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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:

IDENTIFYING THE BROWNIAN COVARIATION FROM THE CO-JUMPS GIVEN DISCRETE OBSERVATIONS
Cecilia Mancini, Fabio Gobbi
Econometric Theory (2012) Vol. 28, Iss. 2, pp. 249-273
Open Access | Times Cited: 85

Showing 1-25 of 85 citing articles:

Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management
Ramzi Nekhili, Elie Bouri
Energy Economics (2023) Vol. 119, pp. 106596-106596
Closed Access | Times Cited: 33
Time-varying leverage effects
Federico M. Bandi, Roberto Renò
Journal of Econometrics (2012) Vol. 169, Iss. 1, pp. 94-113
Closed Access | Times Cited: 107
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
Econometrics of co-jumps in high-frequency data with noise
Markus Bibinger, Lars Winkelmann
Journal of Econometrics (2014) Vol. 184, Iss. 2, pp. 361-378
Open Access | Times Cited: 67
Realized Semicovariances
Tim Bollerslev, Jia Li, Andrew J. Patton, et al.
Econometrica (2020) Vol. 88, Iss. 4, pp. 1515-1551
Open Access | Times Cited: 54
High frequency lead/lag relationships — Empirical facts
Nicolas Huth, Frédéric Abergel
Journal of Empirical Finance (2014) Vol. 26, pp. 41-58
Open Access | Times Cited: 66
Adaptive estimation of continuous-time regression models using high-frequency data
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2017) Vol. 200, Iss. 1, pp. 36-47
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
Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices
Rasmus T. Varneskov
Journal of Business and Economic Statistics (2015) Vol. 34, Iss. 1, pp. 1-22
Open Access | Times Cited: 44
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
Markus Reiß, Viktor Todorov, George Tauchen
Stochastic Processes and their Applications (2015) Vol. 125, Iss. 8, pp. 2955-2988
Open Access | Times Cited: 37
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Yuta Koike
Econometric Theory (2015) Vol. 32, Iss. 3, pp. 533-611
Open Access | Times Cited: 36
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
Tim Bollerslev
Journal of Financial Econometrics (2021) Vol. 20, Iss. 2, pp. 219-252
Closed Access | Times Cited: 25
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
Optimum thresholding using mean and conditional mean squared error
José E. Figueroa‐López, Cecilia Mancini
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 179-210
Open Access | Times Cited: 29
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
The speed of convergence of the Threshold estimator of integrated variance
Cecilia Mancini
Stochastic Processes and their Applications (2010) Vol. 121, Iss. 4, pp. 845-855
Open Access | Times Cited: 32
ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates
Lars Winkelmann, Markus Bibinger, Tobias Linzert
Journal of Applied Econometrics (2015) Vol. 31, Iss. 4, pp. 613-629
Open Access | Times Cited: 25
Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading
Ulrich Hounyo
Journal of Econometrics (2016) Vol. 197, Iss. 1, pp. 130-152
Open Access | Times Cited: 25
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Rasmus T. Varneskov, Valeri Voev
Journal of Empirical Finance (2012) Vol. 20, pp. 83-95
Closed Access | Times Cited: 25
Mixed-scale jump regressions with bootstrap inference
Jia Li, Viktor Todorov, George Tauchen, et al.
Journal of Econometrics (2017) Vol. 201, Iss. 2, pp. 417-432
Open Access | Times Cited: 22
Systematic jump risk
Jean Jacod, Huidi Lin, Viktor Todorov
The Annals of Applied Probability (2024) Vol. 34, Iss. 5
Closed Access | Times Cited: 2
Do co-jumps impact correlations in currency markets?
Jozef Baruník, Lukáš Vácha
Journal of Financial Markets (2017) Vol. 37, pp. 97-119
Open Access | Times Cited: 19
Rank Tests at Jump Events
Jia Li, Viktor Todorov, George Tauchen, et al.
Journal of Business and Economic Statistics (2017) Vol. 37, Iss. 2, pp. 312-321
Open Access | Times Cited: 18
System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Jean‐Yves Gnabo, Lyudmyla Hvozdyk, Jérôme Lahaye
Journal of International Money and Finance (2014) Vol. 48, pp. 147-174
Open Access | Times Cited: 16
An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps
Yuta Koike
Scandinavian Journal of Statistics (2013) Vol. 41, Iss. 2, pp. 460-481
Closed Access | Times Cited: 16
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