Citation Analysis – Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
Rafael Alves, Diego S. de Brito, Marcelo C. Medeiros, Ruy M. Ribeiro
https://arxiv.org/abs/2303.16151

Citation mentions

Cited references

Sections

3,074

Words (approx)

References by Citation Intensity

Ordered by composite index (descending). Higher values indicate more intensive citation.

#	Reference	Year	Mentions	Breadth	Sec. Wtd	Share	Composite	Main %
1	Callot, L., A. Kock, and M. Medeiros (self)	2017	5	4	8.0	0.122	1.000	100%
2	Lunde, A., N. Shephard, and K. Sheppard	2016	3	2	4.0	0.073	0.737	100%
3	Engle, R., O. Ledoit, and M. Wolf	2019	3	2	4.0	0.073	0.737	100%
4	Tibshirani, R	1996	2	2	3.0	0.049	0.644	100%
5	Zou, H	2006	2	2	3.0	0.049	0.644	100%
6	Chiu, T. and T. L. K.-W. Tsui	1996	2	2	3.0	0.049	0.644	100%
7	Novy-Marx, R	2013	2	2	4.0	0.049	0.644	100%
8	Lyandres, E., L. Sun, and L. Zhang	2008	2	2	4.0	0.049	0.644	100%
9	Cooper, M., H. Gulen, and M. Schill	2008	2	2	4.0	0.049	0.644	100%
10	Sloan, R	1996	2	2	4.0	0.049	0.644	100%
11	De Nard, G., O. Ledoit, and M. Wolf	2021	2	1	4.0	0.049	0.511	100%
12	Fan, J., A. Furger, and D. Xiu	2016	2	1	4.0	0.049	0.511	100%
13	Engle, R. and F. Kroner	1995	1	1	1.0	0.024	0.406	100%
14	Engle, R	2002	1	1	1.0	0.024	0.406	100%
15	Bauer, G. and K. Vornik	2011	1	1	1.0	0.024	0.406	100%
16	Chiriac, R. and V. Voev	2011	1	1	1.0	0.024	0.406	100%
17	Golosnoy, V., B. Gribisch, and R. Liesenfeld	2012	1	1	1.0	0.024	0.406	100%
18	Chamberlain, G. and M. Rothschild	1983	1	1	2.0	0.024	0.406	100%
19	Corsi, F	2009	1	1	2.0	0.024	0.406	100%
20	Fan, J., Y. Fan, and J. Lv	2008	1	1	2.0	0.024	0.406	100%
21	Fama, E. and K. French	1993	1	1	2.0	0.024	0.406	100%
22	Aït-Sahalia, Y. and D. Xiu	2017	1	1	2.0	0.024	0.406	100%
23	De Nard, G., R. Engle, O. Ledoit, and M. Wolf	2022	1	1	2.0	0.024	0.406	100%
24	Gagliardini, P., E. Ossola, and O. Scaillet	2019	1	1	2.0	0.024	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Callot, L., A. Kock, and M. Medeiros (self)

2017

8.0

0.122

1.000

100%

Lunde, A., N. Shephard, and K. Sheppard

2016

4.0

0.073

0.737

100%

Engle, R., O. Ledoit, and M. Wolf

2019

4.0

0.073

0.737

100%

Tibshirani, R

1996

3.0

0.049

0.644

100%

Zou, H

2006

3.0

0.049

0.644

100%

Chiu, T. and T. L. K.-W. Tsui

1996

3.0

0.049

0.644

100%

Novy-Marx, R

2013

4.0

0.049

0.644

100%

Lyandres, E., L. Sun, and L. Zhang

2008

4.0

0.049

0.644

100%

Cooper, M., H. Gulen, and M. Schill

2008

4.0

0.049

0.644

100%

Sloan, R

1996

4.0

0.049

0.644

100%

De Nard, G., O. Ledoit, and M. Wolf

2021

4.0

0.049

0.511

100%

Fan, J., A. Furger, and D. Xiu

2016

4.0

0.049

0.511

100%

Engle, R. and F. Kroner

1995

1.0

0.024

0.406

100%

Engle, R

2002

1.0

0.024

0.406

100%

Bauer, G. and K. Vornik

2011

1.0

0.024

0.406

100%

Chiriac, R. and V. Voev

2011

1.0

0.024

0.406

100%

Golosnoy, V., B. Gribisch, and R. Liesenfeld

2012

1.0

0.024

0.406

100%

Chamberlain, G. and M. Rothschild

1983

2.0

0.024

0.406

100%

Corsi, F

2009

2.0

0.024

0.406

100%

Fan, J., Y. Fan, and J. Lv

2008

2.0

0.024

0.406

100%

Fama, E. and K. French

1993

2.0

0.024

0.406

100%

Aït-Sahalia, Y. and D. Xiu

2017

2.0

0.024

0.406

100%

De Nard, G., R. Engle, O. Ledoit, and M. Wolf

2022

2.0

0.024

0.406

100%

Gagliardini, P., E. Ossola, and O. Scaillet

2019

2.0

0.024

0.406

100%

Measures: Mentions = total in-text citations; Breadth = distinct sections; Sec. Wtd = section-weighted count (body ×2, lit review/appendix ×0.5); Share = mentions / total citations in paper; Composite = geometric mean of normalised count, breadth, and main-text ratio; Main % = fraction of mentions in main text (excl. appendix). (self) = self-citation.