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Citation Analysis

Is the diurnal pattern sufficient to explain intraday \\ variation in volatility? A nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
https://arxiv.org/abs/2601.16613
147
Citation mentions
87
Cited references
7
Sections
10,702
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 K. Christensen and R. C. A. Oomen and M. Podolskij (self) 2014 5 4 8.0 0.034 1.000 100%
2 M. Podolskij and M. Vetter (self) 2009 8 6 15.0 0.054 1.000 100%
3 O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu... 2008 5 3 9.0 0.034 1.000 100%
4 J. Jacod and Y. Li and P. A. Mykland and M. Podols... (self) 2009 5 4 9.0 0.034 1.000 100%
5 U. Hounyo and S. Gon\cc (self) 2017 10 3 19.0 0.068 1.000 100%
6 U. Hounyo (self) 2017 4 3 8.0 0.027 0.928 100%
7 T. G. Andersen and T. Bollerslev 1997 4 2 5.0 0.027 0.811 100%
8 K. Boudt and C. Croux and S. Laurent 2011 4 2 5.0 0.027 0.811 100%
9 T. G. Andersen and T. Bollerslev 1998 3 2 4.0 0.020 0.737 100%
10 T. G. Andersen and D. Dobrev and E. Schaumburg 2012 3 2 4.0 0.020 0.737 100%
11 O. E. Barndorff-Nielsen and N. Shephard 2006 2 2 3.0 0.014 0.644 100%
12 P. R. Hansen and A. Lunde 2006 2 2 3.0 0.014 0.644 100%
13 P. A. Mykland and L. Zhang 2009 2 2 3.0 0.014 0.644 100%
14 H. Dette and M. Podolskij and M. Vetter (self) 2006 2 2 3.0 0.014 0.644 100%
15 M. Vetter and H. Dette 2012 2 2 3.0 0.014 0.644 100%
16 L. Zhang and P. A. Mykland and Y. A\"i 2005 2 2 3.0 0.014 0.644 100%
17 S. J. Taylor and X. Xu 1997 2 2 3.0 0.014 0.644 100%
18 S. Gon\cc 2009 2 2 4.0 0.014 0.644 100%
19 K. Christensen and M. Podolskij and N. Thamrongrat... (self) 2017 2 2 4.0 0.014 0.644 100%
20 F. M. Bandi and J. R. Russell 2006 2 2 4.0 0.014 0.644 100%
21 I. Kalnina and O. Linton 2008 2 2 4.0 0.014 0.644 100%
22 N. Hautsch and M. Podolskij (self) 2013 2 2 4.0 0.014 0.644 100%
23 X. Shao 2010 3 1 6.0 0.020 0.585 100%
24 V. Todorov and G. Tauchen 2012 2 1 2.0 0.014 0.511 100%
25 B.-Y. Jing and Z. Liu and X.-B. Kong 2014 2 1 4.0 0.014 0.511 100%
26 U. Hounyo (self) 2014 2 1 4.0 0.014 0.511 100%
27 J. Jacod and M. Podolskij and M. Vetter (self) 2010 2 1 4.0 0.014 0.511 100%
28 X. Huang and G. Tauchen 2005 2 1 4.0 0.014 0.511 100%
29 E. F. Fama 1965 1 1 1.0 0.007 0.406 100%
30 B. B. Mandelbrot 1963 1 1 1.0 0.007 0.406 100%
31 L. Harris 1986 1 1 1.0 0.007 0.406 100%
32 R. A. Wood and T. H. McInish and J. K. Ord 1985 1 1 1.0 0.007 0.406 100%
33 R. F. Engle and M. E. Sokalska 2012 1 1 1.0 0.007 0.406 100%
34 H. Dette and V. Golosnoy and J. Kellermann 2016 1 1 1.0 0.007 0.406 100%
35 T. G. Andersen and T. Bollerslev and D. Dobrev 2007 1 1 1.0 0.007 0.406 100%
36 S. S. Lee and P. A. Mykland 2008 1 1 1.0 0.007 0.406 100%
37 O. E. Barndorff-Nielsen and N. Shephard 2004 1 1 1.0 0.007 0.406 100%
38 T. G. Andersen and T. Bollerslev and A. Das 2001 1 1 1.0 0.007 0.406 100%
39 Y. A\"i 2012 1 1 1.0 0.007 0.406 100%
