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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:

Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Financial Economics (2014) Vol. 114, Iss. 3, pp. 576-599
Closed Access | Times Cited: 205

Showing 1-25 of 205 citing articles:

Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard
Journal of Econometrics (2015) Vol. 187, Iss. 1, pp. 293-311
Open Access | Times Cited: 519
A Machine Learning Approach to Volatility Forecasting
Kim Christensen, Mathias Siggaard, Bezirgen Veliyev
Journal of Financial Econometrics (2022) Vol. 21, Iss. 5, pp. 1680-1727
Open Access | Times Cited: 91
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
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
A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver Linton
Econometrica (2022) Vol. 90, Iss. 1, pp. 367-389
Open Access | Times Cited: 44
Cryptocurrency Volatility: A Review, Synthesis, and Research Agenda
Mohamed Shaker Ahmed, Ahmed El‐Masry, Aktham Maghyereh, et al.
Research in International Business and Finance (2024) Vol. 71, pp. 102472-102472
Closed Access | Times Cited: 9
High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
SSRN Electronic Journal (2017)
Open Access | Times Cited: 84
Information Shocks and Short-Term Market Underreaction
George J. Jiang, Kevin X. Zhu
Journal of Financial Economics (2016) Vol. 124, Iss. 1, pp. 43-64
Closed Access | Times Cited: 83
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
SSRN Electronic Journal (2016)
Open Access | Times Cited: 76
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
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, and Mikko S Pakkanen
Journal of Financial Econometrics (2020) Vol. 20, Iss. 5, pp. 961-1006
Open Access | Times Cited: 70
High-Frequency Jump Analysis of the Bitcoin Market*
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
Journal of Financial Econometrics (2018)
Open Access | Times Cited: 69
Information acquisition and processing skills of institutions and retail investors around information shocks
Scott Fung, Khaled Obaid, Shih‐Chuan Tsai
Journal of Empirical Finance (2024) Vol. 77, pp. 101495-101495
Open Access | Times Cited: 7
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect
Francesco Audrino, Yujia Hu
Econometrics (2016) Vol. 4, Iss. 1, pp. 8-8
Open Access | Times Cited: 57
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
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
Feature Engineering for Mid-Price Prediction With Deep Learning
Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen, et al.
IEEE Access (2019) Vol. 7, pp. 82390-82412
Open Access | Times Cited: 49
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
Journal of Econometrics (2020) Vol. 227, Iss. 2, pp. 461-497
Closed Access | Times Cited: 43
When Tether says “JUMP!” Bitcoin asks “How low?”
Klaus Grobys, Toan Luu Duc Huynh
Finance research letters (2021) Vol. 47, pp. 102644-102644
Open Access | Times Cited: 34
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components
Francesca Lilla
Journal of Financial Econometrics (2021) Vol. 21, Iss. 3, pp. 678-713
Open Access | Times Cited: 32
Discontinuous movements and asymmetries in cryptocurrency markets
Κωνσταντίνος Γκίλλας, Paraskevi Katsiampa, Christoforos Konstantatos, et al.
European Journal of Finance (2022) Vol. 30, Iss. 16, pp. 1907-1931
Open Access | Times Cited: 21
The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis
Muhammad Anas, Syed Jawad Hussain Shahzad, Larisa Yarovaya
Financial Innovation (2024) Vol. 10, Iss. 1
Open Access | Times Cited: 4
The Market for 0-Days-to-Expiration: The Role of Liquidity Providers in Volatility Attenuation
Greg Adams, Jean‐Sébastien Fontaine, Chayawat Ornthanalai
(2024)
Closed Access | Times Cited: 4
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