OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Risk is 0. 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 2021-05-01 to 2025-05-01.)

Article	Citations
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model	6
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty	3
Assessing systemic fragility: a probabilistic perspective	2
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment	1
We will shock you: a coherent Bayesian approach for stress testing	1
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility	1
Forecasting the European Monetary Union equity risk premium with regression trees	1
Severe but plausible – or not?	1
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework	0
Estimating future value-at-risk from value samples, and applications to future initial margin	0
Approximate risk parity with return adjustment and bounds for risk diversification	0
Earnings moves and pre-earnings implied volatility	0
Stuart M. Turnbull	0
The power of neural networks in stochastic volatility modeling	0
Bonus caps and bankers’ risk-taking	0
Kernel-based estimation of spectral risk measures	0
An approach to capital allocation based on mean conditional value-at-risk	0
Future portfolio returns and the VIX term structure	0
Modeling maxima with a regime-switching Fréchet model	0
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns	0
US regional banks: challenges and opportunities	0
Optimal trade execution with unknown drift	0
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors	0
Market efficiency and volatility within and across cryptocurrency benchmark indexes	0
Expectile risk quadrangles and applications	0

Are there multiple independent risk anomalies in the cross section of stock returns?	0
Banking competition and systemic risk: evidence from China	0
A factor-based risk model for multifactor investment strategies	0
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures	0
Target-date funds: lessons learned	0
The statistics of capture ratios	0
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming	0
Regularization effect on model calibration	0
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets	0
The importance of being scrambled: supercharged quasi-Monte Carlo	0
Detecting prudence and temperance in risk exposure: the hybrid variance framework	0
Explainable artificial intelligence for credit scoring in banking	0
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps	0
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans	0
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio	0
A new approach to detecting change in credit quality	0
Insurance institutional shareholding and banking systemic risk contagion: an empirical study based on a least absolute shrinkage and selection operator–vector autoregression high-dimensional network	0
Forecasting the realized volatility of stock markets with financial stress	0
A tale of two tail risks	0
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions	0
Allocating and forecasting changes in risk	0
On capital allocation under information constraints	0
Nonparametric estimation of systemic risk via conditional value-at-risk	0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation	0
The impact of economic sentiment on financial portfolios during the recent turmoil	0
Mean–variance insurance design under heterogeneous beliefs	0
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk	0
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk	0
Shrinking beta	0
Tracking toxicity in fast and complex markets	0
The impact of divergence in communication tone on investors’ willingness to invest in eurozone small- to medium-sized enterprises	0
Counterparty risk allocation	0
Relaxing the assumption of conditional independence in an asymptotic single risk factor model	0
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall	0
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines	0
Value-at-risk models: a systematic review of the literature	0
Realized quantity extended conditional autoregressive value-at-risk models	0
The effects of climate transition risk on an investment portfolio	0
Multi-factor default correlation model estimation: enhancement with bootstrapping	0
Modeling the exit cashflows of private equity fund investments	0
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing	0
A dynamic program under Lévy processes for valuing corporate securities	0
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations	0
A theory for combinations of risk measures	0
Converting a covariance matrix from local currencies to a common currency	0
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data	0
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach	0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk	0
Analyzing market sentiment based on the option-implied distribution of stock returns	0