Open Access Helper

OpenAlex Citation Counts

OpenAlex Citations Logo

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:

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps
Mark Podolskij, Mathias Vetter, Margit Sommer
SSRN Electronic Journal (2007)
Open Access | Times Cited: 38

Showing 1-25 of 38 citing articles:

Microstructure noise in the continuous case: The pre-averaging approach
Jean Jacod, Yingying Li, Per A. Mykland, et al.
Stochastic Processes and their Applications (2008) Vol. 119, Iss. 7, pp. 2249-2276
Open Access | Times Cited: 710
Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Jim E. Griffin, Roel C. A. Oomen
Journal of Econometrics (2010) Vol. 160, Iss. 1, pp. 58-68
Open Access | Times Cited: 125
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Viktor Todorov
Journal of Econometrics (2008) Vol. 148, Iss. 2, pp. 131-148
Closed Access | Times Cited: 119
Bipower-type estimation in a noisy diffusion setting
Mark Podolskij, Mathias Vetter
Stochastic Processes and their Applications (2009) Vol. 119, Iss. 9, pp. 2803-2831
Open Access | Times Cited: 109
High-Frequency Jump Analysis of the Bitcoin Market
Olivier Scaillet, Adrien Treccani, Christopher Trevisan
SSRN Electronic Journal (2017)
Open Access | Times Cited: 84
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
(2009)
Open Access | Times Cited: 72
A note on the central limit theorem for bipower variation of general functions
Silja Kinnebrock, Mark Podolskij
Stochastic Processes and their Applications (2007) Vol. 118, Iss. 6, pp. 1056-1070
Open Access | Times Cited: 59
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Kim Christensen, Mark Podolskij, Mathias Vetter
Finance and Stochastics (2009) Vol. 13, Iss. 2, pp. 239-268
Open Access | Times Cited: 49
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Fulvio Corsi, Davide Pirino, Roberto Renò
SSRN Electronic Journal (2008)
Open Access | Times Cited: 49
Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
SSRN Electronic Journal (2010)
Open Access | Times Cited: 42
Relative liquidity and future volatility
Marcela Valenzuela, Ilknur Zer, Piotr Fryźlewicz, et al.
Journal of Financial Markets (2015) Vol. 24, pp. 25-48
Open Access | Times Cited: 18
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
Jean Jacod, Yingying Li, Per A. Mykland, et al.
SSRN Electronic Journal (2007)
Open Access | Times Cited: 24
Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg
SSRN Electronic Journal (2009)
Open Access | Times Cited: 21
Realised Quantile-Based Estimation of the Integrated Variance
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
SSRN Electronic Journal (2009)
Closed Access | Times Cited: 18
Stochastic Volatility of Volatility in Continuous Time
Ole E. Barndorff‐Nielsen, Almut E. D. Veraart
SSRN Electronic Journal (2009)
Open Access | Times Cited: 15
Bipower-Type Estimation in a Noisy Diffusion Setting
Mark Podolskij, Mathias Vetter
SSRN Electronic Journal (2008)
Open Access | Times Cited: 14
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data
Kim Christensen, Silja Kinnebrock, Mark Podolskij
(2010)
Closed Access | Times Cited: 10
Estimating the Integrated Volatility When Microstructure Noise is Dependent and Observation Times are Irregular
Jean Jacod, Yingying Li, Xinghua Zheng
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 8
On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes
Kim Christensen, Mark Podolskij, Mathias Vetter
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 7
Spot Volatility Estimation Using Delta Sequences
Cecilia Mancini, Vanessa Mattiussi, Roberto Renò
SSRN Electronic Journal (2010)
Open Access | Times Cited: 5
Nonparametric Estimation of the Volatility Under Microstructure Noise: Wavelet Adaptation
Marc Hoffmann, Axel Munk, Johannes Schmidt-Hieber
SSRN Electronic Journal (2010)
Closed Access | Times Cited: 4
Estimation of Correlation Between Latent Processes
Akitoshi Kimura, Nakahiro Yoshida
Springer proceedings in mathematics & statistics (2016), pp. 131-146
Closed Access | Times Cited: 3
Multivariate Volatility Estimation with High Frequency Data Using Fourier Method
Maria Elvira Mancino, Simona Sanfelici
(2011), pp. 243-294
Closed Access | Times Cited: 3
Estimation of Quarticity with High Frequency Data
Maria Elvira Mancino, Simona Sanfelici
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 3
Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Ingmar Nolte, Valeri Voev
SSRN Electronic Journal (2011)
Open Access | Times Cited: 3
Page 1 - Next Page

Scroll to top