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Citation Analysis

To be or not to be:\\ Roughness or long memory in volatility?
Mikkel Bennedsen, Kim Christensen, Peter Christensen
https://arxiv.org/abs/2403.12653
156
Citation mentions
73
Cited references
11
Sections
16,629
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 J. Gatheral and T. Jaisson and M. Rosenbaum 2018 6 5 10.0 0.038 1.000 100%
2 M. Fukasawa and T. Takabatake and R. Westphal 2022 6 4 10.0 0.038 1.000 100%
3 A. E. Bolko and K. Christensen and M. Pakkanen and... (self) 2023 10 6 16.0 0.064 1.000 100%
4 S. Shi and J. Yu and C. Zhang 2024 5 4 8.0 0.032 1.000 100%
5 R. A. Davis and C. Y. Yau 2011 6 3 9.0 0.038 1.000 100%
6 X. Wang and W. Xiao and J. Yu 2023 12 8 18.0 0.077 0.941 83%
7 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2003 4 3 6.0 0.026 0.928 100%
8 X. Wang and W. Xiao and J. Yu and C. Zhang 2025 4 3 7.0 0.026 0.928 100%
9 M. Bennedsen and A. Lunde and M. S. Pakkanen (self) 2022 10 9 15.0 0.064 0.928 80%
10 J. R. M. Hosking 1996 7 4 10.0 0.045 0.894 71%
11 T. Gneiting and M. Schlather 2004 3 3 4.0 0.019 0.843 100%
12 C. Varin and N. Reid and D. Firth 2011 3 2 4.0 0.019 0.737 100%
13 W. K. Newey and D. McFadden 1994 3 3 4.5 0.019 0.737 67%
14 F. Comte and E. Renault 1998 2 2 2.0 0.013 0.644 100%
15 F. Corsi 2009 2 2 2.0 0.013 0.644 100%
16 B. G. Lindsay 1988 2 2 3.0 0.013 0.644 100%
17 D. R. Cox and N. Reid 2004 2 2 3.0 0.013 0.644 100%
18 O. E. Barndorff-Nielsen and J. Schmiegel 2009 2 2 3.0 0.013 0.644 100%
19 K. Christensen and M. Thyrsgaard and B. Veliyev (self) 2019 2 2 4.0 0.013 0.644 100%
20 O. E. Barndorff-Nielsen and N. Shephard 2002 2 2 3.0 0.013 0.644 100%
21 S. Shi and J. Yu 2023 2 2 3.0 0.013 0.644 100%
22 J. Li and P. C. B. Phillips and S. Shi and J. Yu 2025 2 2 3.0 0.013 0.644 100%
23 M. Rosenbaum and J. Zhang 2024 2 2 3.0 0.013 0.644 100%
24 G. Maruyama 1949 2 2 2.5 0.013 0.511 50%
25 P. Cheridito and H. Kawaguchi and M. Maejima 2003 2 1 4.0 0.013 0.511 100%
26 P. R. Hansen and A. Lunde 2006 2 1 4.0 0.013 0.511 100%
27 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2001 2 1 4.0 0.013 0.511 100%
28 C. H. Chong and V. Todorov 2023 1 1 1.0 0.006 0.406 100%
29 C. Damian and R. Frey 2024 1 1 1.0 0.006 0.406 100%
30 M. Bennedsen and A. Lunde and N. Shephard and A. E... (self) 2023 1 1 1.0 0.006 0.406 100%
31 C. Pakel and N. Shephard and K. Sheppard and R. F.... 2020 1 1 1.0 0.006 0.406 100%
32 B. B. Mandelbrot 1982 1 1 1.0 0.006 0.406 100%
33 K. Karhunen 1950 1 1 2.0 0.006 0.406 100%
34 H. Dym and H. P. McKean 1976 1 1 2.0 0.006 0.406 100%
35 P. J. Brockwell 2001 1 1 2.0 0.006 0.406 100%
36 P. J. Brockwell 2014 1 1 2.0 0.006 0.406 100%
37 F. B. Knight 1992 1 1 2.0 0.006 0.406 100%
38 N. Levinson 1946 1 1 2.0 0.006 0.406 100%
39 J. Durbin 1960 1 1 2.0 0.006 0.406 100%
40 R. P. Brent and F. G. Gustavson and D. Y. Y. Yun 1980 1 1 2.0 0.006 0.406 100%
41 M. Stewart 2003 1 1 2.0 0.006 0.406 100%
42 J. Besag 1974 1 1 2.0 0.006 0.406 100%
43 B. G. Lindsay and G. Y. Yi and J. Sun 2011 1 1 2.0 0.006 0.406 100%
44 H. White 1982 1 1 2.0 0.006 0.406 100%
45 V. P. Godambe 1960 1 1 2.0 0.006 0.406 100%
46 T. Bollerslev and J. M. Wooldridge 1992 1 1 2.0 0.006 0.406 100%
47 D. M. Keenan 2008 1 1 2.0 0.006 0.406 100%
48 J. Garnier and K. S\o 2018 1 1 2.0 0.006 0.406 100%
49 J. R. Magnus 1978 1 1 2.0 0.006 0.406 100%
50 P. R. Hansen and C. Kim and W. Kimbrough 2022 1 1 2.0 0.006 0.406 100%
51 T. G. Andersen and T. Bollerslev 1998 1 1 2.0 0.006 0.406 100%
52 J. Jacod and P. E. Protter 2012 1 1 2.0 0.006 0.406 100%
53 Y. A\"i 2019 1 1 2.0 0.006 0.406 100%
54 J. Jacod and Y. Li and P. A. Mykland and M. Podols... 2009 1 1 2.0 0.006 0.406 100%
55 C. Mancini 2009 1 1 2.0 0.006 0.406 100%
56 P. R. Hansen and A. Lunde 2014 1 1 2.0 0.006 0.406 100%
57 P. J. Brockwell and R. A. Davis 1991 1 1 2.0 0.006 0.406 100%
58 X. Liu and S. Shi and J. Yu 2020 1 1 2.0 0.006 0.406 100%
59 T. W. Epps and M. L. Epps 1976 1 1 2.0 0.006 0.406 100%
60 J. Hasbrouck 1991 1 1 2.0 0.006 0.406 100%
61 P. K. Clark 1973 1 1 2.0 0.006 0.406 100%
62 G. E. Tauchen and M. Pitts 1983 1 1 2.0 0.006 0.406 100%
63 L. R. Glosten and P. R. Milgrom 1985 1 1 2.0 0.006 0.406 100%
64 D. Easley and M. O'Hara 1992 1 1 2.0 0.006 0.406 100%
65 S. Alizadeh and M. W. Brandt and F. X. Diebold 2002 1 1 1.0 0.006 0.406 100%
66 K. Christensen and A. S. Espinosa and M. Pakkanen ... (self) 2025 1 1 1.0 0.006 0.406 100%
67 P. Breuer and P. Major 1983 2 1 1.0 0.013 0.110 0%
68 M. A. Arcones 1994 2 1 1.0 0.013 0.110 0%
69 J. Beran and Y. Feng and S. Ghosh and R. Kulik 2013 2 1 1.0 0.013 0.110 0%
70 J. M. Wooldridge 1994 1 1 0.5 0.006 0.087 0%
71 N. H. Bingham and C. M. Goldie and J. L. Teugels 1989 1 1 0.5 0.006 0.087 0%
72 G. Lang and F. Roueff 2001 1 1 0.5 0.006 0.087 0%
73 O.E. Barndorff-Nielsen and J. M. Corcuera and M. P... 2013 1 1 0.5 0.006 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.