Citation Analysis – Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation

Citation Analysis

Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
Ayush Jha, Abootaleb Shirvani, Ali Jaffri, Svetlozar T. Rachev, Frank J. Fabozzi
https://arxiv.org/abs/2505.12198

Citation mentions

Cited references

Sections

9,298

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	Heston, S. L., & Nandi, S	2000	8	6	12.0	0.211	0.957	88%
2	Escobar-Anel, M., Yang, Y.-J., & Zagst, R	2025	3	3	3.0	0.079	0.737	67%
3	Andersen, T. G., Bollerslev, T., Diebold, F. X., &...	2007	2	1	4.0	0.053	0.511	100%
4	Christoffersen, P., Heston, S. L., & Jacobs, K	2013	2	1	4.0	0.053	0.511	100%
5	Barone-Adesi, G., Engle, R. F., & Mancini, L	2008	1	1	0.5	0.026	0.406	100%
6	Stentoft, L	2008	1	1	0.5	0.026	0.406	100%
7	Lehar, A., Scheicher, M., & Schittenkopf, C	2002	1	1	0.5	0.026	0.406	100%
8	Chen, A.-S., & Leung, M. T	2005	1	1	0.5	0.026	0.406	100%
9	Menn, C., & Rachev, S. T (self)	2005	1	1	0.5	0.026	0.406	100%
10	Chorro, C., Guégan, D., & Ielpo, F	2012	1	1	0.5	0.026	0.406	100%
11	Chorro, C., & Zazaravaka, R. H. F	2022	1	1	0.5	0.026	0.406	100%
12	Kanniainen, J., Lin, B., & Yang, H	2014	1	1	0.5	0.026	0.406	100%
13	Bergen, V., Escobar-Anel, M., Rubtsov, A., & Zagst...	2018	1	1	0.5	0.026	0.406	100%
14	Merton, R.\ C.\	1969	1	1	0.5	0.026	0.406	100%
15	Merton, R.\ C.\	1971	1	1	0.5	0.026	0.406	100%
16	Brennan, M.\ J., Schwartz, E.\ S., & Lagnado, R.\	1997	1	1	0.5	0.026	0.406	100%
17	Campbell, J. Y., & Viceira, L. M	1999	1	1	0.5	0.026	0.406	100%
18	Barberis, N.\	2000	1	1	0.5	0.026	0.406	100%
19	Viceira, L.\ M.\	2001	1	1	0.5	0.026	0.406	100%
20	Wachter, J.\ A.\	2002	1	1	0.5	0.026	0.406	100%
21	Brennan, M.\ J., & Xia, Y.\	2002	1	1	0.5	0.026	0.406	100%
22	Campbell, J.\ Y., Chacko, G., Rodriguez, J., & Vic...	2002	1	1	0.5	0.026	0.406	100%
23	Ang, A., & Bekaert, G.\	2002	1	1	0.5	0.026	0.406	100%
24	Markowitz, H	1952	1	1	2.0	0.026	0.406	100%
25	Markowitz, H	1959	1	1	2.0	0.026	0.406	100%
26	Rockafellar, R. T. and Uryasev, S	2000	1	1	0.5	0.026	0.087	0%
27	McNeil, A. J., Frey, R., and Embrechts, P	2015	1	1	0.5	0.026	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Heston, S. L., & Nandi, S

2000

12.0

0.211

0.957

88%

Escobar-Anel, M., Yang, Y.-J., & Zagst, R

2025

3.0

0.079

0.737

67%

Andersen, T. G., Bollerslev, T., Diebold, F. X., &...

2007

4.0

0.053

0.511

100%

Christoffersen, P., Heston, S. L., & Jacobs, K

2013

4.0

0.053

0.511

100%

Barone-Adesi, G., Engle, R. F., & Mancini, L

2008

0.5

0.026

0.406

100%

Stentoft, L

2008

0.5

0.026

0.406

100%

Lehar, A., Scheicher, M., & Schittenkopf, C

2002

0.5

0.026

0.406

100%

Chen, A.-S., & Leung, M. T

2005

0.5

0.026

0.406

100%

Menn, C., & Rachev, S. T (self)

2005

0.5

0.026

0.406

100%

Chorro, C., Guégan, D., & Ielpo, F

2012

0.5

0.026

0.406

100%

Chorro, C., & Zazaravaka, R. H. F

2022

0.5

0.026

0.406

100%

Kanniainen, J., Lin, B., & Yang, H

2014

0.5

0.026

0.406

100%

Bergen, V., Escobar-Anel, M., Rubtsov, A., & Zagst...

2018

0.5

0.026

0.406

100%

Merton, R.\ C.\

1969

0.5

0.026

0.406

100%

Merton, R.\ C.\

1971

0.5

0.026

0.406

100%

Brennan, M.\ J., Schwartz, E.\ S., & Lagnado, R.\

1997

0.5

0.026

0.406

100%

Campbell, J. Y., & Viceira, L. M

1999

0.5

0.026

0.406

100%

Barberis, N.\

2000

0.5

0.026

0.406

100%

Viceira, L.\ M.\

2001

0.5

0.026

0.406

100%

Wachter, J.\ A.\

2002

0.5

0.026

0.406

100%

Brennan, M.\ J., & Xia, Y.\

2002

0.5

0.026

0.406

100%

Campbell, J.\ Y., Chacko, G., Rodriguez, J., & Vic...

2002

0.5

0.026

0.406

100%

Ang, A., & Bekaert, G.\

2002

0.5

0.026

0.406

100%

Markowitz, H

1952

2.0

0.026

0.406

100%

Markowitz, H

1959

2.0

0.026

0.406

100%

Rockafellar, R. T. and Uryasev, S

2000

0.5

0.026

0.087

McNeil, A. J., Frey, R., and Embrechts, P

2015

0.5

0.026

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.