← Back to paper list

Citation Analysis

Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel Oomen, Mark Podolskij
https://arxiv.org/abs/2601.13006
131
Citation mentions
79
Cited references
9
Sections
15,781
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 T. G. Andersen and T. Bollerslev and F. X. Diebold 2007 4 4 7.0 0.031 0.928 100%
2 O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu... 2008 5 5 7.5 0.038 0.928 80%
3 X. Huang and G. Tauchen 2005 4 4 8.0 0.031 0.928 100%
4 Y. A\"i 2009 4 3 8.0 0.031 0.928 100%
5 M. Podolskij and M. Vetter (self) 2009 5 2 8.0 0.038 0.874 100%
6 O. E. Barndorff-Nielsen and N. Shephard 2004 3 3 5.0 0.023 0.843 100%
7 L. Zhang 2006 3 3 5.0 0.023 0.843 100%
8 J. Jacod and Y. Li and P. A. Mykland and M. Podols... (self) 2009 4 4 5.5 0.031 0.843 75%
9 T. G. Andersen and D. Dobrev and E. Schaumburg 2008 4 4 5.5 0.031 0.843 75%
10 R. C. A. Oomen (self) 2006 5 3 7.0 0.038 0.843 60%
11 B. Eraker and M. Johannes and N. Polson 2003 3 3 6.0 0.023 0.843 100%
12 J. Jacod 2008 3 2 4.0 0.023 0.737 100%
13 H. A. David 1970 3 2 5.0 0.023 0.737 100%
14 O. E. Barndorff-Nielsen and N. Shephard 2002 2 2 3.0 0.015 0.644 100%
15 C. Mancini 2004 2 2 3.0 0.015 0.644 100%
16 C. Mancini 2009 2 2 3.0 0.015 0.644 100%
17 L. Zhang and P. A. Mykland and Y. A\"i 2005 2 2 3.0 0.015 0.644 100%
18 B. Zhou 1996 2 2 3.0 0.015 0.644 100%
19 J. Fan and Y. Wang 2007 2 2 3.0 0.015 0.644 100%
20 F. Corsi and R. Ren\`o 2012 2 2 4.0 0.015 0.644 100%
21 O. E. Barndorff-Nielsen and S. E. Graversen and J.... (self) 2006 3 2 3.0 0.023 0.511 33%
22 J. Jacod and A. N. Shiryaev 2003 4 2 3.5 0.031 0.511 25%
23 M. Chernov and A. R. Gallant and E. Ghysels and G.... 2003 2 1 4.0 0.015 0.511 100%
24 NASDAQ Market Data Distribution 2008 2 1 4.0 0.015 0.511 100%
25 O. E. Barndorff-Nielsen and N. Shephard 2006 2 1 4.0 0.015 0.511 100%
26 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2001 1 1 1.0 0.008 0.406 100%
27 Y. A\"i 2004 1 1 1.0 0.008 0.406 100%
28 R. C. Merton 1976 1 1 1.0 0.008 0.406 100%
29 D. Duffie and J. Pan and K. J. Singleton 2000 1 1 1.0 0.008 0.406 100%
30 D. Duffie and J. Pan 2001 1 1 1.0 0.008 0.406 100%
31 R. A. Jarrow and E. R. Rosenfeld 1984 1 1 1.0 0.008 0.406 100%
32 J. Liu and F. Longstaff and J. Pan 2003 1 1 1.0 0.008 0.406 100%
33 T. Bollerslev and U. Kretschmer and C. Pigorsch an... 2009 1 1 1.0 0.008 0.406 100%
34 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2000 1 1 1.0 0.008 0.406 100%
35 F. M. Bandi and J. R. Russell 2008 1 1 1.0 0.008 0.406 100%
36 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2001 1 1 1.0 0.008 0.406 100%
