Citation Analysis – Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets

Citation Analysis

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
Ayush Jha, Abootaleb Shirvani, Svetlozar T. Rachev, Frank J. Fabozzi
https://arxiv.org/abs/2411.02804

Citation mentions

Cited references

Sections

3,205

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	Abootaleb Shirvani and Stefan Mittnik and William ... (self)	2024	6	4	12.0	0.122	1.000	100%
2	A. Shirvani and S.T. Rachev and F.J. Fabozzi (self)	2021	3	2	6.0	0.061	0.737	100%
3	N. Kozeniauskas and A. Orlik and Laura Veldkamp	2018	2	2	3.0	0.041	0.644	100%
4	Nicholas Bloom	2014	2	2	3.0	0.041	0.644	100%
5	Bryan Kelly and Hao Jiang	2014	2	2	3.0	0.041	0.644	100%
6	Anna Orlik and Laura Veldkamp	2014	2	2	3.0	0.041	0.644	100%
7	Rama Cont	2000	2	1	2.0	0.041	0.511	100%
8	Peter Paul Carr and Dilip Madan	2001	2	1	4.0	0.041	0.511	100%
9	Abootaleb Shirvani and Stoyan V. Stoyanov and Svet... (self)	2020	2	1	4.0	0.041	0.511	100%
10	Patrick Cheridito and Eduard Kromer	2013	2	1	4.0	0.041	0.511	100%
11	Nicholas Bloom	2009	1	1	1.0	0.020	0.406	100%
12	Thomas A. Rietz	1988	1	1	1.0	0.020	0.406	100%
13	Ravi Bansal and Amir Yaron	2004	1	1	1.0	0.020	0.406	100%
14	Darrell Duffie and J. Pan and K. Singleton	2000	1	1	1.0	0.020	0.406	100%
15	A. Shirvani and S.V. Stoyanov and F.J. Fabozzi and... (self)	2021	1	1	1.0	0.020	0.406	100%
16	Rajnish Mehra and Edward C. Prescott	2003	1	1	1.0	0.020	0.406	100%
17	Julian Kozlowski and Laura Veldkamp and Venky Venk...	2020	1	1	1.0	0.020	0.406	100%
18	Peter Carr and Helyette Geman and Dilip B. Madan a...	2003	1	1	2.0	0.020	0.406	100%
19	B.B. Mandelbolt and H.M. Taylor	1967	1	1	2.0	0.020	0.406	100%
20	P. Clark	1973	1	1	2.0	0.020	0.406	100%
21	J. Yu	2003	1	1	2.0	0.020	0.406	100%
22	P.A. Meyer and C. Dellacherie	1978	1	1	2.0	0.020	0.406	100%
23	Freddy Delbaen and Walter Schachermayer	1999	1	1	2.0	0.020	0.406	100%
24	Freddy Delbaen and Walter Schachermayer	1994	1	1	2.0	0.020	0.406	100%
25	O.E. Barndorff-Nielsen and N. Shephard	2001	1	1	2.0	0.020	0.406	100%
26	F. Esscher	1932	1	1	2.0	0.020	0.406	100%
27	Darrell Duffie	2001	1	1	2.0	0.020	0.406	100%
28	Phillipe Artzner and Freddy Delbaen and Jean-Marc ...	1999	1	1	2.0	0.020	0.406	100%
29	R.T. Baillie and T. Bollerslev and H.O. Mikkelsen	1996	1	1	2.0	0.020	0.406	100%
30	N. Hyung and P.H. Franses	2002	1	1	2.0	0.020	0.406	100%
31	Kyle Jurado and Sydney C. Ludvigson and Serena Ng	2015	1	1	2.0	0.020	0.406	100%
32	Robert J. Barro	2006	1	1	2.0	0.020	0.406	100%
33	Bryan R. Routledge and Stanley E. Zin	2010	1	1	2.0	0.020	0.406	100%
34	Nicholas Bloom and Stephen Bond and John Van Reene...	2007	1	1	2.0	0.020	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Abootaleb Shirvani and Stefan Mittnik and William ... (self)

2024

12.0

0.122

1.000

100%

A. Shirvani and S.T. Rachev and F.J. Fabozzi (self)

2021

6.0

0.061

0.737

100%

N. Kozeniauskas and A. Orlik and Laura Veldkamp

2018

3.0

0.041

0.644

100%

Nicholas Bloom

2014

3.0

0.041

0.644

100%

Bryan Kelly and Hao Jiang

2014

3.0

0.041

0.644

100%

Anna Orlik and Laura Veldkamp

2014

3.0

0.041

0.644

100%

Rama Cont

2000

2.0

0.041

0.511

100%

Peter Paul Carr and Dilip Madan

2001

4.0

0.041

0.511

100%

Abootaleb Shirvani and Stoyan V. Stoyanov and Svet... (self)

2020

4.0

0.041

0.511

100%

Patrick Cheridito and Eduard Kromer

2013

4.0

0.041

0.511

100%

Nicholas Bloom

2009

1.0

0.020

0.406

100%

Thomas A. Rietz

1988

1.0

0.020

0.406

100%

Ravi Bansal and Amir Yaron

2004

1.0

0.020

0.406

100%

Darrell Duffie and J. Pan and K. Singleton

2000

1.0

0.020

0.406

100%

A. Shirvani and S.V. Stoyanov and F.J. Fabozzi and... (self)

2021

1.0

0.020

0.406

100%

Rajnish Mehra and Edward C. Prescott

2003

1.0

0.020

0.406

100%

Julian Kozlowski and Laura Veldkamp and Venky Venk...

2020

1.0

0.020

0.406

100%

Peter Carr and Helyette Geman and Dilip B. Madan a...

2003

2.0

0.020

0.406

100%

B.B. Mandelbolt and H.M. Taylor

1967

2.0

0.020

0.406

100%

P. Clark

1973

2.0

0.020

0.406

100%

J. Yu

2003

2.0

0.020

0.406

100%

P.A. Meyer and C. Dellacherie

1978

2.0

0.020

0.406

100%

Freddy Delbaen and Walter Schachermayer

1999

2.0

0.020

0.406

100%

Freddy Delbaen and Walter Schachermayer

1994

2.0

0.020

0.406

100%

O.E. Barndorff-Nielsen and N. Shephard

2001

2.0

0.020

0.406

100%

F. Esscher

1932

2.0

0.020

0.406

100%

Darrell Duffie

2001

2.0

0.020

0.406

100%

Phillipe Artzner and Freddy Delbaen and Jean-Marc ...

1999

2.0

0.020

0.406

100%

R.T. Baillie and T. Bollerslev and H.O. Mikkelsen

1996

2.0

0.020

0.406

100%

N. Hyung and P.H. Franses

2002

2.0

0.020

0.406

100%

Kyle Jurado and Sydney C. Ludvigson and Serena Ng

2015

2.0

0.020

0.406

100%

Robert J. Barro

2006

2.0

0.020

0.406

100%

Bryan R. Routledge and Stanley E. Zin

2010

2.0

0.020

0.406

100%

Nicholas Bloom and Stephen Bond and John Van Reene...

2007

2.0

0.020

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.