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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:

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

Showing 51-75 of 140 citing articles:

Data-driven inference for stationary jump-diffusion processes with application to membrane voltage fluctuations in pyramidal neurons
Alexandre Melanson, André Longtin
The Journal of Mathematical Neuroscience (2019) Vol. 9, Iss. 1
Open Access | Times Cited: 10
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
Deniz Erdemlioglu, Xiye Yang
Journal of Financial Econometrics (2022) Vol. 21, Iss. 5, pp. 1519-1556
Closed Access | Times Cited: 6
Warp Speed Price Moves: Jumps after Earnings Announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 3
Testing for Co-jumps in Financial Markets
Jan Novotný, Giovanni Urga
Journal of Financial Econometrics (2017) Vol. 16, Iss. 1, pp. 118-128
Open Access | Times Cited: 8
Intraday Price Behavior during Information Arrival in Emerging Markets
Jan Hanousek, Evžen Kočenda, Jan Novotný
(2013), pp. 445-462
Closed Access | Times Cited: 7
Modelling systemic cojumps with Hawkes factor models
Giacomo Bormetti, Lucio Maria Calcagnile, Michele Treccani, et al.
arXiv (Cornell University) (2013)
Closed Access | Times Cited: 7
Econometric modeling of exchange rate volatility and jumps
Deniz Erdemlioglu, Sébastien Laurent, Christopher J. Neely
Edward Elgar Publishing eBooks (2013)
Open Access | Times Cited: 7
Jumps at ultra-high frequency: Evidence from the Chinese stock market
Chuanhai Zhang, Zhi Liu, Qiang Liu
Pacific-Basin Finance Journal (2020) Vol. 68, pp. 101420-101420
Closed Access | Times Cited: 7
BAYESIAN ESTIMATION OF ASYMMETRIC JUMP-DIFFUSION PROCESSES
Samuel Frame, Cyrus A. Ramezani
Annals of Financial Economics (2014) Vol. 09, Iss. 03, pp. 1450008-1450008
Open Access | Times Cited: 6
A mathematical analysis of the Gumbel test for jumps in stochastic volatility models
Christian Palmes, Jeannette H. C. Woerner
Stochastic Analysis and Applications (2016) Vol. 34, Iss. 5, pp. 852-881
Closed Access | Times Cited: 6
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
Multivariate LLvy Models by Linear Combination: Estimation
Angela Loregian, Laura Ballotta, Gianluca Fusai, et al.
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 6
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
András Fülöp, Junye Li, Jun Yu
SSRN Electronic Journal (2011)
Open Access | Times Cited: 6
Jump Tail Dependence in the Chinese Stock Market
Sophia Zhengzi Li, Hao Wang, Zhao Hua
Emerging Markets Finance and Trade (2015) Vol. 52, Iss. 10, pp. 2379-2396
Closed Access | Times Cited: 5
Cojumps in Stock Prices: Empirical Evidence
Dudley Gilder, Mark B. Shackleton, Stephen J. Taylor
SSRN Electronic Journal (2012)
Open Access | Times Cited: 5
Is it Brownian or fractional Brownian motion?
Meiyu Li, Ramazan Gençay, Yi Xue
Economics Letters (2016) Vol. 145, pp. 52-55
Closed Access | Times Cited: 4
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Andreas Kaeck, Paulo M.M. Rodrigues, Norman Seeger
Journal of Economic Dynamics and Control (2018) Vol. 90, pp. 1-29
Open Access | Times Cited: 5
Efficient simulation of Lévy-driven point processes
Yan Qu, Angelos Dassios, Hongbiao Zhao
Advances in Applied Probability (2019) Vol. 51, Iss. 4, pp. 927-966
Open Access | Times Cited: 5
Heterogeneous investment horizons, risk regimes, and realized jumps
Deniz Erdemlioglu, Nikola Gradojević
International Journal of Finance & Economics (2020) Vol. 26, Iss. 1, pp. 617-643
Closed Access | Times Cited: 5
Model-free jump measures and interest rates: common patterns in US and UK monetary policy around major economic events
Januj Juneja, Kuntara Pukthuanthong
European Journal of Finance (2015) Vol. 22, Iss. 14, pp. 1388-1413
Closed Access | Times Cited: 4
Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility
Yingjie Dong, Yiu‐Kuen Tse
Econometrics (2017) Vol. 5, Iss. 4, pp. 51-51
Open Access | Times Cited: 4
Jointly estimating jump betas
Vassilis Polimenis, Ioannis Papantonis
The Journal of Risk Finance (2014) Vol. 15, Iss. 2, pp. 131-148
Closed Access | Times Cited: 3
More Accurate Volatility Estimation and Forecasts Using Price Durations
Seok Young Hong, Ingmar Nolte, Stephen J. Taylor, et al.
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 3
A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”
Bogdan Dima, Ştefana Maria Dima, Roxana Ioan
Finance research letters (2021) Vol. 45, pp. 102134-102134
Open Access | Times Cited: 4
Asymptotic analysis of European and American options with jumps in the underlying
Lamia Benothman, Faouzi Trabelsi
International Journal of Mathematics in Operational Research (2012) Vol. 4, Iss. 5, pp. 548-548
Closed Access | Times Cited: 3

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