OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 1. 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 2020-03-01 to 2024-03-01.)

Article	Citations
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation	34
Deep Learning for Mortgage Risk*	29
Regression-Based Expected Shortfall Backtesting	26
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility	22
A Machine Learning Approach to Volatility Forecasting	16
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	16
A Descriptive Study of High-Frequency Trade and Quote Option Data*	14
Improving Value-at-Risk Prediction Under Model Uncertainty	11
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	10
Covariance Matrix Estimation under Total Positivity for Portfolio Selection	10
Risk Estimation with a Time-Varying Probability of Zero Returns	9
Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting	8
Volatility Estimation and Forecasts Based on Price Durations	8
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models	8
On the Autocorrelation of the Stock Market*	7
Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall	6
What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach	6
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	5
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	5
Forecasting Loan Default in Europe with Machine Learning	5
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	5
Forecasting VIX Using Filtered Historical Simulation	4
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*	4
Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures	4
Bayesian Selection of Asset Pricing Factors Using Individual Stocks	4

Regulatory Capital and Incentives for Risk Model Choice under Basel 3*	4
Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects	4
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage	4
Time-Transformed Test for Bubbles under Non-stationary Volatility	3
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	3
High-Dimensional Granger Causality Tests with an Application to VIX and News	3
The Role of Jumps in Realized Volatility Modeling and Forecasting	3
Intraday Market Predictability: A Machine Learning Approach	3
Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures	3
Periodicity in Cryptocurrency Volatility and Liquidity	2
Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters	2
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	2
Selective Linear Segmentation for Detecting Relevant Parameter Changes	2
Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting	2
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm	2
A New Test for Multiple Predictive Regression	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	2
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	2
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	2
Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps	2
Common Bubble Detection in Large Dimensional Financial Systems	2
Multilevel and Tail Risk Management	2
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors	2
Identification Robust Testing of Risk Premia in Finite Samples	2
Disagreement in Market Index Options	1
Volatility Prediction Using a Realized-Measure-Based Component Model	1
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models	1
Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances	1
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	1
A New Test on Asset Return Predictability with Structural Breaks	1
Testing for Endogeneity of Covid-19 Patient Assignments	1
Forecasting under Long Memory	1
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data	1
SGMM: Stochastic Approximation to Generalized Method of Moments	1
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*	1
Risk Premia and Lévy Jumps: Theory and Evidence	1
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity	1
Smooth-Transition Regression Models for Non-Stationary Extremes	1
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	1
Co-Skewness across Return Horizons	1
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	1
Integrating Structural and Reduced-Form Methods in Empirical Finance	1
Identifying Risk Factors and Their Premia: A Study on Electricity Prices	1
Hedging Long-Term Liabilities	1
Arbitrage Pricing Theory for Idiosyncratic Variance Factors	1