Citation Analysis – A Simple Method for\\ Predicting Covariance Matrices\\ of Financial Returns

A Simple Method for\\ Predicting Covariance Matrices\\ of Financial Returns
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger, Thomas Schmelzer, Stephen Boyd
https://arxiv.org/abs/2305.19484

Citation mentions

Cited references

Sections

8,999

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	Boyd, S. and Vandenberghe, L. (self)	2004	6	5	12.0	0.079	1.000	100%
2	Barratt, S. and Boyd, S. (self)	2022	7	5	13.0	0.092	1.000	100%
3	Engle, R.	2002	6	3	12.0	0.079	1.000	100%
4	Patton, A. and Sheppard, K.	2009	4	2	8.0	0.053	0.811	100%
5	Engle, R.	1982	2	2	4.0	0.026	0.644	100%
6	Patton, A.	2011	2	2	4.0	0.026	0.644	100%
7	Bauwens, L. and Laurent, S. and Rombouts, J.	2006	2	2	4.0	0.026	0.644	100%
8			2	2	4.0	0.026	0.644	100%
9	Bollerslev, T.	1986	2	1	4.0	0.026	0.511	100%
10	Silvennoinen, A. and Tera	2009	2	1	4.0	0.026	0.511	100%
11	Boyd, S. and Vandenberghe, L. (self)	2023	2	1	4.0	0.026	0.511	100%
12	French, K.	2023	2	1	4.0	0.026	0.511	100%
13	Rubin, D. and Thayer, D.	1982	2	1	4.0	0.026	0.511	100%
14	Shen, X. and Diamond, S. and Gu, Y. and Boyd, S. (self)	2016	2	1	4.0	0.026	0.511	100%
15	Lipp, T. and Boyd, S. (self)	2016	2	1	4.0	0.026	0.511	100%
16	Markowitz, H.	1952	1	1	2.0	0.013	0.406	100%
17	Grinold, R. and Kahn, R.	2000	1	1	2.0	0.013	0.406	100%
18	McNeil, A. and Frey, R. and Embrechts, P.	2015	1	1	2.0	0.013	0.406	100%
19	Sharpe, W.	1964	1	1	2.0	0.013	0.406	100%
20	Laurent, S. and Rombouts, J. and Violante, F.	2013	1	1	2.0	0.013	0.406	100%
21	Bollerslev, T. and Engle, R. and Wooldridge, J.	1988	1	1	2.0	0.013	0.406	100%
22	Engle, R. and Kroner, K.	1995	1	1	2.0	0.013	0.406	100%
23	Vrontos, I. and Dellaportas, P. and Politis, D.	2003	1	1	2.0	0.013	0.406	100%
24	Alexander, C. and Chibumba, A.	1997	1	1	2.0	0.013	0.406	100%
25	van der Weide, R.	2002	1	1	2.0	0.013	0.406	100%
26	Brooks, C. and Burke, S. and Persand, G.	2003	1	1	2.0	0.013	0.406	100%
27	Engle, R. and Sheppard, K.	2001	1	1	2.0	0.013	0.406	100%
28	Bollerslev, T.	1990	1	1	2.0	0.013	0.406	100%
29	Mincer, J. and Zarnowitz, V.	1969	1	1	2.0	0.013	0.406	100%
30	Theil, Henri	1961	1	1	2.0	0.013	0.406	100%
31	Hansen, P. and Lunde, A. and Nason, J.	2011	1	1	2.0	0.013	0.406	100%
32	Ledoit, O. and Wolf, M.	2008	1	1	2.0	0.013	0.406	100%
33	Braga, M.	2015	1	1	2.0	0.013	0.406	100%
34			1	1	2.0	0.013	0.406	100%
35	Choueifaty, Y. and Coignard, Y.	2008	1	1	2.0	0.013	0.406	100%
36	Ghalanos, A.	2019	1	1	2.0	0.013	0.406	100%
37	Hansen, P. and Huang, Z. and Shek, H.	2012	1	1	2.0	0.013	0.406	100%
38	Bauwens, L. and Storti, G. and Violante, F.	2012	1	1	2.0	0.013	0.406	100%
39	Bollerslev, T. and Patton, A. and Quaedvlieg, R.	2020	1	1	2.0	0.013	0.406	100%
40	Pelger, M. (self)	2020	1	1	2.0	0.013	0.406	100%
41	M. Pelger (self)	2023	1	1	2.0	0.013	0.406	100%
42	Bauwens, L. and Otranto, E.	2023	1	1	2.0	0.013	0.406	100%
43	Cochrane, J.	2009	1	1	2.0	0.013	0.406	100%
44	Dempster, A. and Laird, N. and Rubin, D.	1977	1	1	2.0	0.013	0.406	100%
45	Bishop, C.	2006	1	1	2.0	0.013	0.406	100%
46	Golub, G. and Van Loan, C.	2013	1	1	2.0	0.013	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Boyd, S. and Vandenberghe, L. (self)

