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:
Modeling VXX
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2018) Vol. 38, Iss. 8, pp. 958-976
Closed Access | Times Cited: 17
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2018) Vol. 38, Iss. 8, pp. 958-976
Closed Access | Times Cited: 17
Showing 17 citing articles:
VIX term structure and VIX futures pricing with realized volatility
Zhuo Huang, Chen Tong, Tianyi Wang
Journal of Futures Markets (2018) Vol. 39, Iss. 1, pp. 72-93
Closed Access | Times Cited: 42
Zhuo Huang, Chen Tong, Tianyi Wang
Journal of Futures Markets (2018) Vol. 39, Iss. 1, pp. 72-93
Closed Access | Times Cited: 42
Volatility as an asset class: Holding VIX in a portfolio
James Doran
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 841-859
Closed Access | Times Cited: 16
James Doran
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 841-859
Closed Access | Times Cited: 16
Causality of price movements in VIX exchange-traded products and VIX futures contracts
Michael O’Neill, Gulasekaran Rajaguru
Journal of Accounting Literature (2023) Vol. 46, Iss. 2, pp. 153-169
Open Access | Times Cited: 5
Michael O’Neill, Gulasekaran Rajaguru
Journal of Accounting Literature (2023) Vol. 46, Iss. 2, pp. 153-169
Open Access | Times Cited: 5
The implied volatility smirk in the VXX options market
Sebastian A. Gehricke, Jin E. Zhang
Applied Economics (2019) Vol. 52, Iss. 8, pp. 769-788
Closed Access | Times Cited: 12
Sebastian A. Gehricke, Jin E. Zhang
Applied Economics (2019) Vol. 52, Iss. 8, pp. 769-788
Closed Access | Times Cited: 12
Modeling VXX under jump diffusion with stochastic long‐term mean
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 10, pp. 1508-1534
Closed Access | Times Cited: 5
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 10, pp. 1508-1534
Closed Access | Times Cited: 5
VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK
Martino Grasselli, Lakshithe Wagalath
International Journal of Theoretical and Applied Finance (2020) Vol. 23, Iss. 05, pp. 2050033-2050033
Closed Access | Times Cited: 5
Martino Grasselli, Lakshithe Wagalath
International Journal of Theoretical and Applied Finance (2020) Vol. 23, Iss. 05, pp. 2050033-2050033
Closed Access | Times Cited: 5
The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps
Xiaoyu Tan, Cheng‐Xiang Wang, Wei Lin, et al.
Journal of Futures Markets (2020) Vol. 41, Iss. 4, pp. 439-457
Closed Access | Times Cited: 4
Xiaoyu Tan, Cheng‐Xiang Wang, Wei Lin, et al.
Journal of Futures Markets (2020) Vol. 41, Iss. 4, pp. 439-457
Closed Access | Times Cited: 4
On the analysis of time-varying causality between VIX exchange-traded products and VIX futures contracts in high and low volatility regimes
Michael O’Neill, Gulasekaran Rajaguru
Journal of Accounting Literature (2024) Vol. 47, Iss. 5, pp. 99-109
Open Access
Michael O’Neill, Gulasekaran Rajaguru
Journal of Accounting Literature (2024) Vol. 47, Iss. 5, pp. 99-109
Open Access
Betting on mean reversion in the VIX? Evidence from ETP flows
Ole Linnemann Nielsen, Anders Merrild Posselt
International Review of Financial Analysis (2024) Vol. 95, pp. 103421-103421
Open Access
Ole Linnemann Nielsen, Anders Merrild Posselt
International Review of Financial Analysis (2024) Vol. 95, pp. 103421-103421
Open Access
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
Annals of Operations Research (2023) Vol. 336, Iss. 1-2, pp. 3-26
Closed Access | Times Cited: 1
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
Annals of Operations Research (2023) Vol. 336, Iss. 1-2, pp. 3-26
Closed Access | Times Cited: 1
Tracking performance of VIX futures ETPs
Sebastian A. Gehricke, Jin E. Zhang
Journal of Empirical Finance (2021) Vol. 61, pp. 103-117
Closed Access | Times Cited: 3
Sebastian A. Gehricke, Jin E. Zhang
Journal of Empirical Finance (2021) Vol. 61, pp. 103-117
Closed Access | Times Cited: 3
Betting on Mean Reversion in the VIX? Evidence From the Revealed Preferences of Investors
Ole Linnemann Nielsen, Anders Merrild Posselt
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 2
Ole Linnemann Nielsen, Anders Merrild Posselt
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 2
VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions
Zhe Zhao, Zhenyu Cui, Ionuţ Florescu
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 1
Zhe Zhao, Zhenyu Cui, Ionuţ Florescu
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 1
A General Framework for a Joint Calibration of VIX and VXX Options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
SSRN Electronic Journal (2020)
Open Access | Times Cited: 1
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
SSRN Electronic Journal (2020)
Open Access | Times Cited: 1
Specification analysis of VXX option pricing models under Lévy processes
Jiling Cao, Xinfeng Ruan, Shu Su, et al.
Journal of Futures Markets (2021) Vol. 41, Iss. 9, pp. 1456-1477
Closed Access | Times Cited: 1
Jiling Cao, Xinfeng Ruan, Shu Su, et al.
Journal of Futures Markets (2021) Vol. 41, Iss. 9, pp. 1456-1477
Closed Access | Times Cited: 1
Pricing VXX options by modeling VIX directly
Wei Lin, Jin E. Zhang
Journal of Futures Markets (2022) Vol. 42, Iss. 5, pp. 888-922
Closed Access
Wei Lin, Jin E. Zhang
Journal of Futures Markets (2022) Vol. 42, Iss. 5, pp. 888-922
Closed Access
