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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:

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

Showing 23 citing articles:

Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
Yingying Li, Guangying Liu, Zhiyuan Zhang
Journal of Econometrics (2021) Vol. 229, Iss. 2, pp. 422-451
Closed Access | Times Cited: 20
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
Markus Bibinger
Journal of Applied Probability (2024) Vol. 61, Iss. 3, pp. 858-885
Open Access | Times Cited: 2
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
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
Journal of Econometrics (2019) Vol. 212, Iss. 2, pp. 556-583
Open Access | Times Cited: 11
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
Robust Estimation of Integrated and Spot Volatility
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
Detecting factors of quadratic variation in the presence of market microstructure noise
Naoto Kunitomo, Daisuke Kurisu
Japanese Journal of Statistics and Data Science (2021) Vol. 4, Iss. 1, pp. 601-641
Open Access | Times Cited: 6
Bias-optimal vol-of-vol estimation: the role of window overlapping
Giacomo Toscano, Maria Cristina Recchioni
Decisions in Economics and Finance (2021) Vol. 45, Iss. 1, pp. 137-185
Closed Access | Times Cited: 5
Change-point inference on volatility in noisy Itô semimartingales
Markus Bibinger, Mehmet Madensoy
Stochastic Processes and their Applications (2018) Vol. 129, Iss. 12, pp. 4878-4925
Open Access | Times Cited: 4
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
Maria Elvira Mancino, Simone Scotti, Giacomo Toscano
Applied Mathematical Finance (2020) Vol. 27, Iss. 4, pp. 288-316
Closed Access | Times Cited: 4
Bias optimal vol-of-vol estimation: the role of window overlapping
Giacomo Toscano, Maria Cristina Recchioni
arXiv (Cornell University) (2020)
Closed Access | Times Cited: 3
Robust estimation of integrated and spot volatility
Z. Merrick Li, Oliver Linton
Journal of Econometrics (2023), pp. 105614-105614
Open Access | Times Cited: 1
Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data
Jin-Yu Fu, Jin‐Guan Lin, Hongxia Hao
International Journal of Forecasting (2022) Vol. 39, Iss. 4, pp. 1698-1712
Closed Access | Times Cited: 2
Testing the volatility jumps based on the high frequency data
Guangying Liu, Meiyao Liu, Jin‐Guan Lin
Journal of Time Series Analysis (2021) Vol. 43, Iss. 5, pp. 669-694
Closed Access | Times Cited: 2
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
Christian Y. Robert
Econometric Theory (2022) Vol. 39, Iss. 4, pp. 848-880
Closed Access | Times Cited: 1
Volatility Modelling of Stock Returns in the Petroleum Marketing Sector of the Nigerian Stock Exchange
Adolphus J. Toby, Glory Austen
American Journal of Finance (2021) Vol. 6, Iss. 1, pp. 71-97
Open Access | Times Cited: 1
Test for Jumps in Yield Spreads
Lars Winkelmann, Wenying Yao
SSRN Electronic Journal (2023)
Closed Access
Tests for Jumps in Yield Spreads
Lars Winkelmann, Wenying Yao
Journal of Business and Economic Statistics (2023), pp. 1-12
Closed Access
Change-point inference on volatility in noisy It\^o semimartingales
Markus Bibinger, Mehmet Madensoy
arXiv (Cornell University) (2017)
Closed Access
Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
Christopher J. Neely, Lars Winkelmann, Markus Bibinger
(2017)
Open Access
The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing
Kim Christensen, Martin Thyrsgaard, Bezirgen Veliyev
SSRN Electronic Journal (2018)
Open Access
Bias-Optimal Vol-of-Vol Estimation: Insights from Mean-Reverting Models
Giacomo Toscano, Maria Cristina Recchioni
SSRN Electronic Journal (2020)
Closed Access
Is the Variance Swap Rate Affine in the Spot Variance? Evidence From S&P500 Data
Maria Elvira Mancino, Simone Scotti, Giacomo Toscano
SSRN Electronic Journal (2020)
Closed Access
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