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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:

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

Showing 1-25 of 136 citing articles:

Volatility impacts on the European banking sector: GFC and COVID-19
Jonathan A. Batten, Tonmoy Choudhury, Harald Kinateder, et al.
Annals of Operations Research (2022) Vol. 330, Iss. 1-2, pp. 335-360
Open Access | Times Cited: 80
The term structure of equity and variance risk premia
Yacine Aït‐Sahalia, Mustafa Karaman, Loriano Mancini
Journal of Econometrics (2020) Vol. 219, Iss. 2, pp. 204-230
Closed Access | Times Cited: 77
Volatility is (mostly) path-dependent
Julien Guyon, Jordan Lekeufack
Quantitative Finance (2023) Vol. 23, Iss. 9, pp. 1221-1258
Closed Access | Times Cited: 36
Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries
Yusen Feng, Gang‐Jin Wang, You Zhu, et al.
Emerging Markets Review (2023) Vol. 55, pp. 101020-101020
Closed Access | Times Cited: 32
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Mathieu Fournier, Kris Jacobs, Piotr Orłowski
The Journal of Finance (2024) Vol. 79, Iss. 3, pp. 2289-2338
Open Access | Times Cited: 6
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Yacine Aït‐Sahalia, Chenxu Li, Chen Xu Li
Journal of Econometrics (2020) Vol. 222, Iss. 1, pp. 364-392
Closed Access | Times Cited: 41
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
Estimation of multifactor stochastic volatility jump-diffusion models: A marginalized filter approach
Jean‐François Bégin, Golara Zafari
Econometrics and Statistics (2025)
Open Access
Modeling the Implied Volatility Smirk in China: Do Non‐Affine Two‐Factor Stochastic Volatility Models Work?
Yifan Ye, Zheqi Fan, Xinfeng Ruan
Journal of Futures Markets (2025)
Open Access
Volatility Options in Rough Volatility Models
Blanka Horvath, Antoine Jacquier, Peter Tankov
SIAM Journal on Financial Mathematics (2020) Vol. 11, Iss. 2, pp. 437-469
Open Access | Times Cited: 35
Analytically pricing European options with a two-factor Stein–Stein model
Sha Lin, Xuanmeng Lin, Xin‐Jiang He
Journal of Computational and Applied Mathematics (2023) Vol. 440, pp. 115662-115662
Closed Access | Times Cited: 11
Background Risk and Small-Stakes Risk Aversion
Xiaosheng Mu, Luciano Pomatto, Philipp Strack, et al.
American Economic Review Insights (2024) Vol. 6, Iss. 2, pp. 262-276
Open Access | Times Cited: 4
The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets
Jean‐François Bégin, Fabio Gómez, Katja Ignatieva, et al.
Energy Economics (2025), pp. 108296-108296
Open Access
Effect of exogenous market sentiment indicators in stock price direction prediction
Max Kyung Keun Yun
Expert Systems with Applications (2025), pp. 127696-127696
Closed Access
Empirical Option Pricing Models
David S. Bates
Annual Review of Financial Economics (2022) Vol. 14, Iss. 1, pp. 369-389
Closed Access | Times Cited: 16
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
On the Nature of (Jump) Skewness Risk Premia
Piotr Orłowski, Paul Schneider, Fabio Trojani
Management Science (2023) Vol. 70, Iss. 2, pp. 1154-1174
Closed Access | Times Cited: 10
Measures of Model Risk for Continuous-Time Finance Models
Emese Lazar, Shuyuan Qi, Radu Tunaru
Journal of Financial Econometrics (2024)
Open Access | Times Cited: 3
Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting
Fei Lü, Feng Ma, Elie Bouri, et al.
International Review of Financial Analysis (2024) Vol. 94, pp. 103262-103262
Closed Access | Times Cited: 3
The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Julien Guyon
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 26
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 valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Qi Wang, Zerong Wang
Journal of Banking & Finance (2020) Vol. 116, pp. 105845-105845
Closed Access | Times Cited: 24
Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market
José Da Fonseca, Katja Ignatieva
Journal of Banking & Finance (2018) Vol. 99, pp. 45-62
Closed Access | Times Cited: 25
Precise option pricing by the COS method—How to choose the truncation range
Gero Junike, Konstantin Pankrashkin
Applied Mathematics and Computation (2022) Vol. 421, pp. 126935-126935
Open Access | Times Cited: 13
On the number of terms in the COS method for European option pricing
Gero Junike
Numerische Mathematik (2024) Vol. 156, Iss. 2, pp. 533-564
Open Access | Times Cited: 2
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