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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:

Adaptive estimation of continuous-time regression models using high-frequency data
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2017) Vol. 200, Iss. 1, pp. 36-47
Open Access | Times Cited: 56

Showing 1-25 of 56 citing articles:

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
Continuous Record Asymptotics for Change‐Point Models
Alessandro Casini, Pierre Perrón
Journal of Time Series Analysis (2025)
Open Access | Times Cited: 3
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Ilze Kalnina, Dacheng Xiu
Journal of the American Statistical Association (2016) Vol. 112, Iss. 517, pp. 384-396
Open Access | Times Cited: 67
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 GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, et al.
Journal of Econometrics (2022) Vol. 235, Iss. 2, pp. 745-778
Open Access | Times Cited: 29
Estimation of the Continuous and Discontinuous Leverage Effects
Yacine Aït‐Sahalia, Jianqing Fan, Roger J. A. Laeven, et al.
Journal of the American Statistical Association (2016) Vol. 112, Iss. 520, pp. 1744-1758
Open Access | Times Cited: 59
Adaptive robust large volatility matrix estimation based on high-frequency financial data
Minseok Shin, Donggyu Kim, Jianqing Fan
Journal of Econometrics (2023) Vol. 237, Iss. 1, pp. 105514-105514
Open Access | Times Cited: 16
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov
Quantitative Economics (2021) Vol. 12, Iss. 2, pp. 647-682
Open Access | Times Cited: 25
Cross-sectional dependence in idiosyncratic volatility
Ilze Kalnina, Kokouvi Tewou
Journal of Econometrics (2025) Vol. 249, pp. 106003-106003
Closed Access
Inference theory for volatility functional dependencies
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2016) Vol. 193, Iss. 1, pp. 17-34
Open Access | Times Cited: 29
Efficient estimation of integrated volatility functionals via multiscale jackknife
Jia Li, Yunxiao Liu, Dacheng Xiu
The Annals of Statistics (2018) Vol. 47, Iss. 1
Open Access | Times Cited: 28
Bootstrapping High-Frequency Jump Tests
Prosper Dovonon, Śılvia Gonçalves, Ulrich Hounyo, et al.
Journal of the American Statistical Association (2018) Vol. 114, Iss. 526, pp. 793-803
Open Access | Times Cited: 27
Continuous record Laplace-based inference about the break date in structural change models
Alessandro Casini, Pierre Perrón
Journal of Econometrics (2020) Vol. 224, Iss. 1, pp. 3-21
Open Access | Times Cited: 21
When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility
Rui Da, Dacheng Xiu
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 21
Could electricity demand contribute to diversifying the mix and mitigating CO2 emissions? A fresh daily analysis of the French electricity system
Diogo Santos Pereira, António Cardoso Marques
Energy Policy (2020) Vol. 142, pp. 111475-111475
Closed Access | Times Cited: 15
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
Minseok Shin, Donggyu Kim, Jianqing Fan
SSRN Electronic Journal (2021)
Open Access | Times Cited: 13
Fixed‐ k inference for volatility
Tim Bollerslev, Jia Li, Zhipeng Liao
Quantitative Economics (2021) Vol. 12, Iss. 4, pp. 1053-1084
Open Access | Times Cited: 13
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 for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Ilze Kalnina
Journal of Business and Economic Statistics (2022) Vol. 41, Iss. 2, pp. 538-549
Open Access | Times Cited: 9
KERNEL ESTIMATION OF SPOT VOLATILITY WITH MICROSTRUCTURE NOISE USING PRE-AVERAGING
José E. Figueroa‐López, Bei Wu
Econometric Theory (2022) Vol. 40, Iss. 3, pp. 558-607
Open Access | Times Cited: 9
Principal Component Analysis of High Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
SSRN Electronic Journal (2015)
Open Access | Times Cited: 13
Jump Detection in High-frequency Order Prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
SSRN Electronic Journal (2024)
Open Access | Times Cited: 1
Intraday cross-sectional distributions of systematic risk
Torben G. Andersen, Raul Riva, Martin Thyrsgaard, et al.
Journal of Econometrics (2022) Vol. 235, Iss. 2, pp. 1394-1418
Closed Access | Times Cited: 6
Bootstrapping Laplace transforms of volatility
Ulrich Hounyo, Zhi Liu, Rasmus T. Varneskov
Quantitative Economics (2023) Vol. 14, Iss. 3, pp. 1059-1103
Open Access | Times Cited: 3
Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework
Alessandro Casini
arXiv (Cornell University) (2018)
Closed Access | Times Cited: 8
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