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 2022-06-01 to 2026-06-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	94
Disagreement in Market Index Options	87
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	33
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	22
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	19
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	19
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time	14
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	12
Semi-Strong Factors in Asset Returns	12
Volatility Forecasting with Machine Learning and Intraday Commonality	9
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	9
A Consistent and Robust Test for Autocorrelated Jump Occurrences	7
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	6
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	4
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	4
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	4
Empirical Asset Pricing with Many Test Assets	4
A New Test for Multiple Predictive Regression	4