Open Access Helper

OpenAlex Citation Counts

OpenAlex Citations Logo

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:

A tale of two option markets: Pricing kernels and volatility risk
Zhaogang Song, Dacheng Xiu
Journal of Econometrics (2015) Vol. 190, Iss. 1, pp. 176-196
Open Access | Times Cited: 129

Showing 1-25 of 129 citing articles:

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Chris Bardgett, Elise Gourier, Markus Leippold
Journal of Financial Economics (2018) Vol. 131, Iss. 3, pp. 593-618
Open Access | Times Cited: 136
Resolution of policy uncertainty and sudden declines in volatility
Dante Amengual, Dacheng Xiu
Journal of Econometrics (2017) Vol. 203, Iss. 2, pp. 297-315
Closed Access | Times Cited: 115
Price volatility in the carbon market in China
Jingye Lyu, Ming Cao, Kuang Wu, et al.
Journal of Cleaner Production (2020) Vol. 255, pp. 120171-120171
Open Access | Times Cited: 88
Volatility-of-Volatility Risk
Darien Huang, Christian Schlag, Ivan Shaliastovich, et al.
Journal of Financial and Quantitative Analysis (2018) Vol. 54, Iss. 6, pp. 2423-2452
Open Access | Times Cited: 83
Time-varying jump tails
Tim Bollerslev, Viktor Todorov
Journal of Econometrics (2014) Vol. 183, Iss. 2, pp. 168-180
Closed Access | Times Cited: 82
(Almost) Model‐Free Recovery
Paul Schneider, Fabio Trojani
The Journal of Finance (2018) Vol. 74, Iss. 1, pp. 323-370
Closed Access | Times Cited: 70
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Ilze Kalnina, Dacheng Xiu
Journal of the American Statistical Association (2016) Vol. 112, Iss. 517, pp. 384-396
Open Access | Times Cited: 65
The pricing kernel puzzle: survey and outlook
Horatio Cuesdeanu, Jens Carsten Jackwerth
Annals of Finance (2017) Vol. 14, Iss. 3, pp. 289-329
Open Access | Times Cited: 56
Cumulative Prospect Theory, Option Returns, and the Variance Premium
Lieven Baele, Joost Driessen, Sebastian Ebert, et al.
Review of Financial Studies (2018) Vol. 32, Iss. 9, pp. 3667-3723
Closed Access | Times Cited: 55
Pricing Kernel Monotonicity and Conditional Information
Matthew Linn, Sophie Shive, Tyler Shumway
Review of Financial Studies (2017) Vol. 31, Iss. 2, pp. 493-531
Closed Access | Times Cited: 51
Volatility-Related Exchange Traded Assets: An Econometric Investigation
Javier Juste Mencía, Enrique Sentana
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 4, pp. 599-614
Open Access | Times Cited: 48
Skewness and option prices under stochastic volatility models: the role of shot-noise jumps
Wei Lin, Pakorn Aschakulporn, Yifan Ye, et al.
European Journal of Finance (2025), pp. 1-28
Closed Access
Stochastic arbitrage with market index options
Brendan K. Beare, Juwon Seo, Zhongxi Zheng
Journal of Banking & Finance (2025), pp. 107395-107395
Open Access
Joint Implied Willow Tree: An Approach for Joint S&P 500/VIX Calibration
Bing Dong, Wei Xu, Zhenyu Cui
Journal of Futures Markets (2025)
Open Access
Smiling twice: The Heston++ model
Claudio Pacati, Gabriele Pompa, Roberto Renò
Journal of Banking & Finance (2018) Vol. 96, pp. 185-206
Open Access | Times Cited: 42
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
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
Realized GARCH, CBOE VIX, and the Volatility Risk Premium
Peter Reinhard Hansen, Zhuo Huang, Chen Tong, et al.
Journal of Financial Econometrics (2022) Vol. 22, Iss. 1, pp. 187-223
Open Access | Times Cited: 16
Resolution of Policy Uncertainty and Sudden Declines in Volatility
Dante Amengual, Dacheng Xiu
SSRN Electronic Journal (2013)
Closed Access | Times Cited: 36
Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits*
Alexandru Badescu, Zhenyu Cui, Juan‐Pablo Ortega
Journal of Financial Econometrics (2017) Vol. 15, Iss. 4, pp. 602-648
Open Access | Times Cited: 30
A data-driven framework for consistent financial valuation and risk measurement
Zhenyu Cui, Justin Kirkby, Duy Nguyen
European Journal of Operational Research (2020) Vol. 289, Iss. 1, pp. 381-398
Closed Access | Times Cited: 26
A Descriptive Study of High-Frequency Trade and Quote Option Data*
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, et al.
Journal of Financial Econometrics (2020) Vol. 19, Iss. 1, pp. 128-177
Open Access | Times Cited: 25
The State Price Density Implied by Crude Oil Futures and Option Prices
Peter Christoffersen, Kris Jacobs, Xuhui Pan
Review of Financial Studies (2021) Vol. 35, Iss. 2, pp. 1064-1103
Closed Access | Times Cited: 18
Volatility-of-Volatility Risk
Darien Huang, Christian Schlag, Ivan Shaliastovich, et al.
SSRN Electronic Journal (2018)
Open Access | Times Cited: 23
Option market trading activity and the estimation of the pricing kernel: A Bayesian approach
Giovanni Barone‐Adesi, Nicola Fusari, Antonietta Mira, et al.
Journal of Econometrics (2019) Vol. 216, Iss. 2, pp. 430-449
Closed Access | Times Cited: 21
Page 1 - Next Page

Scroll to top