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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:

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

Showing 1-25 of 37 citing articles:

Estimation of the Continuous and Discontinuous Leverage Effects
Yacine Aït‐Sahalia, Jianqing Fan, Roger J. A. Laeven, et al.
Journal of the American Statistical Association (2016) Vol. 112, Iss. 520, pp. 1744-1758
Open Access | Times Cited: 57
Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets
Haider Ali, Muhammad Aftab, Faheem Aslam, et al.
Fractal and Fractional (2024) Vol. 8, Iss. 10, pp. 571-571
Open Access | Times Cited: 3
Bitcoin spillovers: A high‐frequency cross‐asset analysis
Minhao Leong, Simon Kwok
Financial Review (2024)
Open Access | Times Cited: 2
Testing for jumps and jump intensity path dependence
Valentina Corradi, Mervyn J. Silvapulle, Norman R. Swanson
Journal of Econometrics (2018) Vol. 204, Iss. 2, pp. 248-267
Open Access | Times Cited: 22
The pricing of jump and diffusive risks in the cross-section of cryptocurrency returns
Minhao Leong, Simon Kwok
Journal of Empirical Finance (2023) Vol. 74, pp. 101420-101420
Closed Access | Times Cited: 5
Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps
Arpita Mukherjee, Weijia Peng, Norman R. Swanson, et al.
Handbook of statistics (2019), pp. 3-59
Closed Access | Times Cited: 12
A Hawkes model with CARMA(p,q) intensity
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
Insurance Mathematics and Economics (2024) Vol. 116, pp. 1-26
Open Access | Times Cited: 1
Realized drift
Sébastien Laurent, Roberto Renò, Shuping Shi
Journal of Econometrics (2024), pp. 105813-105813
Open Access | Times Cited: 1
Assessing volatility persistence in fractional Heston models with self-exciting jumps
Gilles de Truchis, Bernard Desgraupes, Elena-Ivona Dumitrescu
Econometric Reviews (2024) Vol. 44, Iss. 3, pp. 275-311
Closed Access | Times Cited: 1
Mind your language: Market responses to central bank speeches
Maximilian Ahrens, Deniz Erdemlioglu, Michael McMahon, et al.
Journal of Econometrics (2024), pp. 105921-105921
Open Access | Times Cited: 1
Household Lifetime Strategies under a Self-Contagious Market
Liu Guo, Zhuo Jin, Shuanming Li
European Journal of Operational Research (2020) Vol. 288, Iss. 3, pp. 935-952
Closed Access | Times Cited: 11
Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model
Yi Hong, Xing Jin
European Journal of Operational Research (2022) Vol. 303, Iss. 2, pp. 975-985
Closed Access | Times Cited: 6
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
Deniz Erdemlioglu, Xiye Yang
Journal of Financial Econometrics (2022) Vol. 21, Iss. 5, pp. 1519-1556
Closed Access | Times Cited: 6
Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns
Chuanhai Zhang, Zhengjun Zhang, Mengyu Xu, et al.
Economic Modelling (2022) Vol. 119, pp. 106124-106124
Closed Access | Times Cited: 6
Optimal Liquidation, Acquisition and Market Making Problems in HFT under Hawkes Models for LOB
Ana Roldan Contreras, Anatoliy Swishchuk
Risks (2022) Vol. 10, Iss. 8, pp. 160-160
Open Access | Times Cited: 5
Testing for Jump Spillovers Without Testing for Jumps
Valentina Corradi, Walter Distaso, Marcelo Fernandes
Journal of the American Statistical Association (2019) Vol. 115, Iss. 531, pp. 1214-1226
Open Access | Times Cited: 6
Jumps at ultra-high frequency: Evidence from the Chinese stock market
Chuanhai Zhang, Zhi Liu, Qiang Liu
Pacific-Basin Finance Journal (2020) Vol. 68, pp. 101420-101420
Closed Access | Times Cited: 6
Mind Your Language: Market Responses to Central Bank Speeches
Christopher J. Neely, Xiye Yang, Michael McMahon, et al.
(2023)
Open Access | Times Cited: 2
Shot-noise cojumps: Exact simulation and option pricing
Yan Qu, Angelos Dassios, Hongbiao Zhao
Journal of the Operational Research Society (2022) Vol. 74, Iss. 3, pp. 647-665
Open Access | Times Cited: 3
Surrender contagion in life insurance
Chunli Cheng, Christian Hilpert, Aidin Miri Lavasani, et al.
European Journal of Operational Research (2022) Vol. 305, Iss. 3, pp. 1465-1479
Closed Access | Times Cited: 3
A Consistent and Robust Test for Autocorrelated Jump Occurrences
Simon Kwok
Journal of Financial Econometrics (2022) Vol. 22, Iss. 1, pp. 157-186
Closed Access | Times Cited: 3
Flexibly Modelling Volatility and Jumps Using Realised and Bi-Power Variation
Jim E. Griffin
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 2
Financial Flights, Stock Market Linkages and Jump Excitation
Mardi Dungey, Deniz Erdemlioglu, Marius Matei, et al.
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 2
Extremal Quantiles and Stock Price Crashes
Panayiotis C. Andreou, Sofia Anyfantaki, Esfandiar Maasoumi, et al.
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 1
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