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Citation Analysis

New general dependence measures: construction, estimation and application to high-frequency stock returns
Aleksy Leeuwenkamp, Wentao Hu
https://arxiv.org/abs/2309.00025
182
Citation mentions
86
Cited references
7
Sections
5,686
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 François Longin and Bruno Solnik 2001 5 3 7.0 0.027 1.000 100%
2 Andrew Ang and Joseph Chen 2002 7 3 10.0 0.038 1.000 100%
3 Inghelbrecht, Koen and Verdickt, Gertjan and Linde... 2022 5 3 8.0 0.027 1.000 100%
4 Jan Dhaene and Daniël Linders and Wim Schoutens an... 2012 6 5 11.0 0.033 1.000 100%
5 Nelsen, R.B. 2007 6 4 12.0 0.033 1.000 100%
6 Johan Segers and Masaaki Sibuya and Hideatsu Tsuka... 2017 8 3 16.0 0.044 1.000 100%
7 Zhongjin Lu and Scott Murray 2019 4 3 6.0 0.022 0.928 100%
8 Gijbels, Ire 2021 4 4 6.0 0.022 0.928 100%
9 Hofert, M. and Kojadinovic, I. and Ma 2019 4 4 8.0 0.022 0.928 100%
10 M. Bernardi and F. Durante and P. Jaworski 2017 5 2 9.0 0.027 0.874 100%
11 Menkveld, Albert J and Yueshen, Bart Zhou 2019 5 2 10.0 0.027 0.874 100%
12 Van der Vaart, Aad W 2000 5 2 10.0 0.027 0.874 100%
13 H.A. Hauksson and M. Dacorogna and T. Domenig and ... 2001 4 2 5.0 0.022 0.811 100%
14 Poon, Ser-Huang and Rockinger, Michael and Tawn, J... 2003 4 2 5.0 0.022 0.811 100%
15 Cont, Rama 2001 4 2 5.0 0.022 0.811 100%
16 Pelger, Markus 2020 4 2 8.0 0.022 0.811 100%
17 Easley, David and De Prado, Marcos M Lopez and O’H... 2011 4 2 8.0 0.022 0.811 100%
18 Van Oordt, Maarten RC and Zhou, Chen 2016 3 2 4.0 0.016 0.737 100%
19 Fousseni Chabi-Yo and Markus Huggenberger and Flor... 2022 3 2 5.0 0.016 0.737 100%
20 Dag Tjøstheim and Karl Ove Hufthammer 2013 3 2 4.0 0.016 0.737 100%
21 A\"\i 2016 3 2 5.0 0.016 0.737 100%
22 Bogdan Ćmiel and Teresa Ledwina 2020 3 2 4.0 0.016 0.737 100%
23 A\"\i 2016 3 2 4.0 0.016 0.737 100%
24 Filimonov, Vladimir and Sornette, Didier 2012 3 2 6.0 0.016 0.737 100%
25 Janssen, Paul and Swanepoel, Jan and Veraverbeke, ... 2012 3 2 6.0 0.016 0.737 100%
26 Cappiello, Lorenzo and Engle, Robert F. and Sheppa... 2006 2 2 3.0 0.011 0.644 100%
27 Andrea Buraschi and Paolo Porchia and Fabio Trojan... 2010 2 2 3.0 0.011 0.644 100%
28 2 2 3.0 0.011 0.644 100%
29 Ang, Andrew and Chen, Joseph and Xing, Yuhang 2006 2 2 3.0 0.011 0.644 100%
30 A\"\i 2014 2 2 3.0 0.011 0.644 100%
31 2 2 4.0 0.011 0.644 100%
32 Dhaene, Jan and Laeven, Roger JA and Zhang, Yiying 2022 2 2 4.0 0.011 0.644 100%
33 Embrechts, Paul and McNeil, Alexander and Strauman... 2002 2 2 4.0 0.011 0.644 100%
34 Marek Omelka and Irène Gijbels and Noël Veraverbek... 2009 2 2 4.0 0.011 0.644 100%
35 Emmanouil N. Karimalis and Nikos K. Nomikos 2018 2 1 2.0 0.011 0.511 100%
36 Grabchak, Michael and Samorodnitsky, Gennady 2010 2 1 2.0 0.011 0.511 100%
37 Adrian, Tobias and Brunnermeier, Markus K. 2016 2 1 4.0 0.011 0.511 100%
38 Johan Segers 2012 2 1 4.0 0.011 0.511 100%
39 Sharpe, William F 1964 1 1 1.0 0.005 0.406 100%
40 John Lintner 1965 1 1 1.0 0.005 0.406 100%
