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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:

Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
Per A. Mykland, Lan Zhang
SSRN Electronic Journal (2007)
Open Access | Times Cited: 25

Showing 25 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: 521
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Kim Christensen, Silja Kinnebrock, Mark Podolskij
Journal of Econometrics (2010) Vol. 159, Iss. 1, pp. 116-133
Open Access | Times Cited: 268
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
Spot volatility estimation for high-frequency data
Jianqing Fan, Yazhen Wang
Statistics and Its Interface (2008) Vol. 1, Iss. 2, pp. 279-288
Closed Access | Times Cited: 90
The Realized Laplace Transform of Volatility
Viktor Todorov, George Tauchen
Econometrica (2012) Vol. 80, Iss. 3, pp. 1105-1127
Open Access | Times Cited: 66
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
Journal of Econometrics (2018) Vol. 205, Iss. 2, pp. 336-362
Closed Access | Times Cited: 53
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
Inference for volatility-type objects and implications for hedging
Per A. Mykland, Lan Zhang
Statistics and Its Interface (2008) Vol. 1, Iss. 2, pp. 255-278
Open Access | Times Cited: 59
Subsampling high frequency data
Ilze Kalnina
Journal of Econometrics (2010) Vol. 161, Iss. 2, pp. 262-283
Open Access | Times Cited: 40
Quadratic Variation by Markov Chains
Peter Reinhard Hansen, Guillaume Horel
SSRN Electronic Journal (2009)
Open Access | Times Cited: 39
Forecasting Volatility Using High-Frequency Data
Peter Reinhard Hansen, Asger Lunde
Oxford University Press eBooks (2012), pp. 525-556
Closed Access | Times Cited: 36
Rounding Errors and Volatility Estimation
Y. Li, Per A. Mykland
Journal of Financial Econometrics (2014) Vol. 13, Iss. 2, pp. 478-504
Open Access | Times Cited: 34
Stochastic volatility and stochastic leverage
Almut E. D. Veraart, Luitgard Anna Maria Veraart
Annals of Finance (2010) Vol. 8, Iss. 2-3, pp. 205-233
Open Access | Times Cited: 34
Volatility During the Financial Crisis Through the Lens of High Frequency Data: A Realized GARCH Approach
Denisa Banulescu Radu, Peter Reinhard Hansen, Zhuo Huang, et al.
SSRN Electronic Journal (2018)
Open Access | Times Cited: 15
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Ilze Kalnina
Journal of Business and Economic Statistics (2022) Vol. 41, Iss. 2, pp. 538-549
Open Access | Times Cited: 9
Stochastic Volatility of Volatility in Continuous Time
Ole E. Barndorff‐Nielsen, Almut E. D. Veraart
SSRN Electronic Journal (2009)
Open Access | Times Cited: 15
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data
Kim Christensen, Silja Kinnebrock, Mark Podolskij
(2010)
Closed Access | Times Cited: 10
Stochastic Volatility and Stochastic Leverage
Almut E. D. Veraart, Luitgard Anna Maria Veraart
SSRN Electronic Journal (2009)
Open Access | Times Cited: 10
Volatility
Ole E. Barndorff‐Nielsen, Neil Shephard
Encyclopedia of Quantitative Finance (2010)
Closed Access | Times Cited: 10
The Realized Laplace Transform of Volatility
George Tauchen, Viktor Todorov
SSRN Electronic Journal (2011)
Open Access | Times Cited: 9
ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS
Bing‐Yi Jing, Zhi Liu, Xinbing Kong
Econometric Theory (2016) Vol. 33, Iss. 2, pp. 331-365
Closed Access | Times Cited: 7
Option Pricing Bounds and Statistical Uncertainty: Using Econometrics to Find an Exit Strategy in Derivatives Trading
Per A. Mykland
Elsevier eBooks (2010), pp. 135-195
Closed Access | Times Cited: 2
Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise
Li Wang, Zhi Liu, Xiaochao Xia
Soft Computing (2018) Vol. 23, Iss. 14, pp. 5739-5752
Closed Access | Times Cited: 2
Mixture of Distribution Hypothesis
Jonathan B. Hill
Encyclopedia of Quantitative Finance (2010)
Closed Access | Times Cited: 1
Testing for Heteroscedasticity in Jumpy and Noisy High-frequency Data: A Resampling Approach
Kim Christensen, Ulrich Hounyo, Mark Podolskij
SSRN Electronic Journal (2016)
Closed Access
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