OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Financial Econometrics is 4. 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