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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:

New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Anne Opschoor, P. Janus, André Lucas, et al.
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 4, pp. 643-657
Open Access | Times Cited: 73

Showing 1-25 of 73 citing articles:

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
Forecasting cryptocurrency volatility
Leopoldo Catania, Stefano Grassi
International Journal of Forecasting (2021) Vol. 38, Iss. 3, pp. 878-894
Closed Access | Times Cited: 44
Modelling Crypto-Currencies Financial Time-Series
Leopoldo Catania, Stefano Grassi
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 53
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
Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies
Jiawen Luo, Oğuzhan Çepni, Rıza Demirer, et al.
Journal of Empirical Finance (2025), pp. 101595-101595
Closed Access
Probability distributions for realized covariance measures
Michael Stollenwerk
Journal of Econometrics (2025), pp. 105954-105954
Open Access
New score-driven scale and shape interactions: an application to international stock indices
Szabolcs Blazsek, Morgan Hall
Applied Economics (2025), pp. 1-21
Closed Access
Exponential smoothing of realized portfolio weights
Vasyl Golosnoy, Bastian Gribisch, Miriam Isabel Seifert
Journal of Empirical Finance (2019) Vol. 53, pp. 222-237
Closed Access | Times Cited: 25
A Model Confidence Set approach to the combination of multivariate volatility forecasts
Alessandra Amendola, Manuela Braione, Vincenzo Candila, et al.
International Journal of Forecasting (2020) Vol. 36, Iss. 3, pp. 873-891
Closed Access | Times Cited: 22
Beta–Negative Binomial Auto-Regressions for Modelling Integer-Valued Time Series with Extreme Observations
Paolo Gorgi
Journal of the Royal Statistical Society Series B (Statistical Methodology) (2020) Vol. 82, Iss. 5, pp. 1325-1347
Open Access | Times Cited: 22
Forecasting volatility with time-varying leverage and volatility of volatility effects
Leopoldo Catania, Tommaso Proietti
International Journal of Forecasting (2020) Vol. 36, Iss. 4, pp. 1301-1317
Closed Access | Times Cited: 21
DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
Luc Bauwens, Yongdeng Xu
International Journal of Forecasting (2022) Vol. 39, Iss. 2, pp. 938-955
Open Access | Times Cited: 11
Factor state–space models for high-dimensional realized covariance matrices of asset returns
Bastian Gribisch, Jan Patrick Hartkopf, Roman Liesenfeld
Journal of Empirical Finance (2019) Vol. 55, pp. 1-20
Closed Access | Times Cited: 18
Bayesian parametric and semiparametric factor models for large realized covariance matrices
Xin Jin, John M. Maheu, Qiao Yang
Journal of Applied Econometrics (2019) Vol. 34, Iss. 5, pp. 641-660
Open Access | Times Cited: 17
A DCC-type approach for realized covariance modeling with score-driven dynamics
Danilo Vassallo, Giuseppe Buccheri, Fulvio Corsi
International Journal of Forecasting (2020) Vol. 37, Iss. 2, pp. 569-586
Open Access | Times Cited: 13
The Asymmetric Effect of COVID-19 Pandemic on the US Market Risk Premium: Evidence from AEGAS-M Model
François Benhmad, Mohamed Chikhi
Computational Economics (2024)
Closed Access | Times Cited: 1
Score-Driven Time Series Models
Andrew Harvey
Annual Review of Statistics and Its Application (2021) Vol. 9, Iss. 1, pp. 321-342
Open Access | Times Cited: 10
Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model
Bastian Gribisch, Jan Patrick Hartkopf
Journal of Econometrics (2022) Vol. 235, Iss. 1, pp. 43-64
Closed Access | Times Cited: 7
Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence
Francisco Blasques, André Lucas, A.C. van Vlodrop
Econometrics and Statistics (2020) Vol. 19, pp. 47-57
Open Access | Times Cited: 10
A dynamic conditional score model for the log correlation matrix
Christian Hafner, Wang Linqi
Journal of Econometrics (2021) Vol. 237, Iss. 2, pp. 105176-105176
Closed Access | Times Cited: 9
Time-varying variance and skewness in realized volatility measures
Anne Opschoor, André Lucas
International Journal of Forecasting (2022) Vol. 39, Iss. 2, pp. 827-840
Open Access | Times Cited: 6
Dynamic clustering of multivariate panel data
Igor Custodio João, André Lucas, Julia Schaumburg, et al.
Journal of Econometrics (2022) Vol. 237, Iss. 2, pp. 105281-105281
Open Access | Times Cited: 6
Fractional Integration and Fat Tails for Realized Covariance Kernels*
Anne Opschoor, André Lucas
Journal of Financial Econometrics (2018) Vol. 17, Iss. 1, pp. 66-90
Open Access | Times Cited: 9
On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe
Menelaos Karanasos, Stavroula Yfanti
European Journal of Finance (2020) Vol. 26, Iss. 12, pp. 1146-1183
Open Access | Times Cited: 8
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