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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:

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Per A. Mykland, Lan Zhang, Dachuan Chen
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 101-119
Open Access | Times Cited: 20

Showing 20 citing articles:

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
High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Dachuan Chen
Journal of Econometrics (2024) Vol. 240, Iss. 1, pp. 105701-105701
Closed Access | Times Cited: 4
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data
Dachuan Chen, Per A. Mykland, Lan Zhang
Journal of the American Statistical Association (2019) Vol. 115, Iss. 532, pp. 1960-1977
Open Access | Times Cited: 27
Realized regression with asynchronous and noisy high frequency and high dimensional data
Dachuan Chen, Per A. Mykland, Lan Zhang
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105446-105446
Closed Access | Times Cited: 7
Early warnings of systemic risk using one-minute high-frequency data
Massimiliano Caporin, Laura Garcia‐Jorcano, Juan‐Ángel Jiménez‐Martín
Expert Systems with Applications (2024) Vol. 252, pp. 124134-124134
Open Access | Times Cited: 1
Asymptotic Normality for the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
Maria Elvira Mancino, Tommaso Mariotti, Giacomo Toscano
SSRN Electronic Journal (2022)
Open Access | Times Cited: 4
A CLT for second difference estimators with an application to volatility and intensity
Emil Aas Stoltenberg, Per A. Mykland, Lan Zhang
The Annals of Statistics (2022) Vol. 50, Iss. 4
Open Access | Times Cited: 3
Editorial for the special issue on financial engineering and risk management for JoE
Oliver Linton, Zhengjun Zhang
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 1-4
Closed Access | Times Cited: 3
The Five Trolls Under the Bridge: Principal Component Analysis with Asynchronous and Noisy High Frequency Data
Dachuan Chen, Per A. Mykland, Lan Zhang
SSRN Electronic Journal (2018)
Open Access | Times Cited: 3
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Oliver B. Linton, Degui Li, Haoxuan Zhang
(2024)
Open Access
High dimensional regression coefficient test with high frequency data
Dachuan Chen, Long Feng, Per A. Mykland, et al.
Journal of Econometrics (2024), pp. 105812-105812
Closed Access
Asymptotic normality and finite-sample robustness of the Fourier spot volatility estimator in the presence of microstructure noise
Maria Elvira Mancino, Tommaso Mariotti, Giacomo Toscano
Journal of Business and Economic Statistics (2024), pp. 1-24
Open Access
The Observed Asymptotic Variance: Hard edges, and a regression approach
Per A. Mykland, Lan Zhang
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 411-428
Open Access | Times Cited: 1
High Dimensional Beta Test with High Frequency Data
Dachuan Chen, Long Feng, Per A. Mykland, et al.
SSRN Electronic Journal (2022)
Closed Access | Times Cited: 1
High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
Dachuan Chen, Haoning Chen, Long Feng, et al.
SSRN Electronic Journal (2023)
Closed Access
The Intraday Variation of Market Beta in Chinese Stock Market
Zhao Hua, Lu Zhang, Hao Zhang
SSRN Electronic Journal (2023)
Closed Access
Estimating Leverage Effect and Volatility of Volatility in the Presence of Jumps, Microstructure Noise and Irregular Observation Times
Dachuan Chen, Yanping Li, Christina Dan Wang
SSRN Electronic Journal (2023)
Closed Access
A CLT for second difference estimators with an application to volatility and intensity
Emil Aas Stoltenberg, Per A. Mykland, Lan Zhang
arXiv (Cornell University) (2019)
Open Access
Robust covariance estimation with noisy high-frequency financial data
Jiandong Wang, Manying Bai
Journal of nonparametric statistics (2022) Vol. 34, Iss. 4, pp. 804-830
Closed Access
Principal Component Analysis based on Correlation Matrix with Asynchronous and Noisy High Frequency Data
Dachuan Chen
SSRN Electronic Journal (2022)
Closed Access
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