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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:

Dynamic copula models and high frequency data
Irving De Lira Salvatierra, Andrew J. Patton
Journal of Empirical Finance (2014) Vol. 30, pp. 120-135
Closed Access | Times Cited: 114

Showing 1-25 of 114 citing articles:

Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
Dong Hwan Oh, Andrew J. Patton
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 2, pp. 181-195
Open Access | Times Cited: 236
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: 137
Automated trading systems statistical and machine learning methods and hardware implementation: a survey
Boming Huang, Yuxiang Huan, Li Da Xu, et al.
Enterprise Information Systems (2018) Vol. 13, Iss. 1, pp. 132-144
Open Access | Times Cited: 122
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
Journal of Econometrics (2018) Vol. 207, Iss. 1, pp. 71-91
Open Access | Times Cited: 98
Maximum likelihood estimation for score-driven models
Francisco Blasques, J. van Brummelen, Siem Jan Koopman, et al.
Journal of Econometrics (2021) Vol. 227, Iss. 2, pp. 325-346
Open Access | Times Cited: 63
Time‐Varying Transition Probabilities for Markov Regime Switching Models
Marco Bazzi, Francisco Blasques, Siem Jan Koopman, et al.
Journal of Time Series Analysis (2016) Vol. 38, Iss. 3, pp. 458-478
Open Access | Times Cited: 80
Financialization of agricultural commodities: Evidence from China
Ruolan Ouyang, Xuan Zhang
Economic Modelling (2019) Vol. 85, pp. 381-389
Open Access | Times Cited: 59
Network analysis of risk transmission among energy futures: An industrial chain perspective
Ruolan Ouyang, Chengkai Zhuang, Tingting Wang, et al.
Energy Economics (2022) Vol. 107, pp. 105798-105798
Closed Access | Times Cited: 38
The contagion effect in European sovereign debt markets: A regime-switching vine copula approach
Ahmed BenSaïda
International Review of Financial Analysis (2017) Vol. 58, pp. 153-165
Closed Access | Times Cited: 52
Comparison of Value-at-Risk models using the MCS approach
Mauro Bernardi, Leopoldo Catania
Computational Statistics (2016) Vol. 31, Iss. 2, pp. 579-608
Closed Access | Times Cited: 48
Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances
Leopoldo Catania, Anna Gloria Billé
Journal of Applied Econometrics (2017) Vol. 32, Iss. 6, pp. 1178-1196
Open Access | Times Cited: 43
Dynamic Dependence and Diversification in Corporate Credit*
Peter Christoffersen, Kris Jacobs, Xisong Jin, et al.
Review of Finance (2017) Vol. 22, Iss. 2, pp. 521-560
Closed Access | Times Cited: 40
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Emese Lazar, Xiaohan Xue
International Journal of Forecasting (2020) Vol. 36, Iss. 3, pp. 1057-1072
Open Access | Times Cited: 35
Copulae: An overview and recent developments
Joshua Größer, Ostap Okhrin
Wiley Interdisciplinary Reviews Computational Statistics (2021) Vol. 14, Iss. 3
Open Access | Times Cited: 27
Conditional score residuals and diagnostic analysis of serial dependence in time series models ∗
Francisco Blasques, Paolo Gorgi, Siem Jan Koopman
Journal of Business and Economic Statistics (2025), pp. 1-28
Open Access
Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information
Xu Bao-Li, Zhimin Wu
The North American Journal of Economics and Finance (2025), pp. 102368-102368
Closed Access
Score-driven expected return and volatility spillovers between the Indian and United States stock markets
Szabolcs Blazsek, Vijaya Subrahmanyam, Astrid Ayala
Applied Economics (2025), pp. 1-19
Closed Access
Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall
Tobias Eckernkemper
Journal of Financial Econometrics (2017) Vol. 16, Iss. 1, pp. 63-117
Closed Access | Times Cited: 38
Dynamic discrete copula models for high‐frequency stock price changes
Siem Jan Koopman, Rutger Lit, André Lucas, et al.
Journal of Applied Econometrics (2018) Vol. 33, Iss. 7, pp. 966-985
Open Access | Times Cited: 35
Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
Tobias Fissler, Yannick Hoga
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 2, pp. 485-498
Open Access | Times Cited: 10
Time series copulas for heteroskedastic data
Rubén Loaiza‐Maya, Michael S. Smith, Worapree Maneesoonthorn
Journal of Applied Econometrics (2017) Vol. 33, Iss. 3, pp. 332-354
Open Access | Times Cited: 33
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Anne Opschoor, André Lucas, István Barra, et al.
Journal of Business and Economic Statistics (2020) Vol. 39, Iss. 4, pp. 1066-1079
Open Access | Times Cited: 27
Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
Marco Bee, Debbie J. Dupuis, Luca Trapin
Journal of Financial Econometrics (2019) Vol. 17, Iss. 2, pp. 254-283
Open Access | Times Cited: 24
The Analysis and Forecasting of Tennis Matches by using a High Dimensional Dynamic Model
Paolo Gorgi, Siem Jan Koopman, Rutger Lit
Journal of the Royal Statistical Society Series A (Statistics in Society) (2019) Vol. 182, Iss. 4, pp. 1393-1409
Open Access | Times Cited: 23
Systemic risk of commodity markets: A dynamic factor copula approach
Ruolan Ouyang, Xiang Chen, Yi Fang, et al.
International Review of Financial Analysis (2022) Vol. 82, pp. 102204-102204
Closed Access | Times Cited: 14
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