianming . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-06.

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4
312010Generalized Beta-Generated Distributions. (2010). Sarabia, José María ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-09.

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4
322002The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies. (2002). Dimitriu, Anca ; Alexandra, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-08.

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4
332003Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency. (2003). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-02.

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4
342001Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility. (2001). Alexander, Carol ; Narayanan, Sujit. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-10.

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4
352004The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH. (2004). Alexandra, Carol ; Lazar, Emese. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-13.

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4
362004Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-10.

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3
372015Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011. (2015). Sutcliffe, Charles ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-05.

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3
382007Low-Cost Momentum Strategies. (2007). Brooks, Chris ; Li, Xiafei ; Miffre, Joelle. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-12.

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3
392002Persistence in Hedge Fund Performance: The True Value of a Track Record. (2002). Kat, Harry ; Menexe, Faye ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-13.

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3
402013Did Long-Short Investors Destabilize Commodity Markets?. (2013). Brooks, Chris ; Miffre, Joelle. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2013-03.

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3
412008Stochastic Local Volatility. (2008). Alexander, Carol ; Nogueira, Leonardo. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-02.

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3
422015Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision. (2015). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2015-02.

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3
432003Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange. (2003). Hinich, Melvin ; Brooks, Chris ; Patterson, Douglas M. ; Melvin. J. Hinich, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-14.

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3
442014Monte Carlo Approximate Tensor Moment Simulations. (2014). Arismendi Zambrano, Juan. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-08.

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3
452003On the Aggregation of Market and Credit Risks. (2003). Alexandra, Carol ; Pezier, Jacques . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-13.

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2
462016Are Macroeconomic Density Forecasts Informative?. (2016). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2016-02.

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2
472011The Hazards of Volatility Diversification. (2011). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-04.

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2
482000An EVT Approach to calculating Risk Capital Requirements. (2000). Brooks, Chris ; Clare, Andrew D. ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-07.

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2
492002A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index. (2002). Brooks, Chris ; Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-14.

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2
502007Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk. (2007). Alexander, Carol ; Sheedy, Elizabeth . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2007-02.

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2
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12003Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Brooks, Chris ; Persand, Gita ; Burke, Simon. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07.

Full description at Econpapers || Download paper

4
22009The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks. (2009). Padgett, Carol ; Deelchand, Tara . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-12.

Full description at Econpapers || Download paper

4
32006The Relative Merits of Investable Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios. (2006). White, Anthony ; Pezier, Jacques . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-10.

Full description at Econpapers || Download paper

4
42004MTS Time Series: Market and Data Description for the European Bond and Repo Database. (2004). Dufour, Alfonso ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-06.

Full description at Econpapers || Download paper

3
52010The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis. (2010). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-12.

Full description at Econpapers || Download paper

3
62000The ACD Model: Predictability of the Time Between Concecutive Trades. (2000). Engle, Robert ; Dufour, Alfonso. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-05.

Full description at Econpapers || Download paper

3
72002An Excursion into the Statistical Properties of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Lu, Sa. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-12.

Full description at Econpapers || Download paper

2
82005Predicting Agency Rating Migrations with Spread Implied Ratings. (2005). Varotto, Simone ; Kou, Jianming . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-06.

Full description at Econpapers || Download paper

2
92011The Hazards of Volatility Diversification. (2011). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-04.

Full description at Econpapers || Download paper

2
102006Optimal Hedging with Higher Moments. (2006). Černý, Aleš ; Brooks, Chris ; Cerny, A. ; Miffre, J.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-12.

Full description at Econpapers || Download paper

2
112004Hedging with Stochastic and Local Volatility. (2004). Alexander, Carol ; Nogueira, Leonardo M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-10.

Full description at Econpapers || Download paper

2
122002Performance Evaluation and Conditioning Information: The case of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, ; Miffre, Joelle. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-10.

Full description at Econpapers || Download paper

2
132011Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-02.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations
Recent citations received in 2017
YearCiting document