Journal of Financial Econometrics

Papers
(The H4-Index of Journal of Financial Econometrics is 8. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2022-08-01 to 2026-08-01.)
ArticleCitations
Endogenous Volatility in the Foreign Exchange Market37
Disagreement in Market Index Options23
When Safe-Haven Asset Is Less than a Safe-Haven Play22
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time21
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach21
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity17
Shadow Rate Models and Monetary Policy12
Estimation of an Order Book Dependent Hawkes Process for Large Datasets9
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