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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:

High-frequency factor models and regressions
Yacine Aït‐Sahalia, Ilze Kalnina, Dacheng Xiu
Journal of Econometrics (2020) Vol. 216, Iss. 1, pp. 86-105
Closed Access | Times Cited: 50

Showing 1-25 of 50 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
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
Rodrigo Hizmeri, Marwan Izzeldin, Giovanni Urga
Journal of Empirical Finance (2025), pp. 101594-101594
Closed Access
Fama–French Five-Factor Modeling: New Evidence from a Nonparametric Method
Z. L. Hou, Viktor Manahov, Dimitrios Stafylas
Studies in Nonlinear Dynamics and Econometrics (2025)
Closed Access
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
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
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
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
Tim Bollerslev
Journal of Financial Econometrics (2021) Vol. 20, Iss. 2, pp. 219-252
Closed Access | Times Cited: 25
Monetary Transmission and Portfolio Rebalancing: A Cross-Sectional Approach
Lu Xu, Lingxuan Wu
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 7
Realized regression with asynchronous and noisy high frequency and high dimensional data
Dachuan Chen, Per A. Mykland, Lan Zhang
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105446-105446
Closed Access | Times Cited: 7
Extension of the Fama and French model: A study of the largest European financial institutions
Francisco Jareño, María de la O González, Alba M. Escolástico
International Economics (2020) Vol. 164, pp. 115-139
Closed Access | Times Cited: 15
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Éric Ghysels, Per A. Mykland, Éric Renault
Econometric Theory (2021) Vol. 39, Iss. 1, pp. 70-106
Open Access | Times Cited: 14
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
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Ilze Kalnina
Journal of Business and Economic Statistics (2022) Vol. 41, Iss. 2, pp. 538-549
Open Access | Times Cited: 8
The contribution of jump signs and activity to forecasting stock price volatility
Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, et al.
Journal of Empirical Finance (2022) Vol. 70, pp. 144-164
Open Access | Times Cited: 8
Jump Detection in High-frequency Order Prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
SSRN Electronic Journal (2024)
Open Access | Times Cited: 1
Roughing up Risk Premia: A Robust Strategy for the Estimation of Continuous and Discontinuous Risk Prices
Matthias Buchta
SSRN Electronic Journal (2024)
Closed Access | Times Cited: 1
Tail Risk and Asset Prices in the Short-term
Caio Almeida, Gustavo Freire, René García, et al.
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 6
One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
Nishad Kapadia, Matthew Linn, Bradley S. Paye
Journal of Financial and Quantitative Analysis (2023) Vol. 59, Iss. 3, pp. 1185-1212
Closed Access | Times Cited: 3
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
Mingmian Cheng, Yuan Liao, Xiye Yang
Journal of Econometrics (2023) Vol. 237, Iss. 2, pp. 105373-105373
Closed Access | Times Cited: 3
Autoregressive conditional betas
Francisco Blasques, Christian Francq, Sébastien Laurent
Journal of Econometrics (2023) Vol. 238, Iss. 2, pp. 105630-105630
Open Access | Times Cited: 3
Intraday cross-sectional distributions of systematic risk
Torben G. Andersen, Raul Riva, Martin Thyrsgaard, et al.
Journal of Econometrics (2022) Vol. 235, Iss. 2, pp. 1394-1418
Closed Access | Times Cited: 5
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li Yu-ning, Jia Chen, Oliver Linton
Journal of Econometrics (2023), pp. 105382-105382
Open Access | Times Cited: 2
The Pricing of Continuous and Discontinuous Factor Risks
Tobias Hemauer
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 2
Identifying latent factors based on high-frequency data
Yucheng Sun, Wen Xu, Chuanhai Zhang
Journal of Econometrics (2022) Vol. 233, Iss. 1, pp. 251-270
Closed Access | Times Cited: 4
Estimating the volatility of asset pricing factors
Janis Becker, Christian Leschinski
Journal of Forecasting (2020) Vol. 40, Iss. 2, pp. 269-278
Open Access | Times Cited: 4
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