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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.

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Showing 25 citing articles:

Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan, Alex Furger, Dacheng Xiu
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 4, pp. 489-503
Closed Access | Times Cited: 143
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Asger Lunde, Neil Shephard, Kevin Sheppard
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 4, pp. 504-518
Closed Access | Times Cited: 76
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
Donggyu Kim, Yazhen Wang, Jian Zou
Stochastic Processes and their Applications (2016) Vol. 126, Iss. 11, pp. 3527-3577
Open Access | Times Cited: 59
Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation
Fulvio Corsi, Stefano Peluso, Francesco Audrino
Journal of Applied Econometrics (2014) Vol. 30, Iss. 3, pp. 377-397
Open Access | Times Cited: 56
Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices
Rasmus T. Varneskov
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 1, pp. 1-22
Open Access | Times Cited: 44
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
Per A. Mykland, Lan Zhang
Econometrica (2017) Vol. 85, Iss. 1, pp. 197-231
Open Access | Times Cited: 41
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Yuta Koike
Econometric Theory (2015) Vol. 32, Iss. 3, pp. 533-611
Open Access | Times Cited: 36
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
Stefano Peluso, Fulvio Corsi, Antonietta Mira
Journal of Financial Econometrics (2014) Vol. 13, Iss. 3, pp. 665-697
Open Access | Times Cited: 28
Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
Ulrich Hounyo
Journal of Econometrics (2016) Vol. 197, Iss. 1, pp. 130-152
Open Access | Times Cited: 25
The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
Philip L. H. Yu, W. K. Li, F.C. Ng
Journal of Business and Economic Statistics (2015) Vol. 35, Iss. 4, pp. 513-527
Closed Access | Times Cited: 21
A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Cheng Liu, Cheng Yong Tang
Journal of Econometrics (2014) Vol. 180, Iss. 2, pp. 217-232
Closed Access | Times Cited: 21
An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
Yuta Koike
Scandinavian Journal of Statistics (2013) Vol. 41, Iss. 2, pp. 460-481
Closed Access | Times Cited: 16
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
Yuta Koike
Bernoulli (2016) Vol. 22, Iss. 3
Open Access | Times Cited: 14
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
Kris Boudt, Sébastien Laurent, Asger Lunde, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 14
Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation
Fulvio Corsi, Stefano Peluso, Francesco Audrino
SSRN Electronic Journal (2012)
Open Access | Times Cited: 13
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
Stefano Peluso, Fulvio Corsi, Antonietta Mira
SSRN Electronic Journal (2012)
Open Access | Times Cited: 8
Factor High-Frequency Based Volatility (HEAVY) Models
Kevin Sheppard, Wen Xu
SSRN Electronic Journal (2014)
Open Access | Times Cited: 7
Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances
Harry Vander Elst, David Veredas
Journal of Financial Econometrics (2015) Vol. 15, Iss. 1, pp. 106-138
Open Access | Times Cited: 3
Robust Estimation of Integrated Volatility
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2020)
Open Access | Times Cited: 2
Time endogeneity and an optimal weight function in pre-averaging covariance estimation
Yuta Koike
arXiv (Cornell University) (2014)
Open Access | Times Cited: 1
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
Harry Vander Elst, David Veredas
SSRN Electronic Journal (2014)
Open Access | Times Cited: 1
Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation Framework
Giuseppe Buccheri, Fulvio Corsi, Stefano Peluso
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 1
Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices
Harry-Paul Vander Elst, David Veredas
RePEc: Research Papers in Economics (2014)
Closed Access
Risk and uncertainty
Rogier Quaedvlieg
(2016)
Open Access
Central limit theorems for pre-averaging covariance estimators under endogenous sampling times
Yuta Koike
arXiv (Cornell University) (2013)
Open Access
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