OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 2. 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.)

Article	Citations
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	72
Endogenous Volatility in the Foreign Exchange Market	72
Disagreement in Market Index Options	27
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	17
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	15
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	12
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	10
Semi-Strong Factors in Asset Returns	9
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	8
Volatility Forecasting with Machine Learning and Intraday Commonality	8
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	7
The Role of Jumps in Realized Volatility Modeling and Forecasting	7
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	5
A Consistent and Robust Test for Autocorrelated Jump Occurrences	5
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	5
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	5
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	4
Time-Transformed Test for Bubbles under Non-stationary Volatility	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Common Bubble Detection in Large Dimensional Financial Systems	4
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	4

A New Test for Multiple Predictive Regression	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Empirical Asset Pricing with Many Test Assets	4
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	4
Large Sample Estimators of the Stochastic Discount Factor	3
(Quantile) Spillover Indexes: Simulation-Based Evidence, Confidence Intervals and a Decomposition	3
Integrating Structural and Reduced-Form Methods in Empirical Finance	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	3
Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks	3
An Information-Theoretic Asset Pricing Model	3
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	3
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	3
The Determinants of Volatility Timing Performance	3
Periodicity in Cryptocurrency Volatility and Liquidity	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	2
Dynamic Nonparametric Clustering of Multivariate Panel Data	2
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	2
An Enhanced Factor Model for Portfolio Selection in High Dimensions	2
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	2
Beyond Co-integration: New Tools for Inference on Co-movements	2
Efficient Pricing and Model Calibration With Large Panels of Options	2
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	2