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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:

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

Showing 1-25 of 40 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: 25
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
Journal of Econometrics (2020) Vol. 227, Iss. 2, pp. 461-497
Closed Access | Times Cited: 43
The jump leverage risk premium
Tim Bollerslev, Viktor Todorov
Journal of Financial Economics (2023) Vol. 150, Iss. 3, pp. 103723-103723
Closed Access | Times Cited: 14
Can a self-exciting jump structure better capture the jump behavior of cryptocurrencies? A comparative analysis with the S&P 500
Yan Chen, Lei Zhang, Elie Bouri
Research in International Business and Finance (2024) Vol. 69, pp. 102277-102277
Closed Access | Times Cited: 5
Time-varying jump intensity and volatility forecasting of crude oil returns
Lei Zhang, Yan Chen, Elie Bouri
Energy Economics (2023) Vol. 129, pp. 107236-107236
Closed Access | Times Cited: 13
V-Shapes
Maria Flora, Roberto Renò
(2025)
Closed Access
Jump Imbalance and Chinese Stock Market Returns
Lei Zhang, Yan Chen, Yakun Liu, et al.
(2025)
Closed Access
Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?
Harald A. Mieg
Risk Analysis (2020) Vol. 42, Iss. 9, pp. 1952-1964
Open Access | Times Cited: 24
The microstructure of stochastic volatility models with self-exciting jump dynamics
Ulrich Horst, Wei Xu
The Annals of Applied Probability (2022) Vol. 32, Iss. 6
Open Access | Times Cited: 16
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
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
Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
Wujun Lv, Tao Pang, Xiaobao Xia, et al.
Financial Innovation (2023) Vol. 9, Iss. 1
Open Access | Times Cited: 6
Contagion or interdependence? Comparing spillover indices
Raisul Islam, Vladimir Volkov
Empirical Economics (2021) Vol. 63, Iss. 3, pp. 1403-1455
Open Access | Times Cited: 13
Variance-of-Variance Risk Premium*
Andreas Kaeck
Review of Finance (2017) Vol. 22, Iss. 4, pp. 1549-1579
Open Access | Times Cited: 16
Fast Filtering with Large Option Panels: Implications for Asset Pricing
Arnaud Dufays, Kris Jacobs, Yuguo Liu, et al.
Journal of Financial and Quantitative Analysis (2023), pp. 1-32
Closed Access | Times Cited: 5
Endogenous liquidity crises
Antoine Fosset, Jean‐Philippe Bouchaud, Michael Benzaquen
Journal of Statistical Mechanics Theory and Experiment (2020) Vol. 2020, Iss. 6, pp. 063401-063401
Open 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
A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility
Steven L. Heston, Kris Jacobs, Hyung Joo Kim
SSRN Electronic Journal (2023)
Closed Access | Times Cited: 3
Portfolio Liquidation Under Transient Price Impact – Theoretical Solution and Implementation With 100 NASDAQ Stocks
Ying Chen, Ulrich Horst, Hoang Hai Tran
SSRN Electronic Journal (2019)
Open Access | Times Cited: 7
On the Nature of Jump Risk Premia
Piotr Orłowski, Paul Schneider, Fabio Trojani
SSRN Electronic Journal (2019)
Closed Access | Times Cited: 6
Classification of flash crashes using the Hawkes(p,q)framework
Alexander Wehrli, Didier Sornette
Quantitative Finance (2021) Vol. 22, Iss. 2, pp. 213-240
Open Access | Times Cited: 4
Exploring Risk Premia, Pricing Kernels, and No-Arbitrage Restrictions in Option Pricing Models
Steven L. Heston, Kris Jacobs, Hyung Joo Kim
SSRN Electronic Journal (2021)
Closed Access | Times Cited: 4
Variance swaps with mean reversion and multi-factor variance
Bin Wu, Pengzhan Chen, Wuyi Ye
European Journal of Operational Research (2023) Vol. 315, Iss. 1, pp. 191-212
Closed Access | Times Cited: 1
Modeling and Forecasting Intraday Spot Volatility
Adam Clements, Daniel Preve
SSRN Electronic Journal (2024)
Closed Access
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