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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:

Time-varying leverage effects
Federico M. Bandi, Roberto Renò
Journal of Econometrics (2012) Vol. 169, Iss. 1, pp. 94-113
Closed Access | Times Cited: 107

Showing 1-25 of 107 citing articles:

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
The leverage effect puzzle: Disentangling sources of bias at high frequency
Yacine Aït‐Sahalia, Jianqing Fan, Yingying Li
Journal of Financial Economics (2013) Vol. 109, Iss. 1, pp. 224-249
Open Access | Times Cited: 206
Price and volatility co-jumps
Federico M. Bandi, Roberto Renò
Journal of Financial Economics (2015) Vol. 119, Iss. 1, pp. 107-146
Closed Access | Times Cited: 157
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
Explaining the negative returns to volatility claims: An equilibrium approach
Bjørn Eraker, Yue Wu
Journal of Financial Economics (2017) Vol. 125, Iss. 1, pp. 72-98
Closed Access | Times Cited: 90
COVID-19 and instability of stock market performance: evidence from the U.S.
Hui Hong, Zhicun Bian, Chien‐Chiang Lee
Financial Innovation (2021) Vol. 7, Iss. 1
Open Access | Times Cited: 85
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Ilze Kalnina, Dacheng Xiu
Journal of the American Statistical Association (2016) Vol. 112, Iss. 517, pp. 384-396
Open Access | Times Cited: 67
Model-free volatility indexes in the financial literature: A review
María T. González-Pérez
International Review of Economics & Finance (2015) Vol. 40, pp. 141-159
Closed Access | Times Cited: 65
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
The Annals of Applied Probability (2024) Vol. 34, Iss. 3
Open Access | Times Cited: 7
A semiparametric stochastic volatility model
Jun Yu
Journal of Econometrics (2011) Vol. 167, Iss. 2, pp. 473-482
Open Access | Times Cited: 62
Estimation of the Continuous and Discontinuous Leverage Effects
Yacine Aït‐Sahalia, Jianqing Fan, Roger J. A. Laeven, et al.
Journal of the American Statistical Association (2016) Vol. 112, Iss. 520, pp. 1744-1758
Open Access | Times Cited: 59
Regime-switching stochastic volatility model: estimation and calibration to VIX options
Stéphane Goutte, Amine Ismail, Huyên Pham
Applied Mathematical Finance (2017) Vol. 24, Iss. 1, pp. 38-75
Open Access | Times Cited: 59
Long Memory and Periodicity in Intraday Volatility
Eduardo Rossi, Dean Fantazzini
Journal of Financial Econometrics (2014) Vol. 13, Iss. 4, pp. 922-961
Open Access | Times Cited: 56
Asymmetric volatility in equity markets around the world
Jone Byberg Horpestad, Štefan Lyócsa, Péter Molnár, et al.
The North American Journal of Economics and Finance (2018) Vol. 48, pp. 540-554
Closed Access | Times Cited: 48
The jump leverage risk premium
Tim Bollerslev, Viktor Todorov
Journal of Financial Economics (2023) Vol. 150, Iss. 3, pp. 103723-103723
Closed Access | Times Cited: 14
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
Cross-sectional dependence in idiosyncratic volatility
Ilze Kalnina, Kokouvi Tewou
Journal of Econometrics (2025) Vol. 249, pp. 106003-106003
Closed Access
Stock Return Extrapolation, Option Prices, and Variance Risk Premium
Adem Atmaz
Review of Financial Studies (2021) Vol. 35, Iss. 3, pp. 1348-1393
Closed Access | Times Cited: 23
Leverage effect in cryptocurrency markets
Jing‐Zhi Huang, Jun Ni, Li Xu
Pacific-Basin Finance Journal (2022) Vol. 73, pp. 101773-101773
Closed Access | Times Cited: 16
Nonparametric Stochastic Volatility
Federico M. Bandi, Roberto Renò
SSRN Electronic Journal (2010)
Open Access | Times Cited: 35
Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
Marco Bee, Debbie J. Dupuis, Luca Trapin
Journal of Financial Econometrics (2019) Vol. 17, Iss. 2, pp. 254-283
Open Access | Times Cited: 25
Asymptotic inference about predictive accuracy using high frequency data
Jia Li, Andrew J. Patton
Journal of Econometrics (2018) Vol. 203, Iss. 2, pp. 223-240
Open Access | Times Cited: 25
NONPARAMETRIC STOCHASTIC VOLATILITY
Federico M. Bandi, Roberto Renò
Econometric Theory (2018) Vol. 34, Iss. 6, pp. 1207-1255
Open Access | Times Cited: 24
Chasing volatility
Massimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris
Journal of Econometrics (2017) Vol. 198, Iss. 1, pp. 122-145
Closed Access | Times Cited: 24
Testing for jumps and jump intensity path dependence
Valentina Corradi, Mervyn J. Silvapulle, Norman R. Swanson
Journal of Econometrics (2018) Vol. 204, Iss. 2, pp. 248-267
Open Access | Times Cited: 22
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