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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:

Jumps in equilibrium prices and market microstructure noise
Suzanne S. Lee, Per A. Mykland
Journal of Econometrics (2012) Vol. 168, Iss. 2, pp. 396-406
Closed Access | Times Cited: 102

Showing 1-25 of 102 citing articles:

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
High-Frequency Trading and Extreme Price Movements
Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, et al.
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 112
The Estimation of Leverage Effect With High-Frequency Data
Christina D. Wang, Per A. Mykland
Journal of the American Statistical Association (2013) Vol. 109, Iss. 505, pp. 197-215
Closed Access | Times Cited: 95
High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
SSRN Electronic Journal (2017)
Open Access | Times Cited: 84
High-Frequency Jump Analysis of the Bitcoin Market*
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
Journal of Financial Econometrics (2018)
Open Access | Times Cited: 69
An International Comparison of Implied, Realized, and GARCH Volatility Forecasts
Apostolos Kourtis, Raphael N. Markellos, Lazaros Symeonidis
Journal of Futures Markets (2016) Vol. 36, Iss. 12, pp. 1164-1193
Open Access | Times Cited: 50
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 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
Strategic Liquidity Provision and Extreme Volatility Spikes
Jonathan Brogaard, Konstantin Sokolov, Jiang Zhang
Management Science (2025)
Closed Access
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
Markus Bibinger, Michael Sonntag
Econometrics and Statistics (2025)
Open Access
Bitcoin as a financial asset: a survey
Dong‐Ho Kang, Doojin Ryu, Robert I. Webb
Financial Innovation (2025) Vol. 11, Iss. 1
Open Access
Market microstructure to enhance sustainable investment decision and asset growth through financial literacy
Nitika Sharma, Sridhar Manohar, Arjun J. Nair, et al.
Journal of Innovation and Entrepreneurship (2025) Vol. 14, Iss. 1
Open Access
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
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Z. Merrick Li, Roger J. A. Laeven, Michel Vellekoop
Journal of Econometrics (2019) Vol. 215, Iss. 2, pp. 536-558
Open Access | Times Cited: 27
Volatility estimation and jump detection for drift–diffusion processes
Sébastien Laurent, Shuping Shi
Journal of Econometrics (2020) Vol. 217, Iss. 2, pp. 259-290
Open Access | Times Cited: 24
Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets
Haider Ali, Muhammad Aftab, Faheem Aslam, et al.
Fractal and Fractional (2024) Vol. 8, Iss. 10, pp. 571-571
Open Access | Times Cited: 3
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
SSRN Electronic Journal (2011)
Open Access | Times Cited: 29
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
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 242-262
Open Access | Times Cited: 25
Predicting intraday jumps in stock prices using liquidity measures and technical indicators
Ao Kong, Hongliang Zhu, Robert Azencott
Journal of Forecasting (2020) Vol. 40, Iss. 3, pp. 416-438
Open Access | Times Cited: 21
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
Stock co-jump networks
Yi Ding, Yingying Li, Guoli Liu, et al.
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105420-105420
Closed Access | Times Cited: 7
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
Markus Bibinger, Christopher J. Neely, Lars Winkelmann
Journal of Econometrics (2019) Vol. 209, Iss. 2, pp. 158-184
Open Access | Times Cited: 16
Are Corn Futures Prices Getting “Jumpy”?
Anabelle Couleau, Teresa Serra, Philip Garcia
American Journal of Agricultural Economics (2020) Vol. 102, Iss. 2, pp. 569-588
Open Access | Times Cited: 16
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