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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:

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

Showing 1-25 of 157 citing articles:

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
Downside Variance Risk Premium*
Bruno Feunou, Mohammad R. Jahan‐Parvar, Cédric Okou
Journal of Financial Econometrics (2017) Vol. 16, Iss. 3, pp. 341-383
Open Access | Times Cited: 124
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
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
Using Deep Learning for price prediction by exploiting stationary limit order book features
Avraam Tsantekidis, Nikolaos Passalis, Anastasios Tefas, et al.
Applied Soft Computing (2020) Vol. 93, pp. 106401-106401
Open Access | Times Cited: 70
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
Pricing Cryptocurrency Options
Ai Jun Hou, Ning Wang, Cathy Y. H. Chen, et al.
Enlighten: Publications (The University of Glasgow) (2020)
Open Access | Times Cited: 51
A GMM approach to estimate the roughness of stochastic volatility
Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, et al.
Journal of Econometrics (2022) Vol. 235, Iss. 2, pp. 745-778
Open Access | Times Cited: 29
Spot volatility estimation using delta sequences
Cecilia Mancini, Vanessa Mattiussi, Roberto Renò
Finance and Stochastics (2015) Vol. 19, Iss. 2, pp. 261-293
Closed Access | Times Cited: 51
Variance risk in aggregate stock returns and time-varying return predictability
Sungjune Pyun
Journal of Financial Economics (2018) Vol. 132, Iss. 1, pp. 150-174
Closed Access | Times Cited: 50
Good Volatility, Bad Volatility, and Option Pricing
Bruno Feunou, Cédric Okou
Journal of Financial and Quantitative Analysis (2018) Vol. 54, Iss. 2, pp. 695-727
Open Access | Times Cited: 48
Forecasting realized volatility: New evidence from time‐varying jumps in VIX
Anupam Dutta, Debojyoti Das
Journal of Futures Markets (2022) Vol. 42, Iss. 12, pp. 2165-2189
Open Access | Times Cited: 23
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
Downside Variance Risk Premium
Bruno Feunou, Cédric Okou, Mohammad R. Jahan‐Parvar
Finance and Economics Discussion Series (2015) Vol. 2015.0, Iss. 20, pp. 1-64
Open Access | Times Cited: 48
Smiling twice: The Heston++ model
Claudio Pacati, Gabriele Pompa, Roberto Renò
Journal of Banking & Finance (2018) Vol. 96, pp. 185-206
Open Access | Times Cited: 42
How Crashes Develop: Intradaily Volatility and Crash Evolution
David S. Bates
The Journal of Finance (2018) Vol. 74, Iss. 1, pp. 193-238
Open Access | Times Cited: 40
Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective
Marco Bee, Debbie J. Dupuis, Luca Trapin
Journal of Empirical Finance (2016) Vol. 36, pp. 86-99
Open Access | Times Cited: 39
Approximate Bayesian forecasting
David T. Frazier, Worapree Maneesoonthorn, Gael M. Martin, et al.
International Journal of Forecasting (2019) Vol. 35, Iss. 2, pp. 521-539
Open Access | Times Cited: 37
Bitcoin option pricing with a SETAR-GARCH model
Tak Kuen Siu, Robert J. Elliott
European Journal of Finance (2020) Vol. 27, Iss. 6, pp. 564-595
Closed Access | Times Cited: 34
Cash Flow News and Stock Price Dynamics
Davide Pettenuzzo, Riccardo Sabbatucci, Allan Timmermann
The Journal of Finance (2020) Vol. 75, Iss. 4, pp. 2221-2270
Closed Access | Times Cited: 33
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
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
High-frequency jump tests: Which test should we use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine Forbes
Journal of Econometrics (2020) Vol. 219, Iss. 2, pp. 478-487
Open Access | Times Cited: 28
Identifying the volatility risk price through the leverage effect
Xu Cheng, Éric Renault, Paul Michael Sangrey
Journal of Econometrics (2025), pp. 105943-105943
Closed Access
Testing and forecasting price jumps with return moments
Fang Zhen, Xinfeng Ruan, Jin E. Zhang
International Review of Finance (2025) Vol. 25, Iss. 1
Closed Access
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