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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:

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

Showing 1-25 of 67 citing articles:

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
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
Systemic co-jumps
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò
Journal of Financial Economics (2017) Vol. 126, Iss. 3, pp. 563-591
Open Access | Times Cited: 74
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
Journal of Business and Economic Statistics (2017) Vol. 37, Iss. 3, pp. 419-435
Open Access | Times Cited: 53
Forecasting the variance of stock index returns using jumps and cojumps
Adam Clements, Yin Liao
International Journal of Forecasting (2017) Vol. 33, Iss. 3, pp. 729-742
Open Access | Times Cited: 45
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
Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
Maria Elvira Mancino, Maria Cristina Recchioni
PLoS ONE (2015) Vol. 10, Iss. 9, pp. e0139041-e0139041
Open Access | Times Cited: 26
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates
Lars Winkelmann, Markus Bibinger, Tobias Linzert
Journal of Applied Econometrics (2015) Vol. 31, Iss. 4, pp. 613-629
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
Unearthing the impact of earthquakes: A review of economic and social consequences
Cevat Giray Aksoy, Maxim Chupilkin, Zsóka Kóczán, et al.
Journal of Policy Analysis and Management (2024)
Open Access | Times Cited: 2
Systematic jump risk
Jean Jacod, Huidi Lin, Viktor Todorov
The Annals of Applied Probability (2024) Vol. 34, Iss. 5
Closed Access | Times Cited: 2
Jump filtering and efficient drift estimation for Lévy-driven SDEs
Arnaud Gloter, Dasha Loukianova, Hilmar Mai
The Annals of Statistics (2018) Vol. 46, Iss. 4
Open Access | Times Cited: 20
Do co-jumps impact correlations in currency markets?
Jozef Baruník, Lukáš Vácha
Journal of Financial Markets (2017) Vol. 37, pp. 97-119
Open Access | Times Cited: 19
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment
Theo Berger, Ramazan Gençay
Journal of Economic Dynamics and Control (2018) Vol. 92, pp. 30-46
Closed Access | Times Cited: 17
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
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Markus Pelger
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 15
Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise
Yuta Koike
Bernoulli (2016) Vol. 22, Iss. 3
Open Access | Times Cited: 14
Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear
Yin Liao, Zheyao Pan
Pacific-Basin Finance Journal (2022) Vol. 76, pp. 101862-101862
Closed Access | Times Cited: 8
Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
Arpita Mukherjee, Weijia Peng, Norman R. Swanson, et al.
Handbook of statistics (2019), pp. 3-59
Closed Access | Times Cited: 12
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Christian T. Brownlees, Eulàlia Nualart, Yucheng Sun
Econometric Reviews (2020) Vol. 39, Iss. 10, pp. 991-1013
Open Access | Times Cited: 11
Time endogeneity and an optimal weight function in pre-averaging covariance estimation
Yuta Koike
Statistical Inference for Stochastic Processes (2016) Vol. 20, Iss. 1, pp. 15-56
Open Access | Times Cited: 10
Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 10
Volatility estimation under one-sided errors with applications to limit order books
Markus Bibinger, Moritz Jirak, Markus Reiß
The Annals of Applied Probability (2016) Vol. 26, Iss. 5
Open Access | Times Cited: 9
Detecting factors of quadratic variation in the presence of market microstructure noise
Naoto Kunitomo, Daisuke Kurisu
Japanese Journal of Statistics and Data Science (2021) Vol. 4, Iss. 1, pp. 601-641
Open Access | Times Cited: 6
Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 5
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