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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:

Estimation of Jump Tails
Tim Bollerslev, Viktor Todorov
Econometrica (2011) Vol. 79, Iss. 6, pp. 1727-1783
Closed Access | Times Cited: 120

Showing 1-25 of 120 citing articles:

Tails, Fears, and Risk Premia
Tim Bollerslev, Viktor Todorov
The Journal of Finance (2011) Vol. 66, Iss. 6, pp. 2165-2211
Open Access | Times Cited: 791
Tail risk premia and return predictability
Tim Bollerslev, Viktor Todorov, Lai Xu
Journal of Financial Economics (2015) Vol. 118, Iss. 1, pp. 113-134
Open Access | Times Cited: 382
The risk premia embedded in index options
Torben G. Andersen, Nicola Fusari, Viktor Todorov
Journal of Financial Economics (2015) Vol. 117, Iss. 3, pp. 558-584
Open Access | Times Cited: 270
Jump Risk Implicit in Options Market
Qiang Chen, Yu Han, Ying Huang, et al.
Journal of Financial Econometrics (2025) Vol. 23, Iss. 2
Closed Access | Times Cited: 4
Jump tails, extreme dependencies, and the distribution of stock returns
Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li
Journal of Econometrics (2012) Vol. 172, Iss. 2, pp. 307-324
Open Access | Times Cited: 168
Good Volatility, Bad Volatility, and the Cross Section of Stock Returns
Tim Bollerslev, Sophia Zhengzi Li, Bingzhi Zhao
Journal of Financial and Quantitative Analysis (2019) Vol. 55, Iss. 3, pp. 751-781
Closed Access | Times Cited: 140
Short‐Term Market Risks Implied by Weekly Options
Torben G. Andersen, Nicola Fusari, Viktor Todorov
The Journal of Finance (2017) Vol. 72, Iss. 3, pp. 1335-1386
Open Access | Times Cited: 124
Volume, Volatility, and Public News Announcements
Tim Bollerslev, Jia Li, Yuan Xue
The Review of Economic Studies (2018) Vol. 85, Iss. 4, pp. 2005-2041
Open Access | Times Cited: 101
Understanding Systematic Risk: A High‐Frequency Approach
Markus Pelger
The Journal of Finance (2020) Vol. 75, Iss. 4, pp. 2179-2220
Closed Access | Times Cited: 93
Financial Risk Measurement for Financial Risk Management
Torben G. Andersen, Tim Bollerslev, Peter Christoffersen, et al.
Handbook of the economics of finance (2013), pp. 1127-1220
Open Access | Times Cited: 84
Time-varying jump tails
Tim Bollerslev, Viktor Todorov
Journal of Econometrics (2014) Vol. 183, Iss. 2, pp. 168-180
Closed Access | Times Cited: 83
Bear beta
Zhongjin Lu, Scott Murray
Journal of Financial Economics (2018) Vol. 131, Iss. 3, pp. 736-760
Closed Access | Times Cited: 65
Realized Semicovariances
Tim Bollerslev, Jia Li, Andrew J. Patton, et al.
Econometrica (2020) Vol. 88, Iss. 4, pp. 1515-1551
Open Access | Times Cited: 54
The intra-day impact of communication on euro-dollar volatility and jumps
Hans Dewachter, Deniz Erdemlioglu, Jean‐Yves Gnabo, et al.
Journal of International Money and Finance (2014) Vol. 43, pp. 131-154
Open Access | Times Cited: 56
Time-Varying Periodicity in Intraday Volatility
Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov
Journal of the American Statistical Association (2018) Vol. 114, Iss. 528, pp. 1695-1707
Open Access | Times Cited: 52
Rare disaster probability and options pricing
Robert J. Barro, Gordon Liao
Journal of Financial Economics (2020) Vol. 139, Iss. 3, pp. 750-769
Closed Access | Times Cited: 47
The tail risk premium in the oil market
Reinhard Ellwanger
Energy Economics (2024), pp. 108041-108041
Open Access | Times Cited: 6
Downside Variance Risk Premium
Bruno Feunou, Cédric Okou, Mohammad R. Jahan‐Parvar
Finance and Economics Discussion Series (2015) Vol. 2015.0, Iss. 20, pp. 1-64
Open Access | Times Cited: 48
Testing for self-excitation in jumps
H. Peter Boswijk, Roger J. A. Laeven, Xiye Yang
Journal of Econometrics (2018) Vol. 203, Iss. 2, pp. 256-266
Closed Access | Times Cited: 37
An anatomy of the market return
Paul Schneider
Journal of Financial Economics (2018) Vol. 132, Iss. 2, pp. 325-350
Closed Access | Times Cited: 33
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov
Quantitative Economics (2021) Vol. 12, Iss. 2, pp. 647-682
Open Access | Times Cited: 25
Commodity Price Crash Risk and Crash Risk Contagion
Prachi Jain, Debasish Maitra
Journal of Futures Markets (2025)
Closed Access
Multiplicative factor model for volatility
Yi Ding, Robert F. Engle, Yingying Li, et al.
Journal of Econometrics (2025) Vol. 249, pp. 105959-105959
Closed Access
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Aït‐Sahalia, Mustafa Karaman, Loriano Mancini
(2012)
Closed Access | Times Cited: 38
Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
Jia Li
Econometrica (2013) Vol. 81, Iss. 4, pp. 1673-1693
Open Access | Times Cited: 36
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