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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:

Volatility Puzzle: Long Memory or Antipersistency
Shuping Shi, Jun Yu
Management Science (2022) Vol. 69, Iss. 7, pp. 3861-3883
Open Access | Times Cited: 20

Showing 20 citing articles:

Fractional stochastic volatility model
Shuping Shi, Xiaobin Liu, Jun Yu
Journal of Time Series Analysis (2024)
Closed Access | Times Cited: 7
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
The Annals of Applied Probability (2024) Vol. 34, Iss. 3
Open Access | Times Cited: 7
Fifty years at the interface between financial modeling and operations research
Frank J. Fabozzi, Maria Cristina Recchioni, Roberto Renò
European Journal of Operational Research (2025)
Closed Access
A Nonparametric Test for Rough Volatility
Carsten Chong, Viktor Todorov
Journal of the American Statistical Association (2025), pp. 1-23
Closed Access
Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model
Min-Ku Lee, Jeong‐Hoon Kim
Advances in Continuous and Discrete Models (2025) Vol. 2025, Iss. 1
Open Access
Fractional gaussian noise: Spectral density and estimation methods
Shuping Shi, Jun Yu, Chen Zhang
Journal of Time Series Analysis (2024)
Closed Access | Times Cited: 2
Latent local-to-unity models
Xiaohu Wang, Jun Yu
Econometric Reviews (2023) Vol. 42, Iss. 7, pp. 586-611
Open Access | Times Cited: 5
Composite Likelihood Estimation Of Stationary Gaussian Processes With a View Toward Stochastic Volatility
Mikkel Bennedsen, Kim Christensen, Peter Christensen
(2024)
Open Access | Times Cited: 1
Realized drift
Sébastien Laurent, Roberto Renò, Shuping Shi
Journal of Econometrics (2024), pp. 105813-105813
Open Access | Times Cited: 1
Pricing vanilla, barrier, and lookback options under two-scale stochastic volatility driven by two approximate fractional Brownian motions
Min-Ku Lee, Jeong‐Hoon Kim
AIMS Mathematics (2024) Vol. 9, Iss. 9, pp. 25545-25576
Open Access | Times Cited: 1
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Yinzhong Huang, Weilin Xiao, Xiaojian Yu
Quantitative Finance (2024), pp. 1-19
Closed Access | Times Cited: 1
On the spectral density of fractional Ornstein–Uhlenbeck processes
Shuping Shi, Jun Yu, Chen Zhang
Journal of Econometrics (2024) Vol. 245, Iss. 1-2, pp. 105872-105872
Open Access | Times Cited: 1
Statistical Inference for Rough Volatility: Central Limit Theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 6
Weak Identification of Long Memory with Implications for Inference
Jia Li, Peter C.B. Phillips, Shuping Shi, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
The Fine Structure of Volatility Dynamics
Carsten Chong, Viktor Todorov
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 1
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process
Katsuto Tanaka, Weilin Xiao, Jun Yu
Journal of Time Series Analysis (2024)
Open Access
Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
Kisswell Basira, Lawrence Dhliwayo, Knowledge Chinhamu, et al.
Risks (2024) Vol. 12, Iss. 5, pp. 73-73
Open Access
Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
Hui Jiang, Yajuan Pan, Weilin Xiao, et al.
Electronic Journal of Statistics (2024) Vol. 18, Iss. 2
Open Access
Volatility Discovery
Gustavo Fruet Dias, Cristina Mabel Scherrer, Fotis Papailias
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 1
An Econometric Analysis of Volatility Discovery
Gustavo Fruet Dias, Fotis Papailias, Cristina Mabel Scherrer
Journal of Business and Economic Statistics (2023) Vol. 42, Iss. 3, pp. 1095-1106
Open Access
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu, et al.
arXiv (Cornell University) (2022)
Open Access
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