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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 econometrics of high-frequency data
Per A. Mykland, Lan Zhang
Monographs on statistics and applied probability (2012), pp. 109-190
Open Access | Times Cited: 93

Showing 1-25 of 93 citing articles:

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: 520
The Estimation of Leverage Effect With High-Frequency Data
Christina D. Wang, Per A. Mykland
Journal of the American Statistical Association (2013) Vol. 109, Iss. 505, pp. 197-215
Closed Access | Times Cited: 95
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
Recent results in the theory and applications of CARMA processes
Peter J. Brockwell
Annals of the Institute of Statistical Mathematics (2014) Vol. 66, Iss. 4, pp. 647-685
Closed Access | Times Cited: 71
Integer-valued Lévy processes and low latency financial econometrics
Ole E. Barndorff‐Nielsen, David G. Pollard, Neil Shephard
Quantitative Finance (2012) Vol. 12, Iss. 4, pp. 587-605
Open Access | Times Cited: 63
Intraday Periodic Volatility Curves
Torben G. Andersen, Tao Su, Viktor Todorov, et al.
Journal of the American Statistical Association (2023) Vol. 119, Iss. 546, pp. 1181-1191
Closed Access | Times Cited: 16
Maximum-likelihood estimation for diffusion processes via closed-form density expansions
Chenxu Li
The Annals of Statistics (2013) Vol. 41, Iss. 3
Open Access | Times Cited: 48
Efficient estimation of integrated volatility incorporating trading information
Yingying Li, Shangyu Xie, Xinghua Zheng
Journal of Econometrics (2016) Vol. 195, Iss. 1, pp. 33-50
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
A Gaussian calculus for inference from high frequency data
Per A. Mykland
Annals of Finance (2010) Vol. 8, Iss. 2-3, pp. 235-258
Closed Access | Times Cited: 49
Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
Markus Bibinger, Markus Reiß
Scandinavian Journal of Statistics (2013) Vol. 41, Iss. 1, pp. 23-50
Open Access | Times Cited: 39
Data and Decision Intelligence for Human-in-the-Loop Cyber-Physical Systems: Reference Model, Recent Progresses and Challenges
Meng Ma, Weilan Lin, Disheng Pan, et al.
Journal of Signal Processing Systems (2017) Vol. 90, Iss. 8-9, pp. 1167-1178
Closed Access | Times Cited: 39
EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES
Éric Renault, Cisil Sarisoy, Bas J. M. Werker
Econometric Theory (2016) Vol. 33, Iss. 2, pp. 439-478
Closed Access | Times Cited: 30
Estimating jump–diffusions using closed-form likelihood expansions
Chenxu Li, Dachuan Chen
Journal of Econometrics (2016) Vol. 195, Iss. 1, pp. 51-70
Closed Access | Times Cited: 29
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Z. Merrick Li, Roger J. A. Laeven, Michel Vellekoop
Journal of Econometrics (2019) Vol. 215, Iss. 2, pp. 536-558
Open Access | Times Cited: 27
Volatility inference in the presence of both endogenous time and microstructure noise
Yingying Li, Zhiyuan Zhang, Xinghua Zheng
Stochastic Processes and their Applications (2013) Vol. 123, Iss. 7, pp. 2696-2727
Open Access | Times Cited: 30
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 242-262
Open Access | Times Cited: 25
NONPARAMETRIC STOCHASTIC VOLATILITY
Federico M. Bandi, Roberto Renò
Econometric Theory (2018) Vol. 34, Iss. 6, pp. 1207-1255
Open Access | Times Cited: 24
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Yingying Li, Zhiyuan Zhang, Yichu Li
Journal of Econometrics (2017) Vol. 203, Iss. 2, pp. 187-222
Open Access | Times Cited: 23
Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method
Jean Jacod, Per A. Mykland
Stochastic Processes and their Applications (2015) Vol. 125, Iss. 8, pp. 2910-2936
Open Access | Times Cited: 22
Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation
Per A. Mykland, Neil Shephard, Kevin Sheppard
SSRN Electronic Journal (2012)
Open Access | Times Cited: 22
Nonparametric inference on Lévy measures and copulas
Axel Bücher, Mathias Vetter
The Annals of Statistics (2013) Vol. 41, Iss. 3
Open Access | Times Cited: 22
A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Cheng Liu, Cheng Yong Tang
Journal of Econometrics (2014) Vol. 180, Iss. 2, pp. 217-232
Closed Access | Times Cited: 21
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Markus Bibinger, Mathias Vetter
Annals of the Institute of Statistical Mathematics (2014) Vol. 67, Iss. 4, pp. 707-743
Closed Access | Times Cited: 21
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Per A. Mykland, Lan Zhang, Dachuan Chen
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 101-119
Open Access | Times Cited: 20
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