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:

Time-varying leverage effects
Federico M. Bandi, Roberto Renò
Journal of Econometrics (2012) Vol. 169, Iss. 1, pp. 94-113
Closed Access | Times Cited: 107

Showing 26-50 of 107 citing articles:

A non-linear dynamic model of the variance risk premium
Bjørn Eraker, Jiakou Wang
Journal of Econometrics (2015) Vol. 187, Iss. 2, pp. 547-556
Closed Access | Times Cited: 21
Testing for non-correlation between price and volatility jumps
Jean Jacod, Claudia Klüppelberg, Gernot Müller
Journal of Econometrics (2016) Vol. 197, Iss. 2, pp. 284-297
Open Access | Times Cited: 16
Price and Volatility Co-Jumps
Federico M. Bandi, Roberto Renò
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 17
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
Torben G. Andersen, Oleg Bondarenko, María T. González-Pérez
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 17
An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
Yuta Koike
Scandinavian Journal of Statistics (2013) Vol. 41, Iss. 2, pp. 460-481
Closed Access | Times Cited: 16
Testing for leverage effects in the returns of US equities
Christophe Chorro, Dominique Guégan, Florian Ielpo, et al.
Journal of Empirical Finance (2018) Vol. 48, pp. 290-306
Open Access | Times Cited: 14
On idiosyncratic stochasticity of financial leverage effects
Carles Bretó
Statistics & Probability Letters (2014) Vol. 91, pp. 20-26
Open Access | Times Cited: 13
Measuring the Leverage Effect in a High-Frequency Trading Framework
Imma Valentina Curato, Simona Sanfelici
Elsevier eBooks (2015), pp. 425-446
Closed Access | Times Cited: 13
Real-Time GARCH*
Ekaterina Smetanina
Journal of Financial Econometrics (2017) Vol. 15, Iss. 4, pp. 561-601
Closed Access | Times Cited: 13
Estimation of the stochastic leverage effect using the Fourier transform method
Imma Valentina Curato
Stochastic Processes and their Applications (2018) Vol. 129, Iss. 9, pp. 3207-3238
Open Access | Times Cited: 13
Forecasting realized volatility of bitcoin returns: tail events and asymmetric loss
Κωνσταντίνος Γκίλλας, Rangan Gupta, Christian Pierdzioch
European Journal of Finance (2021) Vol. 27, Iss. 16, pp. 1626-1644
Open Access | Times Cited: 11
Detecting volatility persistence in GARCH models in the presence of the leverage effect
A. B. M. Rabiul Alam Beg, Sajid Anwar
Quantitative Finance (2012) Vol. 14, Iss. 12, pp. 2205-2213
Closed Access | Times Cited: 10
Identification of asymmetric conditional heteroscedasticity in the presence of outliers
M. Angeles Carnero, Ana Pérez, Esther Ruiz
SERIEs (2015) Vol. 7, Iss. 1, pp. 179-201
Open Access | Times Cited: 9
Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration
Zhengxun Tan, Binuo Xiao, Yilong Huang, et al.
The North American Journal of Economics and Finance (2021) Vol. 56, pp. 101371-101371
Closed Access | Times Cited: 9
The Systematic Risk at the Crisis—A Multifractal Non-Uniform Wavelet Systematic Risk Estimation
Mounir Sarraj, Anouar Ben Mabrouk
Fractal and Fractional (2021) Vol. 5, Iss. 4, pp. 135-135
Open Access | Times Cited: 9
Forecasting realised volatility: a Markov switching approach with time‐varying transition probabilities
Xunxiao Wang, Keshab Shrestha, Qi Sun
Accounting and Finance (2019) Vol. 59, Iss. S2, pp. 1947-1975
Closed Access | Times Cited: 9
Horizon-unbiased investment with ambiguity
Qian Lin, Xianming Sun, Chao Zhou
Journal of Economic Dynamics and Control (2020) Vol. 114, pp. 103896-103896
Open Access | Times Cited: 9
Change point detection for nonparametric regression under strongly mixing process
Qing Yang, Li Yu-ning, Yi Zhang
Statistical Papers (2020) Vol. 61, Iss. 4, pp. 1465-1506
Open Access | Times Cited: 9
Statistical Inference for Rough Volatility: Central Limit Theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 6
The Estimation of Continuous and Discontinuous Leverage Eects
Jianqing Fan, D. Christina, Xiye Yang
(2013)
Closed Access | Times Cited: 8
Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching
Farshid Mehrdoust, Idin Noorani
International Journal of Financial Engineering (2019) Vol. 06, Iss. 02, pp. 1950014-1950014
Closed Access | Times Cited: 8
A nonparametric test of a strong leverage hypothesis
Oliver Linton, Yoon‐Jae Whang, Yu-Min Yen
Journal of Econometrics (2016) Vol. 194, Iss. 1, pp. 153-186
Open Access | Times Cited: 7
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
Álvaro Cartea, Dimitrios Karyampas
Econometric Reviews (2014) Vol. 35, Iss. 6, pp. 929-950
Open Access | Times Cited: 6
Structural Stochastic Volatility
Federico M. Bandi, Nicola Fusari, Roberto Renò
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 6
Estimation of Leverage Effect: Kernel Function and Efficiency
Xiye Yang
Journal of Business and Economic Statistics (2022) Vol. 41, Iss. 3, pp. 939-956
Closed Access | Times Cited: 4

Scroll to top