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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:

Fact or Friction: Jumps at Ultra High Frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 30

Showing 1-25 of 30 citing articles:

High-Frequency Trading and Extreme Price Movements
Jonathan Brogaard, Allen Carrion, Thibaut Moyaert, et al.
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 112
Cojumps in stock prices: Empirical evidence
Dudley Gilder, Mark B. Shackleton, Stephen J. Taylor
Journal of Banking & Finance (2013) Vol. 40, pp. 443-459
Open Access | Times Cited: 89
High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
SSRN Electronic Journal (2017)
Open Access | Times Cited: 84
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
SSRN Electronic Journal (2016)
Open Access | Times Cited: 76
Stock Price Jumps and Cross-Sectional Return Predictability
George J. Jiang, Tong Yao
Journal of Financial and Quantitative Analysis (2013) Vol. 48, Iss. 5, pp. 1519-1544
Closed Access | Times Cited: 75
On the Estimation of Integrated Volatility With Jumps and Microstructure Noise
Bing‐Yi Jing, Zhi Liu, Xinbing Kong
Journal of Business and Economic Statistics (2014) Vol. 32, Iss. 3, pp. 457-467
Closed Access | Times Cited: 54
Jump robust two time scale covariance estimation and realized volatility budgets
Kris Boudt, Jin Zhang
Quantitative Finance (2013) Vol. 15, Iss. 6, pp. 1041-1054
Open Access | Times Cited: 38
ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS
Yuta Koike
Econometric Theory (2015) Vol. 32, Iss. 3, pp. 533-611
Open Access | Times Cited: 36
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani
SSRN Electronic Journal (2011)
Open Access | Times Cited: 29
Estimating the Spot Covariation of Asset Prices Statistical Theory and Empirical Evidence
Markus Bibinger, Nikolaus Hautsch, Peter Malec, et al.
SSRN Electronic Journal (2014)
Open Access | Times Cited: 10
Price Jump Indicators: Stock Market Empirics During the Crisis
Jan Novotný, Jan Hanousek, Evžen Kočenda
SSRN Electronic Journal (2013)
Open Access | Times Cited: 9
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
Per A. Mykland, Lan Zhang
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 8
Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?
Yacine Aït‐Sahalia, Dacheng Xiu
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 5
Cojumps in Stock Prices: Empirical Evidence
Dudley Gilder, Mark B. Shackleton, Stephen J. Taylor
SSRN Electronic Journal (2012)
Open Access | Times Cited: 5
Stochastic Volatility of Volatility and Variance Risk Premia
Ole E. Barndorff‐Nielsen, Almut E. D. Veraart
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 4
Estimation of Integrated Covariances in the Simultaneous Presence of Nonsynchronicity, Microstructure Noise and Jumps
Yuta Koike
SSRN Electronic Journal (2013)
Open Access | Times Cited: 4
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
Almut E. D. Veraart
AStA Advances in Statistical Analysis (2011) Vol. 95, Iss. 3, pp. 253-291
Open Access | Times Cited: 4
What Makes the S&P 500 Jump?
Marcel Prokopczuk, Chardin Wese Simen
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 3
Understanding Jumps in the High-Frequency VIX
Inna Khagleeva
SSRN Electronic Journal (2013)
Open Access | Times Cited: 3
A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
Yingying Li, Zhiyuan Zhang, Yichu Li
SSRN Electronic Journal (2017)
Open Access | Times Cited: 3
Systemic Co-Jumps
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò
SSRN Electronic Journal (2016)
Open Access | Times Cited: 2
Asymmetry in the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps
Éric Jondeau, Jérôme Lahaye, Michael Rockinger
SSRN Electronic Journal (2013)
Closed Access | Times Cited: 2
Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes
G. Charles-Cadogan
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 2
Jumps, Cojumps, and Efficiency in the Foreign Exchange Market
Louis R. Piccotti
SSRN Electronic Journal (2014)
Closed Access
Forecasting and Trading High Frequency Volatility on Large Indices
Fei Liu, Athanasios A. Pantelous, Hans-Jorg von Mettenheim
SSRN Electronic Journal (2016)
Closed Access
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