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OFRC Working Papers Series / Oxford Financial Research Centre

Citation Profile [Updated: 2022-01-09 21:43:50]
5 Years H
18
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 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 0.17 0 30 30 73 5 5 0 0 0 5 0.17 0.21
2000 0.13 0.44 0.14 0.13 12 42 67 6 11 30 4 30 4 0 1 0.08 0.2
2001 0.31 0.4 0.26 0.31 24 66 280 17 28 42 13 42 13 0 4 0.17 0.22
2002 0.47 0.42 0.37 0.36 13 79 37 29 57 36 17 66 24 0 2 0.15 0.23
2003 0.73 0.42 0.42 0.43 22 101 163 41 99 37 27 79 34 0 7 0.32 0.24
2004 0.8 0.47 0.48 0.44 23 124 210 57 158 35 28 101 44 0 9 0.39 0.27
2005 0.76 0.49 0.4 0.5 21 145 150 58 216 45 34 94 47 0 2 0.1 0.29
2006 0.59 0.47 0.53 0.54 15 160 73 84 300 44 26 103 56 0 6 0.4 0.27
2007 0.42 0.39 0.37 0.41 6 166 15 60 362 36 15 94 39 0 3 0.5 0.22
2008 0.81 0.46 0.42 0.49 33 199 254 84 446 21 17 87 43 0 12 0.36 0.23
2009 0.69 0.43 0.61 0.64 4 203 14 124 570 39 27 98 63 0 3 0.75 0.22
2010 0.59 0.37 0.39 0.48 0 203 0 80 650 37 22 79 38 0 0 0.19
2011 0.5 0.46 0.48 0.6 0 203 0 98 748 4 2 58 35 0 0 0.25
2012 0 0.5 0.35 0.56 0 203 0 72 820 0 43 24 0 0 0.25
2013 0 0.5 0.51 1.11 0 203 0 103 923 0 37 41 0 0 0.24
2014 0 0.53 0.33 0.25 0 203 0 66 989 0 4 1 0 0 0.27
2015 0 0.53 0.37 0 0 203 0 76 1065 0 0 0 0 0.27
2016 0 0.54 0.29 0 0 203 0 58 1123 0 0 0 0 0.27
2017 0 0.54 0.21 0 0 203 0 42 1165 0 0 0 0 0.27
2018 0 0.53 0.35 0 0 203 0 72 1237 0 0 0 0 0.26
2019 0 0.55 0.22 0 0 203 0 44 1281 0 0 0 0 0.32
2020 0 0.63 0.18 0 0 203 0 37 1318 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
12001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

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143
22005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

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92
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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85
42003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

65
52001A 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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62
62004A 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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51
72000Credit Derivatives, Disintermediation and Investment Decisions. (2000). Morrison, Alan. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe01.

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49
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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47
92003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

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37
102008Multivariate 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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28
112004A 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
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
142008Where 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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19
152001From 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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19
161999Finance, Investment and Growth. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe09.

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19
172003A 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
182008Bayesian 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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18
192003Ownership: Evolution and Regulation. (2003). Rossi, Stefano ; Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe14.

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17
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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17
212008Board 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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16
221999How 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
232008Copula-Based Models for Financial Time Series. (2008). Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe21.

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15
24On 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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15
252005Estimating 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
262003Procyclicality 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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13
272006Evaluation 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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12
282004Financial 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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11
292001Application 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
302008Measuring downside risk - realised semivariance. (2008). Shephard, Neil ; Barndorff-Nielsen, Ole ; Kinnebrock, Silja . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe01.

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11
312007A 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
322000Non-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
332008Good 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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10
342009Realising 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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10
352003Partnership 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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10
362005Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe04.

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10
372001Predictability 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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10
382005Matched asymptotic expansions in financial engineering. (2005). Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005mf01.

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10
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
402008The 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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9
412003Why 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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9
422006Subsampling 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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8
431999IPO 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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8
442004Book vs. Fair Value Accounting in Banking, and Intertemporal Smoothing. (2004). Tsomocos, Dimitrios ; FREIXAS, XAVIER. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe13.

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8
452002IPO 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
462008Evaluating Volatility and Correlation Forecasts. (2008). Sheppard, Kevin ; Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe22.

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8
472004The 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
482008Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe23.

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7
492004A 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
501999Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure. (1999). Whalley, A. E. ; Wilmott, P.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999mf09.

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7
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12001Ownership 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

18
22005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

Full description at Econpapers || Download paper

11
32003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

Full description at Econpapers || Download paper

10
42003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

10
52008Measuring 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

7
62001A 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

6
72008Fitting 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

5
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

5
92008Where 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.

Full description at Econpapers || Download paper

4
101999Optimal Hedging of Options with Small but Arbitrary Transaction Cost Structure. (1999). Whalley, A. E. ; Wilmott, P.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999mf09.

Full description at Econpapers || Download paper

4
112008Board 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
121999A 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

3
132004A 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

3
142001On 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
152001Predictability 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

2
162002IPO Pricing in the Dot-com Bubble. (2002). Ljungqvist, Alexander ; Wilhelm, William J.. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002fe07.

Full description at Econpapers || Download paper

2
172004Likelihood-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

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