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 2022-06-01 to 2026-06-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	94
Disagreement in Market Index Options	87
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	33
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	22
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	19
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	19
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time	14
Semi-Strong Factors in Asset Returns	12
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	12
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	9
Volatility Forecasting with Machine Learning and Intraday Commonality	9
A Consistent and Robust Test for Autocorrelated Jump Occurrences	7
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	6
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	4
Empirical Asset Pricing with Many Test Assets	4
A New Test for Multiple Predictive Regression	4
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	4
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	4
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4

Large Sample Estimators of the Stochastic Discount Factor	3
Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks	3
Efficiently Weighted Estimation of Tail and Interquantile Expectations	3
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	3
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	3
Optimal Bandwidth Selection for Forecasting under Parameter Instability	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	3
Integrating Structural and Reduced-Form Methods in Empirical Finance	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
(Quantile) Spillover Indexes: Simulation-Based Evidence, Confidence Intervals and a Decomposition	2
Efficient Pricing and Model Calibration With Large Panels of Options	2
Warnings about Future Jumps: Properties of the Exponential Hawkes Model	2
Enforcing an Admissible Parameter Space for Vector Multiplicative Error Models: The Fundamental Role of Matrix Inequality Constraints	2
Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models	2
An Information-Theoretic Asset Pricing Model	2
An Enhanced Factor Model for Portfolio Selection in High Dimensions	1
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	1
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	1
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	1
Heterogeneity in Household Inflation Expectations and Monetary Policy	1
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	1
Periodicity in Cryptocurrency Volatility and Liquidity	1
Optimal Portfolio Using Factor Graphical Lasso	1
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	1
Beyond Co-integration: New Tools for Inference on Co-movements	1
Dynamic Nonparametric Clustering of Multivariate Panel Data	1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	1
A Machine Learning Approach to Volatility Forecasting	1
Composite Likelihood for Stochastic Migration Model with Unobserved Factor	1