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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:

Dependent microstructure noise and integrated volatility estimation from high-frequency data
Z. Merrick Li, Roger J. A. Laeven, Michel Vellekoop
Journal of Econometrics (2019) Vol. 215, Iss. 2, pp. 536-558
Open Access | Times Cited: 27

Showing 1-25 of 27 citing articles:

A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver Linton
Econometrica (2022) Vol. 90, Iss. 1, pp. 367-389
Open Access | Times Cited: 44
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
Rui Da, Dacheng Xiu
Econometrica (2021) Vol. 89, Iss. 6, pp. 2787-2825
Open Access | Times Cited: 38
Asymptotic normality of Nadaraya–Waton kernel regression estimation for mixing high-frequency data
Shanchao Yang, Yanzhe Wang, Lanjiao Qin, et al.
Statistics (2024) Vol. 58, Iss. 1, pp. 87-108
Closed Access | Times Cited: 5
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
Nonparametric estimation for high-frequency data incorporating trading information
Wenhao Cui, Jie Hu, Jiandong Wang
Journal of Econometrics (2024) Vol. 240, Iss. 1, pp. 105690-105690
Closed Access | Times Cited: 2
Local mispricing and microstructural noise: A parametric perspective
Torben G. Andersen, Ilya Archakov, Gökhan Cebiroğlu, et al.
Journal of Econometrics (2021) Vol. 230, Iss. 2, pp. 510-534
Closed Access | Times Cited: 12
A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2021)
Open Access | Times Cited: 10
Robust Estimation of Integrated and Spot Volatility
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
Supplementary Material for 'A ReMeDI for Microstructure Noise'

SSRN Electronic Journal (2019)
Closed Access | Times Cited: 4
Robust estimation of integrated and spot volatility
Z. Merrick Li, Oliver Linton
Journal of Econometrics (2023), pp. 105614-105614
Open Access | Times Cited: 1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Econometrics Journal (2024) Vol. 27, Iss. 2, pp. 278-298
Open Access
Estimation of Asset Pricing Errors and Their Empirical Properties
Z. Merrick Li
SSRN Electronic Journal (2024)
Closed Access
Estimation of volatility functionals with time-varying price staleness
Haibin Zhu, Qiang Liu, Zhi Liu
(2024)
Closed Access
Robust realized integrated beta estimator with application to dynamic analysis of integrated beta
Minseog Oh, Donggyu Kim, Yazhen Wang
Journal of Econometrics (2024), pp. 105810-105810
Open Access
Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Danial Saef, Odett Nagy, Sergej Sizov, et al.
Digital Finance (2024) Vol. 6, Iss. 4, pp. 605-638
Open Access
S&P 500 microstructure noise components: empirical inferences from futures and ETF prices
Stephen J. Taylor
Journal of Time Series Analysis (2024)
Open Access
Understanding Jumps in High Frequency Digital Asset Markets
Danial Saef, Odett Nagy, Sergej Sizov, et al.
SSRN Electronic Journal (2021)
Open Access | Times Cited: 3
Robust Estimation of Integrated Volatility
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2020)
Open Access | Times Cited: 2
Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times
Yifan Li, Ingmar Nolte, Sandra Nolte, et al.
SSRN Electronic Journal (2021)
Closed Access | Times Cited: 2
A Multiscale Estimator for Pricing Errors in High-frequency Financial Markets
Louis R. Piccotti
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 1
A ReMeDI for Microstructure Noise

SSRN Electronic Journal (2020)
Open Access | Times Cited: 1
The Distribution of Microstructure Noise for the S&P 500 Index
Stephen J. Taylor
SSRN Electronic Journal (2014)
Closed Access
Covariance Matrix Jumps in High-Frequency Financial Markets
Yuri Hupka, Louis R. Piccotti
(2023)
Closed Access
On truncated multi-power estimator of integrated volatility with noisy high frequency data
Chuanhai Zhang, Zhi Liu, Haiqiang Chen
SSRN Electronic Journal (2020)
Closed Access
Mixed semimartingales: Volatility estimation in the presence of fractional noise
Carsten Chong, Thomas Delerue, Guoying Li
SSRN Electronic Journal (2021)
Open Access
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