Journal of Financial Econometrics

Papers
(The H4-Index of Journal of Financial Econometrics is 10. 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 2020-03-01 to 2024-03-01.)
ArticleCitations
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation34
Deep Learning for Mortgage Risk*29
Regression-Based Expected Shortfall Backtesting26
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility22
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal16
A Machine Learning Approach to Volatility Forecasting16
A Descriptive Study of High-Frequency Trade and Quote Option Data*14
Improving Value-at-Risk Prediction Under Model Uncertainty11
Covariance Matrix Estimation under Total Positivity for Portfolio Selection10
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure10
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