Citation Analysis – Testing parametric additive time-varying GARCH models

Testing parametric additive time-varying GARCH models
Niklas Ahlgren, Alexander Back, Timo Teräsvirta
https://arxiv.org/abs/2506.23821

Citation mentions

Cited references

Sections

7,086

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	Cristina Amado and Timo Teräsvirta (self)	2017	5	2	10.0	0.088	0.874	100%
2	Robert F. Engle	1982	3	3	5.0	0.053	0.843	100%
3	Cristina Amado and Timo Tera	2013	3	3	5.0	0.053	0.843	100%
4	Tim Bollerslev	1986	2	2	3.0	0.035	0.644	100%
5	Subba Rao, Suhasini	2006	2	2	3.0	0.035	0.644	100%
6	Lionel Truquet	2017	2	2	3.0	0.035	0.644	100%
7	Yanhua Feng	2004	2	2	3.0	0.035	0.644	100%
8	Robert F. Engle and Victor K. Ng	1993	2	2	4.0	0.035	0.644	100%
9	Yinyu Ye	1987	2	2	4.0	0.035	0.644	100%
10	Alexios Ghalanos and Stefan Theussl	2015	2	2	4.0	0.035	0.644	100%
11	Marcelo C. Medeiros and Alvaro Veiga	2009	2	1	4.0	0.035	0.511	100%
12	Stefan Lundbergh and Timo Tera	2002	2	1	4.0	0.035	0.511	100%
13	Stephen J. Taylor	1986	1	1	1.0	0.018	0.406	100%
14	Mikosch, Thomas and St\ua	2004	1	1	1.0	0.018	0.406	100%
15	St\ua	2005	1	1	1.0	0.018	0.406	100%
16	Härdle, Wolfgang and Herwartz, Helmut and Spokoiny...	2003	1	1	1.0	0.018	0.406	100%
17	Niklas Ahlgren and Alexander Back and Timo Teräsvi... (self)	2024	1	1	1.0	0.018	0.406	100%
18	Rainer Dahlhaus and Suhasini Subba Rao	2006	1	1	1.0	0.018	0.406	100%
19	Neelabh Rohan	2013	1	1	1.0	0.018	0.406	100%
20	Chen, Bin and Hong, Yongmiao	2016	1	1	1.0	0.018	0.406	100%
21	Kristensen, Dennis and Lee, Young Jun	2019	1	1	1.0	0.018	0.406	100%
22	Se	2004	1	1	1.0	0.018	0.406	100%
23			1	1	1.0	0.018	0.406	100%
24	Sebastien van Bellegem	2012	1	1	1.0	0.018	0.406	100%
25	Cristina Amado and Annastiina Silvennoinen and Tim...	2019	1	1	1.0	0.018	0.406	100%
26	Engle, Robert F and Siriwardane, Emil N	2018	1	1	1.0	0.018	0.406	100%
27	He, Changli and Tera	1999	1	1	2.0	0.018	0.406	100%
28	McAleer, Michael and Ling, Shiqing	2002	1	1	2.0	0.018	0.406	100%
29	Dahlhaus, Rainer and Richter, Stefan and Wu, Wei B...	2019	1	1	2.0	0.018	0.406	100%
30	Ritva Luukkonen and Pentti Saikkonen and Timo Tera	1988	1	1	2.0	0.018	0.406	100%
31	Halunga, Andreea G and Orme, Chris D	2009	1	1	2.0	0.018	0.406	100%
32	Peter X.- K. Song and Yanqin Fan and John D. Kalbf...	2005	1	1	2.0	0.018	0.406	100%
33	Davidson, Russell and MacKinnon, James G	1998	1	1	2.0	0.018	0.406	100%
34	Kim, Tae-Hwan and White, Halbert	2004	1	1	2.0	0.018	0.406	100%
35	Gabrielle Fiorentini and Giorgio Calzolari and Lor...	1996	1	1	2.0	0.018	0.406	100%
36	Wooldridge, Jeffrey M	1990	1	1	2.0	0.018	0.406	100%
37	Eitrheim, \O	1996	1	1	2.0	0.018	0.406	100%
38	Ekner, Line and Nejstgaard, Emil	2013	1	1	2.0	0.018	0.406	100%
39	Christian Francq and Jean-Michel Zakoïan	2004	1	1	2.0	0.018	0.406	100%
40	István Berkes and Lajos Horváth and Piotr Kokoszka	2003	1	1	2.0	0.018	0.406	100%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Cristina Amado and Timo Teräsvirta (self)

