OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 0. 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 2021-04-01 to 2025-04-01.)

Article	Citations
The Role of Jumps in Realized Volatility Modeling and Forecasting	46
Time Variation in Cash Flows and Discount Rates	45
Large Sample Estimators of the Stochastic Discount Factor	25
Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures	21
Jump Clustering, Information Flows, and Stock Price Efficiency	14
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	13
A Machine Learning Approach to Volatility Forecasting	12
Identification Robust Testing of Risk Premia in Finite Samples	11
Endogenous Volatility in the Foreign Exchange Market	11
Co-Skewness across Return Horizons	10
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	8
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	8
Heterogeneity in Household Inflation Expectations and Monetary Policy	6
Forecasting under Long Memory	6
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data	6
Discussion of Identification Robust Testing of Risk Premia in Finite Samples	6
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach	6
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	5
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	5
Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics	4
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	4
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	4
A Comparative Study of Likelihood Approximations for Univariate Diffusions	4
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	4
Composite Likelihood for Stochastic Migration Model with Unobserved Factor	3

Factor Overnight GARCH-Itô Models	3
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	3
Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights	3
A Structural Break in the Aggregate Earnings–Returns Relation	3
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	3
SMARTboost Learning for Tabular Data	3
The U.S. Treasury Term Premia in a Low Interest Rate Regime	3
A Consistent and Robust Test for Autocorrelated Jump Occurrences	3
Disagreement in Market Index Options	2
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	2
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	2
Increasing the information content of realized volatility forecasts	2
A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas	2
Smooth-Transition Regression Models for Non-Stationary Extremes	2
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	2
Estimation with Errors in Variables via the Characteristic Function	2
Intraday Market Predictability: A Machine Learning Approach	2
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	2
When Safe-Haven Asset Is Less than a Safe-Haven Play	2
Arbitrage Pricing Theory for Idiosyncratic Variance Factors	2
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	1
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	1
Common Bubble Detection in Large Dimensional Financial Systems	1
Measures of Model Risk for Continuous-Time Finance Models	1
Estimating Unobserved Soft Adjustment in Credit Rating Models: Before and after the Dodd–Frank Act	1
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	1
Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts	1
A New Test for Multiple Predictive Regression	1
Empirical Asset Pricing with Many Test Assets	1
Introduction to the 2018 Hal White Memorial Lecture	1
A Multicountry Model of the Term Structures of Interest Rates with a GVAR	1
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity	0
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	0
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	0
Option Prices and the Probability of Success of Cash Mergers	0
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	0
Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds	0
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	0
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	0
High-Dimensional Granger Causality Tests with an Application to VIX and News	0
Intraday Trades Profile Estimation: An Intensity Approach	0
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	0
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	0
Empirical Asset Pricing with Score-Driven Conditional Betas	0
Optimal Portfolio Using Factor Graphical Lasso	0
Multivariate Fractional Components Analysis	0
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	0
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	0
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm	0
Empirical Asset Pricing with Functional Factors	0

An Enhanced Factor Model for Portfolio Selection in High Dimensions	0
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	0
A Joint Model for the Term Structure of Interest Rates and Realized Volatility	0
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models	0
A New Test on Asset Return Predictability with Structural Breaks	0
Comment on: Identification Robust Testing of Risk Premia in Finite Samples	0
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	0
Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics	0
A Truncated Mixture Transition Model for Interval-Valued Time Series	0
Risk Premia and Lévy Jumps: Theory and Evidence	0
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	0
Identifying Risk Factors and Their Premia: A Study on Electricity Prices	0
Beyond Co-integration: New Tools for Inference on Co-movements	0
Real-Time Identification and High-Frequency Analysis of Deposits Outflows	0
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes	0
Powers Correlation Analysis of Returns with a Non-stationary Zero-Process	0
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	0
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	0
Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model	0
Semi-Strong Factors in Asset Returns	0
Integrating Structural and Reduced-Form Methods in Empirical Finance	0
An Information-Theoretic Asset Pricing Model	0
Forecasting Loan Default in Europe with Machine Learning	0
Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances	0
Finite Lag Estimation of Non-Markovian Processes	0
A Stochastic Price Duration Model for Estimating High-Frequency Volatility	0
Dynamic Nonparametric Clustering of Multivariate Panel Data	0
The Determinants of Volatility Timing Performance	0
Geographic Dependence and Diversification in House Price Returns: The Role of Leverage	0
An Application of Damped Diffusion for Modeling Volatility Dynamics	0
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	0
Comment on: Identification Robust Testing of Risk Premia in Finite Samples	0
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	0
Volatility Forecasting with Machine Learning and Intraday Commonality	0
Time-Transformed Test for Bubbles under Non-stationary Volatility	0
FX Comovements and Their Economic Determinants	0
Periodicity in Cryptocurrency Volatility and Liquidity	0
Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors	0
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	0