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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:

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

Showing 1-25 of 148 citing articles:

Generalized Thresholding of Large Covariance Matrices
Adam Rothman, Elizaveta Levina, Ji Zhu
Journal of the American Statistical Association (2009) Vol. 104, Iss. 485, pp. 177-186
Closed Access | Times Cited: 495
Modeling Dependence in High Dimensions With Factor Copulas
Dong Hwan Oh, Andrew J. Patton
Journal of Business and Economic Statistics (2015) Vol. 35, Iss. 1, pp. 139-154
Open Access | Times Cited: 230
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
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
Approaching Mean-Variance Efficiency for Large Portfolios
Mengmeng Ao, Yingying Li, Xinghua Zheng
Review of Financial Studies (2018) Vol. 32, Iss. 7, pp. 2890-2919
Closed Access | Times Cited: 115
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
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
Laurent Callot, Anders Kock, Marcelo C. Medeiros
Journal of Applied Econometrics (2016) Vol. 32, Iss. 1, pp. 140-158
Open Access | Times Cited: 102
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: 99
A variance spillover analysis without covariances: What do we miss?
Matthias R. Fengler, Katja Gisler
Journal of International Money and Finance (2014) Vol. 51, pp. 174-195
Open Access | Times Cited: 80
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Asger Lunde, Neil Shephard, Kevin Sheppard
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 4, pp. 504-518
Closed Access | Times Cited: 76
REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS
Yingying Li, Per A. Mykland, Éric Renault, et al.
Econometric Theory (2013) Vol. 30, Iss. 3, pp. 580-605
Open Access | Times Cited: 76
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Nikolaus Hautsch, Lada M. Kyj, Peter Malec
Journal of Applied Econometrics (2013) Vol. 30, Iss. 2, pp. 263-290
Open Access | Times Cited: 74
Generalized optimal wavelet decomposing algorithm for big financial data
Edward W. Sun, Yi‐Ting Chen, Min‐Teh Yu
International Journal of Production Economics (2015) Vol. 165, pp. 194-214
Closed Access | Times Cited: 67
Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
Donggyu Kim, Yazhen Wang, Jian Zou
Stochastic Processes and their Applications (2016) Vol. 126, Iss. 11, pp. 3527-3577
Open Access | Times Cited: 59
High-dimensional minimum variance portfolio estimation based on high-frequency data
Tommaso Cai, Jianchang Hu, Yingying Li, et al.
Journal of Econometrics (2019) Vol. 214, Iss. 2, pp. 482-494
Closed Access | Times Cited: 46
High dimensional minimum variance portfolio estimation under statistical factor models
Yi Ding, Yingying Li, Xinghua Zheng
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 502-515
Closed Access | Times Cited: 46
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
On the estimation of integrated covariance matrices of high dimensional diffusion processes
Xinghua Zheng, Yingying Li
The Annals of Statistics (2011) Vol. 39, Iss. 6
Open Access | Times Cited: 59
On the number of common factors with high-frequency data
Xinbing Kong
Biometrika (2017) Vol. 104, Iss. 2, pp. 397-410
Closed Access | Times Cited: 43
Asymptotic normality of kernel density estimation for mixing high-frequency data
Shanchao Yang, Lanjiao Qin, Yudong Wang, et al.
Journal of nonparametric statistics (2024), pp. 1-26
Closed Access | Times Cited: 4
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Minjing Tao, Yazhen Wang, Harrison H. Zhou
The Annals of Statistics (2013) Vol. 41, Iss. 4
Open Access | Times Cited: 39
Jump robust two time scale covariance estimation and realized volatility budgets
Kris Boudt, Jin Zhang
Quantitative Finance (2013) Vol. 15, Iss. 6, pp. 1041-1054
Open Access | Times Cited: 38
High‐dimensional covariance matrix estimation
Clifford Lam
Wiley Interdisciplinary Reviews Computational Statistics (2019) Vol. 12, Iss. 2
Open Access | Times Cited: 35
On the systematic and idiosyncratic volatility with large panel high-frequency data
Xinbing Kong
The Annals of Statistics (2018) Vol. 46, Iss. 3
Open Access | Times Cited: 34
High-dimensional multivariate realized volatility estimation
Tim Bollerslev, Nour Meddahi, Serge Nyawa
Journal of Econometrics (2019) Vol. 212, Iss. 1, pp. 116-136
Open Access | Times Cited: 31
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