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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:

Information loss in volatility measurement with flat price trading
Peter C.B. Phillips, Jun Yu
Empirical Economics (2023) Vol. 64, Iss. 6, pp. 2957-2999
Closed Access | Times Cited: 23

Showing 23 citing articles:

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
Journal of Econometrics (2011) Vol. 162, Iss. 2, pp. 149-169
Open Access | Times Cited: 521
Jump-robust volatility estimation using nearest neighbor truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
Journal of Econometrics (2012) Vol. 169, Iss. 1, pp. 75-93
Open Access | Times Cited: 435
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
SSRN Electronic Journal (2010)
Open Access | Times Cited: 149
A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones
Christian Y. Robert, M. Rosenbaum
Journal of Financial Econometrics (2010) Vol. 9, Iss. 2, pp. 344-366
Closed Access | Times Cited: 109
Integer-valued Lévy processes and low latency financial econometrics
Ole E. Barndorff‐Nielsen, David G. Pollard, Neil Shephard
Quantitative Finance (2012) Vol. 12, Iss. 4, pp. 587-605
Open Access | Times Cited: 63
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
Rasmus T. Varneskov
Econometric Theory (2016) Vol. 33, Iss. 6, pp. 1457-1501
Open Access | Times Cited: 40
Quadratic Variation by Markov Chains
Peter Reinhard Hansen, Guillaume Horel
SSRN Electronic Journal (2009)
Open Access | Times Cited: 39
Volatility inference in the presence of both endogenous time and microstructure noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
Stochastic Processes and their Applications (2013) Vol. 123, Iss. 7, pp. 2696-2727
Open Access | Times Cited: 30
Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling
Yuta Koike
Stochastic Processes and their Applications (2014) Vol. 124, Iss. 8, pp. 2699-2753
Open Access | Times Cited: 29
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, et al.
Journal of Empirical Finance (2009) Vol. 17, Iss. 2, pp. 212-240
Open Access | Times Cited: 29
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
Discontinuous Trading in Continuous-Time Econometrics
Federico M. Bandi, Aleksey Kolokolov, Davide Pirino, et al.
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 5
Realized Volatility When Sampling Times are Possibly Endogenous
Yingying Li, Per A. Mykland, Éric Renault, et al.
SSRN Electronic Journal (2009)
Open Access | Times Cited: 19
Systematic staleness
Federico M. Bandi, Davide Pirino, Roberto Renò
Journal of Econometrics (2023) Vol. 238, Iss. 1, pp. 105522-105522
Open Access | Times Cited: 4
Bias-Corrected Realized Covariation in the Presence of Price Staleness
Zhi Liu, Haibin Zhu
(2024)
Closed Access | Times Cited: 1
Ultra high frequency volatility and co-volatility estimation in a microstructure model with uncertainty zones
Christian Y. Robert, Mathieu Rosenbaum
(2008)
Closed Access | Times Cited: 5
RUE: Realising Unlearning from the Perspective of Economics
MingJian Tang, Weiqi Wang, Chenhan Zhang, et al.
(2023), pp. 1165-1172
Closed Access | Times Cited: 1
Estimation of volatility functionals with time-varying price staleness
Haibin Zhu, Qiang Liu, Zhi Liu
(2024)
Closed Access
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
arXiv (Cornell University) (2013)
Open Access | Times Cited: 1
Estimation de Volatilité en Présence de Bruit de Microstructure Endogène
Christian Y. Robert, Mathieu Rosenbaum
41èmes Journées de Statistique, SFdS, Bordeaux (2009)
Closed Access
Explaining Epps Effect When Bivariate Price Staleness Is Present
Haibin Zhu, Zhi Liu
SSRN Electronic Journal (2022)
Closed Access
When do low-frequency measures really measure effective spreads? Evidence from equity and foreign exchange markets
Mohammad R. Jahan‐Parvar, Filip Žikeš
SSRN Electronic Journal (2021)
Closed Access
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