Citation Analysis – \LARGE Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data

\LARGE Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Ruijun Bu, Degui Li, Oliver Linton, Hanchao Wang
https://arxiv.org/abs/2307.01348

118

Citation mentions

Cited references

Sections

3,487

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	Fan, Furger \harvardand\ Xiu	2016	7	3	12.0	0.059	1.000	100%
2	Kanaya \harvardand\ Kristensen	2016	5	3	8.0	0.042	1.000	100%
3			9	6	14.5	0.076	0.962	89%
4	Tao, Wang \harvardand\ Zhou	2013	4	4	7.0	0.034	0.928	100%
5	A\"\it-Sahalia, Kalnina \harvardand\ Xiu	2020	4	3	8.0	0.034	0.928	100%
6			5	2	9.0	0.042	0.874	100%
7			3	3	5.0	0.025	0.843	100%
8			4	3	5.5	0.034	0.843	75%
9			3	3	5.0	0.025	0.843	100%
10	Fan, Liao \harvardand\ Mincheva	2011	4	2	7.0	0.034	0.811	100%
11	Chen, Li \harvardand\ Linton (self)	2019	4	2	7.0	0.034	0.811	100%
12			3	2	5.0	0.025	0.737	100%
13	Fan, Liao \harvardand\ Mincheva	2013	3	2	5.0	0.025	0.737	100%
14			3	2	5.0	0.025	0.737	100%
15			2	2	3.0	0.017	0.644	100%
16			2	2	3.0	0.017	0.644	100%
17			2	2	3.0	0.017	0.644	100%
18			2	2	4.0	0.017	0.644	100%
19			3	2	4.5	0.025	0.644	67%
20			2	1	2.0	0.017	0.511	100%
21			2	1	2.0	0.017	0.511	100%
22			2	1	2.0	0.017	0.511	100%
23			2	2	2.5	0.017	0.511	50%
24			2	2	2.5	0.017	0.511	50%
25			1	1	1.0	0.008	0.406	100%
26			1	1	1.0	0.008	0.406	100%
27			1	1	1.0	0.008	0.406	100%
28			1	1	1.0	0.008	0.406	100%
29	A\"\it-Sahalia \harvardand\ Jacod	2014	1	1	1.0	0.008	0.406	100%
30			1	1	1.0	0.008	0.406	100%
31			1	1	1.0	0.008	0.406	100%
32	Bai \harvardand\ Silverstein	2010	1	1	1.0	0.008	0.406	100%
33			1	1	1.0	0.008	0.406	100%
34	A\"\it-Sahalia \harvardand\ Xiu	2017	1	1	1.0	0.008	0.406	100%
35	A\"\it-Sahalia \harvardand\ Xiu	2019	1	1	1.0	0.008	0.406	100%
36			1	1	1.0	0.008	0.406	100%
37	Figueroa-L\'opez \harvardand\ Li	2020	1	1	1.0	0.008	0.406	100%
38			1	1	2.0	0.008	0.406	100%
39			1	1	2.0	0.008	0.406	100%
40			1	1	2.0	0.008	0.406	100%
41			1	1	2.0	0.008	0.406	100%
42	Barndorff-Nielsen \em et al.	2008	1	1	2.0	0.008	0.406	100%
43			1	1	2.0	0.008	0.406	100%
44			1	1	2.0	0.008	0.406	100%
45	Podolskij \harvardand\ Vetter	2009	1	1	2.0	0.008	0.406	100%
46			1	1	2.0	0.008	0.406	100%
47			1	1	2.0	0.008	0.406	100%
48			1	1	2.0	0.008	0.406	100%
49			1	1	2.0	0.008	0.406	100%
50			1	1	2.0	0.008	0.406	100%
51			3	1	1.5	0.025	0.126	0%
52			2	1	1.0	0.017	0.110	0%
53			1	1	0.5	0.008	0.087	0%
54			1	1	0.5	0.008	0.087	0%
55			1	1	0.5	0.008	0.087	0%
56			1	1	0.5	0.008	0.087	0%
57	Barndorff-Nielsen \em et al.	2011	1	1	0.5	0.008	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Fan, Furger \harvardand\ Xiu

2016

12.0

0.059

1.000

100%

Kanaya \harvardand\ Kristensen

2016

8.0

0.042

1.000

100%

14.5

0.076

0.962

89%

Tao, Wang \harvardand\ Zhou

2013

7.0

0.034

0.928

100%

A\"\it-Sahalia, Kalnina \harvardand\ Xiu

2020

8.0

0.034

0.928

100%

9.0

0.042

0.874

100%

5.0

0.025

0.843

100%

5.5

0.034

0.843

75%

5.0

0.025

0.843

100%

Fan, Liao \harvardand\ Mincheva

2011

7.0

0.034

0.811

100%

Chen, Li \harvardand\ Linton (self)

2019

7.0

0.034

0.811

100%

5.0

0.025

0.737

100%

Fan, Liao \harvardand\ Mincheva

2013

5.0

0.025

0.737

100%

5.0

0.025

0.737

100%

3.0

0.017

0.644

100%

3.0

0.017

0.644

100%

3.0

0.017

0.644

100%

4.0

0.017

0.644

100%

4.5

0.025

0.644

67%

2.0

0.017

0.511

100%

2.0

0.017

0.511

100%

2.0

0.017

0.511

100%

2.5

0.017

0.511

50%

2.5

0.017

0.511

50%

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

A\"\it-Sahalia \harvardand\ Jacod

2014

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

Bai \harvardand\ Silverstein

2010

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

A\"\it-Sahalia \harvardand\ Xiu

2017

1.0

0.008

0.406

100%

A\"\it-Sahalia \harvardand\ Xiu

2019

1.0

0.008

0.406

100%

1.0

0.008

0.406

100%

Figueroa-L\'opez \harvardand\ Li

2020

1.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

Barndorff-Nielsen \em et al.

2008

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

Podolskij \harvardand\ Vetter

2009

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

2.0

0.008

0.406

100%

1.5

0.025

0.126

1.0

0.017

0.110

0.5

0.008

0.087

0.5

0.008

0.087

0.5

0.008

0.087

0.5

0.008

0.087

Barndorff-Nielsen \em et al.

2011

0.5

0.008

0.087

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.