[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]
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 | 71 | 4 | 15 | 38 | 47 | 3 | 1 | 25 | 1 | 0.06 | 0.3 | |
2004 | 0.12 | 0.6 | 0.15 | 0.16 | 15 | 78 | 51 | 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 | 0.37 |
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 | 39 | 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 | 35 | 24 | 190 | 27 | 2 | 58 | 6 | 2 | 8.3 | 3 | 0.2 | 0.37 |
2012 | 0.19 | 0.68 | 0.15 | 0.16 | 8 | 178 | 19 | 27 | 217 | 27 | 5 | 61 | 10 | 0 | 0 | 0.36 | ||
2013 | 0.39 | 0.66 | 0.23 | 0.26 | 8 | 186 | 3 | 43 | 260 | 23 | 9 | 57 | 15 | 0 | 0 | 0.35 | ||
2014 | 0.13 | 0.67 | 0.13 | 0.14 | 20 | 206 | 19 | 27 | 287 | 16 | 2 | 58 | 8 | 1 | 3.7 | 0 | 0.34 | |
2015 | 0.04 | 0.65 | 0.17 | 0.22 | 8 | 214 | 9 | 37 | 324 | 28 | 1 | 63 | 14 | 0 | 0 | 0.36 | ||
2016 | 0.32 | 0.64 | 0.14 | 0.24 | 8 | 222 | 9 | 30 | 354 | 28 | 9 | 59 | 14 | 0 | 0 | 0.34 | ||
2017 | 0.5 | 0.62 | 0.19 | 0.23 | 10 | 232 | 7 | 45 | 399 | 16 | 8 | 52 | 12 | 2 | 4.4 | 0 | 0.35 | |
2018 | 0.22 | 0.61 | 0.18 | 0.19 | 1 | 233 | 0 | 41 | 440 | 18 | 4 | 54 | 10 | 0 | 0 | 0.34 | ||
2020 | 0 | 0.7 | 0.12 | 0.19 | 2 | 235 | 2 | 29 | 495 | 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 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2001 | The 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. Full description at Econpapers || Download paper | 36 |
2 | 2003 | Multivariate 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 | 34 |
3 | 2009 | The 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 | 27 |
4 | 2000 | The 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 | 21 |
5 | 2004 | MTS 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 | 17 |
6 | 2000 | Orthogonal 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 | 15 |
7 | 2006 | The 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 | 15 |
8 | 2011 | Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-02. Full description at Econpapers || Download paper | 11 |
9 | 2004 | The 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. Full description at Econpapers || Download paper | 11 |
10 | 2002 | An 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. Full description at Econpapers || Download paper | 10 |
11 | 2001 | Estimating Corporate Yield Curves. (2001). Diaz, Antionio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-01. Full description at Econpapers || Download paper | 10 |
12 | 2014 | Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galv̮̣o, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04. Full description at Econpapers || Download paper | 10 |
13 | 2010 | The 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. Full description at Econpapers || Download paper | 9 |
14 | 2006 | Optimal Hedging with Higher Moments. (2006). ÃÅerný, AleÃ
¡ ; Brooks, Chris ; Cerny, A. ; Miffre, J.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-12. Full description at Econpapers || Download paper | 8 |
15 | 2011 | The Hazards of Volatility Diversification. (2011). Alexander, Carol ; Korovilas, Dimitris . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2011-04. Full description at Econpapers || Download paper | 8 |
16 | Value at Risk and Market Crashes. (2000). Brooks, Chris ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-01. Full description at Econpapers || Download paper | 8 | |
17 | 2005 | Predicting 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 | 7 |
18 | 2003 | An Empirical Study of Credit Default Swaps. (2003). Diaz, Antonio ; Skinner, Frank . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-04. Full description at Econpapers || Download paper | 7 |
19 | 2004 | Pricing 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. Full description at Econpapers || Download paper | 7 |
20 | 2005 | The Spider in the Hedge. (2005). Alexander, Carol ; Barbosa, Andreza. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-05. Full description at Econpapers || Download paper | 7 |
21 | 2005 | On The Continuous Limit of GARCH. (2005). Alexandra, Carol ; Lazar, Emese. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-13. Full description at Econpapers || Download paper | 7 |
22 | 2003 | Equity 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. Full description at Econpapers || Download paper | 7 |
23 | 2002 | Welcome 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. Full description at Econpapers || Download paper | 7 |
24 | 2010 | VIX Dynamics with Stochastic Volatility of Volatility. (2010). Alexander, Carol ; Kaeck, Andreas. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-11. Full description at Econpapers || Download paper | 7 |
