Citation Analysis – Persistence-Robust Break Detection in Predictive CoVaR Regressions

Persistence-Robust Break Detection in Predictive CoVaR Regressions
Yannick Hoga
https://arxiv.org/abs/2410.05861

217

Citation mentions

Cited references

Sections

19,554

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	Han, H. and Linton, O. and Oka, T. and Whang Y. J.	2016	5	3	10.0	0.023	1.000	100%
2	Adrian, T. and Brunnermeier, M. K.	2016	12	5	23.0	0.055	0.971	92%
3	Shao, X. and Zhang, X.	2010	6	3	10.5	0.028	0.941	83%
4	Zhang, T. and Lavitas, L.	2018	5	4	8.5	0.023	0.928	80%
5	Lee, J. H.	2016	7	5	10.0	0.032	0.894	71%
6	Hoga, Y. and Schulz, C. (self)	2025	6	3	7.5	0.028	0.794	50%
7	Fan, R. and Lee, J. H.	2019	3	3	4.5	0.014	0.737	67%
8	Shao, X.		3	3	3.5	0.014	0.737	67%
9	Magdalinos, T. and Phillips, P. C. B.	2020	26	7	28.0	0.120	0.727	38%
10	Brunnermeier, M. and Rother, S. and Schnabel, I.	2020	5	1	10.0	0.023	0.693	100%
11	Acharya, V. V. and Pedersen, L. H. and Philippon, ...	2017	2	2	4.0	0.009	0.644	100%
12	Brunnermeier, M. K. and Dong, G. N. and Palia, D.	2020	4	1	8.0	0.018	0.644	100%
13	Dimitriadis, T. and Hoga, Y. (self)	2026	2	2	4.0	0.009	0.644	100%
14	Fissler, T. and Hoga, Y. (self)	2024	2	2	4.0	0.009	0.644	100%
15	Shao, X.		2	2	4.0	0.009	0.644	100%
16	Nedeljkovic, M.	2020	2	2	4.0	0.009	0.644	100%
17	Phillips, P. C. B. and Magdalinos, T.	2009	2	2	3.0	0.009	0.644	100%
18	Magdalinos, T. and Phillips, P. C. B.	2009	2	2	3.0	0.009	0.644	100%
19	Oka, T. and Qu, Z.	2011	3	3	3.0	0.014	0.585	33%
20	Qu, Z.	2008	14	6	10.0	0.065	0.523	14%
21	Cai, Z. and Chen, H. and Liao, X.	2023	2	2	2.5	0.009	0.511	50%
22	Fan, R. and Lee, J. H. and Shin, Y.	2023	2	2	2.5	0.009	0.511	50%
23	Liu, X. and Long, W. and Peng, L. and Yang, B.	2024	2	2	2.5	0.009	0.511	50%
24	Maynard, A. and Shimotsu, K. and Kuriyama, N.	2024	2	2	2.5	0.009	0.511	50%
25	Mayer, A. and Wied, D. and Troster, V.	2025	2	2	2.5	0.009	0.511	50%
26	van der Vaart, A. W. and Wellner, J. A.		2	2	2.5	0.009	0.511	50%
27	Kra	1988	2	1	4.0	0.009	0.511	100%
28	Cai, Z. and Wang, Y. and Wang, Y.	2015	3	2	3.0	0.014	0.511	33%
29	Kwiatkowski, D. and Phillips, P. C. B. and Schmidt...	1992	2	2	2.5	0.009	0.511	50%
30	Graham Elliott and Thomas J. Rothenberg and James ...	1996	2	2	2.5	0.009	0.511	50%
31	Kato, K.	2009	19	7	12.5	0.088	0.472	11%
32	Van Oordt, M. and Zhou, C.	2019	1	1	2.0	0.005	0.406	100%
33	Giglio, S and Kelly, B. and Pruitt, S.	2016	1	1	2.0	0.005	0.406	100%
34	Pesaran, M. H. and Pick, A. and Pranovich, M.	2013	1	1	2.0	0.005	0.406	100%
35	Smith, S. C. and Timmermann, A.	2021	1	1	2.0	0.005	0.406	100%
36	Leng, X. and He, Y. and Hou, Y. and Peng, L.	2024	1	1	2.0	0.005	0.406	100%
37	Zhu, F. and Liu, M. and Ling, S. and Cai, Z.	2023	1	1	2.0	0.005	0.406	100%
38	Vogelsang, T. J.	1999	1	1	2.0	0.005	0.406	100%
39	Whaley, R. E.	2009	1	1	2.0	0.005	0.406	100%
40	Koenker, R. and Bassett, G.	1978	1	1	2.0	0.005	0.406	100%
41	Zhou, Z. and Shao, X.	2013	1	1	2.0	0.005	0.406	100%
42	Kostakis, A. and Magdalinos, T. and Stamatogiannis...	2023	1	1	2.0	0.005	0.406	100%
43	Cavanagh, C. L. and Elliott, G. and Stock, J. H.	1995	1	1	2.0	0.005	0.406	100%
44	Jansson, M. and Moreira, M. J.	2006	1	1	2.0	0.005	0.406	100%
45	Demetrescu, M. and Georgiev, I. and Rodrigues, P. ...	2022	1	1	2.0	0.005	0.406	100%
46	Brunnermeier, M. K. and Sannikov, Y.	2014	1	1	2.0	0.005	0.406	100%
47	Han, H. and Zhang, S.	2012	1	1	2.0	0.005	0.406	100%
48	Cavaliere, G. and Taylor, A. M. R.	2009	1	1	2.0	0.005	0.406	100%
49	Smeekes, S. and Wilms, I.	2023	1	1	2.0	0.005	0.406	100%
50	FSB	2015	1	1	2.0	0.005	0.406	100%
51	Breitung, J. and Demetrescu, M.	2015	1	1	2.0	0.005	0.406	100%
52	Jacod, J. and Shiryaev, A. N.	1987	11	3	5.5	0.051	0.215	0%
53	Hall, P. and Heyde, C. C.	1980	3	2	1.5	0.014	0.159	0%
54	Welch, I. and Goyal, A.	2008	6	1	3.0	0.028	0.149	0%
55	Volgushev, S. and Shao, X.	2014	2	2	1.0	0.009	0.139	0%
56	Goyal, A. and Welch, I. and Zafirov, A.	2024	2	1	1.0	0.009	0.110	0%
57	Paye, B. S. and Timmermann, A.	2006	2	1	1.0	0.009	0.110	0%
58	Farmer, L. E. and Schmidt, L. and Timmermann, A.	2023	2	1	1.0	0.009	0.110	0%
59	Fitzenberger, B.	1997	1	1	0.5	0.005	0.087	0%
60	Su, L. and Xiao, Z.	2008	1	1	0.5	0.005	0.087	0%
61	Billingsley, P.		1	1	0.5	0.005	0.087	0%
62	James Davidson		1	1	0.5	0.005	0.087	0%
63	Pollard, D.	1984	1	1	0.5	0.005	0.087	0%
64	L\"u	2005	1	1	0.5	0.005	0.087	0%
65	R Core Team	2024	1	1	0.5	0.005	0.087	0%
66	Roger Koenker	2023	1	1	0.5	0.005	0.087	0%
67	Engle, R. and Kelly, B.	2012	1	1	0.5	0.005	0.087	0%
68	Stambaugh, R. F.	1999	1	1	0.5	0.005	0.087	0%
69	Hall, P. and Sheather, S. J.	1988	1	1	0.5	0.005	0.087	0%
70	Mehra, R. and Prescott, E. C.	2008	1	1	0.5	0.005	0.087	0%
71	Pesaran, M. H. and Timmermann, A.	2002	1	1	0.5	0.005	0.087	0%
72	Timmermann, Al.	2008	1	1	0.5	0.005	0.087	0%
73	Henkel, S. J. and Martin, J. S. and Nardari, F.	2011	1	1	0.5	0.005	0.087	0%
74	Georgiev, I. and Harvey, D. I. and Leybourne, S. J...	2018	1	1	0.5	0.005	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Han, H. and Linton, O. and Oka, T. and Whang Y. J.

