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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:

Time-varying jump tails
Tim Bollerslev, Viktor Todorov
Journal of Econometrics (2014) Vol. 183, Iss. 2, pp. 168-180
Closed Access | Times Cited: 82

Showing 1-25 of 82 citing articles:

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: 380
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: 268
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: 3
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: 123
Contagion risk in global banking sector
Kevin Daly, Jonathan A. Batten, Anil V. Mishra, et al.
Journal of International Financial Markets Institutions and Money (2019) Vol. 63, pp. 101136-101136
Closed Access | Times Cited: 56
Tail risk and return predictability for the Japanese equity market
Torben G. Andersen, Viktor Todorov, Masato Ubukata
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 344-363
Open Access | Times Cited: 40
The Transmission of Monetary Policy to the Cost of Hedging
Matthias R. Fengler, Winfried Koeniger, Stephan Minger
(2025)
Closed Access
The Transmission of Monetary Policy to the Cost of Hedging
Matthias R. Fengler, Winfried Koeniger, Stephan Minger
SSRN Electronic Journal (2025)
Closed Access
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
Measuring tail risk
Maik Dierkes, Fabian Hollstein, Marcel Prokopczuk, et al.
Journal of Econometrics (2024) Vol. 241, Iss. 2, pp. 105769-105769
Open Access | Times Cited: 3
The Pricing of Jump Propagation: Evidence from Spot and Options Markets
Du Du, Dan Luo
Management Science (2017)
Closed Access | Times Cited: 32
Decomposing the VIX: Implications for the predictability of stock returns
K. Victor Chow, Wanjun Jiang, Bingxin Li, et al.
Financial Review (2020) Vol. 55, Iss. 4, pp. 645-668
Closed Access | Times Cited: 24
Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*
Marco Bee, Debbie J. Dupuis, Luca Trapin
Journal of Financial Econometrics (2019) Vol. 17, Iss. 2, pp. 254-283
Open Access | Times Cited: 24
Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option
Zhengyun Jiang, Xin Zhou
International Review of Economics & Finance (2024) Vol. 91, pp. 378-399
Closed Access | Times Cited: 2
Measuring Tail Risks at High Frequency
Brian Weller
Review of Financial Studies (2018) Vol. 32, Iss. 9, pp. 3571-3616
Closed Access | Times Cited: 23
Deep Learning from Implied Volatility Surfaces
Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud, et al.
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 6
Anticipating extreme losses using score-driven shape filters
Astrid Ayala, Szabolcs Blazsek, Álvaro Escribano
Studies in Nonlinear Dynamics and Econometrics (2022) Vol. 27, Iss. 4, pp. 449-484
Open Access | Times Cited: 10
The risk premium of gold
Duc Binh Benno Nguyen, Marcel Prokopczuk, Chardin Wese Simen
Journal of International Money and Finance (2019) Vol. 94, pp. 140-159
Open Access | Times Cited: 16
On the right jump tail inferred from the VIX market
Zhenxiong Li, Xingzhi Yao, Marwan Izzeldin
International Review of Financial Analysis (2023) Vol. 86, pp. 102507-102507
Open Access | Times Cited: 4
Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
Jo�ão Nicolau, Paulo M.M. Rodrigues, Marian Z. Stoykov
Journal of Econometrics (2023) Vol. 235, Iss. 2, pp. 2266-2284
Open Access | Times Cited: 4
Explaining intraday crude oil returns with higher order risk-neutral moments
Patrick Wong
Journal of commodity markets (2023) Vol. 31, pp. 100331-100331
Closed Access | Times Cited: 4
Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2sls Testing Approach
Paulo M.M. Rodrigues, Matei Demetrescu, Robert Taylor
(2024)
Open Access | Times Cited: 1
Real-time forward-looking skewness over the business cycle
Ian Dew-Becker
Review of Economic Dynamics (2024) Vol. 54, pp. 101233-101233
Closed Access | Times Cited: 1
Higher-Moment Risk
Niels Joachim Gormsen, Christian Skov Jensen
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 12
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