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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:

Consistent modeling of S&P 500 and VIX derivatives
Yueh‐Neng Lin, Chien-Hung Chang
Journal of Economic Dynamics and Control (2010) Vol. 34, Iss. 11, pp. 2302-2319
Closed Access | Times Cited: 57

Showing 1-25 of 57 citing articles:

An analytical formula for VIX futures and its applications
Song‐Ping Zhu, Guanghua Lian
Journal of Futures Markets (2011) Vol. 32, Iss. 2, pp. 166-190
Open Access | Times Cited: 110
Causality in the VIX futures market
Jinghong Shu, Jin E. Zhang
Journal of Futures Markets (2011) Vol. 32, Iss. 1, pp. 24-46
Closed Access | Times Cited: 105
Estimating and using GARCH models with VIX data for option valuation
Juho Kanniainen, Binghuan Lin, Haiyuan Yang
Journal of Banking & Finance (2014) Vol. 43, pp. 200-211
Closed Access | Times Cited: 91
Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
Luca Vincenzo Ballestra, Graziella Pacelli
Journal of Economic Dynamics and Control (2013) Vol. 37, Iss. 6, pp. 1142-1167
Closed Access | Times Cited: 77
Pricing VIX options with stochastic volatility and random jumps
Guanghua Lian, Song‐Ping Zhu
Decisions in Economics and Finance (2011) Vol. 36, Iss. 1, pp. 71-88
Closed Access | Times Cited: 73
Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
Sawsan Hilal, Ser‐Huang Poon, Jonathan A. Tawn
Journal of Banking & Finance (2011) Vol. 35, Iss. 9, pp. 2374-2387
Closed Access | Times Cited: 66
The world stock markets under geopolitical risks: Dependence structure
Jong‐Eun Lee
World Economy (2018) Vol. 42, Iss. 6, pp. 1898-1930
Closed Access | Times Cited: 38
Pure jump models for pricing and hedging VIX derivatives
Jing Li, Lingfei Li, Gongqiu Zhang
Journal of Economic Dynamics and Control (2016) Vol. 74, pp. 28-55
Closed Access | Times Cited: 36
Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices
Jiling Cao, Xinfeng Ruan, Wenjun Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 945-973
Closed Access | Times Cited: 24
VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
Yueh‐Neng Lin
Journal of Banking & Finance (2013) Vol. 37, Iss. 11, pp. 4432-4446
Closed Access | Times Cited: 30
Point process models for extreme returns: Harnessing implied volatility
Rodrigo Herrera, Adam Clements
Journal of Banking & Finance (2017) Vol. 88, pp. 161-175
Open Access | Times Cited: 28
The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation
Simon Lalancette, Jean‐Guy Simonato
European Financial Management (2016) Vol. 23, Iss. 2, pp. 325-354
Closed Access | Times Cited: 26
Pricing VXX option with default risk and positive volatility skew
Qunfang Bao, Shenghong Li, Donggeng Gong
European Journal of Operational Research (2012) Vol. 223, Iss. 1, pp. 246-255
Closed Access | Times Cited: 26
The Distribution of Uncertainty: Evidence from the VIX Options Market
Clemens Völkert
Journal of Futures Markets (2014) Vol. 35, Iss. 7, pp. 597-624
Closed Access | Times Cited: 20
Instantaneous squared VIX and VIX derivatives
Xingguo Luo, Jin E. Zhang, Wenjun Zhang
Journal of Futures Markets (2019) Vol. 39, Iss. 10, pp. 1193-1213
Closed Access | Times Cited: 19
A remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
Jun Cheng, Meriton Ibraimi, Markus Leippold, et al.
Journal of Economic Dynamics and Control (2012) Vol. 36, Iss. 5, pp. 708-715
Closed Access | Times Cited: 18
The Fine Structure of Variance: Consistent Pricing of VIX Derivatives
Nicole Branger, Alexander Kraftschik, Clemens Völkert
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 17
Equilibrium variance risk premium in a cost-free production economy
Xinfeng Ruan, Jin E. Zhang
Journal of Economic Dynamics and Control (2018) Vol. 96, pp. 42-60
Closed Access | Times Cited: 16
Pricing VIX options with volatility clustering
Bo Jing, Shenghong Li, Yong Ma
Journal of Futures Markets (2020) Vol. 40, Iss. 6, pp. 928-944
Closed Access | Times Cited: 10
The mean‐reverting 4/2 stochastic volatility model: Properties and financial applications
Marcos Escobar‐Anel, Zhenxian Gong
Applied Stochastic Models in Business and Industry (2020) Vol. 36, Iss. 5, pp. 836-856
Closed Access | Times Cited: 9
What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors
Nicole Branger, Clemens Völkert
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 9
Pricing Vix Options with Stochastic Volatility and Random Jumps
Guanghua Lian, Song‐Ping Zhu
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 9
Estimating and Using GARCH Models with VIX Data for Option Valuation
Juho Kanniainen, Binghuan Lin, Haiyuan Yang
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 8
Pricing volatility options under stochastic skew with application to the VIX index
Jacinto Marabel Romo
European Journal of Finance (2015) Vol. 23, Iss. 4, pp. 353-374
Closed Access | Times Cited: 7
KORKU ENDEKSİ İLE GELİŞMEKTE OLAN ÜLKE TAHVİL PİYASALARI ARASINDAKİ İLİŞKİNİN AMPİRİK ANALİZİ
Hakan Öner
Muhasebe Bilim Dünyası Dergisi (2019) Vol. 21, Iss. 1, pp. 140-154
Open Access | Times Cited: 7
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