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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:

The Pricing of Jump Propagation: Evidence from Spot and Options Markets
Du Du, Dan Luo
Management Science (2017)
Closed Access | Times Cited: 32

Showing 1-25 of 32 citing articles:

Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach
Jean‐François Bégin, Golara Zafari
Econometrics and Statistics (2025)
Open Access
Pricing VXX Options With Observable Volatility Dynamics From High‐Frequency VIX Index
Shan Lu
Journal of Futures Markets (2025)
Open Access
Measures of Model Risk for Continuous-Time Finance Models
Emese Lazar, Shuyuan Qi, Radu Tunaru
Journal of Financial Econometrics (2024)
Open Access | Times Cited: 3
Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
Jiling Cao, Xinfeng Ruan, Wenjun Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 945-973
Closed Access | Times Cited: 24
Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules
Jian Chen, Shuyuan Qi
Journal of Banking & Finance (2024) Vol. 163, pp. 107184-107184
Open Access | Times Cited: 2
Time-Varying Skew in VIX Derivatives Pricing
Peixuan Yuan
Management Science (2021) Vol. 68, Iss. 10, pp. 7761-7791
Closed Access | Times Cited: 15
Shock waves and golden shores: the asymmetric interaction between gold prices and the stock market
Alice Buccioli, Thomas Kokholm
European Journal of Finance (2021) Vol. 28, Iss. 7, pp. 743-760
Open Access | Times Cited: 14
Assessing models of individual equity option prices
Gurdip Bakshi, Charles Cao, Zhaodong Zhong
Review of Quantitative Finance and Accounting (2021) Vol. 57, Iss. 1, pp. 1-28
Closed Access | Times Cited: 11
Estimating option pricing models using a characteristic function-based linear state space representation
H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov
Journal of Econometrics (2024) Vol. 244, Iss. 1, pp. 105864-105864
Open Access | Times Cited: 1
Household Lifetime Strategies under a Self-Contagious Market
Liu Guo, Zhuo Jin, Shuanming Li
European Journal of Operational Research (2020) Vol. 288, Iss. 3, pp. 935-952
Closed Access | Times Cited: 11
Consistent pricing of VIX options with the Hawkes jump-diffusion model
Bo Jing, Shenghong Li, Yong Ma
The North American Journal of Economics and Finance (2020) Vol. 56, pp. 101326-101326
Closed Access | Times Cited: 11
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
Riccardo Brignone, Luca Gonzato, Eva Lütkebohmert
Journal of Banking & Finance (2022) Vol. 148, pp. 106745-106745
Open Access | Times Cited: 7
Pricing VIX derivatives with infinite‐activity jumps
Jiling Cao, Xinfeng Ruan, Shu Su, et al.
Journal of Futures Markets (2019) Vol. 40, Iss. 3, pp. 329-354
Closed Access | Times Cited: 8
Expected shortfall and portfolio management in contagious markets
Alice Buccioli, Thomas Kokholm, Marco Nicolosi
Journal of Banking & Finance (2019) Vol. 102, pp. 100-115
Open Access | Times Cited: 7
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
Quantitative Finance (2020) Vol. 20, Iss. 6, pp. 899-918
Open Access | Times Cited: 6
Joint calibration of VIX and VXX options: does volatility clustering matter?
Shan Lu
European Journal of Finance (2023), pp. 1-32
Open Access | Times Cited: 2
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Michael C. Fu, Bingqing Li, Rongwen Wu, et al.
Frontiers of Mathematical Finance (2021) Vol. 1, Iss. 1, pp. 137-137
Open Access | Times Cited: 4
Surrender contagion in life insurance
Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani, et al.
European Journal of Operational Research (2022) Vol. 305, Iss. 3, pp. 1465-1479
Closed Access | Times Cited: 3
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Andrew Carverhill, Dan Luo
Journal of Financial Markets (2022) Vol. 64, pp. 100786-100786
Closed Access | Times Cited: 3
Variance swaps with mean reversion and multi-factor variance
Bin Wu, Pengzhan Chen, Wuyi Ye
European Journal of Operational Research (2023) Vol. 315, Iss. 1, pp. 191-212
Closed Access | Times Cited: 1
VIX term structure: The role of jump propagation risks
Yang Xing-lin, Ji Chen
Journal of Futures Markets (2021) Vol. 41, Iss. 6, pp. 785-810
Closed Access | Times Cited: 2
Unified Moment-Based Modelling of Integrated Stochastic Processes
Ioannis Kyriakou, Riccardo Brignone, Gianluca Fusai
SSRN Electronic Journal (2021)
Open Access | Times Cited: 2
Surrender Contagion in Life Insurance: Modeling and Valuation
Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani, et al.
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 1
Pricing Methods for Alpha-Quantile and Perpetual Early Exercise Options Based on Spitzer Identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
SSRN Electronic Journal (2019)
Open Access | Times Cited: 1
Time-Varying Skew in VIX Derivatives Pricing
Peixuan Yuan
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 1
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