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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:

Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
Marco Bee, Debbie J. Dupuis, Luca Trapin
Journal of Financial Econometrics (2019) Vol. 17, Iss. 2, pp. 254-283
Open Access | Times Cited: 24

Showing 24 citing articles:

An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Claudio Candia, Rodrigo Herrera
Journal of Empirical Finance (2024) Vol. 77, pp. 101488-101488
Closed Access | Times Cited: 8
Tail risk dynamics of banks with score-driven extreme value models
Fernanda Fuentes, Rodrigo Herrera, Adam Clements
Journal of Empirical Finance (2025) Vol. 81, pp. 101593-101593
Closed Access
Predicting VaR for China's stock market: A score-driven model based on normal inverse Gaussian distribution
Shijia Song, Handong Li
International Review of Financial Analysis (2022) Vol. 82, pp. 102180-102180
Closed Access | Times Cited: 10
Forecasting extreme financial risk: A score-driven approach
Fernanda Fuentes, Rodrigo Herrera, Adam Clements
International Journal of Forecasting (2022) Vol. 39, Iss. 2, pp. 720-735
Closed Access | Times Cited: 9
Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss
Κωνσταντίνος Γκίλλας, Rangan Gupta, Christian Pierdzioch
European Journal of Finance (2021) Vol. 27, Iss. 16, pp. 1626-1644
Open Access | Times Cited: 11
Modeling panels of extremes
Debbie J. Dupuis, Sebastian Engelke, Luca Trapin
The Annals of Applied Statistics (2023) Vol. 17, Iss. 1
Open Access | Times Cited: 4
An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Shijia Song, Fei Tian, Handong Li
Journal of Asian Economics (2021) Vol. 74, pp. 101314-101314
Closed Access | Times Cited: 8
A new model for forecasting VaR and ES using intraday returns aggregation
Shijia Song, Handong Li
Journal of Forecasting (2022) Vol. 42, Iss. 5, pp. 1039-1054
Closed Access | Times Cited: 4
Extremal connectedness of hedge funds
Linda Mhalla, Julien Hambuckers, Marie Lambert
Journal of Applied Econometrics (2022) Vol. 37, Iss. 5, pp. 988-1009
Open Access | Times Cited: 3
Deep Extreme Mixture Model for Time Series Forecasting
S. Abilasha, Sahely Bhadra, Ahmed Zaheer Dadarkar, et al.
Proceedings of the 31st ACM International Conference on Information & Knowledge Management (2022) Vol. 2017, pp. 1726-1735
Open Access | Times Cited: 3
Improving Price Generation: A Novel Agent-Based Model for Capturing Persistent Jumps in Asset Prices
Shijia Song, Handong Li
Computational Economics (2024)
Closed Access
Extremal Connectedness and Systemic Risk of Hedge Funds
Linda Mhalla, Julien Hambuckers, Marie Lambert
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 3
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Yannick Hoga
International Journal of Forecasting (2020) Vol. 37, Iss. 2, pp. 675-686
Closed Access | Times Cited: 3
A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score
Shijia Song, Handong Li
The Quarterly Review of Economics and Finance (2023) Vol. 88, pp. 203-214
Open Access | Times Cited: 1
Mixed-frequency extreme value regression: Estimating the effect of mesoscale convective systems on extreme rainfall intensity
Debbie J. Dupuis, Luca Trapin
The Annals of Applied Statistics (2023) Vol. 17, Iss. 2
Open Access | Times Cited: 1
Smooth-Transition Regression Models for Non-Stationary Extremes
Julien Hambuckers, Thomas Kneib
Journal of Financial Econometrics (2021) Vol. 21, Iss. 2, pp. 445-484
Open Access | Times Cited: 1
Using the softplus function to construct alternative link functions in generalized linear models and beyond
Paul F. V. Wiemann, Thomas Kneib, Julien Hambuckers
Statistical Papers (2023) Vol. 65, Iss. 5, pp. 3155-3180
Open Access
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Julien Hambuckers, Marie Kratz, Antoine Usseglio‐Carleve
SSRN Electronic Journal (2023)
Open Access
Extreme state prediction of long-span bridges using extended ACER method
Liping Zhang, Liming Zhou, Jianqing Bu, et al.
Structural Health Monitoring (2023) Vol. 23, Iss. 4, pp. 2340-2357
Closed Access
A Recursive Bayesian Solution for the Excess Over Threshold Distribution with Stochastic Parameters
Douglas E. Johnston, Petar M. Djurić
ICASSP 2022 - 2022 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) (2020), pp. 8439-8443
Closed Access
Smooth Transition Regression Models for Non-Stationary Extremes
Julien Hambuckers, Thomas Kneib
SSRN Electronic Journal (2020)
Open Access
A dynamic extreme value model with applications to volcanic eruption forecasting
Huong Lan Thi Nguyen, Almut E. D. Veraart, Benoît Taisne, et al.
arXiv (Cornell University) (2022)
Open Access
Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score
Shijia Song, Handong Li
arXiv (Cornell University) (2021)
Open Access
A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score.
Shijia Song, Handong Li
arXiv (Cornell University) (2021)
Closed Access
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