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OpenAlex Citation Counts

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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:

Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 2, pp. 384-399
Closed Access | Times Cited: 198

Showing 1-25 of 198 citing articles:

Autoencoder asset pricing models
Shihao Gu, Bryan Kelly, Dacheng Xiu
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 429-450
Closed Access | Times Cited: 312
Principal Component Analysis of High-Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of the American Statistical Association (2017) Vol. 114, Iss. 525, pp. 287-303
Open Access | Times Cited: 220
Estimating latent asset-pricing factors
Martin Lettau, Markus Pelger
Journal of Econometrics (2020) Vol. 218, Iss. 1, pp. 1-31
Closed Access | Times Cited: 140
Large-dimensional factor modeling based on high-frequency observations
Markus Pelger
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 23-42
Closed Access | Times Cited: 101
Energy security in decision making and governance - Methodological analysis of energy trilemma index
Polona Šprajc, Miroslav Bjegović, Bojana Vasić
Renewable and Sustainable Energy Reviews (2019) Vol. 114, pp. 109341-109341
Closed Access | Times Cited: 100
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Piotr Fryźlewicz
Journal of Econometrics (2018) Vol. 206, Iss. 1, pp. 187-225
Open Access | Times Cited: 95
Understanding Systematic Risk: A High‐Frequency Approach
Markus Pelger
The Journal of Finance (2020) Vol. 75, Iss. 4, pp. 2179-2220
Closed Access | Times Cited: 90
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
Gianluca De Nard, Olivier Ledoit, Michael Wolf
Journal of Financial Econometrics (2018) Vol. 19, Iss. 2, pp. 236-257
Open Access | Times Cited: 80
Autoencoder Asset Pricing Models
Shihao Gu, Bryan T. Kelly, Dacheng Xiu
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 60
Adaptive robust large volatility matrix estimation based on high-frequency financial data
Minseok Shin, Donggyu Kim, Jianqing Fan
Journal of Econometrics (2023) Vol. 237, Iss. 1, pp. 105514-105514
Open Access | Times Cited: 16
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
High dimensional minimum variance portfolio estimation under statistical factor models
Yi Ding, Yingying Li, Xinghua Zheng
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 502-515
Closed Access | Times Cited: 46
High-dimensional minimum variance portfolio estimation based on high-frequency data
Tommaso Cai, Jianchang Hu, Yingying Li, et al.
Journal of Econometrics (2019) Vol. 214, Iss. 2, pp. 482-494
Closed Access | Times Cited: 43
State-Varying Factor Models of Large Dimensions
Markus Pelger, Ruoxuan Xiong
Journal of Business and Economic Statistics (2021) Vol. 40, Iss. 3, pp. 1315-1333
Open Access | Times Cited: 39
Intelligent Finance: Emerging Applications and Challenges of Machine Learning in Asset Pricing
Yang Jiang
Advances in Economics Management and Political Sciences (2025) Vol. 156, Iss. 1, pp. 11-20
Closed Access
Growing the efficient frontier on panel trees
Lin William Cong, Guanhao Feng, Jingyu He, et al.
Journal of Financial Economics (2025) Vol. 167, pp. 104024-104024
Open Access
Factor Models for Conditional Asset Pricing
Paolo Zaffaroni
Journal of Political Economy (2025)
Closed Access
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA
Ruijun Bu, Degui Li, Oliver Linton, et al.
Econometric Theory (2025), pp. 1-38
Closed Access
A survey of models and methods used for forecasting when investing in financial markets
Kenwin Maung, Norman R. Swanson
International Journal of Forecasting (2025)
Closed Access
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Chaoxing Dai, Kun Lu, Dacheng Xiu
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 43-79
Closed Access | Times Cited: 43
Imbalanced biomedical data classification using self-adaptive multilayer ELM combined with dynamic GAN
Liyuan Zhang, Huamin Yang, Zhengang Jiang
BioMedical Engineering OnLine (2018) Vol. 17, Iss. 1
Open Access | Times Cited: 42
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Neil Shephard, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 1, pp. 19-42
Closed Access | Times Cited: 42
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Johannes Stübinger
Quantitative Finance (2018) Vol. 19, Iss. 6, pp. 921-935
Closed Access | Times Cited: 40
Matrix Factor Analysis: From Least Squares to Iterative Projection
Yong He, Xinbing Kong, Long Yu, et al.
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 1, pp. 322-334
Open Access | Times Cited: 12
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Dachuan Chen
Journal of Econometrics (2024) Vol. 240, Iss. 1, pp. 105701-105701
Closed Access | Times Cited: 4
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