Citation Analysis – Method of Moments Estimation for Affine Stochastic Volatility Models

Method of Moments Estimation for Affine Stochastic Volatility Models
Yan-Feng Wu, Xiangyu Yang, Jian-Qiang Hu
https://arxiv.org/abs/2408.09185

Citation mentions

Cited references

Sections

4,907

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	Heston, S. L	1993	3	3	5.0	0.051	0.843	100%
2	Eraker, B., Johannes, M., and Polson, N	2003	3	3	5.0	0.051	0.843	100%
3	Cox, J. C., Ingersoll Jr, J. E., and Ross, S. A	1985	3	2	6.0	0.051	0.737	100%
4	Bates, D. S	1996	2	2	3.0	0.034	0.644	100%
5	Barndorff-Nielsen, O. E. and Shephard, N	2001	2	2	3.0	0.034	0.644	100%
6	Singleton, K. J	2001	2	2	3.0	0.034	0.644	100%
7	Bollerslev, T. and Zhou, H	2002	2	2	3.0	0.034	0.644	100%
8	Jiang, G. J. and Knight, J. L	2002	2	2	3.0	0.034	0.644	100%
9	Chacko, G. and Viceira, L. M	2003	2	2	3.0	0.034	0.644	100%
10	Genon-Catalot, V., Jeantheau, T., and Laredo, C	2000	3	1	6.0	0.051	0.585	100%
11	Wu, Y., Hu, J., and Zhang, X	2019	2	2	1.5	0.034	0.511	50%
12	Wu, Y., Hu, J., and Yang, X (self)	2022	2	2	1.5	0.034	0.511	50%
13	Yang, X., Wu, Y., Zheng, Z., and Hu, J.-Q (self)	2021	2	2	1.5	0.034	0.511	50%
14	Duffie, D., Pan, J., and Singleton, K	2000	2	1	4.0	0.034	0.511	100%
15	Overbeck, L. and Rydén, T	1997	2	1	4.0	0.034	0.511	100%
16	Fama, E. F	1965	1	1	1.0	0.017	0.406	100%
17	Eraker, B	2001	1	1	1.0	0.017	0.406	100%
18	Jacquier, E., Polson, N. G., and Rossi, P. E	2002	1	1	1.0	0.017	0.406	100%
19	Roberts, G. O., Papaspiliopoulos, O., and Dellapor...	2004	1	1	1.0	0.017	0.406	100%
20	Griffin, J. E. and Steel, M. F	2006	1	1	1.0	0.017	0.406	100%
21	Jasra, A., Stephens, D. A., Doucet, A., and Tsagar...	2011	1	1	1.0	0.017	0.406	100%
22	Durham, G. and Gallant, A	2002	1	1	1.0	0.017	0.406	100%
23	Ruiz, E	1994	1	1	1.0	0.017	0.406	100%
24	Harvey, A. C. and Shephard, N	1996	1	1	1.0	0.017	0.406	100%
25	Feunou, B. and Okou, C	2018	1	1	1.0	0.017	0.406	100%
26	Hurn, A. S., Lindsay, K. A., and McClelland, A. J	2015	1	1	1.0	0.017	0.406	100%
27	A\"\it-Sahalia, Y. and Kimmel, R	2007	1	1	1.0	0.017	0.406	100%
28	Andersen, T. G., Fusari, N., and Todorov, V	2015	1	1	1.0	0.017	0.406	100%
29	Peng, Y., Fu, M. C., and Hu, J.-Q	2014	1	1	1.0	0.017	0.406	100%
30	Peng, Y., Fu, M. C., and Hu, J.-Q	2016	1	1	1.0	0.017	0.406	100%
31	Duffie, D. and Singleton, K. J	1993	1	1	1.0	0.017	0.406	100%
32	Bansal, R., Gallant, A. R., Hussey, R., and Tauche...	1994	1	1	1.0	0.017	0.406	100%
33	Gallant, A. R. and Tauchen, G	1996	1	1	1.0	0.017	0.406	100%
34	Bradley, R. C	2005	1	1	2.0	0.017	0.406	100%
35	Ibragimov, I. A	1962	1	1	2.0	0.017	0.406	100%
36	Van der Vaart, A. W	2000	1	1	2.0	0.017	0.406	100%
37	Johannes, M. and Polson, N	2010	1	1	2.0	0.017	0.406	100%
38	Wu, Y.-F	2023	1	1	2.0	0.017	0.406	100%
39	Wu, Y.-F. and Hu, J.-Q	2023	1	1	0.5	0.017	0.087	0%
40	Ross, S. M	2010	1	1	0.5	0.017	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Heston, S. L

