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Citation Analysis

\bf Factor Multivariate Stochastic Volatility Models of High Dimension
Benjamin Poignard, Manabu Asai
https://arxiv.org/abs/2406.19033
114
Citation mentions
61
Cited references
14
Sections
7,396
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 Chib, S. and Nardari, F. and N. Shephard 2006 5 3 7.0 0.044 1.000 100%
2 Poignard, B. and M. Asai (self) 2023 6 3 11.0 0.053 1.000 100%
3 Onatski, A. 2010 5 3 10.0 0.044 1.000 100%
4 Bai, J. and K. Li 2012 18 6 28.0 0.158 0.920 78%
5 Bauwens, L. and Laurent, S. and J.V.K. Rombouts 2006 3 3 5.0 0.026 0.843 100%
6 Engle, R.F. 2002 4 3 4.0 0.035 0.737 50%
7 Engle, R.F. and K.F. Kroner 1995 3 3 3.5 0.026 0.737 67%
8 G. Kastner and S. Fru 2017 3 3 3.5 0.026 0.737 67%
9 Pitt, M. and N. Shephard 1999 3 2 5.0 0.026 0.737 100%
10 M. Barigozzi and M. Hallin 2017 2 2 2.0 0.018 0.644 100%
11 Stock, J. and M. Watson 2002 2 2 4.0 0.018 0.644 100%
12 Jacquier, E. and Polson, N. G. and P. E. Rossi 1999 3 1 3.0 0.026 0.585 100%
13 Harvey, A. C. and Ruiz, E. and N. Shephard 1994 2 1 2.0 0.018 0.511 100%
14 Liesenfeld, R. and J.-F Richard 2003 2 1 2.0 0.018 0.511 100%
15 Mu 2025 2 1 2.0 0.018 0.511 100%
16 Zou, H. 2006 2 2 2.5 0.018 0.511 50%
17 Laurent, S. and Rombouts, J.V.K. and Violante, F. 2012 2 1 4.0 0.018 0.511 100%
18 Tse, Y.K. and A.K. Tsui 2002 1 1 1.0 0.009 0.406 100%
19 Baba, Y. and R. Engle and D. Kraft and K. Kroner 1985 1 1 1.0 0.009 0.406 100%
20 Boudt, K. and Galanos, A. and Payseur, S. and Zivo... 1 1 1.0 0.009 0.406 100%
21 M. Asai and M. McAleer (self) 2009 1 1 1.0 0.009 0.406 100%
22 Chib, S. and Omori, Y. and Asai, M. (self) 2009 1 1 1.0 0.009 0.406 100%
23 R.F. Engle and V.K. Ng and M. Rothschild 1990 1 1 1.0 0.009 0.406 100%
24 Alexander, C. 2001 1 1 1.0 0.009 0.406 100%
25 van der Weide, R. 2002 1 1 1.0 0.009 0.406 100%
26 O. Aguilar and M. West 2000 1 1 1.0 0.009 0.406 100%
27 H.F. Lopes and C.M. Carvalho 2007 1 1 1.0 0.009 0.406 100%
28 Andersen, T.G. and Bollerslev, T. and Diebold, F.X... 2001 1 1 2.0 0.009 0.406 100%
29 Anderson, T.W. 2003 1 1 2.0 0.009 0.406 100%
30 Bai, J. and Ng, S. 2002 1 1 2.0 0.009 0.406 100%
31 Fuller, W.A. 1996 1 1 2.0 0.009 0.406 100%
32 Bai, J. and K. Li 2016 1 1 2.0 0.009 0.406 100%
33 Bai, J. and K. Liao 2016 1 1 2.0 0.009 0.406 100%
34 Poignard, B. and Y. Terada (self) 2020 1 1 2.0 0.009 0.406 100%
35 Poignard, B. and Y. Terada (self) 2025 1 1 2.0 0.009 0.406 100%
36 Fan, J. and Liao, Y. and Mincheva, M. 2011 1 1 2.0 0.009 0.406 100%
37 Fan, J. and Liao, Y. and Mincheva, M. 2013 1 1 2.0 0.009 0.406 100%
38 De Nard, G. and Ledoit, O. and M. Wolf 2021 1 1 2.0 0.009 0.406 100%
39 Granger, C.W.J. and Morris, M. 1976 1 1 2.0 0.009 0.406 100%
40 Chang, Y. and J.Y. Park 2002 1 1 2.0 0.009 0.406 100%
41 Chang, Y. and Park, J.Y. and K. Song 2006 1 1 2.0 0.009 0.406 100%
42 Lam, C. and J. Fan 2009 1 1 2.0 0.009 0.406 100%
43 Alexander, C. 2002 1 1 2.0 0.009 0.406 100%
44 Hansen, P.R. and Lunde, A. and Nason, M. 2011 1 1 2.0 0.009 0.406 100%
45 Ledoit, O. and M. Wolf 2022 1 1 2.0 0.009 0.406 100%
46 O. Ledoit and M. Wolf 2004 1 1 2.0 0.009 0.406 100%
47 Hansen, P.R. and Lunde, A. and Nason, M. 2003 1 1 2.0 0.009 0.406 100%
48 M. Asai and M. McAleer (self) 2015 1 1 1.0 0.009 0.406 100%
49 Lam, C. and Q. Yao 2012 1 1 1.0 0.009 0.406 100%
50 Y. Ding and R.F. Engle and Y. Li and X. Zheng 2025 1 1 1.0 0.009 0.406 100%
51 B.K. Ray and R.S. Tsay 2000 1 1 1.0 0.009 0.406 100%
52 Abadir, K.M. and J.R. Magnus 2005 2 1 1.0 0.018 0.110 0%
53 Pakel, C. and Shephard, N. and Sheppard, K. and R.... 2021 2 1 1.0 0.018 0.110 0%
54 X. Bai and K. Scheinberg and R. Tutuncu 2016 2 1 1.0 0.018 0.110 0%
55 Poignard, B. (self) 2020 1 1 0.5 0.009 0.087 0%
56 Fan, J. and Li, R. 2001 1 1 0.5 0.009 0.087 0%
57 Hamilton, J.D. 1994 1 1 0.5 0.009 0.087 0%
58 Cerqueira, V. and Torgo, L. and I. Mozetic 2020 1 1 0.5 0.009 0.087 0%
59 CVX Research, Inc. 1 1 0.5 0.009 0.087 0%
60 M. Grant and S. Boyd 1 1 0.5 0.009 0.087 0%
61 Fan, J. and Feng, Y. and Wu, Y. 2009 1 1 0.5 0.009 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.