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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:

Realised Kernels in Practice: Trades and Quotes
Ole E. Barndorff‐Nielsen, Peter Reinhard Hansen, Asger Lunde, et al.
SSRN Electronic Journal (2008)
Closed Access | Times Cited: 156

Showing 1-25 of 156 citing articles:

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
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
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
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
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
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
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
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
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
Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Nikolaus Hautsch, Mark Podolskij
Journal of Business and Economic Statistics (2013) Vol. 31, Iss. 2, pp. 165-183
Open Access | Times Cited: 109
Data-based ranking of realised volatility estimators
Andrew J. Patton
Journal of Econometrics (2010) Vol. 161, Iss. 2, pp. 284-303
Closed Access | Times Cited: 97
Cojumps in stock prices: Empirical evidence
Dudley Gilder, Mark B. Shackleton, Stephen J. Taylor
Journal of Banking & Finance (2013) Vol. 40, pp. 443-459
Open Access | Times Cited: 89
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
Siem Jan Koopman, Marcel Scharth
Journal of Financial Econometrics (2012) Vol. 11, Iss. 1, pp. 76-115
Closed Access | Times Cited: 83
Information Shocks and Short-Term Market Underreaction
George J. Jiang, Kevin X. Zhu
Journal of Financial Economics (2016) Vol. 124, Iss. 1, pp. 43-64
Closed Access | Times Cited: 83
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Nikolaus Hautsch, Lada M. Kyj, Peter Malec
Journal of Applied Econometrics (2013) Vol. 30, Iss. 2, pp. 263-290
Open Access | Times Cited: 74
Nonparametric kernel density estimation near the boundary
Peter Malec, Melanie Schienle
Computational Statistics & Data Analysis (2013) Vol. 72, pp. 57-76
Open Access | Times Cited: 73
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
High-dimensional copula-based distributions with mixed frequency data
Dong Hwan Oh, Andrew J. Patton
Journal of Econometrics (2016) Vol. 193, Iss. 2, pp. 349-366
Open Access | Times Cited: 68
A Practical Guide to Volatility Forecasting through Calm and Storm
Christian T. Brownlees, Robert F. Engle, Bryan T. Kelly
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 66
Forecasting realized volatility with changing average levels
Giampiero M. Gallo, Edoardo Otranto
International Journal of Forecasting (2015) Vol. 31, Iss. 3, pp. 620-634
Closed Access | Times Cited: 62
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Nikolaus Hautsch, Dieter Hess, David Veredas
Journal of Banking & Finance (2011) Vol. 35, Iss. 10, pp. 2733-2746
Open Access | Times Cited: 61
Long memory dynamics for multivariate dependence under heavy tails
P. Janus, Siem Jan Koopman, André Lucas
Journal of Empirical Finance (2014) Vol. 29, pp. 187-206
Open Access | Times Cited: 52
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