Citation Analysis – \textbfHolistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise

\textbfHolistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
Ziyang Xiong, Zhao Chen, Christina Dan Wang
https://arxiv.org/abs/2505.08654

Citation mentions

Cited references

Sections

16,625

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	Ai	2017	7	6	13.0	0.219	1.000	100%
2	Li, Z. Merrick and Linton, Oliver	2022	3	2	6.0	0.094	0.737	100%
3	Wang, Christina D. and Mykland, Per A. (self)	2014	1	1	1.0	0.031	0.406	100%
4	Yuan, Huiling and Mu, Yan and Zhou, Yong	2020	1	1	1.0	0.031	0.406	100%
5	Li, Yingying and Xie, Shangyu and Zheng, Xinghua	2016	1	1	1.0	0.031	0.406	100%
6	Chong, Carsten H. and Todorov, Viktor	2024	1	1	1.0	0.031	0.406	100%
7	Ai	2019	1	1	1.0	0.031	0.406	100%
8	Kalnina, Ilze and Linton, Oliver	2008	1	1	1.0	0.031	0.406	100%
9	Da, Rui and Xiu, Dacheng	2021	1	1	1.0	0.031	0.406	100%
10	Chong, Carsten H. and Delerue, Thomas and Li, Guoy...	2025	1	1	1.0	0.031	0.406	100%
11	Heston, Steven L.	1993	1	1	2.0	0.031	0.406	100%
12	Christensen, Kim and Oomen, Roel C.A. and Podolski...	2014	1	1	2.0	0.031	0.406	100%
13	Barndorff-Nielsen, O. E. and Hansen, P. Reinhard a...	2009	1	1	2.0	0.031	0.406	100%
14	Ai	2011	1	1	2.0	0.031	0.406	100%
15	Ai	2012	1	1	2.0	0.031	0.406	100%
16	Ai	2009	1	1	2.0	0.031	0.406	100%
17	Bajgrowicz, Pierre and Scaillet, Olivier and Trecc...	2016	1	1	2.0	0.031	0.406	100%
18	Mykland, Per and Zhang, Lan	2009	1	1	2.0	0.031	0.406	100%
19	Jacod, Jean	1997	1	1	2.0	0.031	0.406	100%
20	Jacod, Jean and Protter, Philip E.	2012	1	1	2.0	0.031	0.406	100%
21	Podolskij, Mark and Vetter, Mathias	2010	1	1	2.0	0.031	0.406	100%
22	Ai	2014	1	1	2.0	0.031	0.406	100%
23	Vetter, Mathias	2015	1	1	2.0	0.031	0.406	100%
24	Jacod, Jean and Li, Yingying and Zheng, Xinghua	2017	1	1	2.0	0.031	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

2017

13.0

0.219

1.000

100%

Li, Z. Merrick and Linton, Oliver

2022

6.0

0.094

0.737

100%

Wang, Christina D. and Mykland, Per A. (self)

2014

1.0

0.031

0.406

100%

Yuan, Huiling and Mu, Yan and Zhou, Yong

2020

1.0

0.031

0.406

100%

Li, Yingying and Xie, Shangyu and Zheng, Xinghua

2016

1.0

0.031

0.406

100%

Chong, Carsten H. and Todorov, Viktor

2024

1.0

0.031

0.406

100%

2019

1.0

0.031

0.406

100%

Kalnina, Ilze and Linton, Oliver

2008

1.0

0.031

0.406

100%

Da, Rui and Xiu, Dacheng

2021

1.0

0.031

0.406

100%

Chong, Carsten H. and Delerue, Thomas and Li, Guoy...

2025

1.0

0.031

0.406

100%

Heston, Steven L.

1993

2.0

0.031

0.406

100%

Christensen, Kim and Oomen, Roel C.A. and Podolski...

2014

2.0

0.031

0.406

100%

Barndorff-Nielsen, O. E. and Hansen, P. Reinhard a...

2009

2.0

0.031

0.406

100%

2011

2.0

0.031

0.406

100%

2012

2.0

0.031

0.406

100%

2009

2.0

0.031

0.406

100%

Bajgrowicz, Pierre and Scaillet, Olivier and Trecc...

2016

2.0

0.031

0.406

100%

Mykland, Per and Zhang, Lan

2009

2.0

0.031

0.406

100%

Jacod, Jean

1997

2.0

0.031

0.406

100%

Jacod, Jean and Protter, Philip E.

2012

2.0

0.031

0.406

100%

Podolskij, Mark and Vetter, Mathias

2010

2.0

0.031

0.406

100%

2014

2.0

0.031

0.406

100%

Vetter, Mathias

2015

2.0

0.031

0.406

100%

Jacod, Jean and Li, Yingying and Zheng, Xinghua

2017

2.0

0.031

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.