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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
SSRN Electronic Journal (2013)
Closed Access | Times Cited: 19

Showing 19 citing articles:

Quadratic variance swap models
Damir Filipović, Elise Gourier, Loriano Mancini
Journal of Financial Economics (2015) Vol. 119, Iss. 1, pp. 44-68
Open Access | Times Cited: 99
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Aït‐Sahalia, Mustafa Karaman, Loriano Mancini
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 81
Regime-switching stochastic volatility model: estimation and calibration to VIX options
Stéphane Goutte, Amine Ismail, Huyên Pham
Applied Mathematical Finance (2017) Vol. 24, Iss. 1, pp. 38-75
Open Access | Times Cited: 59
Volatility-Related Exchange Traded Assets: An Econometric Investigation
Javier Juste Mencía, Enrique Sentana
Journal of Business and Economic Statistics (2016) Vol. 36, Iss. 4, pp. 599-614
Open Access | Times Cited: 48
VIX term structure and VIX futures pricing with realized volatility
Zhuo Huang, Chen Tong, Tianyi Wang
Journal of Futures Markets (2018) Vol. 39, Iss. 1, pp. 72-93
Closed Access | Times Cited: 42
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
Double-jump diffusion model for VIX: evidence from VVIX
Xin Zang, Jun Ni, Jing‐Zhi Huang, et al.
Quantitative Finance (2016) Vol. 17, Iss. 2, pp. 227-240
Closed Access | Times Cited: 15
Price Impact of ETP Demand on Underliers
Xiaoyang Sean Dong
SSRN Electronic Journal (2016)
Closed Access | Times Cited: 11
A Tale of Two Option Markets: State-Price Densities Implied from S&P 500 and Vix Option Prices
Zhaogang Song, Dacheng Xiu
SSRN Electronic Journal (2012)
Closed Access | Times Cited: 9
Variance disparity and market frictions
Yang‐Ho Park
Journal of Econometrics (2019) Vol. 214, Iss. 2, pp. 326-348
Open Access | Times Cited: 8
A general closed form option pricing formula
Ciprian Necula, Gabriel G. Drimus, Walter Farkas
Review of Derivatives Research (2018) Vol. 22, Iss. 1, pp. 1-40
Closed Access | Times Cited: 8
Price Dislocation and Price Discovery in the S&P 500 Options and VIX Derivatives Markets
Yang‐Ho Park
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 5
Term Structure of Variance Risk Premium in Multi-Component GARCH Models
Giacomo Bormetti, Fulvio Corsi, Adam Majewski
SSRN Electronic Journal (2015)
Closed Access | Times Cited: 4
Herding and Stochastic Volatility
Walter Farkas, Ciprian Necula, Boris Waelchli
SSRN Electronic Journal (2015)
Open Access | Times Cited: 3
Tail Risk Premia for Long-Term Equity Investors
J. Rauch, Carol Alexander
arXiv (Cornell University) (2016)
Closed Access | Times Cited: 2
Risk Premiums in a Multi-Factor Jump-Diffusion Model for the Joint Dynamics of Equity Options and Their Underlying
Robert Huitema, Bas Peeters
SSRN Electronic Journal (2014)
Closed Access | Times Cited: 2
The Timing of Option Returns
Adriano Tosi, Alexandre Ziegler
SSRN Electronic Journal (2017)
Closed Access | Times Cited: 2
Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX
Xin Zang, Jun Ni, Jing‐Zhi Huang, et al.
SSRN Electronic Journal (2015)
Open Access
Variance Disparity and Market Frictions
Yang‐Ho Park
Finance and Economics Discussion Series (2019) Vol. 2019, Iss. 059
Open Access
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