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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:

Detecting jumps from Lévy jump diffusion processes☆
Suzanne S. Lee, Jan Hannig
Journal of Financial Economics (2010) Vol. 96, Iss. 2, pp. 271-290
Closed Access | Times Cited: 140

Showing 1-25 of 140 citing articles:

Modeling financial contagion using mutually exciting jump processes
Yacine Aït‐Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven
Journal of Financial Economics (2015) Vol. 117, Iss. 3, pp. 585-606
Open Access | Times Cited: 521
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Yacine Aït‐Sahalia, Jean Jacod
Journal of Economic Literature (2012) Vol. 50, Iss. 4, pp. 1007-1050
Closed Access | Times Cited: 185
Jumps and Information Flow in Financial Markets
Suzanne S. Lee
Review of Financial Studies (2011) Vol. 25, Iss. 2, pp. 439-479
Closed Access | Times Cited: 167
Testing for jumps in noisy high frequency data
Yacine Aït‐Sahalia, Jean Jacod, Jia Li
Journal of Econometrics (2011) Vol. 168, Iss. 2, pp. 207-222
Open Access | Times Cited: 143
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
Management Science (2015) Vol. 62, Iss. 8, pp. 2198-2217
Open Access | Times Cited: 128
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Zhenyu Cui, Justin Kirkby, Duy Nguyen
European Journal of Operational Research (2017) Vol. 262, Iss. 1, pp. 381-400
Closed Access | Times Cited: 104
Testing whether jumps have finite or infinite activity
Yacine Aït‐Sahalia, Jean Jacod
The Annals of Statistics (2011) Vol. 39, Iss. 3
Open Access | Times Cited: 108
Self-Exciting Jumps, Learning, and Asset Pricing Implications
András Fülöp, Junye Li, Jun Yu
Review of Financial Studies (2014) Vol. 28, Iss. 3, pp. 876-912
Open Access | Times Cited: 95
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
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Zhenyu Cui, Justin Kirkby, Duy Nguyen
Insurance Mathematics and Economics (2017) Vol. 74, pp. 46-62
Closed Access | Times Cited: 85
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Justin Kirkby, Duy Nguyen, Zhenyu Cui
Journal of Economic Dynamics and Control (2017) Vol. 80, pp. 75-100
Closed Access | Times Cited: 79
Modelling systemic price cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, et al.
Quantitative Finance (2015) Vol. 15, Iss. 7, pp. 1137-1156
Open Access | Times Cited: 71
Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
Ymir Mäkinen, Juho Kanniainen, Moncef Gabbouj, et al.
Quantitative Finance (2019) Vol. 19, Iss. 12, pp. 2033-2050
Open Access | Times Cited: 56
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
Junye Li, Gabriele Zinna
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 3, pp. 411-425
Open Access | Times Cited: 55
Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
Haiyuan Yang, Juho Kanniainen
Review of Finance (2016) Vol. 21, Iss. 2, pp. 811-844
Closed Access | Times Cited: 34
Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging
Justin Kirkby, Duy Nguyen
Insurance Mathematics and Economics (2021) Vol. 100, pp. 408-428
Closed Access | Times Cited: 27
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
Jia Li
Econometrica (2013) Vol. 81, Iss. 4, pp. 1673-1693
Open 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
Testing for mutually exciting jumps and financial flights in high frequency data
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, et al.
Journal of Econometrics (2017) Vol. 202, Iss. 1, pp. 18-44
Closed Access | Times Cited: 30
The impact of jumps on carry trade returns
Suzanne S. Lee, Minho Wang
Journal of Financial Economics (2018) Vol. 131, Iss. 2, pp. 433-455
Closed Access | Times Cited: 28
Volatility estimation and jump detection for drift–diffusion processes
Sébastien Laurent, Shuping Shi
Journal of Econometrics (2020) Vol. 217, Iss. 2, pp. 259-290
Open Access | Times Cited: 24
Jumps or Staleness?
Aleksey Kolokolov, Roberto Renò
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 2, pp. 516-532
Open Access | Times Cited: 9
Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets
Haider Ali, Muhammad Aftab, Faheem Aslam, et al.
Fractal and Fractional (2024) Vol. 8, Iss. 10, pp. 571-571
Open Access | Times Cited: 3
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
SSRN Electronic Journal (2011)
Open Access | Times Cited: 29
Bootstrapping High-Frequency Jump Tests
Prosper Dovonon, Śılvia Gonçalves, Ulrich Hounyo, et al.
Journal of the American Statistical Association (2018) Vol. 114, Iss. 526, pp. 793-803
Open Access | Times Cited: 27
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