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

Citation Profile [Updated: 2024-11-03 20:16:59]
5 Years H Index
10
Impact Factor (IF)
0
5 Years IF
0.33
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
2000 0 0.54 0 0 9 9 47 0 0 0 0 0 0.25
2001 0.11 0.49 0.05 0.11 12 21 61 1 1 9 1 9 1 0 0 0.28
2002 0.38 0.54 0.21 0.38 26 47 51 10 11 21 8 21 8 9 90 2 0.08 0.31
2003 0 0.53 0.06 0.06 16 63 70 4 15 38 47 3 1 25 1 0.06 0.3
2004 0.12 0.6 0.15 0.16 15 78 50 12 27 42 5 63 10 3 25 1 0.07 0.36
2005 0.13 0.6 0.19 0.18 19 97 42 18 45 31 4 78 14 5 27.8 4 0.21 0.36
2006 0.09 0.59 0.21 0.2 12 109 41 23 68 34 3 88 18 3 13 1 0.08 0.34
2007 0.1 0.52 0.11 0.09 12 121 10 13 81 31 3 88 8 1 7.7 0 0.29
2008 0.13 0.59 0.22 0.24 7 128 13 28 109 24 3 74 18 2 7.1 0 0.29
2009 0.05 0.58 0.18 0.09 15 143 38 26 135 19 1 65 6 4 15.4 2 0.13 0.33
2010 0.14 0.52 0.2 0.12 12 155 28 31 166 22 3 65 8 2 6.5 2 0.17 0.3
2011 0.07 0.62 0.14 0.1 15 170 34 24 190 27 2 58 6 2 8.3 3 0.2 0.37
2012 0.19 0.68 0.14 0.16 8 178 19 25 215 27 5 61 10 0 0 0.36
2013 0.39 0.66 0.23 0.26 8 186 3 43 258 23 9 57 15 0 0 0.35
2014 0.13 0.67 0.13 0.14 20 206 18 27 285 16 2 58 8 1 3.7 0 0.34
2015 0.04 0.65 0.17 0.22 8 214 8 37 322 28 1 63 14 0 0 0.36
2016 0.32 0.64 0.14 0.24 8 222 9 30 352 28 9 59 14 0 0 0.34
2017 0.5 0.62 0.19 0.23 10 232 7 45 397 16 8 52 12 2 4.4 0 0.35
2018 0.22 0.61 0.18 0.19 1 233 0 41 438 18 4 54 10 0 0 0.34
2020 0 0.7 0.12 0.19 2 235 1 29 493 1 27 5 0 1 0.5 0.74
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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34
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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26
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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21
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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17
62000Orthogonal 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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15
72006The 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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15
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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11
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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10
102004The 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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10
112002An 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
122014Measuring 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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9
132010The 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
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
152006Optimal 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
162011The 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
172003On 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
182002What 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
192012ROM 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
202005Predicting 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
212003An 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
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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7
232005The 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
242005On 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
252003Equity 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
262002Welcome 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
272010VIX 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
282006Regimes 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
292002The 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
302008Interest 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
312012Diversification 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
322005Asymmetries 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
332004The 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
342016Are 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
352001Option 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
362002Performance 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
37Detecting 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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5
382010Generalized 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
39Cross 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
402003Statistical 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
412006Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model. (2006). Brigo, Damiano ; El-Bachir, Naoufel . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-13.

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4
422006Speculative 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
432015Assessing 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
442001Hedge 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
452003Intra-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
462008Stochastic 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
472009Over 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
482004Hedging 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
492002The Performance and Long-Run Characteristics of the Chinese IPO Market. (2002). Padgett, Carol ; Chi, Jing. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-09.

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3
502002Persistence 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
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12004MTS 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
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

3
32003Multivariate 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
42000Orthogonal 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.

Full description at Econpapers || Download paper

2
52002The 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
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.

Full description at Econpapers || Download paper

2
Citing documents used to compute impact factor:
YearTitle
Recent citations
Recent citations received in 2020
YearCiting document
2020Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?. (2020). Clements, Michael. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:16-:d:354665.

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