Journal of Financial Econometrics

Papers
(The H4-Index of Journal of Financial Econometrics is 11. 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 2020-11-01 to 2024-11-01.)
ArticleCitations
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models37
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility34
A Machine Learning Approach to Volatility Forecasting29
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components25
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal21
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure20
A Descriptive Study of High-Frequency Trade and Quote Option Data*15
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*13
Realized GARCH, CBOE VIX, and the Volatility Risk Premium11
Volatility Estimation and Forecasts Based on Price Durations11
Forecasting Loan Default in Europe with Machine Learning11
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