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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 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

Showing 1-25 of 95 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
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
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
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
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
Asymmetric volatility in equity markets around the world
Jone Byberg Horpestad, Štefan Lyócsa, Péter Molnár, et al.
The North American Journal of Economics and Finance (2018) Vol. 48, pp. 540-554
Closed Access | Times Cited: 48
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
Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
Mathias Vetter
Bernoulli (2015) Vol. 21, Iss. 4
Open Access | Times Cited: 46
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
Per A. Mykland, Lan Zhang
Econometrica (2017) Vol. 85, Iss. 1, pp. 197-231
Open Access | Times Cited: 41
Stylized facts of metaverse non-fungible tokens
Stephen Chan, Durga Chandrashekhar, Ward Almazloum, et al.
Physica A Statistical Mechanics and its Applications (2024), pp. 130103-130103
Closed Access | Times Cited: 4
Time and Frequency Nexus among Public Debt, Exchange Rate, Inflation, Monetary Policy Rate and Economic Growth in Ghana
Absalom Odoom, Peterson Owusu, Anthony Adu-Asare Idun, et al.
Scientific African (2025), pp. e02552-e02552
Open Access
Cross-sectional dependence in idiosyncratic volatility
Ilze Kalnina, Kokouvi Tewou
Journal of Econometrics (2025) Vol. 249, pp. 106003-106003
Closed Access
A Nonparametric Test for Rough Volatility
Carsten Chong, Viktor Todorov
Journal of the American Statistical Association (2025), pp. 1-23
Closed Access
Fourier transform methods for pathwise covariance estimation in the presence of jumps
Christa Cuchiero, Josef Teichmann
Stochastic Processes and their Applications (2014) Vol. 125, Iss. 1, pp. 116-160
Open Access | Times Cited: 34
Leverage effect in cryptocurrency markets
Jing‐Zhi Huang, Jun Ni, Li Xu
Pacific-Basin Finance Journal (2022) Vol. 73, pp. 101773-101773
Closed Access | Times Cited: 16
Discovering the drivers of stock market volatility in a data-rich world
Dohyun Chun, Hoon Cho, Doojin Ryu
Journal of International Financial Markets Institutions and Money (2022) Vol. 82, pp. 101684-101684
Closed Access | Times Cited: 15
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 242-262
Open Access | Times Cited: 25
Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
Yingying Li, Guangying Liu, Zhiyuan Zhang
Journal of Econometrics (2021) Vol. 229, Iss. 2, pp. 422-451
Closed Access | Times Cited: 20
Volatility of volatility and leverage effect from options
Carsten Chong, Viktor Todorov
Journal of Econometrics (2024) Vol. 240, Iss. 1, pp. 105669-105669
Closed Access | Times Cited: 2
On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
Ningning Xia, Xinghua Zheng
The Annals of Statistics (2018) Vol. 46, Iss. 2
Open Access | Times Cited: 18
Testing for non-correlation between price and volatility jumps
Jean Jacod, Claudia Klüppelberg, Gernot Müller
Journal of Econometrics (2016) Vol. 197, Iss. 2, pp. 284-297
Open Access | Times Cited: 16
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
Markus Bibinger, Christopher J. Neely, Lars Winkelmann
Journal of Econometrics (2019) Vol. 209, Iss. 2, pp. 158-184
Open Access | Times Cited: 16
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Éric Ghysels, Per A. Mykland, Éric Renault
Econometric Theory (2021) Vol. 39, Iss. 1, pp. 70-106
Open Access | Times Cited: 14
The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks
Mohammad Khaleq Newaz, Jin Suk Park
The Quarterly Review of Economics and Finance (2018) Vol. 71, pp. 79-94
Open Access | Times Cited: 16
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