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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:

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 26-50 of 851 citing articles:

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
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
Ana-Maria Dumitru, Giovanni Urga
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 2, pp. 242-255
Open Access | Times Cited: 139
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
Modeling Financial Contagion Using Mutually Exciting Jump Processes
Yacine Aït‐Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven
(2010)
Open Access | Times Cited: 126
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
Marcel Prokopczuk, Lazaros Symeonidis, Chardin Wese Simen
Journal of Futures Markets (2015) Vol. 36, Iss. 8, pp. 758-792
Open Access | Times Cited: 116
Resolution of policy uncertainty and sudden declines in volatility
Dante Amengual, Dacheng Xiu
Journal of Econometrics (2017) Vol. 203, Iss. 2, pp. 297-315
Closed Access | Times Cited: 116
When do CDS spreads lead? Rating events, private entities, and firm-specific information flows
Jongsub Lee, Andy Naranjo, Guner Velioglu
Journal of Financial Economics (2018) Vol. 130, Iss. 3, pp. 556-578
Closed Access | Times Cited: 111
Large-dimensional factor modeling based on high-frequency observations
Markus Pelger
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 23-42
Closed Access | Times Cited: 103
Volume, Volatility, and Public News Announcements
Tim Bollerslev, Jia Li, Yuan Xue
The Review of Economic Studies (2018) Vol. 85, Iss. 4, pp. 2005-2041
Open Access | Times Cited: 101
Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 205-219
Closed Access | Times Cited: 94
Do Bitcoin and other cryptocurrencies jump together?
Elie Bouri, David Roubaud, Syed Jawad Hussain Shahzad
The Quarterly Review of Economics and Finance (2019) Vol. 76, pp. 396-409
Closed Access | Times Cited: 94
Understanding Systematic Risk: A High‐Frequency Approach
Markus Pelger
The Journal of Finance (2020) Vol. 75, Iss. 4, pp. 2179-2220
Closed Access | Times Cited: 93
Ambiguity, Volatility, and Credit Risk
Patrick Augustin, Yehuda Izhakian
Review of Financial Studies (2019) Vol. 33, Iss. 4, pp. 1618-1672
Closed Access | Times Cited: 77
News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies
Yoontae Jeon, Thomas H. McCurdy, Xiaofei Zhao
Journal of Financial Economics (2021) Vol. 145, Iss. 2, pp. 1-17
Open Access | Times Cited: 77
Intraday arbitrage between ETFs and their underlying portfolios
Travis Box, Ryan L. Davis, Richard B. Evans, et al.
Journal of Financial Economics (2021) Vol. 141, Iss. 3, pp. 1078-1095
Closed Access | Times Cited: 57
Modelling and forecasting high-frequency data with jumps based on a hybrid nonparametric regression and LSTM model
Yuping Song, Chunchun Cai, Dexiang Ma, et al.
Expert Systems with Applications (2023) Vol. 237, pp. 121527-121527
Closed Access | Times Cited: 27
Measuring Downside Risk - Realised Semivariance
Ole E. Barndorff‐Nielsen, Silja Kinnebrock, Neil Shephard
SSRN Electronic Journal (2008)
Open Access | Times Cited: 124
Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Econometrics (2010) Vol. 159, Iss. 1, pp. 74-98
Open Access | Times Cited: 121
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
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
Jumps in equilibrium prices and market microstructure noise
Suzanne S. Lee, Per A. Mykland
Journal of Econometrics (2012) Vol. 168, Iss. 2, pp. 396-406
Closed Access | Times Cited: 102
Nonparametric tests for pathwise properties of semimartingales
Rama Cont, Cecilia Mancini
Bernoulli (2011) Vol. 17, Iss. 2
Open Access | Times Cited: 94
The econometrics of high-frequency data
Per A. Mykland, Lan Zhang
Monographs on statistics and applied probability (2012), pp. 109-190
Open Access | Times Cited: 93
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
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
Kris Boudt, Mikaël Petitjean
Journal of Financial Markets (2013) Vol. 17, pp. 121-149
Closed Access | Times Cited: 88

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