Open Access Helper

OpenAlex Citation Counts

OpenAlex Citations Logo

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:

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

Showing 1-25 of 101 citing articles:

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
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
Large dimensional latent factor modeling with missing observations and applications to causal inference
Ruoxuan Xiong, Markus Pelger
Journal of Econometrics (2022) Vol. 233, Iss. 1, pp. 271-301
Open Access | Times Cited: 46
Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness
Carlos Esparcia, Ana Escribano, Francisco Jareño
International Review of Financial Analysis (2024) Vol. 94, pp. 103287-103287
Open Access | Times Cited: 9
Spatio-Temporal Correlation Analysis of Online Monitoring Data for Anomaly Detection and Location in Distribution Networks
Xin Shi, Robert C. Qiu, Zenan Ling, et al.
IEEE Transactions on Smart Grid (2019) Vol. 11, Iss. 2, pp. 995-1006
Open Access | Times Cited: 62
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
Investing in the batteries and vehicles of the future: A view through the stock market
Michael Plante
Energy Economics (2025), pp. 108216-108216
Closed Access
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
Tensor time series imputation through tensor factor modelling
Zetai Cen, Clifford Lam
Journal of Econometrics (2025) Vol. 249, pp. 105974-105974
Open Access
Factor Models for Conditional Asset Pricing
Paolo Zaffaroni
Journal of Political Economy (2025)
Closed Access
High-dimensional multivariate realized volatility estimation
Tim Bollerslev, Nour Meddahi, Serge Nyawa
Journal of Econometrics (2019) Vol. 212, Iss. 1, pp. 116-136
Open Access | Times Cited: 31
Performance of crypto-Forex portfolios based on intraday data
Carlos Esparcia, Raquel López Garcí­a
Research in International Business and Finance (2024) Vol. 69, pp. 102217-102217
Open Access | Times Cited: 3
Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework
David Neděla, Sergio Ortobelli Lozza, Tomáš Tichý
Computational Economics (2024)
Open Access | Times Cited: 3
Changes in the span of systematic risk exposures
Yuan Liao, Viktor Todorov
Quantitative Economics (2024) Vol. 15, Iss. 3, pp. 817-847
Open Access | Times Cited: 3
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
Dachuan Chen, Per A. Mykland, Lan Zhang
Journal of the American Statistical Association (2019) Vol. 115, Iss. 532, pp. 1960-1977
Open Access | Times Cited: 27
Estimation of large dimensional conditional factor models in finance
Patrick Gagliardini, Elisa Ossola, Olivier Scaillet
Handbook of econometrics (2020), pp. 219-282
Open Access | Times Cited: 27
A Hybrid Framework for Topology Identification of Distribution Grid With Renewables Integration
Xing He, Robert C. Qiu, Qian Ai, et al.
IEEE Transactions on Power Systems (2020) Vol. 36, Iss. 2, pp. 1493-1503
Open Access | Times Cited: 26
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Marc S. Paolella, Paweł Polak, Patrick S. Walker
Journal of Banking & Finance (2021) Vol. 125, pp. 106046-106046
Closed Access | Times Cited: 21
Interpretable Sparse Proximate Factors for Large Dimensions
Markus Pelger, Ruoxuan Xiong
Journal of Business and Economic Statistics (2021) Vol. 40, Iss. 4, pp. 1642-1664
Open Access | Times Cited: 21
Eigenvalue Tests for the Number of Latent Factors in Short Panels
Alain-Philippe Fortin, Patrick Gagliardini, Olivier Scaillet
Journal of Financial Econometrics (2023)
Open Access | Times Cited: 8
Asset Pricing and Machine Learning: A critical review
Matteo Bagnara
Journal of Economic Surveys (2022) Vol. 38, Iss. 1, pp. 27-56
Open Access | Times Cited: 13
Spanning latent and observable factors
Eleni Andreou, Patrick Gagliardini, Éric Ghysels, et al.
Journal of Econometrics (2024), pp. 105743-105743
Closed Access | Times Cited: 2
Systematic jump risk
Jean Jacod, Huidi Lin, Viktor Todorov
The Annals of Applied Probability (2024) Vol. 34, Iss. 5
Closed Access | Times Cited: 2
Page 1 - Next Page

Scroll to top