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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:

Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Econometrics (2010) Vol. 159, Iss. 1, pp. 74-98
Open Access | Times Cited: 121

Showing 1-25 of 121 citing articles:

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
The Review of Economics and Statistics (2007) Vol. 89, Iss. 4, pp. 701-720
Open Access | Times Cited: 1395
Threshold bipower variation and the impact of jumps on volatility forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
Journal of Econometrics (2010) Vol. 159, Iss. 2, pp. 276-288
Open Access | Times Cited: 522
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard
Journal of Econometrics (2015) Vol. 187, Iss. 1, pp. 293-311
Open Access | Times Cited: 519
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
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Fulvio Corsi, Roberto Renò
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 3, pp. 368-380
Open Access | Times Cited: 309
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen, Silja Kinnebrock, Mark Podolskij
Journal of Econometrics (2010) Vol. 159, Iss. 1, pp. 116-133
Open Access | Times Cited: 268
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Financial Economics (2014) Vol. 114, Iss. 3, pp. 576-599
Closed Access | Times Cited: 205
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Nikolaus Hautsch, Mark Podolskij
Journal of Business and Economic Statistics (2013) Vol. 31, Iss. 2, pp. 165-183
Open Access | Times Cited: 109
On forecasting daily stock volatility: The role of intraday information and market conditions
Ana-Marı́a Fuertes, Marwan Izzeldin, Elena Kalotychou
International Journal of Forecasting (2009) Vol. 25, Iss. 2, pp. 259-281
Open Access | Times Cited: 100
The Benefits of Bagging for Forecast Models of Realized Volatility
Eric Hillebrand, Marcelo C. Medeiros
Econometric Reviews (2010) Vol. 29, Iss. 5-6, pp. 571-593
Closed Access | Times Cited: 93
HAR Modeling for Realized Volatility Forecasting
Fulvio Corsi, Francesco Audrino, Roberto Renò
(2012), pp. 363-382
Open Access | Times Cited: 86
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
Siem Jan Koopman, Marcel Scharth
Journal of Financial Econometrics (2012) Vol. 11, Iss. 1, pp. 76-115
Closed Access | Times Cited: 83
On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Kim Christensen, Mark Podolskij, Mathias Vetter
Journal of Multivariate Analysis (2013) Vol. 120, pp. 59-84
Open Access | Times Cited: 75
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
A note on the central limit theorem for bipower variation of general functions
Silja Kinnebrock, Mark Podolskij
Stochastic Processes and their Applications (2007) Vol. 118, Iss. 6, pp. 1056-1070
Open Access | Times Cited: 59
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard
SSRN Electronic Journal (2012)
Open Access | Times Cited: 44
BUMVU estimators
Aleksey Kolokolov, Roberto Renò, Patrick Zoi
Journal of Econometrics (2025), pp. 105942-105942
Open Access
Forecasting the value at risk of the crude oil futures market: Do high-frequency data help?
Yongjian Lyu, Heling Yi, Fanshu Qin, et al.
Journal of Management Science and Engineering (2025)
Open Access
Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation
Colin Bowers, Chris Heaton
Journal of Financial Econometrics (2025) Vol. 23, Iss. 3
Open Access
Forecasting the volatility of crude oil futures market: Does the simple 5-minute RV hold up?
Yongjian Lyu, Z. George Yang, Zhilong Qin, et al.
Energy Economics (2025), pp. 108509-108509
Closed Access
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
SSRN Electronic Journal (2008)
Open Access | Times Cited: 49
Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
SSRN Electronic Journal (2010)
Open Access | Times Cited: 42
Subsampling high frequency data
Ilze Kalnina
Journal of Econometrics (2010) Vol. 161, Iss. 2, pp. 262-283
Open Access | Times Cited: 40
Quadratic Variation by Markov Chains
Peter Reinhard Hansen, Guillaume Horel
SSRN Electronic Journal (2009)
Open Access | Times Cited: 39
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
Econometric Theory (2013) Vol. 30, Iss. 1, pp. 3-59
Open Access | Times Cited: 36
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