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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:

When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
Rui Da, Dacheng Xiu
Econometrica (2021) Vol. 89, Iss. 6, pp. 2787-2825
Open Access | Times Cited: 38

Showing 1-25 of 38 citing articles:

Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach
Jionghao Huang, Baifan Chen, Yushi Xu, et al.
Finance research letters (2023) Vol. 53, pp. 103634-103634
Open Access | Times Cited: 47
Jump Risk Implicit in Options Market
Qiang Chen, Yu Han, Ying Huang, et al.
Journal of Financial Econometrics (2025) Vol. 23, Iss. 2
Closed Access | Times Cited: 4
Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures
Juncal Cuñado, Ioannis Chatziantoniou, David Gabauer, et al.
Journal of commodity markets (2023) Vol. 30, pp. 100327-100327
Open Access | Times Cited: 36
Information loss in volatility measurement with flat price trading
Peter C.B. Phillips, Jun Yu
Empirical Economics (2023) Vol. 64, Iss. 6, pp. 2957-2999
Closed Access | Times Cited: 23
Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
Juncal Cuñado, David Gabauer, Rangan Gupta
Financial Innovation (2024) Vol. 10, Iss. 1
Open Access | Times Cited: 9
Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network
Yang Zhou, Chi Xie, Gang‐Jin Wang, et al.
Financial Innovation (2025) Vol. 11, Iss. 1
Open Access | Times Cited: 1
COVID-19 and the volatility interlinkage between bitcoin and financial assets
Aktham Maghyereh, Hussein Abdoh
Empirical Economics (2022) Vol. 63, Iss. 6, pp. 2875-2901
Open Access | Times Cited: 29
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
Automated Volatility Forecasting
Sophia Zhengzi Li, Yushan Tang
Management Science (2024)
Closed Access | Times Cited: 6
Volatility Puzzle: Long Memory or Antipersistency
Shuping Shi, Jun Yu
Management Science (2022) Vol. 69, Iss. 7, pp. 3861-3883
Open Access | Times Cited: 20
A Nonparametric Test for Rough Volatility
Carsten Chong, Viktor Todorov
Journal of the American Statistical Association (2025), pp. 1-23
Closed Access
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
COVID-19 pandemic and volatility interdependence between gold and financial assets
Aktham Maghyereh, Hussein Abdoh
Applied Economics (2021) Vol. 54, Iss. 13, pp. 1473-1486
Closed Access | Times Cited: 21
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten Chong, Thomas Delerue, Guoying Li
Journal of the American Statistical Association (2024), pp. 1-22
Open Access | Times Cited: 3
Information loss in volatility measurement with flat price trading
Peter C.B. Phillips, Jun Yu
Advanced studies in theoretical and applied econometrics (2023), pp. 501-543
Closed Access | Times Cited: 8
Local mispricing and microstructural noise: A parametric perspective
Torben G. Andersen, Ilya Archakov, Gökhan Cebiroğlu, et al.
Journal of Econometrics (2021) Vol. 230, Iss. 2, pp. 510-534
Closed Access | Times Cited: 12
Reading the Candlesticks: An OK Estimator for Volatility
Jia Li, Dishen Wang, Qiushi Zhang
The Review of Economics and Statistics (2022) Vol. 106, Iss. 4, pp. 1114-1128
Open Access | Times Cited: 8
A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2021)
Open Access | Times Cited: 10
Trade policy uncertainty, shipping risk, and commodity markets
Mengya Shang, Zhang Lin, Hongcheng Duan, et al.
Finance research letters (2024), pp. 106604-106604
Closed Access | Times Cited: 1
Forecasting Realized Volatility: An Automatic System Using Many Features and Many Machine Learning Algorithms
Sophia Zhengzi Li, Yushan Tang
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 7
Weak Identification of Long Memory with Implications for Inference
Jia Li, Peter C.B. Phillips, Shuping Shi, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
Robust estimation of integrated and spot volatility
Z. Merrick Li, Oliver Linton
Journal of Econometrics (2023), pp. 105614-105614
Open Access | Times Cited: 1
The Fine Structure of Volatility Dynamics
Carsten Chong, Viktor Todorov
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Econometrics Journal (2024) Vol. 27, Iss. 2, pp. 278-298
Open Access
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