OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Financial Econometrics is 3. 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
The U.S. Treasury Term Premia in a Low Interest Rate Regime	3

A Consistent and Robust Test for Autocorrelated Jump Occurrences	3
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