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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:

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
The Annals of Statistics (2014) Vol. 42, Iss. 4
Open Access | Times Cited: 103

Showing 1-25 of 103 citing articles:

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
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
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
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
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
Econometrics of co-jumps in high-frequency data with noise
Markus Bibinger, Lars Winkelmann
Journal of Econometrics (2014) Vol. 184, Iss. 2, pp. 361-378
Open Access | Times Cited: 67
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
Adaptive estimation of continuous-time regression models using high-frequency data
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2017) Vol. 200, Iss. 1, pp. 36-47
Open Access | Times Cited: 56
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
Journal of Business and Economic Statistics (2017) Vol. 37, Iss. 3, pp. 419-435
Open Access | Times Cited: 53
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
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
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
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
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Markus Reiß, Viktor Todorov, George Tauchen
Stochastic Processes and their Applications (2015) Vol. 125, Iss. 8, pp. 2955-2988
Open Access | Times Cited: 37
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
Efficient estimation of integrated volatility functionals via multiscale jackknife
Jia Li, Yunxiao Liu, Dacheng Xiu
The Annals of Statistics (2018) Vol. 47, Iss. 1
Open Access | Times Cited: 28
A noisy principal component analysis for forward rate curves
Márcio Poletti Laurini, Alberto Ohashi
European Journal of Operational Research (2015) Vol. 246, Iss. 1, pp. 140-153
Open Access | Times Cited: 27
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates
Lars Winkelmann, Markus Bibinger, Tobias Linzert
Journal of Applied Econometrics (2015) Vol. 31, Iss. 4, pp. 613-629
Open Access | Times Cited: 25
Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
Ulrich Hounyo
Journal of Econometrics (2016) Vol. 197, Iss. 1, pp. 130-152
Open Access | Times Cited: 25
Forecasting realized volatility: A review
Dong Wan Shin
Journal of the Korean Statistical Society (2018) Vol. 47, Iss. 4, pp. 395-404
Closed Access | Times Cited: 25
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
Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-Definite Estimators of the Covariation of Equity Prices
Neil Shephard, Dacheng Xiu
SSRN Electronic Journal (2012)
Open Access | Times Cited: 25
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Sujin Park, Seok Young Hong, Oliver Linton
Journal of Econometrics (2015) Vol. 191, Iss. 2, pp. 325-347
Open Access | Times Cited: 24
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
Electronic Journal of Statistics (2018) Vol. 12, Iss. 1
Open Access | Times Cited: 23
Functional stable limit theorems for quasi-efficient spectral covolatility estimators
Randolf Altmeyer, Markus Bibinger
Stochastic Processes and their Applications (2015) Vol. 125, Iss. 12, pp. 4556-4600
Open Access | Times Cited: 23
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