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 2021-05-01 to 2025-05-01.)
ArticleCitations
Endogenous Volatility in the Foreign Exchange Market50
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads48
Disagreement in Market Index Options25
Increasing the information content of realized volatility forecasts21
When Safe-Haven Asset Is Less than a Safe-Haven Play18
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices16
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary12
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion11
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity11
Multivariate Fractional Components Analysis10
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