Citation Analysis – Comparative e-backtests for general risk measures

Comparative e-backtests for general risk measures
Zhanyi Jiao, Qiuqi Wang, Yimiao Zhao
https://arxiv.org/abs/2511.05840

109

Citation mentions

Cited references

Sections

8,895

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	Nolde, N. and Ziegel, J. F	2017	13	5	22.5	0.119	1.000	100%
2	Arnold, S., Gavrilopoulos, G., Schulz, B. and Zieg...	2024	5	3	6.0	0.046	1.000	100%
3	Wang, Q., Wang, R. and Ziegel, J. F (self)	2025	14	7	22.5	0.128	0.976	93%
4	Fissler, T., Ziegel, J. F. and Gneiting, T	2016	4	3	4.5	0.037	0.928	100%
5	Vovk, V. and Wang, R (self)	2021	4	3	4.0	0.037	0.928	100%
6	Grunwald, P., de Heide, R. and Koolen, W	2024	4	4	5.5	0.037	0.928	100%
7	Diebold, F. X. and Mariano, R. S	2002	3	3	3.5	0.028	0.843	100%
8	Fan, Y., Jiao, Z. and Wang, R (self)	2025	4	4	6.5	0.037	0.843	75%
9	McNeil, A. J. and Frey, R	2000	3	2	4.5	0.028	0.737	100%
10	Kupiec, P. H	1995	2	2	1.5	0.018	0.644	100%
11	Christoffersen, P. F	1998	2	2	1.5	0.018	0.644	100%
12	Acerbi, C. and Szekely, B	2014	2	2	1.5	0.018	0.644	100%
13	Wang, R. and Ramdas, A (self)	2022	2	2	1.5	0.018	0.644	100%
14	Giacomini, R. and White, H	2006	2	2	2.5	0.018	0.644	100%
15	Casgrain, P., Larsson, M. and Ziegel, J. F	2022	2	2	2.5	0.018	0.644	100%
16	Gneiting, T	2011	2	2	1.5	0.018	0.511	50%
17	Waudby-Smith, I. and Ramdas, A	2024	2	1	4.0	0.018	0.511	100%
18			1	1	1.0	0.009	0.406	100%
19	Taylor, J. W	2008	1	1	1.0	0.009	0.406	100%
20	Shafer, G	2021	1	1	1.0	0.009	0.406	100%
21	Engle, R. F. and Manganelli, S	2004	1	1	0.5	0.009	0.406	100%
22	Escanciano, J. C. and Olmo, J	2010	1	1	0.5	0.009	0.406	100%
23	Ziggel, D., Berens, T., Wei\ss, G. N. F. and Wied,...	2014	1	1	0.5	0.009	0.406	100%
24	Berkowitz, J., Christoffersen, P. and Pelletier, D	2011	1	1	0.5	0.009	0.406	100%
25	Du, Z. and Escanciano, J. C	2017	1	1	0.5	0.009	0.406	100%
26	Su, Q., Qin, Z., Peng, L. and Qin, G	2021	1	1	0.5	0.009	0.406	100%
27	Bayer, S. and Dimitriadis, T	2022	1	1	0.5	0.009	0.406	100%
28	Hoga, Y. and Demetrescu, M	2023	1	1	0.5	0.009	0.406	100%
29	Bellini, F., Negri, I. and Pyatkova, M	2019	1	1	0.5	0.009	0.406	100%
30	Corbetta, J. and Peri, I	2017	1	1	0.5	0.009	0.406	100%
31	Clark, T. E. and McCracken, M. W	2001	1	1	0.5	0.009	0.406	100%
32	Hansen, P. R., Lunde, A. and Nason, J. M	2011	1	1	0.5	0.009	0.406	100%
33	Wald, A	1945	1	1	0.5	0.009	0.406	100%
34	Darling, D. A. and Robbins, H	1967	1	1	0.5	0.009	0.406	100%
35	Shafer, G. and Vovk, V	2019	1	1	0.5	0.009	0.406	100%
36	Shafer, G., Shen, A., Vereshchagin, N. and Vovk, V	2011	1	1	0.5	0.009	0.406	100%
37	Ren, Z. and Barber, R. F	2024	1	1	0.5	0.009	0.406	100%
38	Agrawal, S., Koolen, W. and Juneja, S	2021	1	1	0.5	0.009	0.406	100%
39	Ramdas, A., Grunwald, P., Vovk, V. and Shafer, G	2023	1	1	0.5	0.009	0.406	100%
40	Ramdas, A. and Wang, R (self)	2025	1	1	0.5	0.009	0.406	100%
41	Fissler, T. and Ziegel, J. F	2016	1	1	2.0	0.009	0.406	100%
42	Gneiting, T. and Raftery, A. E	2007	1	1	2.0	0.009	0.406	100%
43	Embrechts, P., Mao, T., Wang, Q. and Wang, R (self)	2021	1	1	2.0	0.009	0.406	100%
44	Henzi, A. and Ziegel, J	2022	1	1	2.0	0.009	0.406	100%
45	Choe, Y. J. and Ramdas, A	2024	1	1	2.0	0.009	0.406	100%
46	Vovk, V. and Wang, R (self)	2024	1	1	2.0	0.009	0.406	100%
47	Benjamini, Y. and Hochberg, Y	1995	1	1	2.0	0.009	0.406	100%
48	Jeffreys, H	1961	1	1	2.0	0.009	0.406	100%
49	Artzner, P., Delbaen, F., Eber, J. M. and Heath, D	1999	1	1	2.0	0.009	0.406	100%
50	McNeil, A. J., Frey, R. and Embrechts, P	2015	1	1	2.0	0.009	0.406	100%
51	Christoffersen, P	2003	1	1	2.0	0.009	0.406	100%
52	Newey, W. and Powell, J	1987	1	1	0.5	0.009	0.087	0%
53	Weber, S.	2006	1	1	0.5	0.009	0.087	0%
54	Bellini, F. and Bignozzi, V	2015	1	1	0.5	0.009	0.087	0%
55	Frongillo, R. and Kash, I. A	2020	1	1	0.5	0.009	0.087	0%
56	Dimitriadis, T., Fissler, T. and Ziegel, J	2023	1	1	0.5	0.009	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

Nolde, N. and Ziegel, J. F

2017

22.5

0.119

1.000

100%

Arnold, S., Gavrilopoulos, G., Schulz, B. and Zieg...

