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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:

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

Showing 1-25 of 53 citing articles:

Time-Varying Periodicity in Intraday Volatility
Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov
Journal of the American Statistical Association (2018) Vol. 114, Iss. 528, pp. 1695-1707
Open Access | Times Cited: 52
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
Functional diffusion driven stochastic volatility model
Piotr Kokoszka, Neda Mohammadi, Haonan Wang, et al.
Bernoulli (2025) Vol. 31, Iss. 2
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
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
Yingying Li, Guangying Liu, Zhiyuan Zhang
Journal of Econometrics (2021) Vol. 229, Iss. 2, pp. 422-451
Closed Access | Times Cited: 20
Nonparametric estimation for high-frequency data incorporating trading information
Wenhao Cui, Jie Hu, Jiandong Wang
Journal of Econometrics (2024) Vol. 240, Iss. 1, pp. 105690-105690
Closed Access | Times Cited: 2
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Simon Clinet, Yoann Potiron
Journal of Econometrics (2019) Vol. 209, Iss. 2, pp. 289-337
Open Access | Times Cited: 19
Statistical inferences for price staleness
Aleksey Kolokolov, Giulia Livieri, Davide Pirino
Journal of Econometrics (2020) Vol. 218, Iss. 1, pp. 32-81
Open Access | Times Cited: 17
Microstructure and high-frequency price discovery in the soybean complex
Xinquan Zhou, Guillaume Bagnarosa, Alexandre Gohin, et al.
Journal of commodity markets (2023) Vol. 30, pp. 100314-100314
Open Access | Times Cited: 6
The contribution of jump signs and activity to forecasting stock price volatility
Ruijun Bu, Rodrigo Hizmeri, Marwan Izzeldin, et al.
Journal of Empirical Finance (2022) Vol. 70, pp. 144-164
Open Access | Times Cited: 10
Forecasting stock market volatility: The sum of the parts is more than the whole
Shang Gao, Zhikai Zhang, Yudong Wang, et al.
Finance research letters (2023) Vol. 55, pp. 103849-103849
Closed Access | Times Cited: 5
On Bivariate Time-Varying Price Staleness
Haibin Zhu, Zhi Liu
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 1, pp. 229-242
Closed Access | Times Cited: 4
Disentangling Sources of High Frequency Market Microstructure Noise
Simon Clinet, Yoann Potiron
Journal of Business and Economic Statistics (2019) Vol. 39, Iss. 1, pp. 18-39
Open Access | Times Cited: 11
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
The effect of intraday periodicity on realized volatility measures
Holger Dette, Vasyl Golosnoy, Janosch Kellermann
Metrika (2022) Vol. 86, Iss. 3, pp. 315-342
Open Access | Times Cited: 6
Warp Speed Price Moves: Jumps after Earnings Announcements
Kim Christensen, Allan Timmermann, Bezirgen Veliyev
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 3
Jumps at ultra-high frequency: Evidence from the Chinese stock market
Chuanhai Zhang, Zhi Liu, Qiang Liu
Pacific-Basin Finance Journal (2020) Vol. 68, pp. 101420-101420
Closed Access | Times Cited: 7
Correcting Intraday Periodicity Bias in Realized Volatility Measures
Holger Dette, Vasyl Golosnoy, Janosch Kellermann
Econometrics and Statistics (2021) Vol. 23, pp. 36-52
Open Access | Times Cited: 6
A WILD BOOTSTRAP FOR DEPENDENT DATA
Ulrich Hounyo
Econometric Theory (2021) Vol. 39, Iss. 2, pp. 264-289
Closed Access | Times Cited: 6
The local fractional bootstrap
Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde, et al.
Scandinavian Journal of Statistics (2018) Vol. 46, Iss. 1, pp. 329-359
Open Access | Times Cited: 5
A Stochastic Price Duration Model for Estimating High-Frequency Volatility
Denis Pelletier, Wei Wei
Journal of Financial Econometrics (2023) Vol. 22, Iss. 5, pp. 1372-1396
Open Access | Times Cited: 1
Forecasting the realized variance in the presence of intraday periodicity
Ana Maria H. Dumitru, Rodrigo Hizmeri, Marwan Izzeldin
Journal of Banking & Finance (2024), pp. 107342-107342
Closed Access
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Qiang Liu, Zhi Liu
Econometrics Journal (2024) Vol. 27, Iss. 2, pp. 278-298
Open Access
Intraday volatility patterns from short-dated options
Viktor Todorov, Yang Zhang
Journal of Econometrics (2024), pp. 105732-105732
Closed Access
Inference for calendar effects in microstructure noise
Yingwen Tan, Zhiyuan Zhang
Journal of Time Series Analysis (2024) Vol. 45, Iss. 6, pp. 931-952
Closed Access
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