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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:

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

Showing 1-25 of 144 citing articles:

Principal Component Analysis of High-Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of the American Statistical Association (2017) Vol. 114, Iss. 525, pp. 287-303
Open Access | Times Cited: 223
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 2, pp. 384-399
Closed Access | Times Cited: 199
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
Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 205-219
Closed Access | Times Cited: 94
Understanding Systematic Risk: A High‐Frequency Approach
Markus Pelger
The Journal of Finance (2020) Vol. 75, Iss. 4, pp. 2179-2220
Closed Access | Times Cited: 93
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
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
Jianqing Fan, Donggyu Kim
Journal of the American Statistical Association (2017) Vol. 113, Iss. 523, pp. 1268-1283
Open Access | Times Cited: 60
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Donggyu Kim, Jianqing Fan
Journal of Econometrics (2018) Vol. 208, Iss. 2, pp. 395-417
Closed Access | Times Cited: 52
Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
Emmanouil Platanakis, Charles Sutcliffe, Xiaoxia Ye
European Journal of Operational Research (2020) Vol. 288, Iss. 1, pp. 302-317
Open Access | Times Cited: 49
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
The rise of passive investing: a systematic literature review applying PRISMA framework
Priya Malhotra
Journal of Capital Markets Studies (2024) Vol. 8, Iss. 1, pp. 95-125
Open Access | Times Cited: 5
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Chaoxing Dai, Kun Lu, Dacheng Xiu
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 43-79
Closed Access | Times Cited: 44
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
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Neil Shephard, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 1, pp. 19-42
Closed Access | Times Cited: 42
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
A Nodewise Regression Approach to Estimating Large Portfolios
Laurent Callot, Mehmet Caner, A. Özlem Önder, et al.
Journal of Business and Economic Statistics (2019) Vol. 39, Iss. 2, pp. 520-531
Open Access | Times Cited: 31
A Model for Sustainable Development in Territorial Production Systems
Francesco Sica, Francesco Tajani, Pierluigi Morano
Sustainable Development (2025)
Open Access
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA
Ruijun Bu, Degui Li, Oliver Linton, et al.
Econometric Theory (2025), pp. 1-38
Closed Access
Cross-sectional dependence in idiosyncratic volatility
Ilze Kalnina, Kokouvi Tewou
Journal of Econometrics (2025) Vol. 249, pp. 106003-106003
Closed Access
Large volatility matrix estimation with factor-based diffusion model for high-frequency financial data
Donggyu Kim, Yi Liu, Yazhen Wang
Bernoulli (2018) Vol. 24, Iss. 4B
Open Access | Times Cited: 31
Inference theory for volatility functional dependencies
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2016) Vol. 193, Iss. 1, pp. 17-34
Open Access | Times Cited: 29
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
Estimation of large dimensional conditional factor models in finance
Patrick Gagliardini, Elisa Ossola, Olivier Scaillet
Handbook of econometrics (2020), pp. 219-282
Open Access | Times Cited: 27
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models
Jianqing Fan, Yang Feng, Lucy Xia
Journal of Econometrics (2020) Vol. 218, Iss. 1, pp. 119-139
Open Access | Times Cited: 27
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