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OpenAlex is a bibliographic catalogue of scientific papers, authors and institutions accessible in open access mode, named after the Library of Alexandria. It's citation coverage is excellent and I hope you will find utility in this listing of citing articles!

If you click the article title, you'll navigate to the article, as listed in CrossRef. If you click the Open Access links, you'll navigate to the "best Open Access location". Clicking the citation count will open this listing for that article. Lastly at the bottom of the page, you'll find basic pagination options.

Requested Article:

Generalized dynamic factor models and volatilities: estimation and forecasting
Matteo Barigozzi, Marc Hallin
Journal of Econometrics (2017) Vol. 201, Iss. 2, pp. 307-321
Open Access | Times Cited: 51

Showing 1-25 of 51 citing articles:

Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?
Yanran Ma, Dayong Zhang, Qiang Ji, et al.
Energy Economics (2019) Vol. 81, pp. 536-544
Closed Access | Times Cited: 136
A Network Analysis of the Volatility of High Dimensional Financial Series
Matteo Barigozzi, Marc Hallin
Journal of the Royal Statistical Society Series C (Applied Statistics) (2016) Vol. 66, Iss. 3, pp. 581-605
Open Access | Times Cited: 75
The impact of economic policy uncertainty on stock returns: The role of corporate environmental responsibility engagement
Gaoke Liao, Peng Hou, Xiaoyan Shen, et al.
International Journal of Finance & Economics (2020) Vol. 26, Iss. 3, pp. 4386-4392
Open Access | Times Cited: 51
Bridging factor and sparse models
Jianqing Fan, Ricardo Masini, Marcelo C. Medeiros
The Annals of Statistics (2023) Vol. 51, Iss. 4
Open Access | Times Cited: 17
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Donggyu Kim, Jianqing Fan
Journal of Econometrics (2018) Vol. 208, Iss. 2, pp. 395-417
Closed Access | Times Cited: 52
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Matteo Barigozzi, Haeran Cho, Dom Owens
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 3, pp. 890-902
Open Access | Times Cited: 13
Research on China's financial systemic risk contagion under jump and heavy-tailed risk
Xiao-Li Gong, Xi-Hua Liu, Xiong Xiong, et al.
International Review of Financial Analysis (2020) Vol. 72, pp. 101584-101584
Closed Access | Times Cited: 37
Multiplicative factor model for volatility
Yi Ding, Robert F. Engle, Yingying Li, et al.
Journal of Econometrics (2025) Vol. 249, pp. 105959-105959
Closed Access
Bayesian Dynamic Matrix Factor Models
Lei Qin, Yinzhi Wang, Yingqiu Zhu, et al.
Journal of Business and Economic Statistics (2025), pp. 1-24
Closed Access
The impact of pandemic on dynamic volatility spillover network of international stock markets
Tingting Lan, Liuguo Shao, Hua Zhang, et al.
Empirical Economics (2023) Vol. 65, Iss. 5, pp. 2115-2144
Open Access | Times Cited: 10
Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals
Matteo Barigozzi, Marc Hallin
Journal of Econometrics (2020) Vol. 216, Iss. 1, pp. 4-34
Open Access | Times Cited: 26
A Study On The Influencing Factors Of Tourism Demand From Mainland China To Hong Kong
Han Liu, Liu Wei, Wang Yong-lian
Journal of Hospitality & Tourism Research (2020) Vol. 45, Iss. 1, pp. 171-191
Open Access | Times Cited: 21
Inferential theory for generalized dynamic factor models
Matteo Barigozzi, Marc Hallin, Matteo Luciani, et al.
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105422-105422
Closed Access | Times Cited: 7
Dynamic Factor Models: A Genealogy
Matteo Barigozzi, Marc Hallin
Studies in systems, decision and control (2024), pp. 3-24
Closed Access | Times Cited: 2
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
Elena Andreou, Éric Ghysels
Journal of Econometrics (2020) Vol. 220, Iss. 2, pp. 366-398
Closed Access | Times Cited: 20
Flexible copula models with dynamic dependence and application to financial data
Pavel Krupskii, Harry Joe
Econometrics and Statistics (2020) Vol. 16, pp. 148-167
Closed Access | Times Cited: 19
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Marc Hallin, et al.
Journal of Business and Economic Statistics (2021) Vol. 41, Iss. 1, pp. 40-52
Open Access | Times Cited: 16
Nearest comoment estimation with unobserved factors
Kris Boudt, Dries Cornilly, Tim Verdonck
Journal of Econometrics (2020) Vol. 217, Iss. 2, pp. 381-397
Open Access | Times Cited: 16
Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach
Marc Hallin, Carlos Trucíos
Econometrics and Statistics (2021) Vol. 27, pp. 1-15
Closed Access | Times Cited: 15
Factor models for high‐dimensional functional time series I: Representation results
Marc Hallin, Gilles Nisol, Shahin Tavakoli
Journal of Time Series Analysis (2022) Vol. 44, Iss. 5-6, pp. 578-600
Closed Access | Times Cited: 10
Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models*
Matteo Barigozzi, Marc Hallin, Stefano Soccorsi
Journal of Financial Econometrics (2018) Vol. 17, Iss. 3, pp. 462-494
Open Access | Times Cited: 18
Factor models for high‐dimensional functional time series II: Estimation and forecasting
Shahin Tavakoli, Gilles Nisol, Marc Hallin
Journal of Time Series Analysis (2022) Vol. 44, Iss. 5-6, pp. 601-621
Closed Access | Times Cited: 9
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Luiz Koodi Hotta, et al.
International Journal of Forecasting (2020) Vol. 37, Iss. 4, pp. 1520-1534
Closed Access | Times Cited: 13
Bridging Factor and Sparse Models
Jianqing Fan, Ricardo Masini, Marcelo C. Medeiros
SSRN Electronic Journal (2021)
Open Access | Times Cited: 12
On the robustness of the principal volatility components
Carlos Trucíos, Luiz Koodi Hotta, Pedro L. Valls Pereira
Journal of Empirical Finance (2019) Vol. 52, pp. 201-219
Open Access | Times Cited: 12
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