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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:

Robust estimation of intraweek periodicity in volatility and jump detection
Kris Boudt, Christophe Croux, Sébastien Laurent
Journal of Empirical Finance (2010) Vol. 18, Iss. 2, pp. 353-367
Closed Access | Times Cited: 185

Showing 1-25 of 185 citing articles:

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold
The Review of Economics and Statistics (2007) Vol. 89, Iss. 4, pp. 701-720
Open Access | Times Cited: 1395
Not all words are equal: Sentiment and jumps in the cryptocurrency market
Ahmet Faruk Aysan, Massimiliano Caporin, Oğuzhan Çepni
Journal of International Financial Markets Institutions and Money (2024) Vol. 91, pp. 101920-101920
Open Access | Times Cited: 9
Cojumps in stock prices: Empirical evidence
Dudley Gilder, Mark B. Shackleton, Stephen J. Taylor
Journal of Banking & Finance (2013) Vol. 40, pp. 443-459
Open Access | Times Cited: 89
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
Kris Boudt, Mikaël Petitjean
Journal of Financial Markets (2013) Vol. 17, pp. 121-149
Closed Access | Times Cited: 88
Estimating spot volatility with high-frequency financial data
Yang Zu, H. Peter Boswijk
Journal of Econometrics (2014) Vol. 181, Iss. 2, pp. 117-135
Open Access | Times Cited: 81
Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
Kris Boudt, James Thewissen
Financial Management (2018) Vol. 48, Iss. 1, pp. 77-115
Open Access | Times Cited: 81
Outlyingness Weighted Covariation
Kris Boudt, Christophe Croux, S. Laurent
Journal of Financial Econometrics (2011) Vol. 9, Iss. 4, pp. 657-684
Closed Access | Times Cited: 77
On the volatility–volume relationship in energy futures markets using intraday data
Julien Chevallier, Benoît Sévi
Energy Economics (2012) Vol. 34, Iss. 6, pp. 1896-1909
Open Access | Times Cited: 62
The intra-day impact of communication on euro-dollar volatility and jumps
Hans Dewachter, Deniz Erdemlioglu, Jean‐Yves Gnabo, et al.
Journal of International Money and Finance (2014) Vol. 43, pp. 131-154
Open Access | Times Cited: 56
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
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
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
Jump robust two time scale covariance estimation and realized volatility budgets
Kris Boudt, Jin Zhang
Quantitative Finance (2013) Vol. 15, Iss. 6, pp. 1041-1054
Open Access | Times Cited: 38
Identifying new classes of financial price jumps with wavelets
Cécilia Aubrun, Rudy Morel, Michael Benzaquen, et al.
Proceedings of the National Academy of Sciences (2025) Vol. 122, Iss. 6
Closed Access
From Depegs to Jumps: The Role of Stablecoin Instabilities in Crypto Market Dynamics
Baptiste Perez Riaza, Jean‐Yves Gnabo
Journal of International Money and Finance (2025), pp. 103339-103339
Closed Access
A new method for jump detection: analysis of jumps in the S&P 500 financial index
Khaldoun Khashanah, Jing Chen, Mike Buckle, et al.
Journal of the Royal Statistical Society Series C (Applied Statistics) (2025)
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
Multivariate GARCH models for large-scale applications: A survey
Kris Boudt, Alexios Galanos, Scott Payseur, et al.
Handbook of statistics (2019), pp. 193-242
Closed Access | Times Cited: 26
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
Exogenous and endogenous price jumps belong to different dynamical classes
Riccardo Marcaccioli, Jean‐Philippe Bouchaud, Michael Benzaquen
Journal of Statistical Mechanics Theory and Experiment (2022) Vol. 2022, Iss. 2, pp. 023403-023403
Open Access | Times Cited: 15
Fitting semiparametric Markov regime-switching models to electricity spot prices
Michael Eichler, Dennis Türk
Energy Economics (2012) Vol. 36, pp. 614-624
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
Jumps, cojumps, and efficiency in the spot foreign exchange market
Louis R. Piccotti
Journal of Banking & Finance (2017) Vol. 87, pp. 49-67
Closed Access | Times Cited: 27
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
Jérôme Lahaye, Christopher J. Neely
Journal of Business and Economic Statistics (2018) Vol. 38, Iss. 2, pp. 410-427
Open Access | Times Cited: 24
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