Open Access Helper

OpenAlex Citation Counts

OpenAlex Citations Logo

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:

Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
Suzanne S. Lee, Per A. Mykland
Review of Financial Studies (2007) Vol. 21, Iss. 6, pp. 2535-2563
Closed Access | Times Cited: 851

Showing 1-25 of 851 citing articles:

Threshold bipower variation and the impact of jumps on volatility forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
Journal of Econometrics (2010) Vol. 159, Iss. 2, pp. 276-288
Open Access | Times Cited: 522
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
Testing for jumps in a discretely observed process
Yacine Aït‐Sahalia, Jean Jacod
The Annals of Statistics (2009) Vol. 37, Iss. 1
Open Access | Times Cited: 461
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
Variance Risk-Premium Dynamics: The Role of Jumps
Viktor Todorov
Review of Financial Studies (2009) Vol. 23, Iss. 1, pp. 345-383
Closed Access | Times Cited: 343
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Fulvio Corsi, Roberto Renò
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 3, pp. 368-380
Open Access | Times Cited: 309
Jumps, cojumps and macro announcements
Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely
Journal of Applied Econometrics (2010) Vol. 26, Iss. 6, pp. 893-921
Open Access | Times Cited: 298
Testing for jumps when asset prices are observed with noise–a “swap variance” approach
George J. Jiang, Roel C. A. Oomen
Journal of Econometrics (2008) Vol. 144, Iss. 2, pp. 352-370
Closed Access | Times Cited: 281
Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns
Martijn Cremers, Michael Halling, David Weinbaum
The Journal of Finance (2014) Vol. 70, Iss. 2, pp. 577-614
Open Access | Times Cited: 275
The impact of sentiment and attention measures on stock market volatility
Francesco Audrino, Fabio Sigrist, Daniele Ballinari
International Journal of Forecasting (2019) Vol. 36, Iss. 2, pp. 334-357
Open Access | Times Cited: 240
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
Deep learning for anomaly detection in multivariate time series: Approaches, applications, and challenges
Gen Li, Jason J. Jung
Information Fusion (2022) Vol. 91, pp. 93-102
Closed Access | Times Cited: 154
Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19
Muhammad Arif, Muhammad Abubakr Naeem, Saqib Farid, et al.
Energy Policy (2022) Vol. 168, pp. 113102-113102
Open Access | Times Cited: 148
Risk, jumps, and diversification
Tim Bollerslev, Tzuo Hann Law, George Tauchen
Journal of Econometrics (2008) Vol. 144, Iss. 1, pp. 234-256
Closed Access | Times Cited: 271
Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
Torben G. Andersen, Tim Bollerslev, Per Frederiksen, et al.
Journal of Applied Econometrics (2009) Vol. 25, Iss. 2, pp. 233-261
Open Access | Times Cited: 210
Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
Daniel Bradley, Jonathan Clarke, Suzanne Lee, et al.
The Journal of Finance (2013) Vol. 69, Iss. 2, pp. 645-673
Closed Access | Times Cited: 192
Robust estimation of intraweek periodicity in volatility and jump detection
Kris Boudt, Christophe Croux, Sébastien Laurent
Journal of Empirical Finance (2010) Vol. 18, Iss. 2, pp. 353-367
Closed Access | Times Cited: 185
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: 184
OWNERSHIP CONCENTRATION AND FIRM PERFORMANCE IN EMERGING MARKETS: A META‐ANALYSIS
Kun Tracy Wang, Greg Shailer
Journal of Economic Surveys (2013) Vol. 29, Iss. 2, pp. 199-229
Open Access | Times Cited: 178
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
George J. Jiang, Ingrid Lo, Adrien Verdelhan
Journal of Financial and Quantitative Analysis (2010) Vol. 46, Iss. 02, pp. 527-551
Open Access | Times Cited: 169
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
Price and volatility co-jumps
Federico M. Bandi, Roberto Renò
Journal of Financial Economics (2015) Vol. 119, Iss. 1, pp. 107-146
Closed Access | Times Cited: 157
Forecasting the realized volatility of the oil futures market: A regime switching approach
Feng Ma, M.I.M. Wahab, Dengshi Huang, et al.
Energy Economics (2017) Vol. 67, pp. 136-145
Closed Access | Times Cited: 151
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
Intraday jumps and US macroeconomic news announcements
Kevin Evans
Journal of Banking & Finance (2011) Vol. 35, Iss. 10, pp. 2511-2527
Closed Access | Times Cited: 142
Page 1 - Next Page

Scroll to top