← Back to paper list

Citation Analysis

Stock Market Comovements: A Data-Driven Approach to Identifying Sparse Common Risk Factors
Zhaoxing Gao, Sihan Tu, Ruey S. Tsay
https://arxiv.org/abs/2511.01271
110
Citation mentions
48
Cited references
8
Sections
16,337
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 Bai, Jushan and Ng, Serena 2002 7 5 13.0 0.064 1.000 100%
2 Lam, Clifford and Yao, Qiwei 2012 9 4 15.0 0.082 1.000 100%
3 Gao, Zhaoxing and Tsay, Ruey S (self) 2022 6 4 10.0 0.055 1.000 100%
4 Aquaro, Michele and Bailey, Natalia and Pesaran, M... 2021 9 3 14.0 0.082 1.000 100%
5 Hu, Jianhua and Ding, Hao and Liu, Xiaoqian 2023 7 2 8.0 0.064 0.874 100%
6 Lam, Clifford and Yao, Qiwei and Bathia, Neil 2011 6 2 12.0 0.055 0.874 100%
7 Ross, Stephen A 1976 3 2 5.0 0.027 0.737 100%
8 Ahn, Seung C and Horenstein, Alex R 2013 3 2 6.0 0.027 0.737 100%
9 Kou, Steven and Peng, Xianhua and Zhong, Haowen 2018 5 1 5.0 0.045 0.693 100%
10 Markowitz, Harry M 1952 2 2 3.0 0.018 0.644 100%
11 Bai, Jushan 2003 2 2 3.0 0.018 0.644 100%
12 Lee, Lung-fei and Yu, Jihai 2010 2 2 3.0 0.018 0.644 100%
13 Bai, Jushan and Li, Kunpeng 2021 4 1 4.0 0.036 0.644 100%
14 Lee, Lung-Fei 2004 2 2 3.0 0.018 0.644 100%
15 Yu, Jihai and De Jong, Robert and Lee, Lung-fei 2008 2 2 3.0 0.018 0.644 100%
16 Sharpe, William F 1964 2 2 4.0 0.018 0.644 100%
17 Gao, Zhaoxing and Ma, Yingying and Wang, Hansheng ... (self) 2019 3 1 6.0 0.027 0.585 100%
18 Fan, Jianqing and Yao, Qiwei 2003 3 1 6.0 0.027 0.585 100%
19 Pesaran, M Hashem and Tosetti, Elisa 2011 2 1 2.0 0.018 0.511 100%
20 Yang, Cynthia Fan 2021 2 1 2.0 0.018 0.511 100%
21 Cochrane, John 2009 2 1 4.0 0.018 0.511 100%
22 Fama, Eugene F and French, Kenneth R 1993 1 1 1.0 0.009 0.406 100%
23 Fama, Eugene F and French, Kenneth R 2015 1 1 1.0 0.009 0.406 100%
24 Feng, Guanhao and Giglio, Stefano and Xiu, Dacheng 2020 1 1 1.0 0.009 0.406 100%
25 Forni, Mario and Hallin, Marc and Lippi, Marco and... 2000 1 1 1.0 0.009 0.406 100%
26 Forni, Mario and Hallin, Marc and Lippi, Marco and... 2005 1 1 1.0 0.009 0.406 100%
27 Fan, Jianqing and Liao, Yuan and Mincheva, Martina 2013 1 1 1.0 0.009 0.406 100%
28 Gao, Zhaoxing and Tsay, Ruey S (self) 2023 1 1 1.0 0.009 0.406 100%
29 Lettau, M. and Pelger, M. 2020 1 1 1.0 0.009 0.406 100%
30 Giglio, Stefano and Xiu, Dacheng and Zhang, Dake 2025 1 1 1.0 0.009 0.406 100%
31 Liu, Xialu and Guerard, John and Chen, Rong and Ts... (self) 2025 1 1 1.0 0.009 0.406 100%
32 Anselin, Luc 1988 1 1 1.0 0.009 0.406 100%
33 Cressie, Noel 2015 1 1 1.0 0.009 0.406 100%
34 Cliff, A.D. and Ord, J.K. 1973 1 1 1.0 0.009 0.406 100%
35 Pirinsky, Christo and Wang, Qinghai 2006 1 1 1.0 0.009 0.406 100%
36 Lin, Xu and Lee, Lung-fei 2010 1 1 1.0 0.009 0.406 100%
37 Liao, Zhipeng 2013 1 1 1.0 0.009 0.406 100%
38 Carrasco, Marine and Tchuente, Guy 2015 1 1 1.0 0.009 0.406 100%
39 Case, Anne C and Rosen, Harvey S and Hines, James ... 1993 1 1 2.0 0.009 0.406 100%
40 Hansen, Lars Peter 1982 1 1 2.0 0.009 0.406 100%
41 Stock, James H and Watson, Mark 2002 1 1 2.0 0.009 0.406 100%
42 Gao, Zhaoxing and Tsay, Ruey S (self) 2024 1 1 2.0 0.009 0.406 100%
43 Gao, Zhaoxing and Tsay, Ruey S (self) 2021 1 1 2.0 0.009 0.406 100%
44 Onatski, Alexei 2010 1 1 2.0 0.009 0.406 100%
45 Gao, Zhaoxing and Tsay, Ruey S (self) 2019 1 1 2.0 0.009 0.406 100%
46 Wang, Xu and Shojaie, Ali 2021 1 1 2.0 0.009 0.406 100%
47 Vershynin, Roman 2018 1 1 2.0 0.009 0.406 100%
48 Pelger, Markus 2020 1 1 2.0 0.009 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.

Citation intensity data generated from LaTeX source analysis.