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 2021-06-01 to 2025-06-01.)

Article	Citations
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	52
Endogenous Volatility in the Foreign Exchange Market	52
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
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	18
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	16
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	15
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	13
Multivariate Fractional Components Analysis	11
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	10
Semi-Strong Factors in Asset Returns	8
Forecasting Loan Default in Europe with Machine Learning	7
The Role of Jumps in Realized Volatility Modeling and Forecasting	6
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	6
Volatility Forecasting with Machine Learning and Intraday Commonality	6
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	6
A Consistent and Robust Test for Autocorrelated Jump Occurrences	5
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	5
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	5
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	4
Empirical Asset Pricing with Many Test Assets	4
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	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

Common Bubble Detection in Large Dimensional Financial Systems	3
A New Test for Multiple Predictive Regression	3
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	3
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	3
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	3
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	3
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	3
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	3
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
The Determinants of Volatility Timing Performance	2
Time-Transformed Test for Bubbles under Non-stationary Volatility	2
Large Sample Estimators of the Stochastic Discount Factor	2
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	2
Integrating Structural and Reduced-Form Methods in Empirical Finance	2
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	2
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	2
Intraday Market Predictability: A Machine Learning Approach	2
An Information-Theoretic Asset Pricing Model	2
Intraday Trades Profile Estimation: An Intensity Approach	2
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	2
Periodicity in Cryptocurrency Volatility and Liquidity	1
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	1
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	1
Beyond Co-integration: New Tools for Inference on Co-movements	1
An Enhanced Factor Model for Portfolio Selection in High Dimensions	1
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	1
Optimal Portfolio Using Factor Graphical Lasso	1
Identification Robust Testing of Risk Premia in Finite Samples	1
Dynamic Nonparametric Clustering of Multivariate Panel Data	1
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	1