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 2020-10-01 to 2024-10-01.)

Article	Citations
Forecasting Bitcoin returns: is there a role for the US–China trade war?	8
A general framework for the identification and categorization of risks: an application to the context of financial markets	2
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines	2
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach	2
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall	1
Forecasting the realized volatility of stock markets with financial stress	1
A theory for combinations of risk measures	1
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans	1
Covariance estimation for risk-based portfolio optimization: an integrated approach	1
Explainable artificial intelligence for credit scoring in banking	1
Detecting prudence and temperance in risk exposure: the hybrid variance framework	1
An examination of the tail contribution to distortion risk measures	1
Standard errors of risk and performance estimators for serially dependent returns	1
Optimization of systemic risk: reallocation of assets based on bank networks	1
Counterparty risk allocation	0
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk	0
The impact of economic sentiment on financial portfolios during the recent turmoil	0
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns	0
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty	0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk	0
Performance measures adjusted for the risk situation (PARS)	0
A factor-based risk model for multifactor investment strategies	0
A numerical approach to the risk capital allocation problem	0
Forecasting stock market volatility: an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model	0
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions	0

The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets	0
Nonparametric estimation of systemic risk via conditional value-at-risk	0
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility	0
Estimating future value-at-risk from value samples, and applications to future initial margin	0
A new approach to detecting change in credit quality	0
Shrinking beta	0
Reinvestigating international crude oil market risk spillovers	0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation	0
Modeling maxima with a regime-switching Fréchet model	0
Kernel-based estimation of spectral risk measures	0
Future portfolio returns and the VIX term structure	0
Converting a covariance matrix from local currencies to a common currency	0
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps	0
On capital allocation under information constraints	0
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures	0
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk	0
Forecasting the European Monetary Union equity risk premium with regression trees	0
Modeling nonmaturing deposits: a framework for interest and liquidity risk management	0
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio	0
The impact of compounding on bond pricing with alternative reference rates	0
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency	0
An approach to capital allocation based on mean conditional value-at-risk	0
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment	0
Stuart M. Turnbull	0
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations	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
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming	0
Correlated idiosyncratic volatility shocks	0
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing	0
Value-at-risk models: a systematic review of the literature	0
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate	0
Body and tail: an automated tail-detecting procedure	0
Procyclicality control in risk-based margin models	0
Analyzing market sentiment based on the option-implied distribution of stock returns	0
Tracking toxicity in fast and complex markets	0
Multi-factor default correlation model estimation: enhancement with bootstrapping	0
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data	0
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework	0
Modeling the exit cashflows of private equity fund investments	0
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model	0
Mean–variance insurance design under heterogeneous beliefs	0
Ruin problems in a discrete risk model in a Markovian environment	0
The statistics of capture ratios	0
Allocating and forecasting changes in risk	0
Are there multiple independent risk anomalies in the cross section of stock returns?	0
Assessing systemic fragility: a probabilistic perspective	0
Cumulative accuracy profile curves for correlating collateralized debt obligations to systematic factors	0
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall	0
Target-date funds: lessons learned	0
Option pricing using high-frequency futures prices	0

Bayesian nonparametric covariance estimation with noisy and nonsynchronous asset prices	0
Realized quantity extended conditional autoregressive value-at-risk models	0
Regularization effect on model calibration	0
Market efficiency and volatility within and across cryptocurrency benchmark indexes	0
Severe but plausible – or not?	0
A dynamic program under Lévy processes for valuing corporate securities	0
The importance of being scrambled: supercharged quasi-Monte Carlo	0
Optimal foreign exchange hedge tenor with liquidity risk	0
US regional banks: challenges and opportunities	0
Risk measures: a generalization from the univariate to the matrix-variate	0