Citation Analysis – The drift burst hypothesis\vspace*-0.50cm

The drift burst hypothesis\vspace*-0.50cm
Kim Christensen, Roel C. A. Oomen, Roberto Renò
https://arxiv.org/abs/2601.08974

109

Citation mentions

Cited references

Sections

12,210

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	W. K. Newey and K. D. West	1987	4	3	7.0	0.037	0.928	100%
2	J. Huang and J. Wang	2009	10	2	18.0	0.092	0.874	100%
3	D. W. K. Andrews	1991	3	3	5.0	0.028	0.843	100%
4	S. J. Grossman and M. H. Miller	1988	4	2	7.0	0.037	0.811	100%
5	J. Y. Campbell and S. J. Grossman and J. Wang	1993	3	2	5.0	0.028	0.737	100%
6	D. Kristensen	2010	3	2	5.0	0.028	0.737	100%
7	J. Jacod and Y. Li and P. A. Mykland and M. Podols...	2009	4	3	4.0	0.037	0.737	50%
8	S. S. Lee and P. A. Mykland	2008	3	3	3.5	0.028	0.737	67%
9	O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu...	2009	3	2	5.0	0.028	0.737	100%
10	F. M. Bandi	2002	2	2	3.0	0.018	0.644	100%
11	T. G. Andersen and O. Bondarenko and A. S. Kyle an...	2015	2	2	3.0	0.018	0.644	100%
12	A. Kirilenko and A. S. Kyle and M. Samadi and T. T...	2017	2	2	3.0	0.018	0.644	100%
13	K. Christensen and R. C. A. Oomen and M. Podolskij (self)	2014	2	2	3.0	0.018	0.644	100%
14	P. Bajgrowicz and O. Scaillet and A. Treccani	2016	2	2	3.0	0.018	0.644	100%
15	Z. M. Li and O. B. Linton	2020	2	2	4.0	0.018	0.644	100%
16	S. L. Heston	1993	4	1	8.0	0.037	0.644	100%
17	J. Jacod and P. E. Protter	2012	12	3	9.0	0.110	0.550	17%
18	CFTC and SEC	2010	2	1	2.0	0.018	0.511	100%
19	R. C. Merton	1980	2	1	2.0	0.018	0.511	100%
20	V. Todorov and G. Tauchen	2014	2	1	4.0	0.018	0.511	100%
21	CFTC and SEC	2011	1	1	1.0	0.009	0.406	100%
22	U.S. Treasury, FRB, NY FED, SEC, and CFTC	2015	1	1	1.0	0.009	0.406	100%
23	A. Golub and J. Keane and S.-H. Poon	2012	1	1	1.0	0.009	0.406	100%
24	M. K. Brunnermeier and L. H. Pedersen	2005	1	1	1.0	0.009	0.406	100%
25	M. K. Brunnermeier and L. H. Pedersen	2009	1	1	1.0	0.009	0.406	100%
26			1	1	1.0	0.009	0.406	100%
27	P. C. B. Phillips and J. Yu	2011	1	1	1.0	0.009	0.406	100%
28	O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu...	2008	1	1	1.0	0.009	0.406	100%
29	D. Easley and M. M. L. de Prado and M. O'Hara	2011	1	1	1.0	0.009	0.406	100%
30	A. N. Madhavan	2012	1	1	1.0	0.009	0.406	100%
31	A. J. Menkveld and B. Z. Yueshen	2018	1	1	1.0	0.009	0.406	100%
32	F. Delbaen and W. Schachermayer	1994	1	1	2.0	0.009	0.406	100%
33	J. Li and V. Todorov and G. Tauchen	2015	1	1	2.0	0.009	0.406	100%
34	I. Karatzas and S. E. Shreve	1998	1	1	2.0	0.009	0.406	100%
35	T. Bj\"o	2003	1	1	2.0	0.009	0.406	100%
36	D. S. Bates	2018	1	1	2.0	0.009	0.406	100%
37	N. W. Hengartner and O. B. Linton	1996	1	1	2.0	0.009	0.406	100%
38	T. G. Andersen and T. Bollerslev and D. Dobrev	2007	1	1	2.0	0.009	0.406	100%
39	J. Jacod and Y. Li and X. Zheng	2017	1	1	2.0	0.009	0.406	100%
40	A. Dubinsky and M. Johannes and A. Kaeck and N. J....	2018	1	1	2.0	0.009	0.406	100%
41	F. Black	1986	1	1	2.0	0.009	0.406	100%
42	H. R. Stoll	2000	1	1	2.0	0.009	0.406	100%
43	Y. A\"i	2007	1	1	2.0	0.009	0.406	100%
44	Y. A\"i	2012	1	1	2.0	0.009	0.406	100%
45	Y. A\"i	2016	1	1	2.0	0.009	0.406	100%
46	V. Todorov and G. Tauchen and I. Grynkiv	2014	1	1	2.0	0.009	0.406	100%
47	B. Baeumer and M. M. Meerschaert	2010	1	1	2.0	0.009	0.406	100%
48	F. M. Bandi and J. R. Russell	2006	1	1	2.0	0.009	0.406	100%
49	R. C. A. Oomen (self)	2006	1	1	2.0	0.009	0.406	100%
50	I. Kalnina and O. Linton	2008	1	1	2.0	0.009	0.406	100%
51	W. K. Newey and K. D. West	1994	1	1	2.0	0.009	0.406	100%
52	S. Nagel	2012	1	1	2.0	0.009	0.406	100%
53	C. Mancini and V. Mattiussi and R. Reno	2015	3	1	1.5	0.028	0.126	0%
54	K. Dzhaparidze and J. H. van Zanten	2001	1	1	0.5	0.009	0.087	0%
55	U. Hassler	2016	1	1	0.5	0.009	0.087	0%
56	P. Hall	1979	1	1	0.5	0.009	0.087	0%

