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 2020-04-01 to 2024-04-01.)

Article	Citations
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation	35
Deep Learning for Mortgage Risk*	29
Regression-Based Expected Shortfall Backtesting	28
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility	23
A Machine Learning Approach to Volatility Forecasting	16
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	16
A Descriptive Study of High-Frequency Trade and Quote Option Data*	14
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	12
Improving Value-at-Risk Prediction Under Model Uncertainty	11
Risk Estimation with a Time-Varying Probability of Zero Returns	10
Covariance Matrix Estimation under Total Positivity for Portfolio Selection	10
Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting	8
Volatility Estimation and Forecasts Based on Price Durations	8
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models	8
On the Autocorrelation of the Stock Market*	7
What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach	7
Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall	6
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*	6
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	5
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage	5
Forecasting Loan Default in Europe with Machine Learning	5
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	5
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	5
Regulatory Capital and Incentives for Risk Model Choice under Basel 3*	4
Forecasting VIX Using Filtered Historical Simulation	4

Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures	4
Bayesian Selection of Asset Pricing Factors Using Individual Stocks	4
Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects	4
Time-Transformed Test for Bubbles under Non-stationary Volatility	3
High-Dimensional Granger Causality Tests with an Application to VIX and News	3
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures	3
Periodicity in Cryptocurrency Volatility and Liquidity	3
Intraday Market Predictability: A Machine Learning Approach	3
The Role of Jumps in Realized Volatility Modeling and Forecasting	3
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	3
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	3
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	3