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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:

Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Alexandru Badescu, Zhenyu Cui, Juan‐Pablo Ortega
Annals of Operations Research (2018) Vol. 282, Iss. 1-2, pp. 27-57
Closed Access | Times Cited: 33

Showing 1-25 of 33 citing articles:

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching
Sha Lin, Xin‐Jiang He
Expert Systems with Applications (2023) Vol. 217, pp. 119592-119592
Closed Access | Times Cited: 27
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks
Sha Lin, Xin‐Jiang He
Journal of Futures Markets (2024) Vol. 44, Iss. 8, pp. 1447-1461
Closed Access | Times Cited: 10
The Risk Transmission Mechanism of Global Stock Markets from the Perspective of Entropy-Riemann Geometry: Theoretical Construction and Empirical Analysis
Mingyu Shu, Chenghao Wang, F.S. Liu, et al.
Computational Economics (2025)
Open Access
Bitcoin option pricing with a SETAR-GARCH model
Tak Kuen Siu, Robert J. Elliott
European Journal of Finance (2020) Vol. 27, Iss. 6, pp. 564-595
Closed Access | Times Cited: 34
Data-Based Parametrization for Affine GARCH Models Across Multiple Time Scales—Roughness Implications
Marcos Escobar‐Anel, Sebastián Ferrando, F. Y. Li, et al.
Econometrics (2025) Vol. 13, Iss. 1, pp. 6-6
Open Access
A probabilistic approach for the valuation of variance swaps under stochastic volatility with jump clustering and regime switching
Xin‐Jiang He, Sha Lin
Financial Innovation (2024) Vol. 10, Iss. 1
Open Access | Times Cited: 3
Volatility GARCH models with the ordered weighted average (OWA) operators
Martha Flores‐Sosa, Ezequiel Avilés‐Ochoa, José M. Merigó, et al.
Information Sciences (2021) Vol. 565, pp. 46-61
Closed Access | Times Cited: 22
Optimal consumption and investment in general affine GARCH models
Marcos Escobar‐Anel, Ben Spies, Rudi Zagst
OR Spectrum (2024) Vol. 46, Iss. 3, pp. 987-1026
Closed Access | Times Cited: 2
On the Relation between Discrete and Continuous-Time Affine Option Pricing Models
Maciej Augustyniak, Alexandru Badescu, Jean‐François Bégin, et al.
(2024)
Closed Access | Times Cited: 2
Heteroscedasticity effects as component to future stock market predictions using RNN-based models
Aida Nabilah Sadon, Shuhaida Ismail, Azme Khamis, et al.
PLoS ONE (2024) Vol. 19, Iss. 5, pp. e0297641-e0297641
Open Access | Times Cited: 2
A Markov chain approximation scheme for option pricing under skew diffusions
Kailin Ding, Zhenyu Cui, Yongjin Wang
Quantitative Finance (2020) Vol. 21, Iss. 3, pp. 461-480
Closed Access | Times Cited: 18
Valuation of VIX and target volatility options with affine GARCH models
Hongkai Cao, Alexandru Badescu, Zhenyu Cui, et al.
Journal of Futures Markets (2020) Vol. 40, Iss. 12, pp. 1880-1917
Closed Access | Times Cited: 18
Option pricing with conditional GARCH models
Marcos Escobar‐Anel, Javad Rastegari, Lars Stentoft
European Journal of Operational Research (2020) Vol. 289, Iss. 1, pp. 350-363
Closed Access | Times Cited: 15
Affine multivariate GARCH models
Marcos Escobar‐Anel, Javad Rastegari, Lars Stentoft
Journal of Banking & Finance (2020) Vol. 118, pp. 105895-105895
Closed Access | Times Cited: 14
Variance and volatility swaps valuations with the stochastic liquidity risk
Dexuan Xu, Ben-zhang Yang, Jian-hao Kang, et al.
Physica A Statistical Mechanics and its Applications (2020) Vol. 566, pp. 125679-125679
Closed Access | Times Cited: 12
Closed-form portfolio optimization under GARCH models
Marcos Escobar‐Anel, Maximilian Gollart, Rudi Zagst
Operations Research Perspectives (2021) Vol. 9, pp. 100216-100216
Open Access | Times Cited: 11
A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models
Junmei Ma, Wang Chen, Wei Xu
European Journal of Operational Research (2024) Vol. 321, Iss. 3, pp. 1021-1035
Open Access | Times Cited: 1
Expected Utility Theory on General Affine GARCH Models
Marcos Escobar‐Anel, Ben Spies, Rudi Zagst
Applied Mathematical Finance (2021) Vol. 28, Iss. 6, pp. 477-507
Open Access | Times Cited: 10
Mean–variance optimization under affine GARCH: A utility-based solution
Marcos Escobar‐Anel, Ben Spies, Rudi Zagst
Finance research letters (2023) Vol. 59, pp. 104749-104749
Closed Access | Times Cited: 3
On the computation of hedging strategies in affine GARCH models
Maciej Augustyniak, Alexandru Badescu
Journal of Futures Markets (2021) Vol. 41, Iss. 5, pp. 710-735
Closed Access | Times Cited: 8
Model risk in the over-the-counter market
Emese Lazar, Shuyuan Qi
European Journal of Operational Research (2021) Vol. 298, Iss. 2, pp. 769-784
Open Access | Times Cited: 7
Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks
Xin‐Jiang He, Sha Lin
The North American Journal of Economics and Finance (2023) Vol. 67, pp. 101918-101918
Closed Access | Times Cited: 2
An analytic pricing formula for timer options under constant elasticity of variance with stochastic volatility
Sun‐Yong Choi, Donghyun Kim, Ji‐Hun Yoon
AIMS Mathematics (2023) Vol. 9, Iss. 1, pp. 2454-2472
Open Access | Times Cited: 2
Do Jumps Matter in Discrete-Time Portfolio Optimization?
Marcos Escobar‐Anel, Ben Spies, Rudi Zagst
(2024)
Closed Access
The Shifted GARCH Model with Affine Variance: Applications in Pricing
Lars Stentoft, Marcos Escobar‐Anel, Yangyang Hou
(2024)
Closed Access
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