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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 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

Showing 1-25 of 143 citing articles:

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
Econometrics of co-jumps in high-frequency data with noise
Markus Bibinger, Lars Winkelmann
Journal of Econometrics (2014) Vol. 184, Iss. 2, pp. 361-378
Open Access | Times Cited: 67
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
Journal of Econometrics (2018) Vol. 205, Iss. 2, pp. 336-362
Closed Access | Times Cited: 53
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
Journal of Econometrics (2020) Vol. 227, Iss. 2, pp. 461-497
Closed Access | Times Cited: 43
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
Adaptive robust large volatility matrix estimation based on high-frequency financial data
Minseok Shin, Donggyu Kim, Jianqing Fan
Journal of Econometrics (2023) Vol. 237, Iss. 1, pp. 105514-105514
Open Access | Times Cited: 16
Estimating the integrated volatility with tick observations
Jean Jacod, Yingying Li, Xinghua Zheng
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 80-100
Closed Access | Times Cited: 44
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Neil Shephard, Dacheng Xiu
Journal of Econometrics (2017) Vol. 201, Iss. 1, pp. 19-42
Closed Access | Times Cited: 42
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
Rasmus T. Varneskov
Econometric Theory (2016) Vol. 33, Iss. 6, pp. 1457-1501
Open Access | Times Cited: 40
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
Johannes Stübinger
Quantitative Finance (2018) Vol. 19, Iss. 6, pp. 921-935
Closed Access | Times Cited: 40
Testing for self-excitation in jumps
H. Peter Boswijk, Roger J. A. Laeven, Xiye Yang
Journal of Econometrics (2018) Vol. 203, Iss. 2, pp. 256-266
Closed Access | Times Cited: 37
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Yuta Koike
Econometric Theory (2015) Vol. 32, Iss. 3, pp. 533-611
Open Access | Times Cited: 36
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
Manabu Asai, Rangan Gupta, Michael McAleer
Energies (2019) Vol. 12, Iss. 17, pp. 3379-3379
Open Access | Times Cited: 34
The causality between liquidity and volatility in the Polish stock market
Barbara Będowska-Sójka, Agata Kliber
Finance research letters (2019) Vol. 30, pp. 110-115
Closed Access | Times Cited: 34
High-frequency jump tests: Which test should we use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine Forbes
Journal of Econometrics (2020) Vol. 219, Iss. 2, pp. 478-487
Open Access | Times Cited: 28
Identifying the volatility risk price through the leverage effect
Xu Cheng, Éric Renault, Paul Michael Sangrey
Journal of Econometrics (2025), pp. 105943-105943
Closed Access
Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes
Rodrigo Hizmeri, Marwan Izzeldin, Giovanni Urga
Journal of Empirical Finance (2025), pp. 101594-101594
Closed Access
Warp speed price moves: Jumps after earnings announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
Journal of Financial Economics (2025) Vol. 167, pp. 104010-104010
Closed Access
NONPARAMETRIC ESTIMATION OF LARGE SPOT VOLATILITY MATRICES FOR HIGH-FREQUENCY FINANCIAL DATA
Ruijun Bu, Degui Li, Oliver Linton, et al.
Econometric Theory (2025), pp. 1-38
Closed Access
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
Jia Li
Econometrica (2013) Vol. 81, Iss. 4, pp. 1673-1693
Open Access | Times Cited: 36
Testing for mutually exciting jumps and financial flights in high frequency data
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, et al.
Journal of Econometrics (2017) Vol. 202, Iss. 1, pp. 18-44
Closed Access | Times Cited: 30
Bootstrapping High-Frequency Jump Tests
Prosper Dovonon, Sı́lvia Gonçalves, Ulrich Hounyo, et al.
Journal of the American Statistical Association (2018) Vol. 114, Iss. 526, pp. 793-803
Open Access | Times Cited: 27
Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-Definite Estimators of the Covariation of Equity Prices
Neil Shephard, Dacheng Xiu
SSRN Electronic Journal (2012)
Open Access | Times Cited: 25
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
Electronic Journal of Statistics (2018) Vol. 12, Iss. 1
Open Access | Times Cited: 23
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