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Citation Analysis

A GARCH model with two volatility components and two driving factors
Luca Vincenzo Ballestra, Enzo D'Innocenzo, Christian Tezza
https://arxiv.org/abs/2410.14585
103
Citation mentions
47
Cited references
9
Sections
8,563
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 Christoffersen, P. and Jacobs, K. and Ornthanalai,... 2012 7 6 13.0 0.068 1.000 100%
2 Christoffersen, P. and Jacobs, K. and Ornthanalai,... 2008 8 5 12.0 0.078 1.000 100%
3 Ghanbari, H. 2024 8 5 12.0 0.078 1.000 100%
4 Heston, S.L. and Nandi, S. 2000 9 6 16.0 0.087 1.000 100%
5 Meyn, S.P. and Tweedie, R.L. 1993 8 2 16.0 0.078 0.874 100%
6 Nummelin, E. 1984 4 2 8.0 0.039 0.811 100%
7 Christoffersen, P. and Jacobs, K. and Heston, S.L. 2009 3 2 4.0 0.029 0.737 100%
8 Nelson, D.B. 1990 3 2 6.0 0.029 0.737 100%
9 Fouque, J.P. and Lorig, M.J. 2011 2 2 2.0 0.019 0.644 100%
10 Ballestra, L.V. and D'Innocenzo, E. and Guizzardi,... (self) 2023 2 2 4.0 0.019 0.644 100%
11 Adrian, T. and Rosenberg, J. 2008 3 1 3.0 0.029 0.585 100%
12 Tjøstheim, D. 1990 3 1 6.0 0.029 0.585 100%
13 Engle, R.F. and Lee, G. 1999 2 1 2.0 0.019 0.511 100%
14 Engle, R.F. and Rangel, J.G. 2008 2 1 2.0 0.019 0.511 100%
15 Engle, R. and Ghysels, E. and Sohn, B. 2013 2 1 2.0 0.019 0.511 100%
16 Kupiec, P. H. 1995 2 1 4.0 0.019 0.511 100%
17 Christoffersen,P.F. 1998 2 1 4.0 0.019 0.511 100%
18 Hansen, P. R. and Lunde, A. and Nason, J. M. 2011 2 1 4.0 0.019 0.511 100%
19 Diebold, F.X. and Mariano, R. S. 2002 2 1 4.0 0.019 0.511 100%
20 Carrasco, M. and Chen, X. 2002 2 1 4.0 0.019 0.511 100%
21 Alizadeh, S. and Brandt, M-J. and Diebold F.X. 2002 1 1 1.0 0.010 0.406 100%
22 Bollerslev, T. and Zhou, H. 2002 1 1 1.0 0.010 0.406 100%
23 de Magistris, P.S. and Grassi, S. 2015 1 1 1.0 0.010 0.406 100%
24 Gallant, R. and Hsu, C.T. and Tauchen, G. 1999 1 1 1.0 0.010 0.406 100%
25 Chernov, M. and Gallant, A. and Ghysels, E. and Ta... 2003 1 1 1.0 0.010 0.406 100%
26 Bates, D. S. 1996 1 1 1.0 0.010 0.406 100%
27 Taylor, S.J. and Xu, X. 1994 1 1 1.0 0.010 0.406 100%
28 Fouque, J. P. and Papanicolaou, G. and Sircar, R. ... 2004 1 1 1.0 0.010 0.406 100%
29 Schwartz, E.S. and Trolle, A.B. 2009 1 1 1.0 0.010 0.406 100%
30 Bates, D. S. 2000 1 1 1.0 0.010 0.406 100%
31 Bollerslev, T. 1986 1 1 1.0 0.010 0.406 100%
32 Ding, Z. and Granger, C.W.J. 1996 1 1 1.0 0.010 0.406 100%
33 Christoffersen,P. and Feunou,B. and Jacobs,K. and ... 2014 1 1 1.0 0.010 0.406 100%
34 Bormetti, G. and Corsi,F. and Majewski,A. 2015 1 1 1.0 0.010 0.406 100%
35 Christoffersen, P. and Dorion, C. and Jacobs, K. a... 2010 1 1 1.0 0.010 0.406 100%
36 Conrad, C. and Kleen, O. 2020 1 1 1.0 0.010 0.406 100%
37 Fouque, J. P. and Papanicolaou, G. and Sircar, R. 2000 1 1 1.0 0.010 0.406 100%
38 Fouque, J. P. and Papanicolaou, G. and Sircar, R. ... 2003 1 1 1.0 0.010 0.406 100%
39 Wang,Q. and Wang,Z. and Zhang, Q. and Zhang, Y. 2024 1 1 1.0 0.010 0.406 100%
40 Hafner, C.M. and Preminger, A. 2009 1 1 2.0 0.010 0.406 100%
41 Carlin,J.B. and Dunson,D.B. and Gelman,A. and Rubi... 2016 1 1 2.0 0.010 0.406 100%
42 González-Rivera, G. and Lee, T.-H. and Mishra, S. 2004 1 1 2.0 0.010 0.406 100%
43 Bassett, G. and Koenker, R. 1978 1 1 2.0 0.010 0.406 100%
44 Gil-Pelaez, J. 1951 1 1 2.0 0.010 0.406 100%
45 Ballestra, L.V. and D'Innocenzo, E. and Guizzardi,... (self) 2024 1 1 2.0 0.010 0.406 100%
46 Hubbard, J.H. and Hubbard, B. B. 2009 1 1 2.0 0.010 0.406 100%
47 Constantinou, N. and Hernández, A.D. 2019 1 1 2.0 0.010 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.