Journal of Financial Econometrics

Papers
(The H4-Index of Journal of Financial Econometrics is 9. 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 2022-01-01 to 2026-01-01.)
ArticleCitations
Endogenous Volatility in the Foreign Exchange Market72
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads72
Disagreement in Market Index Options27
When Safe-Haven Asset Is Less than a Safe-Haven Play22
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices17
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity15
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach12
Estimation of an Order Book Dependent Hawkes Process for Large Datasets10
Semi-Strong Factors in Asset Returns9
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