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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:

Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
Katja Ignatieva, Paulo M.M. Rodrigues, Norman Seeger
Journal of Business and Economic Statistics (2014) Vol. 33, Iss. 1, pp. 68-75
Open Access | Times Cited: 22

Showing 22 citing articles:

Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets*
Haiyuan Yang, Juho Kanniainen
Review of Finance (2016) Vol. 21, Iss. 2, pp. 811-844
Closed Access | Times Cited: 34
Appraising Model Complexity in Option Pricing
Mark Cummins, Francesco Esposito
Journal of Futures Markets (2025)
Open Access
Electricity price modelling with stochastic volatility and jumps: An empirical investigation
Nikolay Gudkov, Katja Ignatieva
Energy Economics (2021) Vol. 98, pp. 105260-105260
Open Access | Times Cited: 20
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Nikolay Gudkov, Katja Ignatieva, Jonathan Ziveyi
Quantitative Finance (2018) Vol. 19, Iss. 3, pp. 501-518
Closed Access | Times Cited: 23
Jump and variance risk premia in the S&P 500
Maximilian Neumann, Marcel Prokopczuk, Chardin Wese Simen
Journal of Banking & Finance (2016) Vol. 69, pp. 72-83
Open Access | Times Cited: 19
Detecting money market bubbles
Jan Baldeaux, Katja Ignatieva, Eckhard Platen
Journal of Banking & Finance (2017) Vol. 87, pp. 369-379
Open Access | Times Cited: 13
Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models
Katja Ignatieva, Patrick Wong
Energy Economics (2022) Vol. 108, pp. 105873-105873
Closed Access | Times Cited: 7
Flexible and Robust Particle Tempering for State Space Models
David Gunawan, Robert Kohn, Minh Ngoc Tran
Econometrics and Statistics (2022) Vol. 33, pp. 35-55
Closed Access | Times Cited: 6
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
Alessandro Pollastri, Paulo M.M. Rodrigues, Christian Schlag, et al.
Journal of Empirical Finance (2022) Vol. 70, pp. 322-341
Open Access | Times Cited: 6
Affine Approximation for Moment Generating Function of Log-Normal Stochastic Volatility Model
Artur Sepp, Parviz Rakhmonov
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 7
Equity index variance: Evidence from flexible parametric jump–diffusion models
Andreas Kaeck, Paulo M.M. Rodrigues, Norman Seeger
Journal of Banking & Finance (2017) Vol. 83, pp. 85-103
Open Access | Times Cited: 7
A flexible particle Markov chain Monte Carlo method
Eduardo Mendes, Chris Carter, David Gunawan, et al.
Statistics and Computing (2020) Vol. 30, Iss. 4, pp. 783-798
Closed Access | Times Cited: 7
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Andreas Kaeck, Paulo M.M. Rodrigues, Norman Seeger
Journal of Economic Dynamics and Control (2018) Vol. 90, pp. 1-29
Open Access | Times Cited: 5
Jump and Variance Risk Premia in the S&P 500
Maximilian Neumann, Marcel Prokopczuk, Chardin Wese Simen
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 4
A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Paulo Henrique Mazza Rodrigues, Christian Schlag
SSRN Electronic Journal (2009)
Open Access | Times Cited: 4
Does model misspecification matter for hedging? A computational finance experiment based approach
Youfa Sun, George Xianzhi Yuan, Shimin Guo, et al.
International Journal of Financial Engineering (2015) Vol. 02, Iss. 03, pp. 1550023-1550023
Closed Access | Times Cited: 3
Flexibly Modelling Volatility and Jumps Using Realised and Bi-Power Variation
Jim E. Griffin
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 2
Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
Haiyuan Yang, Juho Kanniainen
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 2
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Katja Ignatieva, Patrick Wong
Journal of Empirical Finance (2024) Vol. 78, pp. 101519-101519
Open Access
An Application of Damped Diffusion for Modeling Volatility Dynamics
Mao‐Wei Hung, Yi-Chen Ko, Jr‐Yan Wang
Journal of Financial Econometrics (2021) Vol. 21, Iss. 3, pp. 779-809
Closed Access | Times Cited: 1
A flexible Particle Markov chain Monte Carlo method
Eduardo Mendes, Chris Carter, David Gunawan, et al.
arXiv (Cornell University) (2014)
Closed Access
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