OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 1. 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 2021-08-01 to 2025-08-01.)

Article	Citations
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	55
Endogenous Volatility in the Foreign Exchange Market	55
Disagreement in Market Index Options	44
Increasing the information content of realized volatility forecasts	21
When Safe-Haven Asset Is Less than a Safe-Haven Play	20
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	18
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	15
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	14
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	11
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	11
Multivariate Fractional Components Analysis	10
Semi-Strong Factors in Asset Returns	8
Volatility Forecasting with Machine Learning and Intraday Commonality	7
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	7
The Role of Jumps in Realized Volatility Modeling and Forecasting	6
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	6
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
A Consistent and Robust Test for Autocorrelated Jump Occurrences	6
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	6
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	5
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	4
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Empirical Asset Pricing with Many Test Assets	4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4

Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds	3
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	3
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	3
Time-Transformed Test for Bubbles under Non-stationary Volatility	3
A New Test for Multiple Predictive Regression	3
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	3
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	3
Common Bubble Detection in Large Dimensional Financial Systems	3
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	3
Large Sample Estimators of the Stochastic Discount Factor	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	2
Integrating Structural and Reduced-Form Methods in Empirical Finance	2
An Enhanced Factor Model for Portfolio Selection in High Dimensions	2
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	2
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	2
Intraday Market Predictability: A Machine Learning Approach	2
The Determinants of Volatility Timing Performance	2
Dynamic Nonparametric Clustering of Multivariate Panel Data	2
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
An Information-Theoretic Asset Pricing Model	2
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	2
Periodicity in Cryptocurrency Volatility and Liquidity	2
Heterogeneity in Household Inflation Expectations and Monetary Policy	1
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data	1
Optimal Portfolio Using Factor Graphical Lasso	1
Beyond Co-integration: New Tools for Inference on Co-movements	1
Forecasting under Long Memory	1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	1
Identification Robust Testing of Risk Premia in Finite Samples	1
Composite Likelihood for Stochastic Migration Model with Unobserved Factor	1
A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas	1
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	1
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	1
A Machine Learning Approach to Volatility Forecasting	1