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

Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
9
Impact Factor (IF)
0
5 Years IF
0.08
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
2007 0.1 0.52 1.08 0.09 12 12 10 13 13 31 3 88 8 1 7.7 0 0.29
2008 0.13 0.59 1.47 0.24 7 19 13 28 41 24 3 74 18 2 7.1 0 0.29
2009 0.05 0.58 0.76 0.09 15 34 37 26 67 19 1 65 6 4 15.4 2 0.13 0.33
2010 0.14 0.52 0.7 0.14 12 46 28 32 99 22 3 65 9 2 6.3 2 0.17 0.3
2011 0.07 0.61 0.38 0.1 15 61 33 23 122 27 2 58 6 2 8.7 3 0.2 0.37
2012 0.19 0.68 0.36 0.16 8 69 19 25 147 27 5 61 10 0 0 0.36
2013 0.39 0.67 0.56 0.26 8 77 3 43 190 23 9 57 15 0 0 0.35
2014 0.13 0.67 0.28 0.14 20 97 17 27 217 16 2 58 8 1 3.7 0 0.34
2015 0.04 0.66 0.35 0.22 8 105 7 37 254 28 1 63 14 0 0 0.36
2016 0.32 0.65 0.27 0.24 8 113 9 30 284 28 9 59 14 0 0 0.35
2017 0.5 0.62 0.37 0.23 10 123 6 45 329 16 8 52 12 2 4.4 0 0.35
2018 0.22 0.62 0.33 0.19 1 124 0 41 370 18 4 54 10 0 0 0.35
2020 0 0.72 0.24 0.22 2 126 0 30 424 1 27 6 0 1 0.5 0.78
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
12001The 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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36
22003Multivariate 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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32
32009The 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.

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25
42000The 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.

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20
52004MTS 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.

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16
62006The 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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14
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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13
82011Liquidity 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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10
92002An 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.

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10
102001Estimating 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
112004The 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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9
122010The 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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9
132011The 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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8
14Value 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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8
152014Measuring 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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8
162006Optimal 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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8
172002Welcome 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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7
182010VIX 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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7
192003On 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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7
202002What 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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7
212012ROM 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
222005Predicting 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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7
232003An 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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7
242004Pricing 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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7
252005The 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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7
262005On The Continuous Limit of GARCH. (2005). Alexandra, Carol ; Lazar, Emese. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-13.

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7
272003Equity 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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7
282016Are Macroeconomic Density Forecasts Informative?. (2016). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2016-02.

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6
292002Performance 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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6
302006Regimes 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
312008Interest 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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6
322012Diversification 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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6
332002The 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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6
342005Asymmetries and Volatility Regimes in the European Equity Markets. (2005). Alexandra, Carol ; Lazar, Emese. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-14.

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6
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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6
362001Option 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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6
372010Generalized 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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5
38Cross 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
392003Statistical 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
402003Intra-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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4
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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4
422009Over the Moon or Sick as a Parrot? The Effects of Football Results on a Clubs Share Price. (2009). Sutcliffe, Charles ; Brooks, Chris ; Bell, Adrian ; Matthews, David . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-08.

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4
43Detecting 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
442006Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?. (2006). Brooks, Chris ; Katsaris, Apostolos . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-07.

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4
452015Assessing 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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4
462001Hedge Fund Performance 1990-2000- Do the Money Machines Really Add Value?. (2001). Kat, Harry ; Amin, Gaurav ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-05.

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4
472012The interactive financial effects between corporate social responsibility and irresponsibility. (2012). Oikonomou, Ioannis ; Brooks, Chris ; Pavelin, Stephen . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2012-02.

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3
482014Monte 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
492004A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds. (2004). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-03.

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3
502009Size and Scale Economies in Japanese Cooperative Banking. (2009). Padgett, Carol ; Deelchand, Tara . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-02.

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3
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12006The 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

8
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
32004MTS 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

4
42003Multivariate 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

3
52000The 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

2
62005Predicting 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
72002Performance 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
82002The 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.

Full description at Econpapers || Download paper

2
92001Option 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.

Full description at Econpapers || Download paper

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