1993

5.0

0.051

0.843

100%

Eraker, B., Johannes, M., and Polson, N

2003

5.0

0.051

0.843

100%

Cox, J. C., Ingersoll Jr, J. E., and Ross, S. A

1985

6.0

0.051

0.737

100%

Bates, D. S

1996

3.0

0.034

0.644

100%

Barndorff-Nielsen, O. E. and Shephard, N

2001

3.0

0.034

0.644

100%

Singleton, K. J

2001

3.0

0.034

0.644

100%

Bollerslev, T. and Zhou, H

2002

3.0

0.034

0.644

100%

Jiang, G. J. and Knight, J. L

2002

3.0

0.034

0.644

100%

Chacko, G. and Viceira, L. M

2003

3.0

0.034

0.644

100%

Genon-Catalot, V., Jeantheau, T., and Laredo, C

2000

6.0

0.051

0.585

100%

Wu, Y., Hu, J., and Zhang, X

2019

1.5

0.034

0.511

50%

Wu, Y., Hu, J., and Yang, X (self)

2022

1.5

0.034

0.511

50%

Yang, X., Wu, Y., Zheng, Z., and Hu, J.-Q (self)

2021

1.5

0.034

0.511

50%

Duffie, D., Pan, J., and Singleton, K

2000

4.0

0.034

0.511

100%

Overbeck, L. and Rydén, T

1997

4.0

0.034

0.511

100%

Fama, E. F

1965

1.0

0.017

0.406

100%

Eraker, B

2001

1.0

0.017

0.406

100%

Jacquier, E., Polson, N. G., and Rossi, P. E

2002

1.0

0.017

0.406

100%

Roberts, G. O., Papaspiliopoulos, O., and Dellapor...

2004

1.0

0.017

0.406

100%

Griffin, J. E. and Steel, M. F

2006

1.0

0.017

0.406

100%

Jasra, A., Stephens, D. A., Doucet, A., and Tsagar...

2011

1.0

0.017

0.406

100%

Durham, G. and Gallant, A

2002

1.0

0.017

0.406

100%

Ruiz, E

1994

1.0

0.017

0.406

100%

Harvey, A. C. and Shephard, N

1996

1.0

0.017

0.406

100%

Feunou, B. and Okou, C

2018

1.0

0.017

0.406

100%

Hurn, A. S., Lindsay, K. A., and McClelland, A. J

2015

1.0

0.017

0.406

100%

A\"\it-Sahalia, Y. and Kimmel, R

2007

1.0

0.017

0.406

100%

Andersen, T. G., Fusari, N., and Todorov, V

2015

1.0

0.017

0.406

100%

Peng, Y., Fu, M. C., and Hu, J.-Q

2014

1.0

0.017

0.406

100%

Peng, Y., Fu, M. C., and Hu, J.-Q

2016

1.0

0.017

0.406

100%

Duffie, D. and Singleton, K. J

1993

1.0

0.017

0.406

100%

Bansal, R., Gallant, A. R., Hussey, R., and Tauche...

1994

1.0

0.017

0.406

100%

Gallant, A. R. and Tauchen, G

1996

1.0

0.017

0.406

100%

Bradley, R. C

2005

2.0

0.017

0.406

100%

Ibragimov, I. A

1962

2.0

0.017

0.406

100%

Van der Vaart, A. W

2000

2.0

0.017

0.406

100%

Johannes, M. and Polson, N

2010

2.0

0.017

0.406

100%

Wu, Y.-F

2023

2.0

0.017

0.406

100%

Wu, Y.-F. and Hu, J.-Q

2023

0.5

0.017

0.087

Ross, S. M

2010

0.5

0.017

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.