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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.

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Showing 1-25 of 36 citing articles:

Does realized skewness predict the cross-section of equity returns?
Diego Amaya, Peter Christoffersen, Kris Jacobs, et al.
Journal of Financial Economics (2015) Vol. 118, Iss. 1, pp. 135-167
Open Access | Times Cited: 463
A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver Linton
Econometrica (2022) Vol. 90, Iss. 1, pp. 367-389
Open Access | Times Cited: 44
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
Econometrics of co-jumps in high-frequency data with noise
Markus Bibinger, Lars Winkelmann
Journal of Econometrics (2014) Vol. 184, Iss. 2, pp. 361-378
Open Access | Times Cited: 67
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
Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
Diego Amaya, Peter Christoffersen, Kris Jacobs, et al.
SSRN Electronic Journal (2011)
Closed Access | Times Cited: 38
Common price and volatility jumps in noisy high-frequency data
Markus Bibinger, Lars Winkelmann
Electronic Journal of Statistics (2018) Vol. 12, Iss. 1
Open Access | Times Cited: 23
Stock co-jump networks
Yi Ding, Yingying Li, Guoli Liu, et al.
Journal of Econometrics (2023) Vol. 239, Iss. 2, pp. 105420-105420
Closed Access | Times Cited: 7
When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility
Rui Da, Dacheng Xiu
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 21
Estimating the integrated volatility using high-frequency data with zero durations
Zhi Liu, Xinbing Kong, Bing‐Yi Jing
Journal of Econometrics (2018) Vol. 204, Iss. 1, pp. 18-32
Closed Access | Times Cited: 19
Robust Jump Regressions
Jia Li, Viktor Todorov, George Tauchen
Journal of the American Statistical Association (2016) Vol. 112, Iss. 517, pp. 332-341
Open Access | Times Cited: 18
A martingale decomposition of discrete Markov chains
Peter Reinhard Hansen
Economics Letters (2015) Vol. 133, pp. 14-18
Open Access | Times Cited: 14
Bandwidth selection of nonparametric threshold estimator in jump–diffusion models
Hanchao Wang, Likai Zhou
Computers & Mathematics with Applications (2016) Vol. 73, Iss. 2, pp. 211-219
Open Access | Times Cited: 12
A ReMeDI for Microstructure Noise
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2021)
Open Access | Times Cited: 10
Bias-Corrected Realized Covariation in the Presence of Price Staleness
Zhi Liu, Haibin Zhu
(2024)
Closed Access | Times Cited: 1
Spot Variance Regressions
Jia Li, Dacheng Xiu
SSRN Electronic Journal (2013)
Closed Access | Times Cited: 8
Robust Estimation of Integrated and Spot Volatility
Z. Merrick Li, Oliver B. Linton
SSRN Electronic Journal (2022)
Open Access | Times Cited: 5
Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
Li Wang, Zhi Liu, Xiaochao Xia
Scandinavian Journal of Statistics (2018) Vol. 46, Iss. 3, pp. 920-953
Closed Access | Times Cited: 6
Power Variations and Testing for Co‐Jumps: The Small Noise Approach
Daisuke Kurisu
Scandinavian Journal of Statistics (2017) Vol. 45, Iss. 3, pp. 482-512
Open Access | Times Cited: 5
On the Estimation of High-Dimensional Integrated Covariance Matrix Based on High-Frequency Data With Multiple Transactions
Moming Wang, Jianhua Hu, Ningning Xia, et al.
Statistica Sinica (2023)
Open Access | Times Cited: 2
Option Valuation with Observable Volatility and Jump Dynamics
Peter Christoffersen, Bruno Feunou, Yoontae Jeon
SSRN Electronic Journal (2014)
Open Access | Times Cited: 4
Estimation and Inference under Weak Identification and Persistence: An Application to Forecast-Based Monetary Policy Reaction Function
Jui‐Chung Yang
(2014)
Closed Access | Times Cited: 3
A Martingale Decomposition of Discrete Markov Chains
Peter Reinhard Hansen
SSRN Electronic Journal (2015)
Open Access | Times Cited: 2
Robust estimation of integrated and spot volatility
Z. Merrick Li, Oliver Linton
Journal of Econometrics (2023), pp. 105614-105614
Open Access | Times Cited: 1
Determining the integrated volatility via limit order books with multiple records
Yiqi Liu, Qiang Liu, Zhi Liu, et al.
Quantitative Finance (2017) Vol. 17, Iss. 11, pp. 1697-1714
Closed Access | Times Cited: 2
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