2017

10.0

0.088

0.874

100%

Robert F. Engle

1982

5.0

0.053

0.843

100%

Cristina Amado and Timo Tera

2013

5.0

0.053

0.843

100%

Tim Bollerslev

1986

3.0

0.035

0.644

100%

Subba Rao, Suhasini

2006

3.0

0.035

0.644

100%

Lionel Truquet

2017

3.0

0.035

0.644

100%

Yanhua Feng

2004

3.0

0.035

0.644

100%

Robert F. Engle and Victor K. Ng

1993

4.0

0.035

0.644

100%

Yinyu Ye

1987

4.0

0.035

0.644

100%

Alexios Ghalanos and Stefan Theussl

2015

4.0

0.035

0.644

100%

Marcelo C. Medeiros and Alvaro Veiga

2009

4.0

0.035

0.511

100%

Stefan Lundbergh and Timo Tera

2002

4.0

0.035

0.511

100%

Stephen J. Taylor

1986

1.0

0.018

0.406

100%

Mikosch, Thomas and St\ua

2004

1.0

0.018

0.406

100%

St\ua

2005

1.0

0.018

0.406

100%

Härdle, Wolfgang and Herwartz, Helmut and Spokoiny...

2003

1.0

0.018

0.406

100%

Niklas Ahlgren and Alexander Back and Timo Teräsvi... (self)

2024

1.0

0.018

0.406

100%

Rainer Dahlhaus and Suhasini Subba Rao

2006

1.0

0.018

0.406

100%

Neelabh Rohan

2013

1.0

0.018

0.406

100%

Chen, Bin and Hong, Yongmiao

2016

1.0

0.018

0.406

100%

Kristensen, Dennis and Lee, Young Jun

2019

1.0

0.018

0.406

100%

2004

1.0

0.018

0.406

100%

1.0

0.018

0.406

100%

Sebastien van Bellegem

2012

1.0

0.018

0.406

100%

Cristina Amado and Annastiina Silvennoinen and Tim...

2019

1.0

0.018

0.406

100%

Engle, Robert F and Siriwardane, Emil N

2018

1.0

0.018

0.406

100%

He, Changli and Tera

1999

2.0

0.018

0.406

100%

McAleer, Michael and Ling, Shiqing

2002

2.0

0.018

0.406

100%

Dahlhaus, Rainer and Richter, Stefan and Wu, Wei B...

2019

2.0

0.018

0.406

100%

Ritva Luukkonen and Pentti Saikkonen and Timo Tera

1988

2.0

0.018

0.406

100%

Halunga, Andreea G and Orme, Chris D

2009

2.0

0.018

0.406

100%

Peter X.- K. Song and Yanqin Fan and John D. Kalbf...

2005

2.0

0.018

0.406

100%

Davidson, Russell and MacKinnon, James G

1998

2.0

0.018

0.406

100%

Kim, Tae-Hwan and White, Halbert

2004

2.0

0.018

0.406

100%

Gabrielle Fiorentini and Giorgio Calzolari and Lor...

1996

2.0

0.018

0.406

100%

Wooldridge, Jeffrey M

1990

2.0

0.018

0.406

100%

Eitrheim, \O

1996

2.0

0.018

0.406

100%

Ekner, Line and Nejstgaard, Emil

2013

2.0

0.018

0.406

100%

Christian Francq and Jean-Michel Zakoïan

2004

2.0

0.018

0.406

100%

István Berkes and Lajos Horváth and Piotr Kokoszka

2003

2.0

0.018

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.