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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 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

Showing 1-25 of 27 citing articles:

Rate-optimal estimation of mixed semimartingales
Carsten Chong, Thomas Delerue, Fabian Mies
The Annals of Statistics (2025) Vol. 53, Iss. 1
Closed Access | Times Cited: 1
Structural Equation Modeling in Archival Capital Markets Research: An Empirical Application to Disclosure and Cost of Capital
Lisa A. Hinson, Steven Utke
Journal of Financial Reporting (2023) Vol. 8, Iss. 2, pp. 87-130
Open Access | Times Cited: 19
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
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten Chong, Thomas Delerue, Guoying Li
Journal of the American Statistical Association (2024), pp. 1-22
Open Access | Times Cited: 3
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
Recent Developments in Factor Models and Applications in Econometric Learning
Jianqing Fan, Kunpeng Li, Yuan Liao
Annual Review of Financial Economics (2021) Vol. 13, Iss. 1, pp. 401-430
Open Access | Times Cited: 14
Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
Xinbing Kong, Jin‐Guan Lin, Cheng Liu, et al.
Journal of the American Statistical Association (2021) Vol. 118, Iss. 542, pp. 1333-1344
Closed Access | Times Cited: 14
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
Rate-optimal estimation of mixed semimartingales
Carsten Chong, Thomas Delerue, Fabian Mies
SSRN Electronic Journal (2022)
Open Access | Times Cited: 8
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
The Associations Among Earnings Quality, Voluntary Disclosure, Information Asymmetry, and Cost of Equity Capital: A Structural Equation Modeling Approach
Lisa A. Hinson, Steven Utke
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 6
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
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
Oliver B. Linton, Degui Li, Haoxuan Zhang
(2024)
Open Access
Probabilistic Models and Statistics for Electronic Financial Markets in the Digital Age
Markus Bibinger
Jahresbericht der Deutschen Mathematiker-Vereinigung (2024) Vol. 126, Iss. 3, pp. 129-165
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
Testing the eigenvalue structure of spot and integrated covariance
Prosper Dovonon, Abderrahim Taamouti, Julian Williams
Journal of Econometrics (2021) Vol. 229, Iss. 2, pp. 363-395
Open Access | Times Cited: 2
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
Separating common and idiosyncratic components without moment condition and on the weighted $L_1$ minimization path.
Yong He, Xinbing Kong, Long Yu, et al.
arXiv (Cornell University) (2020)
Closed 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
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
Principal Component Analysis based on Correlation Matrix with Asynchronous and Noisy High Frequency Data
Dachuan Chen
SSRN Electronic Journal (2022)
Closed Access
Estimation of Growth in Fund Models
Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
SSRN Electronic Journal (2022)
Open Access
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