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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:

Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returns
Torben G. Andersen, Tim Bollerslev, Per Frederiksen, et al.
Journal of Applied Econometrics (2009) Vol. 25, Iss. 2, pp. 233-261
Open Access | Times Cited: 210

Showing 1-25 of 210 citing articles:

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
The Review of Economics and Statistics (2007) Vol. 89, Iss. 4, pp. 701-720
Open Access | Times Cited: 1395
Parametric and Nonparametric Volatility Measurement
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
Elsevier eBooks (2010), pp. 67-137
Open Access | Times Cited: 511
Effective connectivity: Influence, causality and biophysical modeling
Pedro A. Valdés‐Sosa, Alard Roebroeck, Jean Daunizeau, et al.
NeuroImage (2011) Vol. 58, Iss. 2, pp. 339-361
Open Access | Times Cited: 388
Forecasting oil price realized volatility using information channels from other asset classes
Stavros Degiannakis, George Filis
Journal of International Money and Finance (2017) Vol. 76, pp. 28-49
Open Access | Times Cited: 252
On the forecasting accuracy of multivariate GARCH models
Sébastien Laurent, Jeroen V.K. Rombouts, Francesco Violante
Journal of Applied Econometrics (2011) Vol. 27, Iss. 6, pp. 934-955
Closed Access | Times Cited: 224
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Torben G. Andersen, Tim Bollerslev, Xin Huang
Journal of Econometrics (2010) Vol. 160, Iss. 1, pp. 176-189
Closed Access | Times Cited: 216
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
George J. Jiang, Ingrid Lo, Adrien Verdelhan
Journal of Financial and Quantitative Analysis (2010) Vol. 46, Iss. 02, pp. 527-551
Open Access | Times Cited: 169
Jump tails, extreme dependencies, and the distribution of stock returns
Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li
Journal of Econometrics (2012) Vol. 172, Iss. 2, pp. 307-324
Open Access | Times Cited: 168
A blocking and regularization approach to high‐dimensional realized covariance estimation
Nikolaus Hautsch, Lada M. Kyj, Roel C. A. Oomen
Journal of Applied Econometrics (2010) Vol. 27, Iss. 4, pp. 625-645
Open Access | Times Cited: 133
Currency jumps, cojumps and the role of macro news
Arjun Chatrath, Hong Miao, Sanjay Ramchander, et al.
Journal of International Money and Finance (2013) Vol. 40, pp. 42-62
Open Access | Times Cited: 120
Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?
Robert C. Jung, Robert Maderitsch
Journal of Banking & Finance (2014) Vol. 47, pp. 331-342
Closed Access | Times Cited: 115
Media-expressed negative tone and firm-level stock returns
Khurshid Ahmad, JingGuang Han, Elaine Hutson, et al.
Journal of Corporate Finance (2015) Vol. 37, pp. 152-172
Open Access | Times Cited: 100
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
Financial Risk Measurement for Financial Risk Management
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, et al.
Handbook of the economics of finance (2013), pp. 1127-1220
Open Access | Times Cited: 84
The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
Siem Jan Koopman, Marcel Scharth
Journal of Financial Econometrics (2012) Vol. 11, Iss. 1, pp. 76-115
Closed Access | Times Cited: 83
Information Shocks and Short-Term Market Underreaction
George J. Jiang, Kevin X. Zhu
Journal of Financial Economics (2016) Vol. 124, Iss. 1, pp. 43-64
Closed Access | Times Cited: 83
Cojumping: Evidence from the US Treasury bond and futures markets
Mardi Dungey, Lyudmyla Hvozdyk
Journal of Banking & Finance (2012) Vol. 36, Iss. 5, pp. 1563-1575
Open Access | Times Cited: 81
A variance spillover analysis without covariances: What do we miss?
Matthias R. Fengler, Katja Gisler
Journal of International Money and Finance (2014) Vol. 51, pp. 174-195
Open Access | Times Cited: 80
Stock Price Jumps and Cross-Sectional Return Predictability
George J. Jiang, Tong Yao
Journal of Financial and Quantitative Analysis (2013) Vol. 48, Iss. 5, pp. 1519-1544
Closed Access | Times Cited: 75
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Nikolaus Hautsch, Lada M. Kyj, Peter Malec
Journal of Applied Econometrics (2013) Vol. 30, Iss. 2, pp. 263-290
Open Access | Times Cited: 74
The effect of COVID‐19 on the global stock market
Pattanaporn Chatjuthamard, Pavitra Jindahra, Pattarake Sarajoti, et al.
Accounting and Finance (2021) Vol. 61, Iss. 3, pp. 4923-4953
Open Access | Times Cited: 46
Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network
Xiao-Li Gong, Jianmin Liu, Xiong Xiong, et al.
International Review of Financial Analysis (2022) Vol. 84, pp. 102359-102359
Closed Access | Times Cited: 36
Fractional stochastic volatility model
Shuping Shi, Xiaobin Liu, Jun Yu
Journal of Time Series Analysis (2024)
Closed Access | Times Cited: 6
A new approach to characterizing and forecasting electricity price volatility
Kam Fong Chan, Philip Gray, Bart van Campen
International Journal of Forecasting (2008) Vol. 24, Iss. 4, pp. 728-743
Closed Access | Times Cited: 83
Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
Ahmed Khalifa, Hong Miao, Sanjay Ramchander
Journal of Futures Markets (2010) Vol. 31, Iss. 1, pp. 55-80
Closed Access | Times Cited: 75
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