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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:

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

Showing 1-25 of 119 citing articles:

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
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Financial Economics (2014) Vol. 114, Iss. 3, pp. 576-599
Closed Access | Times Cited: 205
A Mathematical Theory of Financial Bubbles
Philip Protter
Lecture notes in mathematics (2013), pp. 1-108
Closed Access | Times Cited: 121
Estimation of Jump Tails
Tim Bollerslev, Viktor Todorov
Econometrica (2011) Vol. 79, Iss. 6, pp. 1727-1783
Closed Access | Times Cited: 120
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
Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements
Mary E. Barth, Eric C. So
The Accounting Review (2014) Vol. 89, Iss. 5, pp. 1579-1607
Open Access | Times Cited: 98
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
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
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, et al.
Journal of Econometrics (2022) Vol. 235, Iss. 2, pp. 745-778
Open Access | Times Cited: 29
Information acquisition and processing skills of institutions and retail investors around information shocks
Scott Fung, Khaled Obaid, Shih‐Chuan Tsai
Journal of Empirical Finance (2024) Vol. 77, pp. 101495-101495
Open Access | Times Cited: 7
Asymmetry and Long Memory in Volatility Modeling
Manabu Asai, Michael McAleer, Marcelo C. Medeiros
Journal of Financial Econometrics (2011) Vol. 10, Iss. 3, pp. 495-512
Closed Access | Times Cited: 75
Long-term time-dependent stochastic modelling of extreme waves
Erik Vanem
Stochastic Environmental Research and Risk Assessment (2010) Vol. 25, Iss. 2, pp. 185-209
Open Access | Times Cited: 69
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
Shin Kanaya, Dennis Kristensen
Econometric Theory (2015) Vol. 32, Iss. 4, pp. 861-916
Open Access | Times Cited: 56
Volatility analysis with realized GARCH-Itô models
Xinyu Song, Donggyu Kim, Huiling Yuan, et al.
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 393-410
Open Access | Times Cited: 42
Intraday Periodic Volatility Curves
Torben G. Andersen, Tao Su, Viktor Todorov, et al.
Journal of the American Statistical Association (2023) Vol. 119, Iss. 546, pp. 1181-1191
Closed Access | Times Cited: 16
INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
Almut E. D. Veraart
Econometric Theory (2009) Vol. 26, Iss. 2, pp. 331-368
Closed Access | Times Cited: 53
Cross-sectional dependence in idiosyncratic volatility
Ilze Kalnina, Kokouvi Tewou
Journal of Econometrics (2025) Vol. 249, pp. 106003-106003
Closed Access
Volatility Jumps and Their Economic Determinants
Massimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris
Journal of Financial Econometrics (2014), pp. nbu028-nbu028
Open Access | Times Cited: 34
Asymptotic Theory of Range-Based Multipower Variation
Kim Christensen, Mark Podolskij
Journal of Financial Econometrics (2012) Vol. 10, Iss. 3, pp. 417-456
Open Access | Times Cited: 34
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
Michael Creel, Dennis Kristensen
Journal of Empirical Finance (2015) Vol. 31, pp. 85-108
Open Access | Times Cited: 29
Inference theory for volatility functional dependencies
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2016) Vol. 193, Iss. 1, pp. 17-34
Open Access | Times Cited: 29
Nonparametric Stochastic Volatility
Federico M. Bandi, Roberto Renò
SSRN Electronic Journal (2010)
Open Access | Times Cited: 35
Stochastic volatility and stochastic leverage
Almut E. D. Veraart, Luitgard Anna Maria Veraart
Annals of Finance (2010) Vol. 8, Iss. 2-3, pp. 205-233
Open Access | Times Cited: 34
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrislav Dobrev, Pawel Szerszen
SSRN Electronic Journal (2010)
Open Access | Times Cited: 33
Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration
Vicky Fasen
Journal of Econometrics (2012) Vol. 172, Iss. 2, pp. 325-337
Open Access | Times Cited: 31
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