2016

10.0

0.023

1.000

100%

Adrian, T. and Brunnermeier, M. K.

2016

23.0

0.055

0.971

92%

Shao, X. and Zhang, X.

2010

10.5

0.028

0.941

83%

Zhang, T. and Lavitas, L.

2018

8.5

0.023

0.928

80%

Lee, J. H.

2016

10.0

0.032

0.894

71%

Hoga, Y. and Schulz, C. (self)

2025

7.5

0.028

0.794

50%

Fan, R. and Lee, J. H.

2019

4.5

0.014

0.737

67%

Shao, X.

3.5

0.014

0.737

67%

Magdalinos, T. and Phillips, P. C. B.

2020

28.0

0.120

0.727

38%

Brunnermeier, M. and Rother, S. and Schnabel, I.

2020

10.0

0.023

0.693

100%

Acharya, V. V. and Pedersen, L. H. and Philippon, ...

2017

4.0

0.009

0.644

100%

Brunnermeier, M. K. and Dong, G. N. and Palia, D.

2020

8.0

0.018

0.644

100%

Dimitriadis, T. and Hoga, Y. (self)

2026

4.0

0.009

0.644

100%

Fissler, T. and Hoga, Y. (self)

2024

4.0

0.009

0.644

100%

Shao, X.

4.0

0.009

0.644

100%

Nedeljkovic, M.

2020

4.0

0.009

0.644

100%

Phillips, P. C. B. and Magdalinos, T.

2009

3.0

0.009

0.644

100%

Magdalinos, T. and Phillips, P. C. B.

