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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 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

Showing 1-25 of 521 citing articles:

Realized kernels in practice: trades and quotes
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
Econometrics Journal (2009) Vol. 12, Iss. 3, pp. C1-C32
Open Access | Times Cited: 643
Realized GARCH: a joint model for returns and realized measures of volatility
Peter Reinhard Hansen, Zhuo Huang, Howard Shek
Journal of Applied Econometrics (2011) Vol. 27, Iss. 6, pp. 877-906
Closed Access | Times Cited: 640
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
Neil Shephard, Kevin Sheppard
Journal of Applied Econometrics (2010) Vol. 25, Iss. 2, pp. 197-231
Open Access | Times Cited: 434
Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
Jozef Baruník, Evžen Kočenda, Lukáš Vácha
Journal of Financial Markets (2015) Vol. 27, pp. 55-78
Closed Access | Times Cited: 391
Vast Portfolio Selection With Gross-Exposure Constraints
Jianqing Fan, Zhang Jing-jin, Ke Yu
Journal of the American Statistical Association (2012) Vol. 107, Iss. 498, pp. 592-606
Open Access | Times Cited: 327
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
Realized volatility forecasting and market microstructure noise
Torben G. Andersen, Tim Bollerslev, Nour Meddahi
Journal of Econometrics (2010) Vol. 160, Iss. 1, pp. 220-234
Closed Access | Times Cited: 257
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
Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability
Andrew J. Patton, Michela Verardo
Review of Financial Studies (2012) Vol. 25, Iss. 9, pp. 2789-2839
Closed Access | Times Cited: 231
Principal Component Analysis of High-Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of the American Statistical Association (2017) Vol. 114, Iss. 525, pp. 287-303
Open Access | Times Cited: 223
The leverage effect puzzle: Disentangling sources of bias at high frequency
Yacine Aït‐Sahalia, Jianqing Fan, Yingying Li
Journal of Financial Economics (2013) Vol. 109, Iss. 1, pp. 224-249
Open Access | Times Cited: 206
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 2, pp. 384-399
Closed Access | Times Cited: 199
On the forecasting accuracy of multivariate GARCH models
Sébastien Laurent, Jeroen V.K. Rombouts, Francesco Violante
Journal of Applied Econometrics (2011) Vol. 27, Iss. 6, pp. 934-955
Closed Access | Times Cited: 224
Testing conditional factor models
Andrew Ang, Dennis Kristensen
Journal of Financial Economics (2012) Vol. 106, Iss. 1, pp. 132-156
Open Access | Times Cited: 189
Exponential GARCH Modeling With Realized Measures of Volatility
Peter Reinhard Hansen, Zhuo Huang
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 2, pp. 269-287
Open Access | Times Cited: 166
Realised Kernels in Practice: Trades and Quotes
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
SSRN Electronic Journal (2008)
Closed Access | Times Cited: 156
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Jianqing Fan, Yingying Li, Ke Yu
Journal of the American Statistical Association (2012) Vol. 107, Iss. 497, pp. 412-428
Open Access | Times Cited: 148
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: 144
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY
Peter Reinhard Hansen, Asger Lunde, Valeri Voev
Journal of Applied Econometrics (2014) Vol. 29, Iss. 5, pp. 774-799
Closed Access | Times Cited: 139
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
Good and bad volatility spillovers: An asymmetric connectedness
Ahmed BenSaïda
Journal of Financial Markets (2018) Vol. 43, pp. 78-95
Closed Access | Times Cited: 128
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
Manabu Asai, Rangan Gupta, Michael McAleer
International Journal of Forecasting (2020) Vol. 36, Iss. 3, pp. 933-948
Open Access | Times Cited: 121
Dynamic Conditional Beta
Robert F. Engle
Journal of Financial Econometrics (2016) Vol. 14, Iss. 4, pp. 643-667
Open Access | Times Cited: 106
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
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
The Annals of Statistics (2014) Vol. 42, Iss. 4
Open Access | Times Cited: 103
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