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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:

Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Viktor Todorov
Journal of Econometrics (2008) Vol. 148, Iss. 2, pp. 131-148
Closed Access | Times Cited: 119

Showing 26-50 of 119 citing articles:

Fact or Friction: Jumps at Ultra High Frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 30
Asymptotic inference about predictive accuracy using high frequency data
Jia Li, Andrew J. Patton
Journal of Econometrics (2018) Vol. 203, Iss. 2, pp. 223-240
Open Access | Times Cited: 25
NONPARAMETRIC STOCHASTIC VOLATILITY
Federico M. Bandi, Roberto Renò
Econometric Theory (2018) Vol. 34, Iss. 6, pp. 1207-1255
Open Access | Times Cited: 24
Modelling Electricity Forward Markets by Ambit Fields
Ole E. Barndorff‐Nielsen, Fred Espen Benth, Almut E. D. Veraart
SSRN Electronic Journal (2011)
Open Access | Times Cited: 26
A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation
Ulrich Hounyo, Rasmus T. Varneskov
Journal of Econometrics (2017) Vol. 198, Iss. 1, pp. 10-28
Open Access | Times Cited: 22
Jump Variation Estimation with Noisy High Frequency Financial Data via Wavelets
Xin Zhang, Donggyu Kim, Yazhen Wang
Econometrics (2016) Vol. 4, Iss. 3, pp. 34-34
Open Access | Times Cited: 20
Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data
Yi‐Ting Chen, Wan-Ni Lai, Edward W. Sun
Computational Economics (2019) Vol. 54, Iss. 2, pp. 809-844
Closed Access | Times Cited: 20
COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
Emilio Barucci, Maria Elvira Mancino
International Journal of Theoretical and Applied Finance (2010) Vol. 13, Iss. 05, pp. 767-787
Closed Access | Times Cited: 25
Realized Laplace transforms for estimation of jump diffusive volatility models
Viktor Todorov, George Tauchen, Iaryna Grynkiv
Journal of Econometrics (2011) Vol. 164, Iss. 2, pp. 367-381
Closed Access | Times Cited: 24
A Comprehensive Comparison of Nonparametric Tests for Jumps in Asset Prices
Marina Theodosiou, Filip Žikeš
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 21
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrislav Dobrev, Pawel Szerszen
International Finance Discussion Paper (2010) Vol. 2010, Iss. 1005, pp. 1-42
Open Access | Times Cited: 22
Limit Theory for High Frequency Sampled MCARMA Models
Vicky Fasen
Advances in Applied Probability (2014) Vol. 46, Iss. 3, pp. 846-877
Open Access | Times Cited: 17
Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
Manuel Moreno, Pedro Serrano, Winfried Stute
European Journal of Operational Research (2011) Vol. 214, Iss. 3, pp. 656-664
Open Access | Times Cited: 17
Estimation of Stochastic Volatility Models by Nonparametric Filtering
Dennis Kristensen, Shin Kanaya
SSRN Electronic Journal (2010)
Open Access | Times Cited: 17
On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
Vicky Fasen, Florian Fuchs
Stochastic Processes and their Applications (2012) Vol. 123, Iss. 1, pp. 229-273
Open Access | Times Cited: 16
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Markus Pelger
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 15
Realized Volatility and Multipower Variation
Torben G. Andersen, Viktor Todorov
Encyclopedia of Quantitative Finance (2010)
Closed Access | Times Cited: 16
Estimation of Jump Tails
Tim Bollerslev, Viktor Todorov
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 15
Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
Anne Floor Brix, Asger Lunde, Aarhus
CREATES Research Papers (2013)
Closed Access | Times Cited: 13
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
Journal of Econometrics (2019) Vol. 212, Iss. 2, pp. 556-583
Open Access | Times Cited: 11
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrislav Dobrev, Pawel Szerszen
SSRN Electronic Journal (2010)
Open Access | Times Cited: 12
Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
Vincenzo Ferrazzano, Florian Fuchs
Electronic Journal of Statistics (2013) Vol. 7, Iss. none
Open Access | Times Cited: 10
Stochastic Volatility
Torben G. Andersen, Luca Benzoni
SSRN Electronic Journal (2008)
Closed Access | Times Cited: 12
Stochastic Volatility and Stochastic Leverage
Almut E. D. Veraart, Luitgard Anna Maria Veraart
SSRN Electronic Journal (2009)
Open Access | Times Cited: 10
Federal Reserve Bank of Chicago Realized Volatility
Torben G. Andersen, Luca Benzoni
(2008)
Closed Access | Times Cited: 10

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