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 2022-06-01 to 2026-06-01.)
ArticleCitations
Endogenous Volatility in the Foreign Exchange Market94
Disagreement in Market Index Options87
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads33
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices22
When Safe-Haven Asset Is Less than a Safe-Haven Play22
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach19
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity19
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time14
Estimation of an Order Book Dependent Hawkes Process for Large Datasets12
Semi-Strong Factors in Asset Returns12
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