2024

6.0

0.046

1.000

100%

Wang, Q., Wang, R. and Ziegel, J. F (self)

2025

22.5

0.128

0.976

93%

Fissler, T., Ziegel, J. F. and Gneiting, T

2016

4.5

0.037

0.928

100%

Vovk, V. and Wang, R (self)

2021

4.0

0.037

0.928

100%

Grunwald, P., de Heide, R. and Koolen, W

2024

5.5

0.037

0.928

100%

Diebold, F. X. and Mariano, R. S

2002

3.5

0.028

0.843

100%

Fan, Y., Jiao, Z. and Wang, R (self)

2025

6.5

0.037

0.843

75%

McNeil, A. J. and Frey, R

2000

4.5

0.028

0.737

100%

Kupiec, P. H

1995

1.5

0.018

0.644

100%

Christoffersen, P. F

1998

1.5

0.018

0.644

100%

Acerbi, C. and Szekely, B

2014

1.5

0.018

0.644

100%

Wang, R. and Ramdas, A (self)

2022

1.5

0.018

0.644

100%

Giacomini, R. and White, H

2006

2.5

0.018

0.644

100%

Casgrain, P., Larsson, M. and Ziegel, J. F

2022

2.5

0.018

0.644

100%

Gneiting, T

2011

1.5

0.018

0.511

50%

Waudby-Smith, I. and Ramdas, A

2024

4.0

0.018

0.511

100%

1.0

0.009

0.406

100%

Taylor, J. W

2008

1.0

0.009

0.406

100%

Shafer, G

2021

1.0

0.009

0.406

100%

Engle, R. F. and Manganelli, S

2004

0.5

0.009

0.406

100%

Escanciano, J. C. and Olmo, J

2010

0.5

0.009

0.406

100%

Ziggel, D., Berens, T., Wei\ss, G. N. F. and Wied,...

2014

0.5

0.009

0.406

100%

Berkowitz, J., Christoffersen, P. and Pelletier, D

2011

0.5

0.009

0.406

100%

Du, Z. and Escanciano, J. C

2017

0.5

0.009

0.406

100%

Su, Q., Qin, Z., Peng, L. and Qin, G

2021

0.5

0.009

0.406

100%

Bayer, S. and Dimitriadis, T

2022

0.5

0.009

0.406

100%

Hoga, Y. and Demetrescu, M

2023

0.5

0.009

0.406

100%

Bellini, F., Negri, I. and Pyatkova, M

2019

0.5

0.009

0.406

100%

Corbetta, J. and Peri, I

2017

0.5

0.009

0.406

100%

Clark, T. E. and McCracken, M. W

2001

0.5

0.009

0.406

100%

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

2011

0.5

0.009

0.406

100%

Wald, A

1945

0.5

0.009

0.406

100%

Darling, D. A. and Robbins, H

1967

0.5

0.009

0.406

100%

Shafer, G. and Vovk, V

2019

0.5

0.009

0.406

100%

Shafer, G., Shen, A., Vereshchagin, N. and Vovk, V

2011

0.5

0.009

0.406

100%

Ren, Z. and Barber, R. F

2024

0.5

0.009

0.406

100%

Agrawal, S., Koolen, W. and Juneja, S

2021

0.5

0.009

0.406

100%

Ramdas, A., Grunwald, P., Vovk, V. and Shafer, G

2023

0.5

0.009

0.406

100%

Ramdas, A. and Wang, R (self)

2025

0.5

0.009

0.406

100%

Fissler, T. and Ziegel, J. F

2016

2.0

0.009

0.406

100%

Gneiting, T. and Raftery, A. E

2007

2.0

0.009

0.406

100%

Embrechts, P., Mao, T., Wang, Q. and Wang, R (self)

2021

2.0

0.009

0.406

100%

Henzi, A. and Ziegel, J

2022

2.0

0.009

0.406

100%

Choe, Y. J. and Ramdas, A

2024

2.0

0.009

0.406

100%

Vovk, V. and Wang, R (self)

2024

2.0

0.009

0.406

100%

Benjamini, Y. and Hochberg, Y

1995

2.0

0.009

0.406

100%

Jeffreys, H

1961

2.0

0.009

0.406

100%

Artzner, P., Delbaen, F., Eber, J. M. and Heath, D

1999

2.0

0.009

0.406

100%

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

2015

2.0

0.009

0.406

100%

Christoffersen, P

2003

2.0

0.009

0.406

100%

Newey, W. and Powell, J

1987

0.5

0.009

0.087

Weber, S.

2006

0.5

0.009

0.087

Bellini, F. and Bignozzi, V

2015

0.5

0.009

0.087

Frongillo, R. and Kash, I. A

2020

0.5

0.009

0.087

Dimitriadis, T., Fissler, T. and Ziegel, J

2023

0.5

0.009

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.