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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:

Testing for jumps in a discretely observed process
Yacine Aït‐Sahalia, Jean Jacod
The Annals of Statistics (2009) Vol. 37, Iss. 1
Open Access | Times Cited: 461

Showing 1-25 of 461 citing articles:

Threshold bipower variation and the impact of jumps on volatility forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
Journal of Econometrics (2010) Vol. 159, Iss. 2, pp. 276-288
Open Access | Times Cited: 522
Modeling financial contagion using mutually exciting jump processes
Yacine Aït‐Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven
Journal of Financial Economics (2015) Vol. 117, Iss. 3, pp. 585-606
Open Access | Times Cited: 521
Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
Cecilia Mancini
Scandinavian Journal of Statistics (2009) Vol. 36, Iss. 2, pp. 270-296
Closed Access | Times Cited: 435
Volatility Spreads and Expected Stock Returns
Turan G. Bali, Armen Hovakimian
Management Science (2009) Vol. 55, Iss. 11, pp. 1797-1812
Closed Access | Times Cited: 386
Variance Risk-Premium Dynamics: The Role of Jumps
Viktor Todorov
Review of Financial Studies (2009) Vol. 23, Iss. 1, pp. 345-383
Closed Access | Times Cited: 343
Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
Mark Podolskij, Mathias Vetter
Bernoulli (2009) Vol. 15, Iss. 3
Open Access | Times Cited: 309
Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
Fulvio Corsi, Roberto Renò
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 3, pp. 368-380
Open Access | Times Cited: 309
Testing for jumps when asset prices are observed with noise–a “swap variance” approach
George J. Jiang, Roel C. A. Oomen
Journal of Econometrics (2008) Vol. 144, Iss. 2, pp. 352-370
Closed Access | Times Cited: 281
The leverage effect puzzle: Disentangling sources of bias at high frequency
Yacine Aït‐Sahalia, Jianqing Fan, Yingying Li
Journal of Financial Economics (2013) Vol. 109, Iss. 1, pp. 224-249
Open Access | Times Cited: 205
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
Journal of Financial Economics (2014) Vol. 114, Iss. 3, pp. 576-599
Closed Access | Times Cited: 205
Risk, jumps, and diversification
Tim Bollerslev, Tzuo Hann Law, George Tauchen
Journal of Econometrics (2008) Vol. 144, Iss. 1, pp. 234-256
Closed Access | Times Cited: 271
Estimating the degree of activity of jumps in high frequency data
Yacine Aït‐Sahalia, Jean Jacod
The Annals of Statistics (2009) Vol. 37, Iss. 5A
Open Access | Times Cited: 234
Testing for common arrivals of jumps for discretely observed multidimensional processes
Jean Jacod, Viktor Todorov
The Annals of Statistics (2009) Vol. 37, Iss. 4
Open Access | Times Cited: 213
Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays
Daniel Bradley, Jonathan Clarke, Suzanne Lee, et al.
The Journal of Finance (2013) Vol. 69, Iss. 2, pp. 645-673
Closed Access | Times Cited: 192
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Yacine Aït‐Sahalia, Jean Jacod
Journal of Economic Literature (2012) Vol. 50, Iss. 4, pp. 1007-1050
Closed Access | Times Cited: 184
Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
George J. Jiang, Ingrid Lo, Adrien Verdelhan
Journal of Financial and Quantitative Analysis (2010) Vol. 46, Iss. 02, pp. 527-551
Open Access | Times Cited: 169
Jumps and Information Flow in Financial Markets
Suzanne S. Lee
Review of Financial Studies (2011) Vol. 25, Iss. 2, pp. 439-479
Closed Access | Times Cited: 167
Testing for jumps in noisy high frequency data
Yacine Aït‐Sahalia, Jean Jacod, Jia Li
Journal of Econometrics (2011) Vol. 168, Iss. 2, pp. 207-222
Open Access | Times Cited: 143
Intraday jumps and US macroeconomic news announcements
Kevin Evans
Journal of Banking & Finance (2011) Vol. 35, Iss. 10, pp. 2511-2527
Closed Access | Times Cited: 142
Detecting jumps from Lévy jump diffusion processes☆
Suzanne S. Lee, Jan Hannig
Journal of Financial Economics (2010) Vol. 96, Iss. 2, pp. 271-290
Closed Access | Times Cited: 140
Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests
Ana-Maria Dumitru, Giovanni Urga
Journal of Business and Economic Statistics (2012) Vol. 30, Iss. 2, pp. 242-255
Open Access | Times Cited: 139
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
Management Science (2015) Vol. 62, Iss. 8, pp. 2198-2217
Open Access | Times Cited: 128
Resolution of policy uncertainty and sudden declines in volatility
Dante Amengual, Dacheng Xiu
Journal of Econometrics (2017) Vol. 203, Iss. 2, pp. 297-315
Closed Access | Times Cited: 116
Large-dimensional factor modeling based on high-frequency observations
Markus Pelger
Journal of Econometrics (2018) Vol. 208, Iss. 1, pp. 23-42
Closed Access | Times Cited: 103
Short-time at-the-money skew and rough fractional volatility
Masaaki Fukasawa
Quantitative Finance (2016) Vol. 17, Iss. 2, pp. 189-198
Open Access | Times Cited: 99
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