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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:

Testing for jumps when asset prices are observed with noise–a “swap variance” approach
George J. Jiang, Roel C. A. Oomen
Journal of Econometrics (2008) Vol. 144, Iss. 2, pp. 352-370
Closed Access | Times Cited: 281

Showing 1-25 of 281 citing articles:

Threshold bipower variation and the impact of jumps on volatility forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
Journal of Econometrics (2010) Vol. 159, Iss. 2, pp. 276-288
Open Access | Times Cited: 522
Modeling financial contagion using mutually exciting jump processes
Yacine Aït‐Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven
Journal of Financial Economics (2015) Vol. 117, Iss. 3, pp. 585-606
Open Access | Times Cited: 521
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Tim Bollerslev, Michael S. Gibson, Hao Zhou
Journal of Econometrics (2010) Vol. 160, Iss. 1, pp. 235-245
Open Access | Times Cited: 476
Volatility Spreads and Expected Stock Returns
Turan G. Bali, Armen Hovakimian
Management Science (2009) Vol. 55, Iss. 11, pp. 1797-1812
Closed Access | Times Cited: 386
Variance Risk-Premium Dynamics: The Role of Jumps
Viktor Todorov
Review of Financial Studies (2009) Vol. 23, Iss. 1, pp. 345-383
Closed Access | Times Cited: 343
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Fulvio Corsi, Roberto Renò
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 3, pp. 368-380
Open Access | Times Cited: 309
Jump risk, stock returns, and slope of implied volatility smile
Shu Yan
Journal of Financial Economics (2010) Vol. 99, Iss. 1, pp. 216-233
Closed Access | Times Cited: 305
Jump Risk Implicit in Options Market
Qiang Chen, Yu Han, Ying Huang, et al.
Journal of Financial Econometrics (2025) Vol. 23, Iss. 2
Closed Access | Times Cited: 4
Testing for common arrivals of jumps for discretely observed multidimensional processes
Jean Jacod, Viktor Todorov
The Annals of Statistics (2009) Vol. 37, Iss. 4
Open Access | Times Cited: 213
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
Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
Daniel Bradley, Jonathan Clarke, Suzanne Lee, et al.
The Journal of Finance (2013) Vol. 69, Iss. 2, pp. 645-673
Closed Access | Times Cited: 192
Volatility Derivatives
Peter Carr, Roger Lee
Annual Review of Financial Economics (2009) Vol. 1, Iss. 1, pp. 319-339
Closed Access | Times Cited: 189
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Yacine Aït‐Sahalia, Jean Jacod
Journal of Economic Literature (2012) Vol. 50, Iss. 4, pp. 1007-1050
Closed Access | Times Cited: 184
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
Jumps and Information Flow in Financial Markets
Suzanne S. Lee
Review of Financial Studies (2011) Vol. 25, Iss. 2, pp. 439-479
Closed Access | Times Cited: 167
Testing for jumps in noisy high frequency data
Yacine Aït‐Sahalia, Jean Jacod, Jia Li
Journal of Econometrics (2011) Vol. 168, Iss. 2, pp. 207-222
Open Access | Times Cited: 143
Intraday jumps and US macroeconomic news announcements
Kevin Evans
Journal of Banking & Finance (2011) Vol. 35, Iss. 10, pp. 2511-2527
Closed Access | Times Cited: 142
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
Exploring Return Dynamics via Corridor Implied Volatility
Torben G. Andersen, Oleg Bondarenko, María T. González-Pérez
Review of Financial Studies (2015) Vol. 28, Iss. 10, pp. 2902-2945
Closed Access | Times Cited: 128
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
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
Quadratic variance swap models
Damir Filipović, Elise Gourier, Loriano Mancini
Journal of Financial Economics (2015) Vol. 119, Iss. 1, pp. 44-68
Open Access | Times Cited: 99
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
The term structure of equity and variance risk premia
Yacine Aït‐Sahalia, Mustafa Karaman, Loriano Mancini
Journal of Econometrics (2020) Vol. 219, Iss. 2, pp. 204-230
Closed Access | Times Cited: 77
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
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