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Citation Analysis

Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting
Makoto Takahashi, Yuta Yamauchi, Toshiaki Watanabe, Yasuhiro Omori
https://arxiv.org/abs/2401.13179
125
Citation mentions
68
Cited references
8
Sections
6,717
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 Takahashi, Makoto and Omori, Yasuhiro and Watanabe... (self) 2009 5 4 9.0 0.040 1.000 100%
2 Takahashi, Makoto and Watanabe, Toshiaki and Omori... (self) 2016 6 6 9.5 0.048 0.941 83%
3 Hansen, Peter Reinhard and Huang, Zhuo 2016 4 3 7.0 0.032 0.928 100%
4 Barndorff-Nielsen 2008 3 3 5.0 0.024 0.843 100%
5 Liu, Lily Y. and Patton, Andrew J. and Sheppard, K... 2015 3 3 5.0 0.024 0.843 100%
6 Takahashi, Makoto and Omori, Yashuhiro and Watanab... (self) 2023 4 4 5.5 0.032 0.843 75%
7 Ferna 1995 3 3 5.0 0.024 0.843 100%
8 Aas, Kjersti and Haff, Ingrid Hobaek 2006 3 3 5.0 0.024 0.843 100%
9 Nelson, Daniel B. 1991 4 2 7.0 0.032 0.811 100%
10 Patton, Andrew J. and Ziegel, Johanna F. and Chen,... 2019 3 2 5.0 0.024 0.737 100%
11 Hansen, P.R. and Lunde, A. and Nason, J.M. 2011 3 2 5.0 0.024 0.737 100%
12 Hansen, Peter R. and Lunde, Asger 2005 3 2 6.0 0.024 0.737 100%
13 Barndorff-Nielsen 2009 2 2 3.0 0.016 0.644 100%
14 Ubukata, Masato and Watanabe, Toshiaki (self) 2014 2 2 3.0 0.016 0.644 100%
15 Hansen, P. R. and Huang, Z. and Shek, H. 2012 2 2 3.0 0.016 0.644 100%
16 Takahashi, Makoto and Watanabe, Toshiaki and Omori... (self) 2024 2 2 3.0 0.016 0.644 100%
17 Abanto-Valle 2015 2 2 3.0 0.016 0.644 100%
18 Kobayashi, Genya 2016 2 2 3.0 0.016 0.644 100%
19 Nakajima, Jouchi and Omori, Yasuhiro (self) 2012 2 2 3.0 0.016 0.644 100%
20 Le\ a 2017 2 2 3.0 0.016 0.644 100%
21 Trojan, Sebastian 2013 2 2 3.0 0.016 0.644 100%
22 Nugroho, Didit Budi and Morimoto, Takayuki 2014 2 2 3.0 0.016 0.644 100%
23 Nugroho, Didit Budi and Morimoto, Takayuki 2016 2 2 3.0 0.016 0.644 100%
24 Leopoldo Catania and Stefano Grassi 2022 2 2 2.0 0.016 0.644 100%
25 Catania, Leopoldo and Proietti, Tommaso 2020 2 2 2.0 0.016 0.644 100%
26 Azzalini, Adelchi 1985 2 2 3.0 0.016 0.644 100%
27 Fissler, Tobias and Ziegel, Johanna F. 2016 2 2 3.0 0.016 0.644 100%
28 Giacomini, Faffaella and White, Halbert 2006 2 2 3.0 0.016 0.644 100%
29 Azzalini, Adelchi and Capitanio, Antonella 2003 2 2 4.0 0.016 0.644 100%
30 Patton, Andrew J. 2011 2 2 4.0 0.016 0.644 100%
31 Patton, Andrew J. and Sheppard, Kevin 2009 2 2 4.0 0.016 0.644 100%
