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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:

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: 205

Showing 1-25 of 205 citing articles:

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
The volatility of a firm's assets and the leverage effect
Jaewon Choi, Matthew Richardson
Journal of Financial Economics (2016) Vol. 121, Iss. 2, pp. 254-277
Closed Access | Times Cited: 144
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
The microstructural foundations of leverage effect and rough volatility
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
Finance and Stochastics (2018) Vol. 22, Iss. 2, pp. 241-280
Open Access | Times Cited: 127
Assessment and optimization of clean energy equity risks and commodity price volatility indexes: Implications for sustainability
Anupam Dutta, Elie Bouri, Debojyoti Das, et al.
Journal of Cleaner Production (2019) Vol. 243, pp. 118669-118669
Open Access | Times Cited: 93
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
The Dark Side of Circuit Breakers
Hui Chen, Anton N. Petukhov, Jiang Wang, et al.
The Journal of Finance (2024) Vol. 79, Iss. 2, pp. 1405-1455
Closed Access | Times Cited: 10
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
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
Good volatility, bad volatility, and the cross section of cryptocurrency returns
Zehua Zhang, Ran Zhao
International Review of Financial Analysis (2023) Vol. 89, pp. 102712-102712
Closed Access | Times Cited: 17
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
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
Locked-In: The Effect of CEOs' Capital Gains Taxes on Corporate Risk-Taking
Benjamin Yost
The Accounting Review (2017) Vol. 93, Iss. 5, pp. 325-358
Open Access | Times Cited: 53
Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
Josselin Garnier, Knut Sølna
SIAM Journal on Financial Mathematics (2017) Vol. 8, Iss. 1, pp. 560-588
Open Access | Times Cited: 50
Idiosyncratic volatility, the VIX and stock returns
Mahmoud Qadan, Doron Kliger, Nir Chen
The North American Journal of Economics and Finance (2018) Vol. 47, pp. 431-441
Closed Access | Times Cited: 50
Implied Stochastic Volatility Models
Yacine Aït‐Sahalia, Chenxu Li, Chen Xu Li
Review of Financial Studies (2020) Vol. 34, Iss. 1, pp. 394-450
Closed Access | Times Cited: 47
Lessons from Estimating the Average Option-implied Volatility Term Structure for the Spanish Banking Sector
María T. González-Pérez
SSRN Electronic Journal (2021)
Closed Access | Times Cited: 38
Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks
Donghai Zhou, Xiaoxing Liu
Journal of International Financial Markets Institutions and Money (2023) Vol. 88, pp. 101843-101843
Closed Access | Times Cited: 16
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
Estimating the integrated volatility with tick observations
Jean Jacod, Yingying Li, Xinghua Zheng
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 80-100
Closed Access | Times Cited: 44
Efficient estimation of integrated volatility incorporating trading information
Yingying Li, Shangyu Xie, Xinghua Zheng
Journal of Econometrics (2016) Vol. 195, Iss. 1, pp. 33-50
Closed Access | Times Cited: 43
The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach
Jireh Yi-Le Chan, Seuk Wai Phoong, Seuk Yen Phoong, et al.
Mathematics (2023) Vol. 11, Iss. 3, pp. 698-698
Open Access | Times Cited: 11
Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility
Jonathan Stroud, Michael Johannes
Journal of the American Statistical Association (2014) Vol. 109, Iss. 508, pp. 1368-1384
Open Access | Times Cited: 35
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
Worapree Maneesoonthorn, Catherine Forbes, Gael M. Martin
Journal of Applied Econometrics (2016) Vol. 32, Iss. 3, pp. 504-532
Open Access | Times Cited: 32
Multivariate leverage effects and realized semicovariance GARCH models
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg
Journal of Econometrics (2020) Vol. 217, Iss. 2, pp. 411-430
Open Access | Times Cited: 31
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