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 2021-11-01 to 2025-11-01.)

Article	Citations
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	65
Endogenous Volatility in the Foreign Exchange Market	65
Disagreement in Market Index Options	23
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Increasing the information content of realized volatility forecasts	19
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	17
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	16
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	14
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	11
Volatility Forecasting with Machine Learning and Intraday Commonality	9
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	9
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	8
Semi-Strong Factors in Asset Returns	8
The Role of Jumps in Realized Volatility Modeling and Forecasting	7
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	7
A Consistent and Robust Test for Autocorrelated Jump Occurrences	6
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	5
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	5
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	5
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	4
Empirical Asset Pricing with Many Test Assets	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
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
A New Test for Multiple Predictive Regression	4
Common Bubble Detection in Large Dimensional Financial Systems	4