Reference

Year

Mentions

Breadth

Sec. Wtd

Composite

Main %

W. K. Newey and K. D. West

1987

7.0

0.037

0.928

100%

J. Huang and J. Wang

2009

18.0

0.092

0.874

100%

D. W. K. Andrews

1991

5.0

0.028

0.843

100%

S. J. Grossman and M. H. Miller

1988

7.0

0.037

0.811

100%

J. Y. Campbell and S. J. Grossman and J. Wang

1993

5.0

0.028

0.737

100%

D. Kristensen

2010

5.0

0.028

0.737

100%

J. Jacod and Y. Li and P. A. Mykland and M. Podols...

2009

4.0

0.037

0.737

50%

S. S. Lee and P. A. Mykland

2008

3.5

0.028

0.737

67%

O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu...

2009

5.0

0.028

0.737

100%

F. M. Bandi

2002

3.0

0.018

0.644

100%

T. G. Andersen and O. Bondarenko and A. S. Kyle an...

2015

3.0

0.018

0.644

100%

A. Kirilenko and A. S. Kyle and M. Samadi and T. T...

2017

3.0

0.018

0.644

100%

K. Christensen and R. C. A. Oomen and M. Podolskij (self)

2014

3.0

0.018

0.644

100%

P. Bajgrowicz and O. Scaillet and A. Treccani

2016

3.0

0.018

0.644

100%

Z. M. Li and O. B. Linton

2020

4.0

0.018

0.644

100%

S. L. Heston

1993

8.0

0.037

0.644

100%

J. Jacod and P. E. Protter

2012

9.0

0.110

0.550

17%

CFTC and SEC

2010

2.0

0.018

0.511

100%

R. C. Merton

1980

2.0

0.018

0.511

100%

V. Todorov and G. Tauchen

2014

4.0

0.018

0.511

100%

CFTC and SEC

2011

1.0

0.009

0.406

100%

U.S. Treasury, FRB, NY FED, SEC, and CFTC

2015

1.0

0.009

0.406

100%

A. Golub and J. Keane and S.-H. Poon

2012

1.0

0.009

0.406

100%

M. K. Brunnermeier and L. H. Pedersen

2005

1.0

0.009

0.406

100%

M. K. Brunnermeier and L. H. Pedersen

2009

1.0

0.009

0.406

100%

1.0

0.009

0.406

100%

P. C. B. Phillips and J. Yu

2011

1.0

0.009

0.406

100%

O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu...

2008

1.0

0.009

0.406

100%

D. Easley and M. M. L. de Prado and M. O'Hara

2011

1.0

0.009

0.406

100%

A. N. Madhavan

2012

1.0

0.009

0.406

100%

A. J. Menkveld and B. Z. Yueshen

2018

1.0

0.009

0.406

100%

F. Delbaen and W. Schachermayer

1994

2.0

0.009

0.406

100%

J. Li and V. Todorov and G. Tauchen

2015

2.0

0.009

0.406

100%

I. Karatzas and S. E. Shreve

1998

2.0

0.009

0.406

100%

T. Bj\"o

2003

2.0

0.009

0.406

100%

D. S. Bates

2018

2.0

0.009

0.406

100%

N. W. Hengartner and O. B. Linton

1996

2.0

0.009

0.406

100%

T. G. Andersen and T. Bollerslev and D. Dobrev

2007

2.0

0.009

0.406

100%

J. Jacod and Y. Li and X. Zheng

2017

2.0

0.009

0.406

100%

A. Dubinsky and M. Johannes and A. Kaeck and N. J....

2018

2.0

0.009

0.406

100%

F. Black

1986

2.0

0.009

0.406

100%

H. R. Stoll

2000

2.0

0.009

0.406

100%

Y. A\"i

2007

2.0

0.009

0.406

100%

Y. A\"i

2012

2.0

0.009

0.406

100%

Y. A\"i

2016

2.0

0.009

0.406

100%

V. Todorov and G. Tauchen and I. Grynkiv

2014

2.0

0.009

0.406

100%

B. Baeumer and M. M. Meerschaert

2010

2.0

0.009

0.406

100%

F. M. Bandi and J. R. Russell

2006

2.0

0.009

0.406

100%

R. C. A. Oomen (self)

2006

2.0

0.009

0.406

100%

I. Kalnina and O. Linton

2008

2.0

0.009

0.406

100%

W. K. Newey and K. D. West

1994

2.0

0.009

0.406

100%

S. Nagel

2012

2.0

0.009

0.406

100%

C. Mancini and V. Mattiussi and R. Reno

2015

1.5

0.028

0.126

K. Dzhaparidze and J. H. van Zanten

2001

0.5

0.009

0.087

U. Hassler

2016

0.5

0.009

0.087

P. Hall

1979

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.