40 Y. A\"i 2012 1 1 1.0 0.007 0.406 100%
41 A. Kolokolov and R. Ren\`o 2024 1 1 1.0 0.007 0.406 100%
42 V. Todorov and G. Tauchen 2010 1 1 1.0 0.007 0.406 100%
43 H. Dette and M. Podolskij (self) 2008 1 1 1.0 0.007 0.406 100%
44 L. Zhang 2006 1 1 1.0 0.007 0.406 100%
45 A. Hecq and S. Laurent and F. C. Palm 2012 1 1 1.0 0.007 0.406 100%
46 F. Delbaen and W. Schachermayer 1994 1 1 2.0 0.007 0.406 100%
47 K. Christensen and M. Podolskij and M. Vetter (self) 2013 1 1 2.0 0.007 0.406 100%
48 O. E. Barndorff-Nielsen and S. E. Graversen and J.... (self) 2006 1 1 2.0 0.007 0.406 100%
49 V. Todorov and T. Bollerslev 2010 1 1 2.0 0.007 0.406 100%
50 M. Podolskij and M. Vetter (self) 2009 1 1 2.0 0.007 0.406 100%
51 M. Vetter 2008 1 1 2.0 0.007 0.406 100%
52 M. Vetter 2010 1 1 2.0 0.007 0.406 100%
53 F. Corsi and D. E. Pirino and R. Ren\`o 2010 1 1 2.0 0.007 0.406 100%
54 C. Mancini 2009 1 1 2.0 0.007 0.406 100%
55 J. Jacod and P. E. Protter 2012 1 1 2.0 0.007 0.406 100%
56 J. Jacod 2008 1 1 2.0 0.007 0.406 100%
57 U. Hounyo (self) 2019 1 1 2.0 0.007 0.406 100%
58 S. Gon\cc 2014 1 1 2.0 0.007 0.406 100%
59 P. Dovonon and S. Gon\cc 2019 1 1 2.0 0.007 0.406 100%
60 A. E. Dudek and J. Le\'s 2014 1 1 2.0 0.007 0.406 100%
61 C. F. J. Wu 1986 1 1 2.0 0.007 0.406 100%
62 R. Y. Liu 1988 1 1 2.0 0.007 0.406 100%
63 P. A. Mykland and L. Zhang 2017 1 1 2.0 0.007 0.406 100%
64 J. Jacod and V. Todorov 2009 1 1 2.0 0.007 0.406 100%
65 C. Mancini and F. Gobbi 2012 1 1 2.0 0.007 0.406 100%
66 J. Hasbrouck 1999 1 1 2.0 0.007 0.406 100%
67 M. Chernov and A. R. Gallant and E. Ghysels and G.... 2003 1 1 2.0 0.007 0.406 100%
68 Y. A\"i 2012 1 1 2.0 0.007 0.406 100%
69 Y. A\"i 2016 1 1 2.0 0.007 0.406 100%
70 B. Baeumer and M. M. Meerschaert 2010 1 1 2.0 0.007 0.406 100%
71 V. Todorov and G. Tauchen and I. Grynkiv 2014 1 1 2.0 0.007 0.406 100%
72 I. Kalnina 2011 1 1 2.0 0.007 0.406 100%
73 Y. A\"i 2009 1 1 2.0 0.007 0.406 100%
74 K. Christensen and S. Kinnebrock and M. Podolskij (self) 2010 1 1 2.0 0.007 0.406 100%
75 J. Li and V. Todorov and G. Tauchen 2013 1 1 2.0 0.007 0.406 100%
76 J. Li and V. Todorov and G. Tauchen 2016 1 1 2.0 0.007 0.406 100%
77 E. Mammen 1993 1 1 2.0 0.007 0.406 100%
78 D. N. Politis and J. P. Romano and M. Wolf 1999 1 1 2.0 0.007 0.406 100%
79 M. Podolskij and K. Wasmuth (self) 2013 1 1 2.0 0.007 0.406 100%
80 S. Clinet and Y. Potiron 2017 1 1 2.0 0.007 0.406 100%
81 T. G. Andersen and D. Dobrev and E. Schaumburg 2014 1 1 2.0 0.007 0.406 100%
82 D. Xiu 2010 1 1 2.0 0.007 0.406 100%
83 A. Kolokolov and R. Ren\`o 2016 1 1 2.0 0.007 0.406 100%
84 C. T. Brownless and G. M. Gallo 2006 1 1 2.0 0.007 0.406 100%
85 O. E. Barndorff-Nielsen and P. R. Hansen and A. Lu... 2009 1 1 2.0 0.007 0.406 100%
86 V. Todorov and G. Tauchen 2011 1 1 2.0 0.007 0.406 100%
87 G. J. Jiang and I. Lo and A. Verdelhan 2011 1 1 2.0 0.007 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.