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Citation Profile [Updated: 2023-01-07 21:26:51]
5 Years H Index
24
Impact Factor (IF)
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
1966 0 1 1 0 0
1995 0 0.21 1.5 0 1 2 10 1 3 0 0 0 1 1 0.11
1996 1 0.24 0.06 1 30 32 149 2 5 1 1 1 1 0 1 0.03 0.13
1997 0.23 0.27 0.16 0.23 54 86 430 14 19 31 7 31 7 0 7 0.13 0.15
1998 0.18 0.3 0.2 0.18 56 142 640 28 47 84 15 85 15 0 13 0.23 0.18
1999 0.33 0.38 0.35 0.32 79 221 518 74 125 110 36 141 45 21 28.4 24 0.3 0.25
2000 0.36 0.52 0.33 0.3 14 235 183 78 203 135 48 220 67 5 6.4 3 0.21 0.24
2001 0.59 0.48 0.49 0.43 7 242 238 118 321 93 55 233 101 0 8 1.14 0.27
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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
11998The Effects of Bank Mergers and Acquisitions on Small Business Lending. (1998). Udell, Gregory ; Berger, Allen ; Saunders, Anthony ; Scalise, Joseph M.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-007.

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316
21997Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange. (1997). Amihud, Yakov ; Lauterbach, Beni ; Mendelson, Haim . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-004.

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186
32000Stretching Firm and Brand Reputation.. (2000). Cabral, Luis. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:00-07.

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89
41999Does Option Compensation Increase Managerial Risk Appetite?. (1999). Carpenter, Jennifer. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-076.

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88
51999The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-059.

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85
61996Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks. (1996). Madhavan, Ananth ; Roomans, Mark ; Richardson, Matthew. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:96-34.

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85
72001Fixed and Random Effects in Nonlinear Models.. (2001). Greene, William. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-01.

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78
81997Economic News and the Yield Curve: Evidence from the U.S. Treasury Market. (1997). Balduzzi, Pierluigi ; Green, Clifton T. ; Elton, Edwin J.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-005.

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75
92001Estimating Econometric Models with Fixed Effects.. (2001). Greene, William. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-10.

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56
101998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Stroughair, John D.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-081.

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50
111998Do Investors Care About Sentiment?. (1998). Elton, Edwin J. ; Gruber, Martin J. ; Busse, Jeffrey A.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-028.

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39
122000Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-014.

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39
132001The Effects of Dynamic Change in Bank Competition on the Supply of Small Business Credit.. (2001). White, Lawrence ; Berger, Allen ; Goldberg, L. G.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-07.

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39
142001Financial Globalization and Real Regionalization.. (2001). Perri, Fabrizio ; Heathcote, Jonathan. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-11.

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38
151997Cookie-Cutter versus Character: The Micro Structure of Small Business Lending by Large and Small Banks. (1997). White, Lawrence ; Cole, Rebel ; Goldberg, Lawrence G.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-022.

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38
161999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-061.

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37
171999The Effects of Deregulation on the Performance of Financial Institutions: The Case of Spanish Savings Banks. (1999). Lozano-Vivas, Ana ; Lovell, C. ; Kumbhakar, Subal ; HASAN, IFTEKHAR ; C. A. Knox Lovell, ; C. A. Knox Lovell, ; C. A. Knox Lovell, . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-064.

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34
181996Affine Models of Currency Pricing. (1996). Telmer, Chris ; Backus, David ; Foresi, Silverio . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:96-9.

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34
191998Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk. (1998). Subrahmanyam, Marti G. ; Stapleton, Richard C.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-063.

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31
201997Modern Portfolio Theory, 1950 to Date. (1997). Elton, Edwin J. ; Gruber, Martin J.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:97-3.

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28
211999When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel. (1999). Franke, Günter ; Subrahmanyam, Marti G. ; Stapleton, Richard C.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-003.

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28
221998The Dow Theory: William Peter Hamiltons Track Record Re-Considered. (1998). Goetzmann, William ; Brown, Stephen ; Kumar, Alok. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-013.

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27
232001The Microsoft Antitrust Case.. (2001). Economides, Nicholas. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-00.

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25
241999Semiparametric Pricing of Multivariate Contingent Claims. (1999). Rosenberg, Joshua. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-028.

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24
252000The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves. (2000). Ofek, Eli ; Richardson, Matthew. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-054.

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23
261999Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; Kallal, Hedi ; hedi, Hachani. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-036.

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23
271998Hedge Funds and the Asian Currency Crisis of 1997. (1998). Goetzmann, William ; Brown, Stephen ; Park, James M.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-014.

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22
281999Portfolio Performance and Agency. (1999). Dybvig, Philip ; Carpenter, Jennifer ; Farnsworth, Heber K.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-046.

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21
291998Where Does the Money Come From? The Financing of Small Entrepreneurial Enterprises. (1998). Rosen, Harvey ; Holtz-Eakin, Douglas ; Fluck, Zsuzsanna . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-038.

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20
301997The Effects of Bank Mergers and Acquisitions on Small Business Lending. (1997). Udell, Gregory ; Berger, Allen ; Saunders, Anthony ; Scalise, Joseph M.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:97-1.

