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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:

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: 103

Showing 26-50 of 103 citing articles:

Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
Elena Andreou, Éric Ghysels
Journal of Econometrics (2020) Vol. 220, Iss. 2, pp. 366-398
Closed Access | Times Cited: 20
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
Factor state–space models for high-dimensional realized covariance matrices of asset returns
Bastian Gribisch, Jan Patrick Hartkopf, Roman Liesenfeld
Journal of Empirical Finance (2019) Vol. 55, pp. 1-20
Closed Access | Times Cited: 18
Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse
Carlos Esparcia, Ana Escribano, Francisco Jareño
Journal of International Financial Markets Institutions and Money (2023) Vol. 89, pp. 101851-101851
Closed Access | Times Cited: 6
Jump factor models in large cross‐sections
Jia Li, Viktor Todorov, George Tauchen
Quantitative Economics (2019) Vol. 10, Iss. 2, pp. 419-456
Open Access | Times Cited: 16
Recent Developments in Factor Models and Applications in Econometric Learning
Jianqing Fan, Kunpeng Li, Yuan Liao
Annual Review of Financial Economics (2021) Vol. 13, Iss. 1, pp. 401-430
Open Access | Times Cited: 14
Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
Xinbing Kong, Jin‐Guan Lin, Cheng Liu, et al.
Journal of the American Statistical Association (2021) Vol. 118, Iss. 542, pp. 1333-1344
Closed Access | Times Cited: 14
High-Dimensional Factor Models and the Factor Zoo
Martin Lettau
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 5
Forecasting systemic risk in portfolio selection: The role of technical trading rules
Noureddine Kouaissah, Amin Hocine
Journal of Forecasting (2020) Vol. 40, Iss. 4, pp. 708-729
Closed Access | Times Cited: 14
Asymptotic properties of correlation-based principal component analysis
Jungjun Choi, Xiye Yang
Journal of Econometrics (2021) Vol. 229, Iss. 1, pp. 1-18
Closed Access | Times Cited: 12
Inference on Risk Premia in Continuous-Time Asset Pricing Models
Yacine Aït‐Sahalia, Jean Jacod, Dacheng Xiu
(2020)
Open Access | Times Cited: 12
The High-Frequency Factor Zoo
Saketh Aleti
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 8
Target PCA: Transfer learning large dimensional panel data
Junting Duan, Markus Pelger, Ruoxuan Xiong
Journal of Econometrics (2023), pp. 105521-105521
Open Access | Times Cited: 4
State-Varying Factor Models of Large Dimensions
Markus Pelger, Ruoxuan Xiong
SSRN Electronic Journal (2018)
Open Access | Times Cited: 12
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 | Times Cited: 1
Jump Detection in High-frequency Order Prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
SSRN Electronic Journal (2024)
Open Access | Times Cited: 1
Early warnings of systemic risk using one-minute high-frequency data
Massimiliano Caporin, Laura Garcia‐Jorcano, Juan‐Ángel Jiménez‐Martín
Expert Systems with Applications (2024) Vol. 252, pp. 124134-124134
Open Access | Times Cited: 1
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
Ruoxuan Xiong, Markus Pelger
SSRN Electronic Journal (2019)
Open Access | Times Cited: 10
Interpretable Proximate Factors for Large Dimensions
Markus Pelger, Ruoxuan Xiong
SSRN Electronic Journal (2018)
Closed Access | Times Cited: 9
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
A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
Yucheng Sun, Wen Xu
Journal of Business and Economic Statistics (2020) Vol. 40, Iss. 2, pp. 770-784
Closed Access | Times Cited: 8
Target PCA: Transfer Learning Large Dimensional Panel Data
Junting Duan, Markus Pelger, Ruoxuan Xiong
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
A rank test for the number of factors with high-frequency data
Xinbing Kong, Zhi Liu, Zhou Wang
Journal of Econometrics (2019) Vol. 211, Iss. 2, pp. 439-460
Closed Access | Times Cited: 7
Extracting Statistical Factors When Betas are Time-Varying
Patrick Gagliardini, Hao Ma
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 7

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