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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:

Stochastic Volatility: Origins and Overview
Neil Shephard, Torben G. Andersen
Springer eBooks (2009), pp. 233-254
Closed Access | Times Cited: 106

Showing 1-25 of 106 citing articles:

Stock market volatility: Identifying major drivers and the nature of their impact
Stefan Mittnik, Nikolay Robinzonov, Martin Spindler
Journal of Banking & Finance (2015) Vol. 58, pp. 1-14
Closed Access | Times Cited: 104
Uncertainty shocks and business cycle research
Jesús Fernández‐Villaverde, Pablo Guerrón-Quintana
Review of Economic Dynamics (2020) Vol. 37, pp. S118-S146
Open Access | Times Cited: 96
Stochastic Volatility of Volatility and Variance Risk Premia
Ole E. Barndorff‐Nielsen, Almut E. D. Veraart
Journal of Financial Econometrics (2012) Vol. 11, Iss. 1, pp. 1-46
Closed Access | Times Cited: 63
Gaussian Process Regression Stochastic Volatility Model for Financial Time Series
Jianan Han, Xiao–Ping Zhang, Fang Wang
IEEE Journal of Selected Topics in Signal Processing (2016) Vol. 10, Iss. 6, pp. 1015-1028
Closed Access | Times Cited: 58
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Ole E. Barndorff‐Nielsen, Fred Espen Benth, Almut E. D. Veraart
Banach Center Publications (2015) Vol. 104, pp. 25-60
Open Access | Times Cited: 46
Exchange–Rates Volatility in Nigeria: Application of GARCH Models with Exogenous Break
Dahiru A. Bala, Joseph O. Asemota
CBN Journal of Applied Statistics (JAS) (2013) Vol. 4, Iss. 1, pp. 89-116
Closed Access | Times Cited: 45
Uniform Ergodicity of the Particle Gibbs Sampler
Fredrik Lindsten, Randal Douc, Éric Moulines
Scandinavian Journal of Statistics (2015) Vol. 42, Iss. 3, pp. 775-797
Open Access | Times Cited: 42
Stylized facts of return series, robust estimates and three popular models of volatility
Timo Teräsvirta, Zhenfang Zhao†
Applied Financial Economics (2010) Vol. 21, Iss. 1-2, pp. 67-94
Open Access | Times Cited: 52
Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility
Jonathan Stroud, Michael Johannes
Journal of the American Statistical Association (2014) Vol. 109, Iss. 508, pp. 1368-1384
Open Access | Times Cited: 35
Dynamic Spillovers Between International Crude Oil Market and China's Commodity Sectors: Evidence From Time-Frequency Perspective of Stochastic Volatility
Zhenghui Li, Yaya Su
Frontiers in Energy Research (2020) Vol. 8
Open Access | Times Cited: 28
Continuous Time Approximations to GARCH and Stochastic Volatility Models
Alexander Lindner
Springer eBooks (2009), pp. 481-496
Closed Access | Times Cited: 34
Financial time series volatility analysis using Gaussian process state-space models
Jianan Han, Xiao–Ping Zhang
(2015), pp. 358-362
Open Access | Times Cited: 25
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang
Journal of Econometrics (2016) Vol. 194, Iss. 2, pp. 242-262
Open Access | Times Cited: 25
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
Eduardo Rossi, Filippo Spazzini
Computational Statistics & Data Analysis (2009) Vol. 54, Iss. 11, pp. 2786-2800
Open Access | Times Cited: 21
Piecewise quantile autoregressive modeling for nonstationary time series
Alexander Aue, Rex C. Y. Cheung, Thomas C. M. Lee, et al.
Bernoulli (2016) Vol. 23, Iss. 1
Open Access | Times Cited: 15
Scaling and Multiscaling in Financial Series: A Simple Model
Alessandro Andreoli, Francesco Caravenna, Paolo Dai Pra, et al.
Advances in Applied Probability (2012) Vol. 44, Iss. 4, pp. 1018-1051
Open Access | Times Cited: 14
The Methods Bayesian Analysis of the Threshold Stochastic Volatility Model
Peter Bidyuk, Aleksandr Gozhyj, Zdislaw Szymanski, et al.
(2018), pp. 70-74
Closed Access | Times Cited: 14
Testing for the number of states in hidden Markov models
Hajo Holzmann, Florian Schwaiger
Computational Statistics & Data Analysis (2014) Vol. 100, pp. 318-330
Closed Access | Times Cited: 13
Nonlinear Models for Autoregressive Conditional Heteroskedasticity
Timo Teräsvirta
(2012), pp. 47-69
Open Access | Times Cited: 13
Pricing the European call option in the model with stochastic volatility driven by Ornstein–Uhlenbeck process. Exact formulas
Sergii Kuchuk-Iatsenko, Yuliya Mishura
Modern Stochastics Theory and Applications (2015) Vol. 2, Iss. 3, pp. 233-233
Open Access | Times Cited: 12
Large deviations of realized volatility
Shin Kanaya, Taisuke Otsu
Stochastic Processes and their Applications (2011) Vol. 122, Iss. 2, pp. 546-581
Closed Access | Times Cited: 12
Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA
Ricardo S. Ehlers, Mauricio Zevallos
Communications in Statistics - Simulation and Computation (2014) Vol. 44, Iss. 3, pp. 683-693
Closed Access | Times Cited: 10
Exploratory Graphics for Financial Time Series Volatility
A. J. Lawrance
Journal of the Royal Statistical Society Series C (Applied Statistics) (2013) Vol. 62, Iss. 5, pp. 669-686
Open Access | Times Cited: 8
Delivery horizon and grain market volatility
Berna Karali, Jeffrey H. Dorfman, Walter N. Thurman
Journal of Futures Markets (2010) Vol. 30, Iss. 9, pp. 846-873
Closed Access | Times Cited: 8
Predicting Stock Return Volatility: Can We Benefit from Regression Models for Return Intervals?
Henning Fischer, Ángela Blanco, Peter Winker
Journal of Forecasting (2015) Vol. 35, Iss. 2, pp. 113-146
Closed Access | Times Cited: 7
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