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20
311999Trading Fast and Slow: Security Market Events in Real Time. (1999). Hasbrouck, Joel . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-012.

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20
321998The Comparative Efficiency of Small-Firm Bankruptcies: A Study of the US and Finnish Bankruptcy Codes. (1998). Ravid, Abraham S. ; Sundgren, S.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-054.

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18
331999Unit Root Tests are Useful for Selecting Forecasting Models. (1999). Kilian, Lutz ; Diebold, Francis. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-063.

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18
341997Time-Varying Sharpe Ratios and Market Timing. (1997). Whitelaw, Robert F.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-074.

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15
351999Implied Volatility Functions: A Reprise. (1999). Rosenberg, Joshua. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-027.

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15
361998Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-031.

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13
371998An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps. (1998). Gupta, Anurag ; Subrahmanyam, Marti G.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-068.

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12
381997No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property. (1997). Brenner, Menachem ; Young Ho Eom, . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-009.

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12
391995Shareholder Proposals and Corporate Governance. (1995). John, Kose ; Klein, April . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-046.

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11
401998Relationship Investing: Large Shareholder Monitoring with Managerial Cooperation. (1998). John, Kose ; Kose, John ; Chidambaran, N. K.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-044.

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11
411997Universal Banking: A Shareholder Value Perspective. (1997). Walter, Ingo. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:96-40.

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10
421999Regime Shifts and Bond Returns. (1999). Boudoukh, Jacob ; Smith, Tom ; Whitelaw, Robert ; Richardson, Matthew. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-010.

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9
431999A Multifractal Model of Assets Returns. (1999). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-072.

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9
441998How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis ; Christoffersen, Peter. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-080.

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9
4519991998 Survey of Derivatives and Risk Management Practices by U.S. Institutional Investors. (1999). Ripston, Beth A. ; Levich, Richard M. ; Hayt, Gregory S.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-074.

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9
461998Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis. (1998). Uno, Jun ; Young Ho Eom, ; Subrahmanyam, Marti G.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-078.

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9
471999Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-060.

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8
481998CEO Involvement in the Selection of New Board Members: An Empirical Analysis. (1998). Yermack, David ; Shivdasani, Anil. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-059.

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8
491999Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices. (1999). Basak, Suleyman ; Shapiro, Alexander. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-032.

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7
501999Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses. (1999). Garbade, Kenneth ; Kambhu, John ; Bennett, Paul . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-083.

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7
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
11997Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange. (1997). Amihud, Yakov ; Lauterbach, Beni ; Mendelson, Haim . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-004.

Full description at Econpapers || Download paper

37
21998The Effects of Bank Mergers and Acquisitions on Small Business Lending. (1998). Udell, Gregory ; Berger, Allen ; Saunders, Anthony ; Scalise, Joseph M.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-007.

Full description at Econpapers || Download paper

29
32001Estimating Econometric Models with Fixed Effects.. (2001). Greene, William. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-10.

Full description at Econpapers || Download paper

10
42000Stretching Firm and Brand Reputation.. (2000). Cabral, Luis. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:00-07.

Full description at Econpapers || Download paper

9
52001Fixed and Random Effects in Nonlinear Models.. (2001). Greene, William. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-01.

Full description at Econpapers || Download paper

7
61998Do Investors Care About Sentiment?. (1998). Elton, Edwin J. ; Gruber, Martin J. ; Busse, Jeffrey A.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-028.

Full description at Econpapers || Download paper

5
72001The Effects of Dynamic Change in Bank Competition on the Supply of Small Business Credit.. (2001). White, Lawrence ; Berger, Allen ; Goldberg, L. G.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-07.

Full description at Econpapers || Download paper

4
81998The Dow Theory: William Peter Hamiltons Track Record Re-Considered. (1998). Goetzmann, William ; Brown, Stephen ; Kumar, Alok. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-013.

Full description at Econpapers || Download paper

3
91999Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; Kallal, Hedi ; hedi, Hachani. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-036.

Full description at Econpapers || Download paper

3
101998Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk. (1998). Subrahmanyam, Marti G. ; Stapleton, Richard C.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:98-063.

Full description at Econpapers || Download paper

3
111997Modern Portfolio Theory, 1950 to Date. (1997). Elton, Edwin J. ; Gruber, Martin J.. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:97-3.

Full description at Econpapers || Download paper

3
122001The Microsoft Antitrust Case.. (2001). Economides, Nicholas. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:01-00.

Full description at Econpapers || Download paper

3
131999Does Option Compensation Increase Managerial Risk Appetite?. (1999). Carpenter, Jennifer. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-076.

Full description at Econpapers || Download paper

2
141999Estimating Risk Parameters. (1999). Damodaran, Aswath. In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-019.

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2
151999Trading Fast and Slow: Security Market Events in Real Time. (1999). Hasbrouck, Joel . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-012.

Full description at Econpapers || Download paper

2
161999(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul . In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. RePEc:fth:nystfi:99-061.

Full description at Econpapers || Download paper

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