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 2021-08-01 to 2025-08-01.)
ArticleCitations
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads55
Endogenous Volatility in the Foreign Exchange Market55
Disagreement in Market Index Options44
Increasing the information content of realized volatility forecasts21
When Safe-Haven Asset Is Less than a Safe-Haven Play20
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary18
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices15
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity14
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion11
Estimation of an Order Book Dependent Hawkes Process for Large Datasets11
Multivariate Fractional Components Analysis10
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