Citation Analysis – Stock Market Comovements: A Data-Driven Approach to Identifying Sparse Common Risk Factors

Stock Market Comovements: A Data-Driven Approach to Identifying Sparse Common Risk Factors
Zhaoxing Gao, Ruey S. Tsay
https://arxiv.org/abs/2405.00424

Citation mentions

Cited references

Sections

12,197

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	Hansen, Bruce E	2022	3	3	5.0	0.046	0.843	100%
2	Giannone, Domenico and Lenza, Michele and Primicer...	2021	4	2	5.0	0.062	0.811	100%
3	Athey, Susan and Imbens, Guido W	2019	4	2	4.0	0.062	0.811	100%
4	Fan, Jianqing and Lv, Jinchi	2008	4	2	8.0	0.062	0.811	100%
5	Hoerl, Roger W	1985	3	2	4.0	0.046	0.737	100%
6	Abadie, Alberto and Kasy, Maximilian	2019	3	2	4.0	0.046	0.737	100%
7	van Wieringen, Wessel N	2023	3	2	5.0	0.046	0.737	100%
8	Shao, Jun and Deng, Xinwei	2012	3	2	4.0	0.046	0.737	100%
9	Bai, ZD and Yin, YQ	1993	3	2	6.0	0.046	0.737	100%
10	Hoerl, Arthur E	1959	2	2	3.0	0.031	0.644	100%
11	Theobald, Chris M	1974	2	2	3.0	0.031	0.644	100%
12	Hansen, Bruce E	2022	2	2	3.0	0.031	0.644	100%
13	Gao, Zhaoxing and Tsay, Ruey S (self)	2024	4	1	8.0	0.062	0.644	100%
14	Hall, Peter and Heyde, Christopher C	2014	2	2	2.5	0.031	0.511	50%
15	Stock, James H and Watson, Mark	2002	2	1	4.0	0.031	0.511	100%
16	Gao, Zhaoxing and Tsay, Ruey S (self)	2022	2	1	4.0	0.031	0.511	100%
17	Tikhonov, Andrey Nikolayevich	1943	1	1	1.0	0.015	0.406	100%
18	Hoerl, Arthur E and Kennard, Robert W	1970	1	1	1.0	0.015	0.406	100%
19	Hoerl, Arthur E and Kennard, Robert W	1970	1	1	1.0	0.015	0.406	100%
20	Leonard, Matthew K and Gwilliams, Laura and Seller...	2023	1	1	1.0	0.015	0.406	100%
21	Zahrt, Andrew F and Henle, Jeremy J and Rose, Bren...	2019	1	1	1.0	0.015	0.406	100%
22	Otwinowski, Jakub and Plotkin, Joshua B	2014	1	1	1.0	0.015	0.406	100%
23	Hastie, Trevor	2020	1	1	1.0	0.015	0.406	100%
24	Dobriban, Edgar and Wager, Stefan	2018	1	1	1.0	0.015	0.406	100%
25	Bu	2013	1	1	1.0	0.015	0.406	100%
26	Zhang, Yunyi and Politis, Dimitris N	2022	1	1	1.0	0.015	0.406	100%
27	Wang, Xiangyu and Leng, Chenlei	2016	1	1	2.0	0.015	0.406	100%
28	Woodward, Wayne A. and Gray, Henry L. and Elliott,...	2012	1	1	2.0	0.015	0.406	100%
29	Montgomery, Douglas C and Peck, Elizabeth A and Vi...	2012	1	1	2.0	0.015	0.406	100%
30	Hastie, Trevor and Tibshirani, Robert and Friedman...	2009	1	1	2.0	0.015	0.406	100%
31	McCracken, Michael W and Ng, Serena	2016	1	1	2.0	0.015	0.406	100%
32	Stock, James H and Watson, Mark W	2002	1	1	2.0	0.015	0.406	100%
33	Bai, J. and Ng, S.	2006	1	1	2.0	0.015	0.406	100%
34	Cheng, Xu and Hansen, Bruce E	2015	1	1	2.0	0.015	0.406	100%
35	Vapnik, Vladimir N.	2000	1	1	1.0	0.015	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Hansen, Bruce E

2022

5.0

0.046

0.843

100%

Giannone, Domenico and Lenza, Michele and Primicer...

2021

5.0

0.062

0.811

100%

Athey, Susan and Imbens, Guido W

2019

4.0

0.062

0.811

100%

Fan, Jianqing and Lv, Jinchi

2008

8.0

0.062

0.811

100%

Hoerl, Roger W

1985

4.0

0.046

0.737

100%

Abadie, Alberto and Kasy, Maximilian

2019

4.0

0.046

0.737

100%

van Wieringen, Wessel N

2023

5.0

0.046

0.737

100%

Shao, Jun and Deng, Xinwei

2012

4.0

0.046

0.737

100%

Bai, ZD and Yin, YQ

1993

6.0

0.046

0.737

100%

Hoerl, Arthur E

1959

3.0

0.031

0.644

100%

Theobald, Chris M

1974

3.0

0.031

0.644

100%

Hansen, Bruce E

2022

3.0

0.031

0.644

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2024

8.0

0.062

0.644

100%

Hall, Peter and Heyde, Christopher C

2014

2.5

0.031

0.511

50%

Stock, James H and Watson, Mark

2002

4.0

0.031

0.511

100%

Gao, Zhaoxing and Tsay, Ruey S (self)

2022

4.0

0.031

0.511

100%

Tikhonov, Andrey Nikolayevich

1943

1.0

0.015

0.406

100%

Hoerl, Arthur E and Kennard, Robert W

1970

1.0

0.015

0.406

100%

Hoerl, Arthur E and Kennard, Robert W

1970

1.0

0.015

0.406

100%

Leonard, Matthew K and Gwilliams, Laura and Seller...

2023

1.0

0.015

0.406

100%

Zahrt, Andrew F and Henle, Jeremy J and Rose, Bren...

2019

1.0

0.015

0.406

100%

Otwinowski, Jakub and Plotkin, Joshua B

2014

1.0

0.015

0.406

100%

Hastie, Trevor

2020

1.0

0.015

0.406

100%

Dobriban, Edgar and Wager, Stefan

2018

1.0

0.015

0.406

100%

2013

1.0

0.015

0.406

100%

Zhang, Yunyi and Politis, Dimitris N

2022

1.0

0.015

0.406

100%

Wang, Xiangyu and Leng, Chenlei

2016

2.0

0.015

0.406

100%

Woodward, Wayne A. and Gray, Henry L. and Elliott,...

2012

2.0

0.015

0.406

100%

Montgomery, Douglas C and Peck, Elizabeth A and Vi...

2012

2.0

0.015

0.406

100%

Hastie, Trevor and Tibshirani, Robert and Friedman...

2009

2.0

0.015

0.406

100%

McCracken, Michael W and Ng, Serena

2016

2.0

0.015

0.406

100%

Stock, James H and Watson, Mark W

2002

2.0

0.015

0.406

100%

Bai, J. and Ng, S.

2006

2.0

0.015

0.406

100%

Cheng, Xu and Hansen, Bruce E

2015

2.0

0.015

0.406

100%

Vapnik, Vladimir N.

2000

1.0

0.015

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.