OOIR: Observatory of International Research

Papers

(The TQCC 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
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
The impact of economic sentiment on financial portfolios during the recent turmoil	0
Performance measures adjusted for the risk situation (PARS)	0
A factor-based risk model for multifactor investment strategies	0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk	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
A new approach to detecting change in credit quality	0
Estimating future value-at-risk from value samples, and applications to future initial margin	0
Reinvestigating international crude oil market risk spillovers	0
Shrinking beta	0
Modeling maxima with a regime-switching Fréchet model	0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation	0
Future portfolio returns and the VIX term structure	0
Kernel-based estimation of spectral risk measures	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
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 treasury operations and off-balance-sheet credit business on commercial bank credit risk	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
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
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
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming	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
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing	0
Correlated idiosyncratic volatility shocks	0
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate	0
Value-at-risk models: a systematic review of the literature	0
Procyclicality control in risk-based margin models	0
Body and tail: an automated tail-detecting procedure	0
Tracking toxicity in fast and complex markets	0
Analyzing market sentiment based on the option-implied distribution of stock returns	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
Modeling the exit cashflows of private equity fund investments	0
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model	0
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework	0
Ruin problems in a discrete risk model in a Markovian environment	0
The statistics of capture ratios	0
Mean–variance insurance design under heterogeneous beliefs	0
Assessing systemic fragility: a probabilistic perspective	0
Allocating and forecasting changes in risk	0
Are there multiple independent risk anomalies in the cross section of stock returns?	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

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