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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:

Realized kernels in practice: trades and quotes
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
Econometrics Journal (2009) Vol. 12, Iss. 3, pp. C1-C32
Open Access | Times Cited: 644

Showing 1-25 of 644 citing articles:

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
Andrew J. Patton, Kevin Sheppard
The Review of Economics and Statistics (2015) Vol. 97, Iss. 3, pp. 683-697
Open Access | Times Cited: 671
Realized GARCH: a joint model for returns and realized measures of volatility
Peter Reinhard Hansen, Zhuo Huang, Howard Shek
Journal of Applied Econometrics (2011) Vol. 27, Iss. 6, pp. 877-906
Closed Access | Times Cited: 640
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
Journal of Econometrics (2011) Vol. 162, Iss. 2, pp. 149-169
Open Access | Times Cited: 521
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard
Journal of Econometrics (2015) Vol. 187, Iss. 1, pp. 293-311
Open Access | Times Cited: 519
Jump-robust volatility estimation using nearest neighbor truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
Journal of Econometrics (2012) Vol. 169, Iss. 1, pp. 75-93
Open Access | Times Cited: 435
Realising the future: forecasting with high‐frequency‐based volatility (HEAVY) models
Neil Shephard, Kevin Sheppard
Journal of Applied Econometrics (2010) Vol. 25, Iss. 2, pp. 197-231
Open Access | Times Cited: 434
Exploiting the errors: A simple approach for improved volatility forecasting
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
Journal of Econometrics (2015) Vol. 192, Iss. 1, pp. 1-18
Open Access | Times Cited: 390
Volatility transmission in emerging European foreign exchange markets
Vít Bubák, Evžen Kočenda, Filip Žikeš
Journal of Banking & Finance (2011) Vol. 35, Iss. 11, pp. 2829-2841
Open Access | Times Cited: 326
Artificial intelligence and machine learning in finance: A bibliometric review
Shamima Ahmed, Muneer M. Alshater, Anis El Ammari, et al.
Research in International Business and Finance (2022) Vol. 61, pp. 101646-101646
Closed Access | Times Cited: 253
The impact of sentiment and attention measures on stock market volatility
Francesco Audrino, Fabio Sigrist, Daniele Ballinari
International Journal of Forecasting (2019) Vol. 36, Iss. 2, pp. 334-357
Open Access | Times Cited: 240
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Victor DeMiguel, Yuliya Plyakha, Raman Uppal, et al.
Journal of Financial and Quantitative Analysis (2013) Vol. 48, Iss. 6, pp. 1813-1845
Closed Access | Times Cited: 236
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Financial Economics (2014) Vol. 114, Iss. 3, pp. 576-599
Closed Access | Times Cited: 205
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Feng Ma, Yin Liao, Yaojie Zhang, et al.
Journal of Empirical Finance (2019) Vol. 52, pp. 40-55
Closed Access | Times Cited: 172
A Machine Learning Approach to Volatility Forecasting
Kim Christensen, Mathias Siggaard, Bezirgen Veliyev
Journal of Financial Econometrics (2022) Vol. 21, Iss. 5, pp. 1680-1727
Open Access | Times Cited: 91
Exponential GARCH Modeling With Realized Measures of Volatility
Peter Reinhard Hansen, Zhuo Huang
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 2, pp. 269-287
Open Access | Times Cited: 166
Forecasting the realized volatility of the oil futures market: A regime switching approach
Feng Ma, M.I.M. Wahab, Dengshi Huang, et al.
Energy Economics (2017) Vol. 67, pp. 136-145
Closed Access | Times Cited: 151
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
SSRN Electronic Journal (2010)
Open Access | Times Cited: 149
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
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
Tim Bollerslev, Sophia Zhengzi Li, Viktor Todorov
Journal of Financial Economics (2016) Vol. 120, Iss. 3, pp. 464-490
Closed Access | Times Cited: 148
Optimal combinations of realised volatility estimators
Andrew J. Patton, Kevin Sheppard
International Journal of Forecasting (2009) Vol. 25, Iss. 2, pp. 218-238
Closed Access | Times Cited: 140
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: 139
Which sentiment index is more informative to forecast stock market volatility? Evidence from China
Chao Liang, Linchun Tang, Yan Li, et al.
International Review of Financial Analysis (2020) Vol. 71, pp. 101552-101552
Closed Access | Times Cited: 139
A blocking and regularization approach to high‐dimensional realized covariance estimation
Nikolaus Hautsch, Lada M. Kyj, Roel C. A. Oomen
Journal of Applied Econometrics (2010) Vol. 27, Iss. 4, pp. 625-645
Open Access | Times Cited: 133
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
Management Science (2015) Vol. 62, Iss. 8, pp. 2198-2217
Open Access | Times Cited: 128
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
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