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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:

Self-Exciting Jumps, Learning, and Asset Pricing Implications
András Fülöp, Junye Li, Jun Yu
Review of Financial Studies (2014) Vol. 28, Iss. 3, pp. 876-912
Open Access | Times Cited: 95

Showing 1-25 of 95 citing articles:

Not all words are equal: Sentiment and jumps in the cryptocurrency market
Ahmet Faruk Aysan, Massimiliano Caporin, Oğuzhan Çepni
Journal of International Financial Markets Institutions and Money (2024) Vol. 91, pp. 101920-101920
Open Access | Times Cited: 9
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
Junye Li, Gabriele Zinna
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 3, pp. 411-425
Open Access | Times Cited: 55
Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500
Yan Chen, Lei Zhang, Elie Bouri
Research in International Business and Finance (2024) Vol. 69, pp. 102277-102277
Closed Access | Times Cited: 5
How Crashes Develop: Intradaily Volatility and Crash Evolution
David S. Bates
The Journal of Finance (2018) Vol. 74, Iss. 1, pp. 193-238
Open Access | Times Cited: 40
Approximate Bayesian forecasting
David T. Frazier, Worapree Maneesoonthorn, Gael M. Martin, et al.
International Journal of Forecasting (2019) Vol. 35, Iss. 2, pp. 521-539
Open Access | Times Cited: 37
Hawkes jump-diffusions and finance: a brief history and review
Alan G. Hawkes
European Journal of Finance (2020) Vol. 28, Iss. 7, pp. 627-641
Open Access | Times Cited: 34
Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures
Worapree Maneesoonthorn, Catherine Forbes, Gael M. Martin
Journal of Applied Econometrics (2016) Vol. 32, Iss. 3, pp. 504-532
Open Access | Times Cited: 32
High-frequency jump tests: Which test should we use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine Forbes
Journal of Econometrics (2020) Vol. 219, Iss. 2, pp. 478-487
Open Access | Times Cited: 28
Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach
Jean‐François Bégin, Golara Zafari
Econometrics and Statistics (2025)
Open Access
The Pricing of Jump Propagation: Evidence from Spot and Options Markets
Du Du, Dan Luo
Management Science (2017)
Closed Access | Times Cited: 33
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Steve Y. Yang, Anqi Liu, Jing Chen, et al.
Quantitative Finance (2017) Vol. 18, Iss. 2, pp. 295-310
Open Access | Times Cited: 29
The microstructure of stochastic volatility models with self-exciting jump dynamics
Ulrich Horst, Wei Xu
The Annals of Applied Probability (2022) Vol. 32, Iss. 6
Open Access | Times Cited: 16
Empirical Option Pricing Models
David S. Bates
Annual Review of Financial Economics (2022) Vol. 14, Iss. 1, pp. 369-389
Closed Access | Times Cited: 16
Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets
Haider Ali, Muhammad Aftab, Faheem Aslam, et al.
Fractal and Fractional (2024) Vol. 8, Iss. 10, pp. 571-571
Open Access | Times Cited: 3
Unlocking the black box: Non-parametric option pricing before and during COVID-19
Nikola Gradojević, Dragan Kukolj
Annals of Operations Research (2022)
Open Access | Times Cited: 14
Structural credit risk modelling with Hawkes jump diffusion processes
Yong Ma, Weidong Xu
Journal of Computational and Applied Mathematics (2016) Vol. 303, pp. 69-80
Closed Access | Times Cited: 23
Volatility jumps and macroeconomic news announcements
Kam Fong Chan, Philip Gray
Journal of Futures Markets (2018) Vol. 38, Iss. 8, pp. 881-897
Closed Access | Times Cited: 21
A switching self-exciting jump diffusion process for stock prices
Donatien Hainaut, Franck Moraux
Annals of Finance (2018) Vol. 15, Iss. 2, pp. 267-306
Closed Access | Times Cited: 21
An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Xiafei Li, Yin Liao, Xinjie Lu, et al.
Energy Economics (2022) Vol. 116, pp. 106358-106358
Closed Access | Times Cited: 12
Bayesian estimation of dynamic asset pricing models with informative observations
András Fülöp, Junye Li
Journal of Econometrics (2018) Vol. 209, Iss. 1, pp. 114-138
Open Access | Times Cited: 20
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
Luca Gonzato, Carlo Sgarra
Energy Economics (2021) Vol. 99, pp. 105279-105279
Open Access | Times Cited: 14
The Global Determinants of International Equity Risk Premiums
Juan M. Londoño, Nancy R. Xu
Management Science (2023)
Closed Access | Times Cited: 5
Fast Filtering with Large Option Panels: Implications for Asset Pricing
Arnaud Dufays, Kris Jacobs, Yuguo Liu, et al.
Journal of Financial and Quantitative Analysis (2023), pp. 1-32
Closed Access | Times Cited: 5
Variance-of-Variance Risk Premium*
Andreas Kaeck
Review of Finance (2017) Vol. 22, Iss. 4, pp. 1549-1579
Open Access | Times Cited: 16
Asian options pricing in Hawkes-type jump-diffusion models
Riccardo Brignone, Carlo Sgarra
Annals of Finance (2019) Vol. 16, Iss. 1, pp. 101-119
Closed Access | Times Cited: 15
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