25 | 2003 | On 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. Full description at Econpapers || Download paper | 7 |
26 | 2002 | What 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. Full description at Econpapers || Download paper | 7 |
27 | 2012 | ROM 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. Full description at Econpapers || Download paper | 7 |
28 | 2002 | The 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 | 6 |
29 | 2008 | Interest 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. Full description at Econpapers || Download paper | 6 |
30 | 2012 | Diversification 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. Full description at Econpapers || Download paper | 6 |
31 | 2005 | Asymmetries 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. Full description at Econpapers || Download paper | 6 |
32 | 2004 | The 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. Full description at Econpapers || Download paper | 6 |
33 | 2016 | Are Macroeconomic Density Forecasts Informative?. (2016). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2016-02. Full description at Econpapers || Download paper | 6 |
34 | 2001 | Option 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 | 6 |
35 | 2002 | Performance 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 | 6 |
36 | 2006 | Regimes 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. Full description at Econpapers || Download paper | 6 |
37 | 2003 | Statistical Properties of Forward Libor Rates. (2003). Alexander, Carol ; Lvov, Dimitri. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-03. Full description at Econpapers || Download paper | 5 |
38 | Detecting Switching Strategies in Equity Hedge Funds. (2005). Alexander, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-07. Full description at Econpapers || Download paper | 5 | |
39 | 2010 | Generalized Beta-Generated Distributions. (2010). Sarabia, JosÃÆé MarÃÆÃÂa ; Alexander, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2010-09. Full description at Econpapers || Download paper | 5 |
40 | Cross 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. Full description at Econpapers || Download paper | 5 | |
41 | 2006 | Credit 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. Full description at Econpapers || Download paper | 4 |
42 | 2006 | Speculative 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. Full description at Econpapers || Download paper | 4 |
43 | 2015 | Assessing 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. Full description at Econpapers || Download paper | 4 |
44 | 2001 | Hedge 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. Full description at Econpapers || Download paper | 4 |
45 | 2003 | Intra-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. Full description at Econpapers || Download paper | 4 |
46 | 2008 | Stochastic Local Volatility. (2008). Alexander, Carol ; Nogueira, Leonardo. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2008-02. Full description at Econpapers || Download paper | 4 |
47 | 2009 | Over 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. Full description at Econpapers || Download paper | 4 |
48 | 2002 | Persistence 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. Full description at Econpapers || Download paper | 3 |
49 | 2000 | An EVT Approach to calculating Risk Capital Requirements. (2000). Brooks, Chris ; Clare, Andrew D. ; Persand, Gita . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2000-07. Full description at Econpapers || Download paper | 3 |
50 | 2003 | Bivariate Normal Mixture Spread Option Valuation. (2003). Alexander, Carol ; Scourse, Andrew ; Alexandra, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-15. Full description at Econpapers || Download paper | 3 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2004 | MTS 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 |
2 | 2009 | The 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 |
3 | 2003 | Multivariate 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 |
4 | 2002 | The 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 |
5 | 2006 | The 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 |
6 | 2000 | Orthogonal 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 |
7 | 2014 | Measuring Macroeconomic Uncertainty: US Inflation and Output Growth. (2014). Galv̮̣o, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2014-04. Full description at Econpapers || Download paper | 2 |
Year | Title |
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Year | Citing document | |
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2020 | Are Some Forecastersâ 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. Full description at Econpapers || Download paper |