Citation Analysis – \Large Deep Learning Enhanced Multivariate GARCH

\Large Deep Learning Enhanced Multivariate GARCH
Haoyuan Wang, Chen Liu, Minh-Ngoc Tran, Chao Wang
https://arxiv.org/abs/2506.02796

Citation mentions

Cited references

Sections

13,187

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	Bauwens, L., Laurent, S., and Rombouts, J. V. K	2006	4	3	7.0	0.075	0.928	100%
2	Engle, R. F	2002	3	2	4.0	0.057	0.737	100%
3	Goodfellow, I., Bengio, Y., and Courville, A	2016	3	2	5.0	0.057	0.737	100%
4	Bollerslev, T., Engle, R. F., and Wooldridge, J. M	1988	2	2	3.0	0.038	0.644	100%
5	Engle, R. F. and Kelly, B	2012	2	2	3.0	0.038	0.644	100%
6	Aielli, G. P	2013	2	2	3.0	0.038	0.644	100%
7	Bauwens, L. and Otranto, E	2020	2	2	3.0	0.038	0.644	100%
8	Nguyen, T.-N., Tran, M.-N., and Kohn, R (self)	2022	2	2	3.0	0.038	0.644	100%
9	Francq, C. and Zakoïan, J.-M	2012	2	2	4.0	0.038	0.644	100%
10	Hansen, P. R., Lunde, A., and Nason, J. M	2011	2	2	4.0	0.038	0.644	100%
11	Fissler, T. and Ziegel, J. F	2016	2	2	4.0	0.038	0.644	100%
12	Scherrer, W. and Ribarits, E	2007	3	1	6.0	0.057	0.585	100%
13	Silvennoinen, A. and Teräsvirta, T	2009	2	1	2.0	0.038	0.511	100%
14	Ledoit, O. and Wolf, M	2012	2	1	2.0	0.038	0.511	100%
15	Engle, R. F	1982	1	1	1.0	0.019	0.406	100%
16	Bollerslev, T	1986	1	1	1.0	0.019	0.406	100%
17	Taylor, S. J	1994	1	1	1.0	0.019	0.406	100%
18	Asai, M., McAleer, M., and Yu, J	2006	1	1	1.0	0.019	0.406	100%
19	Engle, R. F. and Kroner, K. F	1995	1	1	1.0	0.019	0.406	100%
20	Fang, Y., Liu, L., and Liu, J (self)	2015	1	1	1.0	0.019	0.406	100%
21	Ledoit, O. and Wolf, M	2015	1	1	1.0	0.019	0.406	100%
22	Ku, Y.-H. H	2008	1	1	1.0	0.019	0.406	100%
23	Lai, Y.-S. and Sheu, H.-J	2011	1	1	1.0	0.019	0.406	100%
24	McAleer, M., Chan, F., Hoti, S., and Lieberman, O	2008	1	1	2.0	0.019	0.406	100%
25	Francq, C. and Zakoian, J.-M	2019	1	1	2.0	0.019	0.406	100%
26	Matsui, M. and Pedersen, R. S	2022	1	1	2.0	0.019	0.406	100%
27	Hafner, C. M. and Preminger, A	2009	1	1	2.0	0.019	0.406	100%
28	Hafner, C. M., Laurent, S., and Violante, F	2017	1	1	2.0	0.019	0.406	100%
29	Caporin, M. and McAleer, M	2008	1	1	2.0	0.019	0.406	100%
30	Hafner, C. M. and Rombouts, J. V	2007	1	1	2.0	0.019	0.406	100%
31	Liu, Y (self)	2019	1	1	2.0	0.019	0.406	100%
32	DeMiguel, V., Garlappi, L., and Uppal, R	2009	1	1	2.0	0.019	0.406	100%
33	Koenker, R. and Bassett, G	1978	1	1	2.0	0.019	0.406	100%
34	Taylor, J. W	2019	1	1	2.0	0.019	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Bauwens, L., Laurent, S., and Rombouts, J. V. K

2006

7.0

0.075

0.928

100%

Engle, R. F

2002

4.0

0.057

0.737

100%

Goodfellow, I., Bengio, Y., and Courville, A

2016

5.0

0.057

0.737

100%

Bollerslev, T., Engle, R. F., and Wooldridge, J. M

1988

3.0

0.038

0.644

100%

Engle, R. F. and Kelly, B

2012

3.0

0.038

0.644

100%

Aielli, G. P

2013

3.0

0.038

0.644

100%

Bauwens, L. and Otranto, E

2020

3.0

0.038

0.644

100%

Nguyen, T.-N., Tran, M.-N., and Kohn, R (self)

2022

3.0

0.038

0.644

100%

Francq, C. and Zakoïan, J.-M

2012

4.0

0.038

0.644

100%

Hansen, P. R., Lunde, A., and Nason, J. M

2011

4.0

0.038

0.644

100%

Fissler, T. and Ziegel, J. F

2016

4.0

0.038

0.644

100%

Scherrer, W. and Ribarits, E

2007

6.0

0.057

0.585

100%

Silvennoinen, A. and Teräsvirta, T

2009

2.0

0.038

0.511

100%

Ledoit, O. and Wolf, M

2012

2.0

0.038

0.511

100%

Engle, R. F

1982

1.0

0.019

0.406

100%

Bollerslev, T

1986

1.0

0.019

0.406

100%

Taylor, S. J

1994

1.0

0.019

0.406

100%

Asai, M., McAleer, M., and Yu, J

2006

1.0

0.019

0.406

100%

Engle, R. F. and Kroner, K. F

1995

1.0

0.019

0.406

100%

Fang, Y., Liu, L., and Liu, J (self)

2015

1.0

0.019

0.406

100%

Ledoit, O. and Wolf, M

2015

1.0

0.019

0.406

100%

Ku, Y.-H. H

2008

1.0

0.019

0.406

100%

Lai, Y.-S. and Sheu, H.-J

2011

1.0

0.019

0.406

100%

McAleer, M., Chan, F., Hoti, S., and Lieberman, O

2008

2.0

0.019

0.406

100%

Francq, C. and Zakoian, J.-M

2019

2.0

0.019

0.406

100%

Matsui, M. and Pedersen, R. S

2022

2.0

0.019

0.406

100%

Hafner, C. M. and Preminger, A

2009

2.0

0.019

0.406

100%

Hafner, C. M., Laurent, S., and Violante, F

2017

2.0

0.019

0.406

100%

Caporin, M. and McAleer, M

2008

2.0

0.019

0.406

100%

Hafner, C. M. and Rombouts, J. V

2007

2.0

0.019

0.406

100%

Liu, Y (self)

2019

2.0

0.019

0.406

100%

DeMiguel, V., Garlappi, L., and Uppal, R

2009

2.0

0.019

0.406

100%

Koenker, R. and Bassett, G

1978

2.0

0.019

0.406

100%

Taylor, J. W

2019

2.0

0.019

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.