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OFRC Working Papers Series / Oxford Financial Research Centre

Citation Profile [Updated: 2023-11-03 08:28:08]
5 Years H Index
23
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
1999 0 0.39 0.2 0 30 30 129 6 6 0 0 0 6 0.2 0.25
2000 0.23 0.54 0.21 0.23 12 42 73 9 15 30 7 30 7 0 1 0.08 0.24
2001 0.6 0.49 0.58 0.6 24 66 374 38 53 42 25 42 25 0 12 0.5 0.27
2002 0.83 0.54 0.76 0.74 13 79 60 60 113 36 30 66 49 0 7 0.54 0.31
2003 1.03 0.53 0.7 0.65 22 101 229 70 184 37 38 79 51 1 1.4 12 0.55 0.3
2004 1.06 0.6 0.67 0.62 23 124 271 81 267 35 37 101 63 0 9 0.39 0.36
2005 0.98 0.6 0.61 0.7 21 145 192 89 356 45 44 94 66 0 8 0.38 0.36
2006 0.82 0.59 0.71 0.74 15 160 116 114 470 44 36 103 76 1 0.9 11 0.73 0.34
2007 0.92 0.52 0.62 0.71 6 166 19 101 573 36 33 94 67 0 4 0.67 0.29
2008 1.29 0.59 0.69 0.83 33 199 384 137 710 21 27 87 72 0 23 0.7 0.29
2009 0.97 0.58 0.81 0.87 4 203 19 164 874 39 38 98 85 0 4 1 0.33
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
12001Ownership and Control of German Corporations. (2001). Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe11.

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183
22008Fitting 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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128
32005Sovereign Debt Without Default Penalties. (2005). Guembel, Alexander ; Sussman, Oren . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe17.

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92
42001A 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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80
52003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

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78
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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65
71999Finance, Investment and Growth. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe09.

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62
82003Equilibrium Analysis, Banking, Contagion and Financial Fragility. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe03.

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52
92004Likelihood-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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49
102000Credit Derivatives, Disintermediation and Investment Decisions. (2000). Morrison, Alan. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2001fe01.

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49
112006Designing 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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48
122008Multivariate 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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35
132008Measuring 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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34
142003Procyclicality 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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32
152004Regular 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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30
162004A 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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29
172008Where 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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26
182003Ownership: Evolution and Regulation. (2003). Rossi, Stefano ; Mayer, Colin ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe14.

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26
192008Returns to Shareholder Activism. (2008). Rossi, Stefano ; Mayer, Colin ; Becht, Marco ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe07.

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26
202004Book 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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25
212003A 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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25
222008Copula-Based Models for Financial Time Series. (2008). Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe21.

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24
232006Searching 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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24
242001From 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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23
252005Why are Securitization Issues Tranched?. (2005). Jenkinson, Tim ; Firla-Cuchra, Maciej . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe04.

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21
262005Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe08.

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21
272008Bayesian 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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19
281999How Do Financial Systems Affect Economic Performance?. (1999). Mayer, Colin ; Carlin, Wendy. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:1999fe08.

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17
292005Estimating 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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17
302008Board 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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17
312009Realising 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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15
322006Evaluation 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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15
33On 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
342008The 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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14
351999IPO 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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14
362003Partnership 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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14
372001Application 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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13
382004Financial 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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12
392006Devaluation without common knowledge. (2006). Rochon, Celine. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2006fe03.

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12
402002Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics. (2002). Shephard, Neil ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2002fe03.

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12
412008Leverage and Pricing in Buyouts: An Empirical Analysis. (2008). Weisbach, Michael ; Jenkinson, Tim ; STRMBERG, PER ; Axelson, Ulf . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe20.

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12
422008Good 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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12
432001Predictability 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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12
442008Evaluating Volatility and Correlation Forecasts. (2008). Sheppard, Kevin ; Patton, Andrew. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe22.

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12
452007A 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
462003Multinational 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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11
472002IPO 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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11
482004Likelihood based inference for diffusion driven models. (2004). Shephard, Neil ; Pitt, Michael K ; Chib, Siddhartha . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe17.

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11
492000Non-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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11
502005Matched asymptotic expansions in financial engineering. (2005). Howison, Sam . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005mf01.

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10
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12008Measuring 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

12
22001Ownership 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

10
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

9
42001A 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

8
52003Equilibrium Analysis, Banking and Financial Instability. (2003). Tsomocos, Dimitrios. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2003fe08.

Full description at Econpapers || Download paper

8
61999Optimal 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
72004A 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
82008Board 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
92008Returns to Shareholder Activism. (2008). Rossi, Stefano ; Mayer, Colin ; Becht, Marco ; Franks, Julian. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe07.

Full description at Econpapers || Download paper

3
102008Where 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

3
111999A 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

2
122004Likelihood based inference for diffusion driven models. (2004). Shephard, Neil ; Pitt, Michael K ; Chib, Siddhartha . In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2004fe17.

Full description at Econpapers || Download paper

2
132008The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve. (2008). Meeks, Roland ; Bowsher, Clive. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2008fe24.

Full description at Econpapers || Download paper

2
142005Variation, jumps, market frictions and high frequency data in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole. In: OFRC Working Papers Series. RePEc:sbs:wpsefe:2005fe08.

Full description at Econpapers || Download paper

2
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.

Full description at Econpapers || Download paper

2
162008Good 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.

Full description at Econpapers || Download paper

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