32 Chen, Cathy W.S. and Watanabe, Toshiaki and Lin, E... (self) 2023 2 2 4.0 0.016 0.644 100%
33 Denis-Alexandre Trottier and David Ardia 2016 2 1 4.0 0.016 0.511 100%
34 Diebold, Francis X and Mariano, Robert S 1995 2 1 4.0 0.016 0.511 100%
35 Ljung, G M and Box, G. E. P. 1978 2 1 4.0 0.016 0.511 100%
36 Diebold, Francis X 1988 2 1 4.0 0.016 0.511 100%
37 Engle, Robert F and Manganelli, Simone 2004 2 1 4.0 0.016 0.511 100%
38 Engle, Robert F 1982 1 1 1.0 0.008 0.406 100%
39 Bollerslev, Tim 1986 1 1 1.0 0.008 0.406 100%
40 Taylor, Stephen J 1986 1 1 1.0 0.008 0.406 100%
41 Andersen, Torben G and Benzoni, L 2009 1 1 1.0 0.008 0.406 100%
42 McAleer, Michael and Medeiros, Marcelo C. 2008 1 1 1.0 0.008 0.406 100%
43 Beran, Jan 1994 1 1 1.0 0.008 0.406 100%
44 Corsi, F 2009 1 1 1.0 0.008 0.406 100%
45 Zhang, L. and Mykland, P. A. and Ait-Sahalia 2005 1 1 1.0 0.008 0.406 100%
46 Zhang, L. 2006 1 1 1.0 0.008 0.406 100%
47 Jacod, Jean and Li, Yingying and Mykland, Per A. a... 2009 1 1 1.0 0.008 0.406 100%
48 Ai 2009 1 1 1.0 0.008 0.406 100%
49 Dobrev, Dobrislav P and Szerszen, Pawel J 2010 1 1 1.0 0.008 0.406 100%
50 Koopman, Siem J and Scharth, Marcel 2013 1 1 1.0 0.008 0.406 100%
51 Creal, Drew and Koopman, Siem Jan and Lucas, André 2013 1 1 1.0 0.008 0.406 100%
52 Harvey, Andrew C 2013 1 1 1.0 0.008 0.406 100%
53 Ai 2005 1 1 2.0 0.008 0.406 100%
54 Bandi, F. M. and Russell, J. R. 2006 1 1 2.0 0.008 0.406 100%
55 Bandi, F. M. and Russell, J. R. 2008 1 1 2.0 0.008 0.406 100%
56 Hansen, Peter Reinhard and Lunde, Asger 2006 1 1 2.0 0.008 0.406 100%
57 Mark F. J. Steel 1998 1 1 2.0 0.008 0.406 100%
58 Sahu, Sujit K and Dey, Dipak K and Branco, Marcia ... 2003 1 1 2.0 0.008 0.406 100%
59 Justin Lars Kirkby and Dang H. Nguyen and Duy Nguy... 2025 1 1 2.0 0.008 0.406 100%
60 Stinchcombe, Maxwell B. and White, Halbert 1998 1 1 2.0 0.008 0.406 100%
61 Mitsui, H. and Watanabe, T. (self) 2003 1 1 2.0 0.008 0.406 100%
62 Asai, Manabu 2006 1 1 2.0 0.008 0.406 100%
63 David Ardia and Keven Bluteau and Kris Boudt and L... 2018 1 1 2.0 0.008 0.406 100%
64 Barndorff-Nielsen, Ole E. and Shephard, Neil 2004 1 1 2.0 0.008 0.406 100%
65 Andersen, Torben G. and Dobrev, Dobrislav and Scha... 2012 1 1 2.0 0.008 0.406 100%
66 Omori, Yasuhiro and Chib, Siddhartha and Shephard,... (self) 2007 1 1 0.5 0.008 0.087 0%
67 Omori, Yasuhiro and Watanabe, Toshiaki (self) 2008 1 1 0.5 0.008 0.087 0%
68 Omori, Yashuhiro and Watanabe, Toshiaki (self) 2015 1 1 0.5 0.008 0.087 0%
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.