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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:

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

Showing 1-25 of 52 citing articles:

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
Introspecting predictability of market fear in Indian context during COVID-19 pandemic: An integrated approach of applied predictive modelling and explainable AI
Indranil Ghosh, Manas Kumar Sanyal
International Journal of Information Management Data Insights (2021) Vol. 1, Iss. 2, pp. 100039-100039
Open Access | Times Cited: 33
Rank determination in tensor factor model
Yuefeng Han, Rong Chen, Cun-Hui Zhang
Electronic Journal of Statistics (2022) Vol. 16, Iss. 1
Open Access | Times Cited: 21
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
Forecasting realized volatility: A review
Dong Wan Shin
Journal of the Korean Statistical Society (2018) Vol. 47, Iss. 4, pp. 395-404
Closed Access | Times Cited: 25
Power enhancement for testing multi-factor asset pricing models via Fisher’s method
Xiufan Yu, Jiawei Yao, Lingzhou Xue
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105458-105458
Closed Access | Times Cited: 7
Network measurement and influence mechanism of dynamic risk contagion among global stock markets: Based on time-varying spillover index and complex network method
Bo Yu, Haiqin Ouyang, Chao Guan, et al.
The North American Journal of Economics and Finance (2024) Vol. 74, pp. 102258-102258
Closed Access | Times Cited: 2
Next generation models for portfolio risk management: An approach using financial big data
Kwangmin Jung, Donggyu Kim, Seunghyeon Yu
Journal of Risk & Insurance (2022) Vol. 89, Iss. 3, pp. 765-787
Open Access | Times Cited: 11
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
Minseok Shin, Donggyu Kim, Jianqing Fan
SSRN Electronic Journal (2021)
Open Access | Times Cited: 13
Overnight GARCH-Itô Volatility Models
Donggyu Kim, Minseok Shin, Yazhen Wang
Journal of Business and Economic Statistics (2022) Vol. 41, Iss. 4, pp. 1215-1227
Open Access | Times Cited: 7
State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data
Dohyun Chun, Donggyu Kim
Journal of Time Series Analysis (2021) Vol. 43, Iss. 1, pp. 105-124
Open Access | Times Cited: 9
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective
Minseog Oh, Donggyu Kim
Journal of Financial Econometrics (2023) Vol. 22, Iss. 4, pp. 954-1005
Open Access | Times Cited: 3
Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices
Gianluca De Nard, Zhao Zhao
Journal of Empirical Finance (2023) Vol. 72, pp. 23-35
Closed Access | Times Cited: 3
Large volatility matrix analysis using global and national factor models
Sung Hoon Choi, Donggyu Kim
Journal of Econometrics (2023) Vol. 235, Iss. 2, pp. 1917-1933
Open Access | Times Cited: 3
Estimation of Large Dimensional Conditional Factor Models in Finance
Patrick Gagliardini, Elisa Ossola, Olivier Scaillet
SSRN Electronic Journal (2019)
Open Access | Times Cited: 7
Robust High-Dimensional Time-Varying Coefficient Estimation
Minseok Shin, Donggyu Kim
SSRN Electronic Journal (2023)
Open Access | Times Cited: 2
Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
Donggyu Kim, Xinyu Song, Yazhen Wang
Journal of Multivariate Analysis (2022) Vol. 192, pp. 105091-105091
Open Access | Times Cited: 3
EXPONENTIAL REALIZED GARCH-ITÔ VOLATILITY MODELS
Donggyu Kim
Econometric Theory (2022), pp. 1-37
Closed Access | Times Cited: 3
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data
Min‐Seok Shin, Donggyu Kim, Yazhen Wang, et al.
SSRN Electronic Journal (2021)
Open Access | Times Cited: 4
Dynamic Realized Minimum Variance Portfolio Models
Donggyu Kim, Minseog Oh
Journal of Business and Economic Statistics (2024) Vol. 42, Iss. 4, pp. 1238-1249
Open Access
Matrix-Based Prediction Approach for Intraday Instantaneous Volatility Vector
Sung Hoon Choi, Dong-Gyu Kim
(2024)
Open Access
High-frequency volatility estimation and forecasting with a novel Bayesian LGI model
Weiqing Gao, Benjamin M. Wu, Bo Zhang
Electronic Journal of Statistics (2024) Vol. 18, Iss. 2
Open Access
Graph-Based Methods for Forecasting Realized Covariances
Chao Zhang, Xingyue Pu, Mihai Cucuringu, et al.
Journal of Financial Econometrics (2024)
Open Access
Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data
Sung Hoon Choi, Donggyu Kim
(2024)
Open Access
Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
Sung Hoon Choi, Donggyu Kim
SSRN Electronic Journal (2024)
Open Access
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