Citation Analysis – The continuous-time limit of quasi score-driven volatility models

The continuous-time limit of quasi score-driven volatility models
Yinhao Wu, Ping He
https://arxiv.org/abs/2409.14734

Citation mentions

Cited references

Sections

5,263

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	Blasques, F., Francq, C., and Laurent, S	2023	9	4	16.0	0.130	1.000	100%
2	Fornari, F. and Mele, A	2006	6	4	11.0	0.087	1.000	100%
3	Buccheri, G., Corsi, F., Flandoli, F., and Livieri...	2021	9	6	17.0	0.130	1.000	100%
4	Nelson, D. B	1990	5	4	7.5	0.072	0.928	80%
5	Creal, D., Koopman, S. J., and Lucas, A	2013	3	3	5.0	0.043	0.843	100%
6	Stroock, D. W. and Varadhan, S. S	1979	4	4	4.0	0.058	0.737	50%
7	Hafner, C. M., Laurent, S., and Violante, F	2017	3	2	5.0	0.043	0.737	100%
8	Trifi, A	2006	3	2	6.0	0.043	0.737	100%
9	Nelson, D. B	1991	2	2	3.0	0.029	0.644	100%
10	Harvey, A. C. and Chakravarty, T	2008	2	2	3.0	0.029	0.644	100%
11	Banulescu Radu, D., Hansen, P. R., Huang, Z., and ...	2018	2	2	3.0	0.029	0.644	100%
12	Barone-Adesi, G., Rasmussen, H., and Ravanelli, C	2005	2	2	3.0	0.029	0.644	100%
13	Stentoft, L	2011	2	2	3.0	0.029	0.644	100%
14	Ethier, S. N. and Kurtz, T. G	1986	2	2	1.5	0.029	0.511	50%
15	Engle, R. F	1982	1	1	1.0	0.014	0.406	100%
16	Bollerslev, T	1986	1	1	1.0	0.014	0.406	100%
17	Glosten, L. R., Jagannathan, R., and Runkle, D. E	1993	1	1	1.0	0.014	0.406	100%
18	Ding, Z., Granger, C. W., and Engle, R. F	1993	1	1	1.0	0.014	0.406	100%
19	Bollerslev, T	1987	1	1	1.0	0.014	0.406	100%
20	Laurent, S., Lecourt, C., and Palm, F. C	2016	1	1	1.0	0.014	0.406	100%
21	Gorgi, P., Lauria, C., and Luati, A	2024	1	1	1.0	0.014	0.406	100%
22	Heston, S. L	1993	1	1	1.0	0.014	0.406	100%
23	Heston, S. L	1997	1	1	1.0	0.014	0.406	100%
24	Grasselli, M	2017	1	1	1.0	0.014	0.406	100%
25	Kushner, H. J	1984	1	1	1.0	0.014	0.406	100%
26	Azzalini, A. and Capitanio, A	2003	1	1	2.0	0.014	0.406	100%
27	Zhu, D. and Galbraith, J. W	2010	1	1	2.0	0.014	0.406	100%
28	Harvey, A. and Lange, R.-J	2017	1	1	2.0	0.014	0.406	100%
29	Wang, Y	2002	1	1	2.0	0.014	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Blasques, F., Francq, C., and Laurent, S

2023

16.0

0.130

1.000

100%

Fornari, F. and Mele, A

2006

11.0

0.087

1.000

100%

Buccheri, G., Corsi, F., Flandoli, F., and Livieri...

2021

17.0

0.130

1.000

100%

Nelson, D. B

1990

7.5

0.072

0.928

80%

Creal, D., Koopman, S. J., and Lucas, A

2013

5.0

0.043

0.843

100%

Stroock, D. W. and Varadhan, S. S

1979

4.0

0.058

0.737

50%

Hafner, C. M., Laurent, S., and Violante, F

2017

5.0

0.043

0.737

100%

Trifi, A

2006

6.0

0.043

0.737

100%

Nelson, D. B

1991

3.0

0.029

0.644

100%

Harvey, A. C. and Chakravarty, T

2008

3.0

0.029

0.644

100%

Banulescu Radu, D., Hansen, P. R., Huang, Z., and ...

2018

3.0

0.029

0.644

100%

Barone-Adesi, G., Rasmussen, H., and Ravanelli, C

2005

3.0

0.029

0.644

100%

Stentoft, L

2011

3.0

0.029

0.644

100%

Ethier, S. N. and Kurtz, T. G

1986

1.5

0.029

0.511

50%

Engle, R. F

1982

1.0

0.014

0.406

100%

Bollerslev, T

1986

1.0

0.014

0.406

100%

Glosten, L. R., Jagannathan, R., and Runkle, D. E

1993

1.0

0.014

0.406

100%

Ding, Z., Granger, C. W., and Engle, R. F

1993

1.0

0.014

0.406

100%

Bollerslev, T

1987

1.0

0.014

0.406

100%

Laurent, S., Lecourt, C., and Palm, F. C

2016

1.0

0.014

0.406

100%

Gorgi, P., Lauria, C., and Luati, A

2024

1.0

0.014

0.406

100%

Heston, S. L

1993

1.0

0.014

0.406

100%

Heston, S. L

1997

1.0

0.014

0.406

100%

Grasselli, M

2017

1.0

0.014

0.406

100%

Kushner, H. J

1984

1.0

0.014

0.406

100%

Azzalini, A. and Capitanio, A

2003

2.0

0.014

0.406

100%

Zhu, D. and Galbraith, J. W

2010

2.0

0.014

0.406

100%

Harvey, A. and Lange, R.-J

2017

2.0

0.014

0.406

100%

Wang, Y

2002

2.0

0.014

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.