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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:

Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
Charles S. Bos, P. Janus, Siem Jan Koopman
Journal of Financial Econometrics (2012) Vol. 10, Iss. 2, pp. 354-389
Open Access | Times Cited: 26

Showing 1-25 of 26 citing articles:

Jumps in equilibrium prices and market microstructure noise
Suzanne S. Lee, Per A. Mykland
Journal of Econometrics (2012) Vol. 168, Iss. 2, pp. 396-406
Closed Access | Times Cited: 102
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
Kris Boudt, Mikaël Petitjean
Journal of Financial Markets (2013) Vol. 17, pp. 121-149
Closed Access | Times Cited: 88
Estimating spot volatility with high-frequency financial data
Yang Zu, H. Peter Boswijk
Journal of Econometrics (2014) Vol. 181, Iss. 2, pp. 117-135
Open Access | Times Cited: 81
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
SSRN Electronic Journal (2016)
Open Access | Times Cited: 76
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, and Mikko S Pakkanen
Journal of Financial Econometrics (2020) Vol. 20, Iss. 5, pp. 961-1006
Open Access | Times Cited: 70
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
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
A Decision Support System for Trading in Apple Futures Market Using Predictions Fusion
Shangkun Deng, Xiaoru Huang, Jiahui Wang, et al.
IEEE Access (2020) Vol. 9, pp. 1271-1285
Open Access | Times Cited: 20
Decoupling the short- and long-term behavior of stochastic volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
arXiv (Cornell University) (2016)
Closed Access | Times Cited: 13
Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
Jérôme Lahaye, Philip Shaw
Economics Letters (2014) Vol. 125, Iss. 1, pp. 43-46
Closed Access | Times Cited: 13
Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
Rainer Dahlhaus, Jan C. Neddermeyer
Journal of Financial Econometrics (2013) Vol. 12, Iss. 1, pp. 174-212
Closed Access | Times Cited: 13
Development of an agent-based speculation game for higher reproducibility of financial stylized facts
Kei Katahira, Yu Chen, Gaku Hashimoto, et al.
Physica A Statistical Mechanics and its Applications (2019) Vol. 524, pp. 503-518
Open Access | Times Cited: 12
Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 10
Intraday Liquidity Dynamics of the DJIA Stocks Around Price Jumps
Kris Boudt, Mikaël Petitjean
SSRN Electronic Journal (2010)
Closed Access | Times Cited: 6
Intraday-of-the-week effects: What do the exchange rate data tell us?
Siroos Khademalomoom, Paresh Kumar Narayan
Emerging Markets Review (2020) Vol. 43, pp. 100681-100681
Closed Access | Times Cited: 6
Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 5
Particle Filter-Based On-Line Estimation of Spot Volatility with Nonlinear Market Microstructure Noise Models
Rainer Dahlhaus, Jan C. Neddermeyer
(2010)
Closed Access | Times Cited: 5
Developments in Measuring and Modeling Financial Volatility
P. Janus
(2012)
Closed Access | Times Cited: 4
Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Microstructure Noise and Jumps
Yuta Koike
SSRN Electronic Journal (2013)
Open Access | Times Cited: 4
Detecting Jumps in High‐Frequency Prices Under Stochastic Volatility: A Review and a Data‐Driven Approach
Ping Chen Tsai, Mark B. Shackleton
(2016), pp. 137-181
Closed Access | Times Cited: 2
A Quantile-Based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
Charles S. Bos, P. Janus
SSRN Electronic Journal (2013)
Open Access | Times Cited: 1
Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps
Yuta Koike
arXiv (Cornell University) (2013)
Open Access
Testing for jumps with robust spot volatility estimators
Yucheng Sun
Statistica Neerlandica (2023) Vol. 78, Iss. 1, pp. 79-104
Closed Access
Essays on Nonparametric Econometrics of Stochastic Volatility
Yang Zu
(2012)
Closed Access
Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
Konul Mustafayeva, Ning Wang
arXiv (Cornell University) (2019)
Closed Access
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