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

Citation Profile [Updated: 2025-11-20 18:08:17]
5 Years H Index
10
Impact Factor (IF)
0
5 Years IF
1.5
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 0.56 0 0 9 9 49 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 0.27
2002 0.38 0.55 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 0.61 0.19 0.18 19 97 42 18 45 31 4 78 14 5 27.8 4 0.21 0.36
2006 0.09 0.58 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 0.58 0.22 0.24 7 128 13 28 109 24 3 74 18 2 7.1 0 0.29
2009 0.05 0.59 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 0.21 0.14 12 155 28 32 167 22 3 65 9 2 6.3 2 0.17 0.3
2011 0.07 0.61 0.14 0.1 15 170 36 24 191 27 2 58 6 2 8.3 3 0.2 0.36
2012 0.19 0.67 0.15 0.16 8 178 19 27 218 27 5 61 10 0 0 0.36
2013 0.39 0.64 0.23 0.26 8 186 3 42 260 23 9 57 15 0 0 0.34
2014 0.13 0.67 0.13 0.14 20 206 20 27 287 16 2 58 8 1 3.7 0 0.34
2015 0.04 0.65 0.18 0.22 8 214 8 38 325 28 1 63 14 0 0 0.36
2016 0.29 0.63 0.13 0.22 8 222 9 29 354 28 8 59 13 0 0 0.34
2017 0.5 0.61 0.2 0.23 10 232 7 46 400 16 8 52 12 2 4.3 0 0.33
2018 0.22 0.6 0.18 0.19 1 233 0 41 441 18 4 54 10 0 0 0.34
2020 0 0.68 0.13 0.22 2 235 4 30 497 1 27 6 0 1 0.5 0.72
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 ; Burke, Simon ; Persand, Gita. 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). Deelchand, Tara ; Padgett, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-12.

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27
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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22
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). Pezier, Jacques ; White, Anthony . 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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12
92004The 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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11
102001Estimating Corporate Yield Curves. (2001). Skinner, Frank ; Diaz, Antionio . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2001-01.

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10
112014Measuring 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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10
122002An Excursion into the Statistical Properties of Hedge Funds. (2002). Kat, Harry ; Harry. M Kat, . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-12.

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10
132010The Impact of Corporate Social Performance on Financial Risk and Utility: A Longitudinal Analysis. (2010). Brooks, Chris ; Pavelin, Stephen ; Oikonomou, Ioannis. 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 ; ÄŒerný, AleÅ¡ ; Brooks, Chris ; Miffre, J. ; Cerny, A.. 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). Pezier, Jacques ; Alexandra, Carol . 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). Huang, Ying ; Neftci, Salih ; Jersey, Ira . 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). Ledermann, Daniel ; Alexander, Carol. 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). Skinner, Frank ; Diaz, Antonio. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-04.

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7
222004Pricing Convertible Bonds by Simulation. (2004). El-Bachir, Naoufel ; Lvov, Dmitri ; Yigitsbasioglu, Ali Bora . 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). Lazar, Emese ; Alexandra, Carol . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-13.

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7
252001Option 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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7
262003Equity 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
272002Welcome 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
282010VIX 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
292002Performance Evaluation and Conditioning Information: The case of Hedge Funds. (2002). Kat, Harry ; Miffre, Joelle ; Harry. M Kat, . 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). Alexander, Carol ; Kaeck, Andreas. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2006-08.

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6
312002The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies. (2002). Alexandra, Carol ; Dimitriu, Anca . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2002-08.

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6
322008Interest 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
332012Diversification 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
342005Asymmetries and Volatility Regimes in the European Equity Markets. (2005). Lazar, Emese ; Alexandra, Carol . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2005-14.

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6
352016Are 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
362004The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH. (2004). Lazar, Emese ; Alexandra, Carol . In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2004-13.

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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, Sangsoo. 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
432003Intra-day Patterns in the Returns, Bidask Spereads, and Trading Volume of Stocks Traded on the New York Stock Exchange. (2003). Brooks, Chris ; Melvin. J. Hinich, ; Patterson, Douglas M.. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-14.

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4
442008Stochastic 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
452009Over 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
462004A 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
472009Size and Scale Economies in Japanese Cooperative Banking. (2009). Deelchand, Tara ; Padgett, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-02.

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3
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). Chi, Jing ; Padgett, Carol. 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 ; Harry. M Kat, ; Menexe, Faye . 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
12003Multivariate GARCH Models: Software Choice and Estimation Issues. (2003). Brooks, Chris ; Burke, Simon ; Persand, Gita. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2003-07.

Full description at Econpapers || Download paper

2
22009The Relationship between Risk, Capital and Efficiency: Evidence from Japanese Cooperative Banks. (2009). Deelchand, Tara ; Padgett, Carol. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2009-12.

Full description at Econpapers || Download paper

2
32020Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts. (2020). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2020-01.

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2
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
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.

Full description at Econpapers || Download paper

2
62020Individual Forecaster Perceptions of the Persistence of Shocks to GDP. (2020). Clements, Michael. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2020-02.

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