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 2021-02-01 to 2025-02-01.)

Article	Citations
The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures	2
Assessing systemic fragility: a probabilistic perspective	2
Forecasting the Volatility Index with a realized measure, volatility components and dynamic jumps	1
The statistics of capture ratios	1
Analyzing market sentiment based on the option-implied distribution of stock returns	1
A factor-based risk model for multifactor investment strategies	1
High-frequency movements of the term structure of US interest rates: the role of oil market uncertainty	1
Kernel-based estimation of spectral risk measures	1
Realized quantity extended conditional autoregressive value-at-risk models	0
Regularization effect on model calibration	0
The effects of climate transition risk on an investment portfolio	0
Severe but plausible – or not?	0
Modeling maxima with a regime-switching Fréchet model	0
The impacts of financial and macroeconomic factors on financial stability in emerging countries: evidence from Turkey’s nonperforming loans	0
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing	0
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model	0
Forecasting the realized volatility of stock markets with financial stress	0
Forecasting the European Monetary Union equity risk premium with regression trees	0
Optimal time-consistent reinsurance and investment strategies for multiple dependent types of insurance business and a unified investment framework	0
Earnings moves and pre-earnings implied volatility	0
Mean–variance insurance design under heterogeneous beliefs	0
A theory for combinations of risk measures	0
Allocating and forecasting changes in risk	0
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment	0
Unveiling multiscale dynamics: exploring financial risk spillover and influencing factors among Chinese financial institutions	0

On capital allocation under information constraints	0
Nonparametric estimation of systemic risk via conditional value-at-risk	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
Converting a covariance matrix from local currencies to a common currency	0
Shrinking beta	0
Tracking toxicity in fast and complex markets	0
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation	0
A dynamic program under Lévy processes for valuing corporate securities	0
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data	0
Future portfolio returns and the VIX term structure	0
We will shock you: a coherent Bayesian approach for stress testing	0
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall	0
Multi-factor default correlation model estimation: enhancement with bootstrapping	0
Extremes of extremes: risk assessment for very small samples with an exemplary application for cryptocurrency returns	0
The impact of economic sentiment on financial portfolios during the recent turmoil	0
Optimal trade execution with unknown drift	0
Peak-to-valley drawdowns: insights into extreme path-dependent market risk	0
Detecting prudence and temperance in risk exposure: the hybrid variance framework	0
An approach to capital allocation based on mean conditional value-at-risk	0
The relationship between crude oil futures and exchange rates in the context of the Covid-19 shock: a tale of two markets	0
Counterparty risk allocation	0
Bonus caps and bankers’ risk-taking	0
Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming	0
US regional banks: challenges and opportunities	0
Estimating future value-at-risk from value samples, and applications to future initial margin	0
Expectile risk quadrangles and applications	0
Value-at-risk models: a systematic review of the literature	0
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach	0
The importance of being scrambled: supercharged quasi-Monte Carlo	0
Market efficiency and volatility within and across cryptocurrency benchmark indexes	0
Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk	0
Explainable artificial intelligence for credit scoring in banking	0
Modeling the exit cashflows of private equity fund investments	0
Application of the moving Lyapunov exponent to the S&P 500 index to predict major declines	0
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach	0
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk	0
Relaxing the assumption of conditional independence in an asymptotic single risk factor model	0
The impact of the Fundamental Review of the Trading Book: evaluation on a stylized portfolio	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
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations	0
Target-date funds: lessons learned	0
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility	0
Stuart M. Turnbull	0