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 2022-08-01 to 2026-08-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	37
Disagreement in Market Index Options	23
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	21
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time	21
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	17
Shadow Rate Models and Monetary Policy	12
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	9
Semi-Strong Factors in Asset Returns	7
Volatility Forecasting with Machine Learning and Intraday Commonality	6
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	6
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	5
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	5
A Consistent and Robust Test for Autocorrelated Jump Occurrences	5
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	5
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
A New Test for Multiple Predictive Regression	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Coherent Estimation of Risk Measures	4
Empirical Asset Pricing with Many Test Assets	4
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	4
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	3
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	3
Connectedness Between Climate and Commodities: A New Measure Using Mixed-Frequency VECM	3
Optimal Bandwidth Selection for Forecasting under Parameter Instability	3

Low Power of Alpha Tests When Factors Are Constructed From Sorted Portfolios	3
Large Sample Estimators of the Stochastic Discount Factor	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	2
Efficiently Weighted Estimation of Tail and Interquantile Expectations	2
(Quantile) Spillover Indexes: Simulation-Based Evidence, Confidence Intervals and a Decomposition	1
Enforcing an Admissible Parameter Space for Vector Multiplicative Error Models: The Fundamental Role of Matrix Inequality Constraints	1
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	1
An Enhanced Factor Model for Portfolio Selection in High Dimensions	1
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	1
Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks	1
Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models	1
Warnings about Future Jumps: Properties of the Exponential Hawkes Model	1
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	1
An Information-Theoretic Asset Pricing Model	1
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	1
Efficient Pricing and Model Calibration With Large Panels of Options	1
Integrating Structural and Reduced-Form Methods in Empirical Finance	1
Dynamic Nonparametric Clustering of Multivariate Panel Data	1