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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:

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

Showing 1-25 of 67 citing articles:

Principal Component Analysis of High-Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of the American Statistical Association (2017) Vol. 114, Iss. 525, pp. 287-303
Open Access | Times Cited: 223
High-frequency factor models and regressions
Yacine Aït‐Sahalia, Ilze Kalnina, Dacheng Xiu
Journal of Econometrics (2020) Vol. 216, Iss. 1, pp. 86-105
Closed Access | Times Cited: 51
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
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
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
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
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
The Impact of Trade Facilitation on Cross-Border E-Commerce Transactions: Analysis Based on the Marine and Land Cross-Border Logistical Practices between China and Countries along the “Belt and Road”
Yingying Liang, Liangliang Guo, Jianlu Li, et al.
Water (2021) Vol. 13, Iss. 24, pp. 3567-3567
Open Access | Times Cited: 24
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
Efficient estimation of integrated volatility functionals via multiscale jackknife
Jia Li, Yunxiao Liu, Dacheng Xiu
The Annals of Statistics (2018) Vol. 47, Iss. 1
Open Access | Times Cited: 28
A Descriptive Study of High-Frequency Trade and Quote Option Data*
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, et al.
Journal of Financial Econometrics (2020) Vol. 19, Iss. 1, pp. 128-177
Open Access | Times Cited: 25
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
Implementing Intraday Model-Free Implied Volatility for Individual Equities to Analyze the Return–Volatility Relationship
Martin G. Haas, Franziska J. Peter
Journal of risk and financial management (2024) Vol. 17, Iss. 1, pp. 39-39
Open Access | Times Cited: 3
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
Electronic Journal of Statistics (2018) Vol. 12, Iss. 1
Open Access | Times Cited: 23
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
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
Testing high-dimensional covariance matrices under the elliptical distribution and beyond
Xinxin Yang, Xinghua Zheng, Jiaqi Chen
Journal of Econometrics (2020) Vol. 221, Iss. 2, pp. 409-423
Open Access | Times Cited: 14
Asymmetric Volatility Risk: Evidence from Option Markets*
Jens Carsten Jackwerth, Grigory Vilkov
Review of Finance (2018) Vol. 23, Iss. 4, pp. 777-799
Open Access | Times Cited: 14
Principal Component Analysis of High Frequency Data
Yacine Aït‐Sahalia, Dacheng Xiu
SSRN Electronic Journal (2015)
Open Access | Times Cited: 13
Principal Component Analysis in Financial Data Science
Stefana Janićijević, Vule Mizdraković, Maja Kljajić
IntechOpen eBooks (2022)
Open Access | Times Cited: 7
Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts
Giacomo Toscano, Giulia Livieri, Maria Elvira Mancino, et al.
Journal of Financial Econometrics (2022)
Open Access | Times Cited: 7
Statistical Inference for Rough Volatility: Central Limit Theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 6
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
Torben G. Andersen, Nicola Fusari, Viktor Todorov, et al.
Econometric Theory (2018) Vol. 35, Iss. 05, pp. 901-942
Open Access | Times Cited: 6
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