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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:

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

Showing 17 citing articles:

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
Smiling twice: The Heston++ model
Claudio Pacati, Gabriele Pompa, Roberto Renò
Journal of Banking & Finance (2018) Vol. 96, pp. 185-206
Open Access | Times Cited: 42
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
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
Asymmetric Volatility Risk: Evidence from Option Markets*
Jens Carsten Jackwerth, Grigory Vilkov
Review of Finance (2018) Vol. 23, Iss. 4, pp. 777-799
Open Access | Times Cited: 14
VIX derivatives: Valuation models and empirical evidence
Chien-Ling Lo, Pai‐Ta Shih, Yaw‐Huei Wang, et al.
Pacific-Basin Finance Journal (2018) Vol. 53, pp. 1-21
Open Access | Times Cited: 13
Variance and skew risk premiums for the volatility market: The VIX evidence
José Da Fonseca, Yahua Xu
Journal of Futures Markets (2018) Vol. 39, Iss. 3, pp. 302-321
Closed Access | Times Cited: 10
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
Withdrawn: A general jump‐diffusion process to price volatility derivatives
Cheng Yan, Bo Zhao
Journal of Futures Markets (2018) Vol. 39, Iss. 1, pp. 15-37
Open Access | Times Cited: 8
Smiling Twice: The Heston++ Model
Claudio Pacati, Gabriele Pompa, Roberto Renò
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 5
Modeling VXX under jump diffusion with stochastic long‐term mean
Sebastian A. Gehricke, Jin E. Zhang
Journal of Futures Markets (2020) Vol. 40, Iss. 10, pp. 1508-1534
Closed Access | Times Cited: 5
Consistency between S&P500 and VIX derivatives: Insights from model‐free VIX futures pricing
Hendrik Hülsbusch, Alexander Kraftschik
Journal of Futures Markets (2018) Vol. 38, Iss. 8, pp. 977-995
Closed Access | Times Cited: 4
Withdrawn: Three One‐Factor Processes for Option Pricing with a Mean‐Reverting Underlying: The Case of VIX
Bo Zhao, Cheng Yan, Stewart D. Hodges
Financial Review (2019) Vol. 54, Iss. 1, pp. 165-165
Open Access | Times Cited: 4
Volatility Model Specification: Evidence from the Pricing of VIX Derivatives
Chien-Ling Lo, Pai‐Ta Shih, Yaw‐Huei Wang, et al.
(2013)
Closed Access | Times Cited: 1
Pricing VIX Options with Multifactor Stochastic Volatility
Pascal Marco Caversaccio
SSRN Electronic Journal (2016)
Closed Access
Å investere i volatilitet : egenskaper, marked og nytte i porteføljesammenheng
Fredrik Birkeland Aass, Henrik Døvik
(2016)
Closed Access
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