← Back to paper list

Citation Analysis

Stock Market Comovements: A Data-Driven Approach to Identifying Sparse Common Risk Factors
Zhaoxing Gao
https://arxiv.org/abs/2407.09738
147
Citation mentions
59
Cited references
12
Sections
6,039
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 Connor and Korajczyk 1986 7 4 10.0 0.048 1.000 100%
2 Connor and Korajczyk 1988 7 4 10.0 0.048 1.000 100%
3 Bai and Ng 2002 11 7 21.0 0.075 1.000 100%
4 Kristensen 2017 6 3 10.0 0.041 1.000 100%
5 Bai and Ng 2013 5 3 10.0 0.034 1.000 100%
6 Bai 2003 4 4 7.0 0.027 0.928 100%
7 Zou et al. 2006 4 3 6.0 0.027 0.928 100%
8 Witten et al. 2009 4 3 6.0 0.027 0.928 100%
9 Pelger 2020 5 2 7.0 0.034 0.874 100%
10 Johnstone and Lu 2009 8 2 10.0 0.054 0.874 100%
11 Ma 2013 7 2 9.0 0.048 0.874 100%
12 Merlevede et al. 2011 5 2 10.0 0.034 0.874 100%
13 Gao and Tsay (self) 2023 3 3 5.0 0.020 0.843 100%
14 Gao and Tsay (self) 2024 3 3 5.0 0.020 0.843 100%
15 Ahn and Horenstein 2013 4 2 8.0 0.027 0.811 100%
16 Fan et al. 2013 3 2 5.0 0.020 0.737 100%
17 Lam and Yao 2012 3 2 5.0 0.020 0.737 100%
18 Uematsu and Yamagata 2022 3 2 4.0 0.020 0.737 100%
19 Ross 1976 2 2 3.0 0.014 0.644 100%
20 Gregory and Head 1999 2 2 3.0 0.014 0.644 100%
21 Forni et al. 2000 2 2 3.0 0.014 0.644 100%
22 Lewbel 1991 2 2 3.0 0.014 0.644 100%
23 Gao and Tsay (self) 2022 2 2 3.0 0.014 0.644 100%
24 Gao and Tsay (self) 2021 2 2 3.0 0.014 0.644 100%
25 Vu and Lei 2013 4 1 8.0 0.027 0.644 100%
26 Shen and Huang 2008 2 1 2.0 0.014 0.511 100%
27 Pelger and Xiong 2022 2 1 2.0 0.014 0.511 100%
28 Jiang et al. 2023 2 1 4.0 0.014 0.511 100%
29 Pan and Yao 2008 2 1 4.0 0.014 0.511 100%
30 Vershynin 2018 2 1 4.0 0.014 0.511 100%
31 Campbell et al. 1997 1 1 1.0 0.007 0.406 100%
32 Stock and Watson 1989 1 1 1.0 0.007 0.406 100%
33 Chamberlain and Rothschild 1983 1 1 1.0 0.007 0.406 100%
34 Stock and Watson 2002 1 1 1.0 0.007 0.406 100%
35 Stock and Watson 2002 1 1 1.0 0.007 0.406 100%
36 Lettau and Pelger 2020 1 1 1.0 0.007 0.406 100%
37 Forni et al. 2000 1 1 1.0 0.007 0.406 100%
38 1 1 1.0 0.007 0.406 100%
39 Jolliffe et al. 2003 1 1 1.0 0.007 0.406 100%
40 1 1 1.0 0.007 0.406 100%
41 Campbell et al. 2001 1 1 1.0 0.007 0.406 100%
42 Goyal and Santa-Clara 2003 1 1 1.0 0.007 0.406 100%
43 Su and Wang 2017 1 1 1.0 0.007 0.406 100%
44 Moghaddam et al. 2006 1 1 2.0 0.007 0.406 100%
45 Yuan and Zhang 2013 1 1 2.0 0.007 0.406 100%
46 Davis and Kahan 1970 1 1 2.0 0.007 0.406 100%
47 Mackey 2008 1 1 2.0 0.007 0.406 100%
48 Onatski 2010 1 1 2.0 0.007 0.406 100%
49 Gao et al. 2019 1 1 2.0 0.007 0.406 100%
50 Bai and Silverstein 2010 1 1 2.0 0.007 0.406 100%
51 Onatski 2012 1 1 2.0 0.007 0.406 100%
52 Huang et al. 2022 1 1 2.0 0.007 0.406 100%
53 Stewart and Sun 1990 1 1 2.0 0.007 0.406 100%
54 Andrews 1991 1 1 2.0 0.007 0.406 100%
55 Fama and French 1993 1 1 2.0 0.007 0.406 100%
56 Treynor 1961 1 1 2.0 0.007 0.406 100%
57 Gabaix 2014 1 1 2.0 0.007 0.406 100%
58 Stock and Watson 1998 1 1 2.0 0.007 0.406 100%
59 Bai and Ng 2023 1 1 2.0 0.007 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.