2004

12.0

0.079

1.000

100%

Barratt, S. and Boyd, S. (self)

2022

13.0

0.092

1.000

100%

Engle, R.

2002

12.0

0.079

1.000

100%

Patton, A. and Sheppard, K.

2009

8.0

0.053

0.811

100%

Engle, R.

1982

4.0

0.026

0.644

100%

Patton, A.

2011

4.0

0.026

0.644

100%

Bauwens, L. and Laurent, S. and Rombouts, J.

2006

4.0

0.026

0.644

100%

4.0

0.026

0.644

100%

Bollerslev, T.

1986

4.0

0.026

0.511

100%

Silvennoinen, A. and Tera

2009

4.0

0.026

0.511

100%

Boyd, S. and Vandenberghe, L. (self)

2023

4.0

0.026

0.511

100%

French, K.

2023

4.0

0.026

0.511

100%

Rubin, D. and Thayer, D.

1982

4.0

0.026

0.511

100%

Shen, X. and Diamond, S. and Gu, Y. and Boyd, S. (self)

2016

4.0

0.026

0.511

100%

Lipp, T. and Boyd, S. (self)

2016

4.0

0.026

0.511

100%

Markowitz, H.

1952

2.0

0.013

0.406

100%

Grinold, R. and Kahn, R.

2000

2.0

0.013

0.406

100%

McNeil, A. and Frey, R. and Embrechts, P.

2015

2.0

0.013

0.406

100%

Sharpe, W.

1964

2.0

0.013

0.406

100%

Laurent, S. and Rombouts, J. and Violante, F.

2013

2.0

0.013

0.406

100%

Bollerslev, T. and Engle, R. and Wooldridge, J.

1988

2.0

0.013

0.406

100%

Engle, R. and Kroner, K.

1995

2.0

0.013

0.406

100%

Vrontos, I. and Dellaportas, P. and Politis, D.

2003

2.0

0.013

0.406

100%

Alexander, C. and Chibumba, A.

1997

2.0

0.013

0.406

100%

van der Weide, R.

2002

2.0

0.013

0.406

100%

Brooks, C. and Burke, S. and Persand, G.

2003

2.0

0.013

0.406

100%

Engle, R. and Sheppard, K.

2001

2.0

0.013

0.406

100%

Bollerslev, T.

1990

2.0

0.013

0.406

100%

Mincer, J. and Zarnowitz, V.

1969

2.0

0.013

0.406

100%

Theil, Henri

1961

2.0

0.013

0.406

100%

Hansen, P. and Lunde, A. and Nason, J.

2011

2.0

0.013

0.406

100%

Ledoit, O. and Wolf, M.

2008

2.0

0.013

0.406

100%

Braga, M.

2015

2.0

0.013

0.406

100%

2.0

0.013

0.406

100%

Choueifaty, Y. and Coignard, Y.

2008

2.0

0.013

0.406

100%

Ghalanos, A.

2019

2.0

0.013

0.406

100%

Hansen, P. and Huang, Z. and Shek, H.

2012

2.0

0.013

0.406

100%

Bauwens, L. and Storti, G. and Violante, F.

2012

2.0

0.013

0.406

100%

Bollerslev, T. and Patton, A. and Quaedvlieg, R.

2020

2.0

0.013

0.406

100%

Pelger, M. (self)

2020

2.0

0.013

0.406

100%

M. Pelger (self)

2023

2.0

0.013

0.406

100%

Bauwens, L. and Otranto, E.

2023

2.0

0.013

0.406

100%

Cochrane, J.

2009

2.0

0.013

0.406

100%

Dempster, A. and Laird, N. and Rubin, D.

1977

2.0

0.013

0.406

100%

Bishop, C.

2006

2.0

0.013

0.406

100%

Golub, G. and Van Loan, C.

2013

2.0

0.013

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.