Journal of Financial Econometrics

Papers
(The H4-Index of Journal of Financial Econometrics is 9. 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 2021-11-01 to 2025-11-01.)
ArticleCitations
Endogenous Volatility in the Foreign Exchange Market65
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads65
Disagreement in Market Index Options23
When Safe-Haven Asset Is Less than a Safe-Haven Play22
Increasing the information content of realized volatility forecasts19
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices17
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary16
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity14
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach11
Estimation of an Order Book Dependent Hawkes Process for Large Datasets9
Volatility Forecasting with Machine Learning and Intraday Commonality9
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