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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:

Bayesian Modeling and Forecasting of 24-Hour High-Frequency Volatility
Jonathan Stroud, Michael Johannes
Journal of the American Statistical Association (2014) Vol. 109, Iss. 508, pp. 1368-1384
Open Access | Times Cited: 35

Showing 1-25 of 35 citing articles:

Volatility Forecasting with Machine Learning and Intraday Commonality
Chao Zhang, Yihuang Zhang, Mihai Cucuringu, et al.
Journal of Financial Econometrics (2023) Vol. 22, Iss. 2, pp. 492-530
Open Access | Times Cited: 24
How Crashes Develop: Intradaily Volatility and Crash Evolution
David S. Bates
The Journal of Finance (2018) Vol. 74, Iss. 1, pp. 193-238
Open Access | Times Cited: 40
Forecasting price of financial market crash via a new nonlinear potential GARCH model
Dun-Zhong Xing, Haifeng Li, Jiang-Cheng Li, et al.
Physica A Statistical Mechanics and its Applications (2020) Vol. 566, pp. 125649-125649
Closed Access | Times Cited: 24
Volatility forecasting with machine learning and intraday commonality
Chao Zhang, Yihuang Zhang, Mihai Cucuringu, et al.
SSRN Electronic Journal (2022)
Open Access | Times Cited: 15
Market Return Around the Clock: A Puzzle
Oleg Bondarenko, Dmitriy Muravyev
Journal of Financial and Quantitative Analysis (2022) Vol. 58, Iss. 3, pp. 939-967
Closed Access | Times Cited: 14
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
Carol Alexander, Michael Dakos
Quantitative Finance (2023) Vol. 23, Iss. 3, pp. 393-427
Open Access | Times Cited: 8
Modelling household finances: A Bayesian approach to a multivariate two-part model
Sarah Brown, Pulak Ghosh, Li Su, et al.
Journal of Empirical Finance (2015) Vol. 33, pp. 190-207
Open Access | Times Cited: 21
Review of Statistical Approaches for Modeling High-Frequency Trading Data
Chiranjit Dutta, Kara Karpman, Sumanta Basu, et al.
Sankhya B (2022) Vol. 85, Iss. S1, pp. 1-48
Closed Access | Times Cited: 12
Deepvol: Volatility Forecasting from High-Frequency Data with Dilated Causal Convolutions
Fernando Moreno-Pino, Stefan Zohren
SSRN Electronic Journal (2022)
Open Access | Times Cited: 8
DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
Fernando Moreno-Pino, Stefan Zohren
Quantitative Finance (2024) Vol. 24, Iss. 8, pp. 1105-1127
Open Access | Times Cited: 1
Liquidity fluctuations and the latent dynamics of price impact
Luca Philippe Mertens, Alberto Ciacci, Fabrizio Lillo, et al.
Quantitative Finance (2021) Vol. 22, Iss. 1, pp. 149-169
Open Access | Times Cited: 10
Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models
Katja Ignatieva, Patrick Wong
Energy Economics (2022) Vol. 108, pp. 105873-105873
Closed Access | Times Cited: 7
Equity index variance: Evidence from flexible parametric jump–diffusion models
Andreas Kaeck, Paulo M.M. Rodrigues, Norman Seeger
Journal of Banking & Finance (2017) Vol. 83, pp. 85-103
Open Access | Times Cited: 7
Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors
Makoto Nakakita, Teruo Nakatsuma
Journal of risk and financial management (2021) Vol. 14, Iss. 4, pp. 145-145
Open Access | Times Cited: 7
Forecasting Jumps in the Intraday Foreign Exchange Rate Time Series with Hawkes Processes and Logistic Regression
Milan Fičura
Springer proceedings in business and economics (2016), pp. 125-137
Closed Access | Times Cited: 5
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Andreas Kaeck, Paulo M.M. Rodrigues, Norman Seeger
Journal of Economic Dynamics and Control (2018) Vol. 90, pp. 1-29
Open Access | Times Cited: 5
Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework
António Alberto Santos
Computational Economics (2019) Vol. 57, Iss. 2, pp. 455-479
Closed Access | Times Cited: 4
Market Return Around the Clock: A Puzzle
Oleg Bondarenko, Dmitriy Muravyev
SSRN Electronic Journal (2020)
Closed Access | Times Cited: 4
How Crashes Develop: Intradaily Volatility and Crash Evolution
David S. Bates
(2016)
Open Access | Times Cited: 3
High-frequency realized stochastic volatility model
Toshiaki Watanabe, Jouchi Nakajima
Journal of Empirical Finance (2024) Vol. 79, pp. 101559-101559
Closed Access
Improving Volatility Forecasts Using Market‐Elicited Ambiguity Aversion Information
Raymond H.Y. So, Tarik Driouchi
Financial Review (2018) Vol. 53, Iss. 4, pp. 705-740
Open Access | Times Cited: 3
How Crashes Develop: Intradaily Volatility and Crash Evolution
David S. Bates
SSRN Electronic Journal (2016)
Open Access | Times Cited: 2
Interest rates across the world: Global, regional, and idiosyncratic factors
Jay Shambaugh, Hang Zhou
Journal of Banking & Finance (2024) Vol. 163, pp. 107192-107192
Closed Access
Modeling and Forecasting Intraday Spot Volatility
Adam Clements, Daniel Preve
SSRN Electronic Journal (2024)
Closed Access
Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Katja Ignatieva, Patrick Wong
Journal of Empirical Finance (2024) Vol. 78, pp. 101519-101519
Open Access
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