41 Fama, Eugene F and French, Kenneth R 2004 1 1 1.0 0.005 0.406 100%
42 Markowitz, Harry 1952 1 1 1.0 0.005 0.406 100%
43 Elton, Edwin J and Gruber, Martin J 1997 1 1 1.0 0.005 0.406 100%
44 Forbes, Kristin J and Rigobon, Roberto 2002 1 1 1.0 0.005 0.406 100%
45 Hartmann, Philipp and Straetmans, Stefan and Vries... 2004 1 1 1.0 0.005 0.406 100%
46 Donnelly, Catherine and Embrechts, Paul 2010 1 1 1.0 0.005 0.406 100%
47 Campbell, John Y and Cochrane, John H 1999 1 1 1.0 0.005 0.406 100%
48 Bansal, Ravi and Yaron, Amir 2004 1 1 1.0 0.005 0.406 100%
49 Brunnermeier, Markus K and Pedersen, Lasse Heje 2009 1 1 1.0 0.005 0.406 100%
50 Brunnermeier, Markus K and Sannikov, Yuliy 2014 1 1 1.0 0.005 0.406 100%
51 Pohl, Walter and Schmedders, Karl and Wilms, Ole 2018 1 1 1.0 0.005 0.406 100%
52 Fama, Eugene F 1963 1 1 1.0 0.005 0.406 100%
53 Gabaix, Xavier and Gopikrishnan, Parameswaran and ... 2007 1 1 1.0 0.005 0.406 100%
54 Gabaix, Xavier 2009 1 1 1.0 0.005 0.406 100%
55 Taleb, Nassim Nicholas 2009 1 1 1.0 0.005 0.406 100%
56 Harvey, Campbell R. and Siddique, Akhtar 2000 1 1 1.0 0.005 0.406 100%
57 Rohan Christie-David and Mukesh Chaudhry 2001 1 1 1.0 0.005 0.406 100%
58 Embrechts, Paul and Klu 1997 1 1 1.0 0.005 0.406 100%
59 Joe, Harry 1997 1 1 1.0 0.005 0.406 100%
60 Spearman, Charles 1904 1 1 1.0 0.005 0.406 100%
61 Gini, Corrado 1914 1 1 1.0 0.005 0.406 100%
62 Kendall, Maurice G 1938 1 1 1.0 0.005 0.406 100%
63 Blomqvist, Nils 1950 1 1 1.0 0.005 0.406 100%
64 Breymann, Wolfgang and Dias, Alexandra and Embrech... 2003 1 1 1.0 0.005 0.406 100%
65 Genest, Christian and Favre, Anne-Catherine and ot... 2007 1 1 2.0 0.005 0.406 100%
66 Embrechts, Paul 2009 1 1 2.0 0.005 0.406 100%
67 Christian Genest and Michel Gendron and Michaël Bo... 2009 1 1 2.0 0.005 0.406 100%
68 McNeil, Alexander J and Frey, Ru 2015 1 1 2.0 0.005 0.406 100%
69 Sklar, A 1959 1 1 2.0 0.005 0.406 100%
70 Fre 1951 1 1 2.0 0.005 0.406 100%
71 Hoeffding, Wassilij 1940 1 1 2.0 0.005 0.406 100%
72 Dhaene, Jan and Denuit, Michel and Goovaerts, Marc... 2002 1 1 2.0 0.005 0.406 100%
73 Kelly, Bryan and Jiang, Hao 2014 1 1 2.0 0.005 0.406 100%
74 Hakwa, Brice and Ja 2015 1 1 2.0 0.005 0.406 100%
75 Yacine Ai 2009 1 1 2.0 0.005 0.406 100%
76 Leeuwenkamp, Aleksy (self) 2023 1 1 2.0 0.005 0.406 100%
77 Kuester, Keith and Mittnik, Stefan and Paolella, M... 2005 1 1 2.0 0.005 0.406 100%
78 Genest, Christian and Segers, Johan 2010 1 1 2.0 0.005 0.406 100%
79 Shahram, Morteza and Milanfar, Peyman 2004 1 1 1.0 0.005 0.406 100%
80 Shahram, Morteza and Milanfar, Peyman 2006 1 1 1.0 0.005 0.406 100%
81 Ait-Sahalia, Yacine and Mykland, Per A and Zhang, ... 2005 1 1 1.0 0.005 0.406 100%
82 1 1 2.0 0.005 0.406 100%
83 Deheuvels, Paul 1979 1 1 2.0 0.005 0.406 100%
84 Vaart, AW van der and Wellner, Jon A 1996 1 1 2.0 0.005 0.406 100%
85 Bu 2013 1 1 2.0 0.005 0.406 100%
86 Hinkley, David V 1969 1 1 2.0 0.005 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.

Citation intensity data generated from LaTeX source analysis.