37 B. Bollen and B. Inder 2002 1 1 1.0 0.008 0.406 100%
38 P. R. Hansen and J. Large and A. Lunde 2008 1 1 1.0 0.008 0.406 100%
39 F. Corsi and G. Zumbach and U. A. M\"u 2001 1 1 1.0 0.008 0.406 100%
40 Y. Sun 2006 1 1 1.0 0.008 0.406 100%
41 I. Nolte and V. Voev 2007 1 1 1.0 0.008 0.406 100%
42 K. Pearson 1920 1 1 1.0 0.008 0.406 100%
43 F. Mosteller 1946 1 1 1.0 0.008 0.406 100%
44 I. Eisenberger and E. C. Posner 1965 1 1 1.0 0.008 0.406 100%
45 C. Mancini 2004 1 1 1.0 0.008 0.406 100%
46 A. W. van der Vaart 1998 1 1 1.0 0.008 0.406 100%
47 K. Back 1991 1 1 2.0 0.008 0.406 100%
48 A. R\'e 1963 1 1 2.0 0.008 0.406 100%
49 D. J. Aldous and G. K. Eagleson 1978 1 1 2.0 0.008 0.406 100%
50 T. G. Andersen and T. Bollerslev 1998 1 1 2.0 0.008 0.406 100%
51 P. A. Mykland 2010 1 1 2.0 0.008 0.406 100%
52 S. Kinnebrock and M. Podolskij (self) 2008 1 1 2.0 0.008 0.406 100%
53 K. Christensen and R. C. A. Oomen and M. Podolskij (self) 2010 1 1 2.0 0.008 0.406 100%
54 J. Jacod 1994 1 1 2.0 0.008 0.406 100%
55 J. Jacod and P. E. Protter 1998 1 1 2.0 0.008 0.406 100%
56 Y. A\"i 1996 1 1 2.0 0.008 0.406 100%
57 G. S. Bakshi and N. Ju and H. Ou-Yang 2006 1 1 2.0 0.008 0.406 100%
58 T. W. Epps 1979 1 1 2.0 0.008 0.406 100%
59 L. Fisher 1966 1 1 2.0 0.008 0.406 100%
60 V. Niederhoffer and M. F. M. Osborne 1966 1 1 2.0 0.008 0.406 100%
61 P. R. Hansen and A. Lunde 2006 1 1 2.0 0.008 0.406 100%
62 F. X. Diebold and G. H. Strasser 2013 1 1 2.0 0.008 0.406 100%
63 F. M. Bandi and J. R. Russell 2006 1 1 2.0 0.008 0.406 100%
64 Y. A\"i 2005 1 1 2.0 0.008 0.406 100%
65 A. Gloter and J. Jacod 2001 1 1 2.0 0.008 0.406 100%
66 A. Gloter and J. Jacod 2001 1 1 2.0 0.008 0.406 100%
67 G. W. Schwert 1989 1 1 2.0 0.008 0.406 100%
68 T. G. Andersen and T. Bollerslev and F. X. Diebold... 2006 1 1 2.0 0.008 0.406 100%
69 J. Hasbrouck 2007 1 1 2.0 0.008 0.406 100%
70 H. Bessembinder and M. L. Lemmon 2002 1 1 2.0 0.008 0.406 100%
71 F. A. Longstaff and A. W. Wang 2004 1 1 2.0 0.008 0.406 100%
72 Y. A\"i 2009 1 1 2.0 0.008 0.406 100%
73 K. Christensen and M. Podolskij (self) 2009 1 1 2.0 0.008 0.406 100%
74 G. J. Jiang and R. C. A. Oomen (self) 2008 1 1 2.0 0.008 0.406 100%
75 S. S. Lee and P. A. Mykland 2008 1 1 2.0 0.008 0.406 100%
76 O. E. Barndorff-Nielsen and N. Shephard and M. Win... 2006 1 1 2.0 0.008 0.406 100%
77 J. H. C. Woerner 2006 1 1 2.0 0.008 0.406 100%
78 Y. A\"i 2011 1 1 2.0 0.008 0.406 100%
79 J. Gatheral and R. C. A. Oomen (self) 2010 1 1 0.5 0.008 0.087 0%
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.