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 2020-11-01 to 2024-11-01.)

Article	Citations
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models	37
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility	34
A Machine Learning Approach to Volatility Forecasting	29
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	25
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	21
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	20
A Descriptive Study of High-Frequency Trade and Quote Option Data*	15
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*	13
Forecasting Loan Default in Europe with Machine Learning	11
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	11
Volatility Estimation and Forecasts Based on Price Durations	11
Periodicity in Cryptocurrency Volatility and Liquidity	9
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	9
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage	8
Volatility Forecasting with Machine Learning and Intraday Commonality	8
On the Autocorrelation of the Stock Market*	7
Intraday Market Predictability: A Machine Learning Approach	7
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	6
Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects	5
High-Dimensional Granger Causality Tests with an Application to VIX and News	5
Forecasting VIX Using Filtered Historical Simulation	5
Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures	5
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	4
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	4
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	4

Regulatory Capital and Incentives for Risk Model Choice under Basel 3*	4
Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix	4
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	4
Bayesian Selection of Asset Pricing Factors Using Individual Stocks	4
Multilevel and Tail Risk Management	3
The Role of Jumps in Realized Volatility Modeling and Forecasting	3
Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps	3
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	3
Identification Robust Testing of Risk Premia in Finite Samples	3
Integrating Structural and Reduced-Form Methods in Empirical Finance	3
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	3
Time Variation in Cash Flows and Discount Rates	3
Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model	3
Maximum-Likelihood Estimation Using the Zig-Zag Algorithm	2
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity	2
Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting	2
Selective Linear Segmentation for Detecting Relevant Parameter Changes	2
Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures	2
Common Bubble Detection in Large Dimensional Financial Systems	2
Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances	2
Increasing the information content of realized volatility forecasts	2
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors	2
Co-Skewness across Return Horizons	2
Time-Transformed Test for Bubbles under Non-stationary Volatility	2
Identifying Risk Factors and Their Premia: A Study on Electricity Prices	2
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	2
Arbitrage Pricing Theory for Idiosyncratic Variance Factors	2
Forecasting under Long Memory	2
Eigenvalue Tests for the Number of Latent Factors in Short Panels	1
The Determinants of Volatility Timing Performance	1
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	1
A Consistent and Robust Test for Autocorrelated Jump Occurrences	1
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	1
SGMM: Stochastic Approximation to Generalized Method of Moments	1
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	1
A New Test on Asset Return Predictability with Structural Breaks	1
Risk Premia and Lévy Jumps: Theory and Evidence	1
Testing for Endogeneity of Covid-19 Patient Assignments	1
Disagreement in Market Index Options	1
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data	1
A Joint Model for the Term Structure of Interest Rates and Realized Volatility	1
Semi-Strong Factors in Asset Returns	1
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	1
A New Test for Multiple Predictive Regression	1
Smooth-Transition Regression Models for Non-Stationary Extremes	1
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	1
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	1
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	1
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models	1