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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:

Multivariate high‐frequency‐based volatility (HEAVY) models
Diaa Noureldin, Neil Shephard, Kevin Sheppard
Journal of Applied Econometrics (2011) Vol. 27, Iss. 6, pp. 907-933
Open Access | Times Cited: 237

Showing 1-25 of 237 citing articles:

Pricing under rough volatility
Christian Bayer, Peter K. Friz, Jim Gatheral
Quantitative Finance (2015) Vol. 16, Iss. 6, pp. 887-904
Closed Access | Times Cited: 418
Exploiting the errors: A simple approach for improved volatility forecasting
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
Journal of Econometrics (2015) Vol. 192, Iss. 1, pp. 1-18
Open Access | Times Cited: 390
On loss functions and ranking forecasting performances of multivariate volatility models
Sébastien Laurent, Jeroen V.K. Rombouts, Francesco Violante
Journal of Econometrics (2012) Vol. 173, Iss. 1, pp. 1-10
Open Access | Times Cited: 135
Dynamic copula models and high frequency data
Irving De Lira Salvatierra, Andrew J. Patton
Journal of Empirical Finance (2014) Vol. 30, pp. 120-135
Closed Access | Times Cited: 114
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
Journal of Econometrics (2018) Vol. 207, Iss. 1, pp. 71-91
Open Access | Times Cited: 99
Modeling Realized Covariances and Returns
Xiao Jin, John M. Maheu
Journal of Financial Econometrics (2012) Vol. 11, Iss. 2, pp. 335-369
Closed Access | Times Cited: 101
Financial Risk Measurement for Financial Risk Management
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, et al.
Handbook of the economics of finance (2013), pp. 1127-1220
Open Access | Times Cited: 84
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
News, volatility and jumps: the case of natural gas futures
Svetlana Borovkova, Diego Mahakena
Quantitative Finance (2015) Vol. 15, Iss. 7, pp. 1217-1242
Closed Access | Times Cited: 74
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Nikolaus Hautsch, Lada M. Kyj, Peter Malec
Journal of Applied Econometrics (2013) Vol. 30, Iss. 2, pp. 263-290
Open Access | Times Cited: 74
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Anne Opschoor, P. Janus, André Lucas, et al.
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 4, pp. 643-657
Open Access | Times Cited: 73
High-dimensional copula-based distributions with mixed frequency data
Dong Hwan Oh, Andrew J. Patton
Journal of Econometrics (2016) Vol. 193, Iss. 2, pp. 349-366
Open Access | Times Cited: 68
The Impact of Volatility Targeting
Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar, et al.
The Journal of Portfolio Management (2018) Vol. 45, Iss. 1, pp. 14-33
Closed Access | Times Cited: 60
Realized Semicovariances
Tim Bollerslev, Jia Li, Andrew J. Patton, et al.
Econometrica (2020) Vol. 88, Iss. 4, pp. 1515-1551
Open Access | Times Cited: 54
A New Parametrization of Correlation Matrices
Ilya Archakov, Peter Reinhard Hansen
Econometrica (2021) Vol. 89, Iss. 4, pp. 1699-1715
Open Access | Times Cited: 49
Large dynamic covariance matrices: Enhancements based on intraday data
Gianluca De Nard, Robert F. Engle, Olivier Ledoit, et al.
Journal of Banking & Finance (2022) Vol. 138, pp. 106426-106426
Open Access | Times Cited: 27
Multivariate rotated ARCH models
Diaa Noureldin, Neil Shephard, Kevin Sheppard
Journal of Econometrics (2013) Vol. 179, Iss. 1, pp. 16-30
Open Access | Times Cited: 54
Asymptotic Properties of GARCH-X Processes
Han Han
Journal of Financial Econometrics (2013) Vol. 13, Iss. 1, pp. 188-221
Closed Access | Times Cited: 52
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Matteo Barigozzi, Christian T. Brownlees, Giampiero M. Gallo, et al.
Journal of Econometrics (2014) Vol. 182, Iss. 2, pp. 364-384
Open Access | Times Cited: 51
Intra-daily volatility spillovers in international stock markets
Vasyl Golosnoy, Bastian Gribisch, Roman Liesenfeld
Journal of International Money and Finance (2015) Vol. 53, pp. 95-114
Closed Access | Times Cited: 45
Forecasting Value-at-Risk under Different Distributional Assumptions
Manuela Braione, Nicolas Scholtes
Econometrics (2016) Vol. 4, Iss. 1, pp. 3-3
Open Access | Times Cited: 45
Stochastic nonlinear time series forecasting using time-delay reservoir computers: Performance and universality
Lyudmila Grigoryeva, Julie Henriques, Laurent Larger, et al.
Neural Networks (2014) Vol. 55, pp. 59-71
Open Access | Times Cited: 45
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
Paolo Gorgi, Peter Reinhard Hansen, P. Janus, et al.
Journal of Financial Econometrics (2018) Vol. 17, Iss. 1, pp. 1-32
Open Access | Times Cited: 44
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Neil Shephard, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 1, pp. 19-42
Closed Access | Times Cited: 42
Bayesian semiparametric modeling of realized covariance matrices
Xin Jin, John M. Maheu
Journal of Econometrics (2015) Vol. 192, Iss. 1, pp. 19-39
Open Access | Times Cited: 41
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