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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:

Econometrics of co-jumps in high-frequency data with noise
Markus Bibinger, Lars Winkelmann
Journal of Econometrics (2014) Vol. 184, Iss. 2, pp. 361-378
Open Access | Times Cited: 67

Showing 26-50 of 67 citing articles:

Power Variations and Testing for Co‐Jumps: The Small Noise Approach
Daisuke Kurisu
Scandinavian Journal of Statistics (2017) Vol. 45, Iss. 3, pp. 482-512
Open Access | Times Cited: 5
Testing for simultaneous jumps in case of asynchronous observations
Ole Martin, Mathias Vetter
Bernoulli (2018) Vol. 24, Iss. 4B
Open Access | Times Cited: 4
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data
Min‐Seok Shin, Donggyu Kim, Yazhen Wang, et al.
SSRN Electronic Journal (2021)
Open Access | Times Cited: 4
A Truncated Two-Scales Realized Volatility Estimator
Christian T. Brownlees, Eulàlia Nualart, Yucheng Sun
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 2
Financial Flights, Stock Market Linkages and Jump Excitation
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, et al.
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 2
Systemic Co-Jumps
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò
SSRN Electronic Journal (2016)
Open Access | Times Cited: 2
Laws of large numbers for Hayashi–Yoshida-type functionals
Ole Martin, Mathias Vetter
Finance and Stochastics (2019) Vol. 23, Iss. 3, pp. 451-500
Closed Access | Times Cited: 3
Volatility estimation under one-sided errors with applications to limit order books
Markus Bibinger, Moritz Jirak, Markus Reiß
arXiv (Cornell University) (2014)
Closed Access | Times Cited: 2
ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates
Lars Winkelmann, Markus Bibinger, Tobias Linzert
SSRN Electronic Journal (2014)
Open Access | Times Cited: 2
A multivariate GARCH–jump mixture model
Chenxing Li, John M. Maheu
Journal of Forecasting (2023) Vol. 43, Iss. 1, pp. 182-207
Open Access | Times Cited: 1
Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation
Teppei Ogihara, Yuma Uehara
Bernoulli (2023) Vol. 29, Iss. 3
Open Access | Times Cited: 1
Intraday variation in cross-sectional stock comovement and impact of index-based strategies
Yiwen Shen, Meiqi Shi
Journal of Financial Markets (2024) Vol. 68, pp. 100894-100894
Closed Access
Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders
Muhammad Mahmudul Karim, Mohamed Eskandar Shah Mohd Rasid, Abu Hanifa Md. Noman, et al.
International Review of Financial Analysis (2024), pp. 103617-103617
Open Access
Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data
Sung Hoon Choi, Donggyu Kim
(2024)
Open Access
Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices
Yin Liao, Heather M. Anderson
Journal of Banking & Finance (2018) Vol. 99, pp. 252-274
Open Access | Times Cited: 2
Do Co-Jumps Impact Correlations in Currency Markets?
Jozef Baruník, Lukáš Vácha
SSRN Electronic Journal (2016)
Open Access | Times Cited: 1
Time endogeneity and an optimal weight function in pre-averaging covariance estimation
Yuta Koike
arXiv (Cornell University) (2014)
Open Access | Times Cited: 1
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
arXiv (Cornell University) (2014)
Closed Access | Times Cited: 1
Jump filtering and efficient drift estimation for Lévy-driven SDE's
Arnaud Gloter, Dasha Loukianova, Hilmar Mai
arXiv (Cornell University) (2016)
Open Access | Times Cited: 1
Multi-Jumps
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 1
Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times
Yifan Li, Ingmar Nolte, Sandra Nolte, et al.
SSRN Electronic Journal (2021)
Closed Access | Times Cited: 2
Inference for Time-Varying Lead-Lag Relationships from Ultra High Frequency Data
Yuta Koike
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 1
Generalized Jump Regressions for Local Moments
Tim Bollerslev, Jia Li, Leonardo Salim Saker Chaves
Journal of Business and Economic Statistics (2020) Vol. 39, Iss. 4, pp. 1015-1025
Open Access | Times Cited: 1
Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
Katerina Papagiannouli
Electronic Journal of Statistics (2020) Vol. 14, Iss. 2
Open Access | Times Cited: 1
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Giovanni Bonaccolto, Massimiliano Caporin, Nancy Zambon
European Journal of Finance (2020) Vol. 27, Iss. 11, pp. 1098-1116
Open Access | Times Cited: 1

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