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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:

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

Showing 1-25 of 184 citing articles:

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
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Peter Christoffersen, Bruno Feunou, Kris Jacobs, et al.
Journal of Financial and Quantitative Analysis (2014) Vol. 49, Iss. 3, pp. 663-697
Open Access | Times Cited: 126
Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks
Manabu Asai, Rangan Gupta, Michael McAleer
International Journal of Forecasting (2020) Vol. 36, Iss. 3, pp. 933-948
Open Access | Times Cited: 121
Estimation of Jump Tails
Tim Bollerslev, Viktor Todorov
Econometrica (2011) Vol. 79, Iss. 6, pp. 1727-1783
Closed Access | Times Cited: 120
A Hausman test for the presence of market microstructure noise in high frequency data
Yacine Aït‐Sahalia, Dacheng Xiu
Journal of Econometrics (2018) Vol. 211, Iss. 1, pp. 176-205
Closed Access | Times Cited: 77
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Diep Duong, Norman R. Swanson
Journal of Econometrics (2015) Vol. 187, Iss. 2, pp. 606-621
Open Access | Times Cited: 77
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach
Duy‐Minh Dang, Peter Forsyth
European Journal of Operational Research (2015) Vol. 250, Iss. 3, pp. 827-841
Closed Access | Times Cited: 74
Systemic co-jumps
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò
Journal of Financial Economics (2017) Vol. 126, Iss. 3, pp. 563-591
Open Access | Times Cited: 74
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Ilze Kalnina, Dacheng Xiu
Journal of the American Statistical Association (2016) Vol. 112, Iss. 517, pp. 384-396
Open Access | Times Cited: 67
Understanding limit theorems for semimartingales: a short survey
Mark Podolskij, Mathias Vetter
Statistica Neerlandica (2010) Vol. 64, Iss. 3, pp. 329-351
Closed Access | Times Cited: 70
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
Sébastien Laurent, Christelle Lecourt, Franz C. Palm
Computational Statistics & Data Analysis (2014) Vol. 100, pp. 383-400
Open Access | Times Cited: 62
Martingale optimal transport in the Skorokhod space
Yan Dolinsky, H. Meté Soner
Stochastic Processes and their Applications (2015) Vol. 125, Iss. 10, pp. 3893-3931
Open Access | Times Cited: 61
Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
Kim Christensen, Ulrich Hounyo, Mark Podolskij
Journal of Econometrics (2018) Vol. 205, Iss. 2, pp. 336-362
Closed Access | Times Cited: 53
Option valuation with observable volatility and jump dynamics
Peter Christoffersen, Bruno Feunou, Yoontae Jeon
Journal of Banking & Finance (2015) Vol. 61, pp. S101-S120
Open Access | Times Cited: 48
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
Rasmus T. Varneskov
Econometric Theory (2016) Vol. 33, Iss. 6, pp. 1457-1501
Open Access | Times Cited: 40
The fine-structure of volatility feedback I: Multi-scale self-reflexivity
Rémy Chicheportiche, Jean‐Philippe Bouchaud
Physica A Statistical Mechanics and its Applications (2014) Vol. 410, pp. 174-195
Open Access | Times Cited: 38
Learning, confidence, and option prices
Ivan Shaliastovich
Journal of Econometrics (2015) Vol. 187, Iss. 1, pp. 18-42
Closed Access | Times Cited: 37
The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
Manabu Asai, Rangan Gupta, Michael McAleer
Energies (2019) Vol. 12, Iss. 17, pp. 3379-3379
Open Access | Times Cited: 34
Exploring Leading Practices in Algorithmic Trading
Partap Singh
Advances in finance, accounting, and economics book series (2025), pp. 151-184
Closed Access
Cryptos have rough volatility and correlated jumps
Lukas Krain, Xiaorui ZUO, Wolfgang Karl Härdle
Digital Finance (2025)
Open Access
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
Jia Li
Econometrica (2013) Vol. 81, Iss. 4, pp. 1673-1693
Open Access | Times Cited: 36
Rounding Errors and Volatility Estimation
Y. Li, Per A. Mykland
Journal of Financial Econometrics (2014) Vol. 13, Iss. 2, pp. 478-504
Open Access | Times Cited: 34
Testing for mutually exciting jumps and financial flights in high frequency data
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, et al.
Journal of Econometrics (2017) Vol. 202, Iss. 1, pp. 18-44
Closed Access | Times Cited: 30
Inference theory for volatility functional dependencies
Jia Li, Viktor Todorov, George Tauchen
Journal of Econometrics (2016) Vol. 193, Iss. 1, pp. 17-34
Open Access | Times Cited: 29
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
Vitali Alexeev, Mardi Dungey, Wenying Yao
Journal of Empirical Finance (2016) Vol. 40, pp. 1-19
Open Access | Times Cited: 28
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