Citation Analysis

GARCH option valuation with long-run and short-run volatility components: A novel framework ensuring positive variance
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
https://arxiv.org/abs/2410.14513

Citation mentions

Cited references

Sections

2,487

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	Cheng,H-W and Chang,L-H and Lo,C-L and Tsai,J.T.	2023	6	4	11.0	0.150	1.000	100%
2	Oh,D.H. and Park, Y.-H.	2023	11	6	17.0	0.275	0.935	82%
3	Christoffersen, P. and Jacobs, K. and Ornthanalai,...	2008	9	6	13.0	0.225	0.920	78%
4	Heston, S.L. and Nandi, S.	2000	4	2	7.0	0.100	0.811	100%
5	Bormetti, G. and Corsi,F. and Majewski,A.	2015	4	2	5.0	0.100	0.811	100%
6	Engle, R.F. and Lee, G.	1999	1	1	1.0	0.025	0.406	100%
7	Corsi,F. and Fusari,N. and La Vecchia,D.	2013	1	1	1.0	0.025	0.406	100%
8	Gil-Pelaez, J.	1951	1	1	2.0	0.025	0.406	100%
9	Christoffersen, P. and Jacobs, K. and Ornthanalai,...	2012	1	1	2.0	0.025	0.406	100%
10	Ballestra, L.V. and D'Innocenzo, E. and Guizzardi,... (self)	2023	1	1	2.0	0.025	0.406	100%
11	Ballestra, L.V. and D'Innocenzo, E. and Guizzardi,... (self)	2024	1	1	2.0	0.025	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.