2009

3.0

0.009

0.644

100%

Oka, T. and Qu, Z.

2011

3.0

0.014

0.585

33%

Qu, Z.

2008

10.0

0.065

0.523

14%

Cai, Z. and Chen, H. and Liao, X.

2023

2.5

0.009

0.511

50%

Fan, R. and Lee, J. H. and Shin, Y.

2023

2.5

0.009

0.511

50%

Liu, X. and Long, W. and Peng, L. and Yang, B.

2024

2.5

0.009

0.511

50%

Maynard, A. and Shimotsu, K. and Kuriyama, N.

2024

2.5

0.009

0.511

50%

Mayer, A. and Wied, D. and Troster, V.

2025

2.5

0.009

0.511

50%

van der Vaart, A. W. and Wellner, J. A.

2.5

0.009

0.511

50%

Kra

1988

4.0

0.009

0.511

100%

Cai, Z. and Wang, Y. and Wang, Y.

2015

3.0

0.014

0.511

33%

Kwiatkowski, D. and Phillips, P. C. B. and Schmidt...

1992

2.5

0.009

0.511

50%

Graham Elliott and Thomas J. Rothenberg and James ...

1996

2.5

0.009

0.511

50%

Kato, K.

2009

12.5

0.088

0.472

11%

Van Oordt, M. and Zhou, C.

2019

2.0

0.005

0.406

100%

Giglio, S and Kelly, B. and Pruitt, S.

2016

2.0

0.005

0.406

100%

Pesaran, M. H. and Pick, A. and Pranovich, M.

2013

2.0

0.005

0.406

100%

Smith, S. C. and Timmermann, A.

2021

2.0

0.005

0.406

100%

Leng, X. and He, Y. and Hou, Y. and Peng, L.

2024

2.0

0.005

0.406

100%

Zhu, F. and Liu, M. and Ling, S. and Cai, Z.

2023

2.0

0.005

0.406

100%

Vogelsang, T. J.

1999

2.0

0.005

0.406

100%

Whaley, R. E.

2009

2.0

0.005

0.406

100%

Koenker, R. and Bassett, G.

1978

2.0

0.005

0.406

100%

Zhou, Z. and Shao, X.

2013

2.0

0.005

0.406

100%

Kostakis, A. and Magdalinos, T. and Stamatogiannis...

2023

2.0

0.005

0.406

100%

Cavanagh, C. L. and Elliott, G. and Stock, J. H.

1995

2.0

0.005

0.406

100%

Jansson, M. and Moreira, M. J.

2006

2.0

0.005

0.406

100%

Demetrescu, M. and Georgiev, I. and Rodrigues, P. ...

2022

2.0

0.005

0.406

100%

Brunnermeier, M. K. and Sannikov, Y.

2014

2.0

0.005

0.406

100%

Han, H. and Zhang, S.

2012

2.0

0.005

0.406

100%

Cavaliere, G. and Taylor, A. M. R.

2009

2.0

0.005

0.406

100%

Smeekes, S. and Wilms, I.

2023

2.0

0.005

0.406

100%

FSB

2015

2.0

0.005

0.406

100%

Breitung, J. and Demetrescu, M.

2015

2.0

0.005

0.406

100%

Jacod, J. and Shiryaev, A. N.

1987

5.5

0.051

0.215

Hall, P. and Heyde, C. C.

1980

1.5

0.014

0.159

Welch, I. and Goyal, A.

2008

3.0

0.028

0.149

Volgushev, S. and Shao, X.

2014

1.0

0.009

0.139

Goyal, A. and Welch, I. and Zafirov, A.

2024

1.0

0.009

0.110

Paye, B. S. and Timmermann, A.

2006

1.0

0.009

0.110

Farmer, L. E. and Schmidt, L. and Timmermann, A.

2023

1.0

0.009

0.110

Fitzenberger, B.

1997

0.5

0.005

0.087

Su, L. and Xiao, Z.

2008

0.5

0.005

0.087

Billingsley, P.

0.5

0.005

0.087

James Davidson

0.5

0.005

0.087

Pollard, D.

1984

0.5

0.005

0.087

L\"u

2005

0.5

0.005

0.087

R Core Team

2024

0.5

0.005

0.087

Roger Koenker

2023

0.5

0.005

0.087

Engle, R. and Kelly, B.

2012

0.5

0.005

0.087

Stambaugh, R. F.

1999

0.5

0.005

0.087

Hall, P. and Sheather, S. J.

1988

0.5

0.005

0.087

Mehra, R. and Prescott, E. C.

2008

0.5

0.005

0.087

Pesaran, M. H. and Timmermann, A.

2002

0.5

0.005

0.087

Timmermann, Al.

2008

0.5

0.005

0.087

Henkel, S. J. and Martin, J. S. and Nardari, F.

2011

0.5

0.005

0.087

Georgiev, I. and Harvey, D. I. and Leybourne, S. J...

2018

0.5

0.005

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.