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 2021-08-01 to 2025-08-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	55
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	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
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
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
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
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