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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:

Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data
Francesco Audrino, Matthias R. Fengler
Journal of Banking & Finance (2015) Vol. 61, pp. 46-63
Open Access | Times Cited: 13

Showing 13 citing articles:

The Transmission of Monetary Policy to the Cost of Hedging
Matthias R. Fengler, Winfried Koeniger, Stephan Minger
(2025)
Closed Access
The Transmission of Monetary Policy to the Cost of Hedging
Matthias R. Fengler, Winfried Koeniger, Stephan Minger
SSRN Electronic Journal (2025)
Closed Access
A Descriptive Study of High-Frequency Trade and Quote Option Data*
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, et al.
Journal of Financial Econometrics (2020) Vol. 19, Iss. 1, pp. 128-177
Open Access | Times Cited: 25
The Informational Content of High-Frequency Option Prices
Diego Amaya, Jean‐François Bégin, Geneviève Gauthier
Management Science (2021) Vol. 68, Iss. 3, pp. 2166-2201
Closed Access | Times Cited: 13
Information about price and volatility jumps inferred from options prices
Stephen J. Taylor, Chi-Feng Tzeng, Martin Widdicks
Journal of Futures Markets (2018) Vol. 38, Iss. 10, pp. 1206-1226
Open Access | Times Cited: 6
On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach
Jean‐François Bégin, Diego Amaya, Geneviève Gauthier, et al.
SIAM Journal on Financial Mathematics (2020) Vol. 11, Iss. 4, pp. 1168-1208
Closed Access | Times Cited: 6
Nonparametric filtering of conditional state-price densities
Jeroen Dalderop
Journal of Econometrics (2019) Vol. 214, Iss. 2, pp. 295-325
Closed Access | Times Cited: 6
Uncovering the Asymmetric Information Content of High-Frequency Options
Lykourgos Alexiou, Mattia Bevilacqua, Rodrigo Hizmeri
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 2
Nonparametric State-Price Density Estimation Using High Frequency Data
Jeroen Dalderop
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 3
The Transmission of Monetary Policy to the Cost of Hedging
Matthias R. Fengler, Winfried Koeniger, Stephan Minger
(2024)
Closed Access
Extracting Latent States from High Frequency Option Prices
Diego Amaya, Jean‐François Bégin, Geneviève Gauthier
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 2
An Option Pricing Model with Liquidity Adjustment of Underlying Asset
Hui Lin, Yang Yang
SSRN Electronic Journal (2015)
Closed Access
A Descriptive Study of High-Frequency Trade and Quote Option Data
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, et al.
SSRN Electronic Journal (2019)
Open Access
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