OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 0. 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 2021-03-01 to 2025-03-01.)

Article	Citations
Time Variation in Cash Flows and Discount Rates	45
Large Sample Estimators of the Stochastic Discount Factor	38
Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures	25
Jump Clustering, Information Flows, and Stock Price Efficiency	21
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	14
Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data	13
The Role of Jumps in Realized Volatility Modeling and Forecasting	12
Identification Robust Testing of Risk Premia in Finite Samples	11
Endogenous Volatility in the Foreign Exchange Market	11
A Machine Learning Approach to Volatility Forecasting	11
Co-Skewness across Return Horizons	9
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	8
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	7
Heterogeneity in Household Inflation Expectations and Monetary Policy	6
Dynamic Global Currency Hedging	6
Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach	6
Forecasting under Long Memory	5
Discussion of Identification Robust Testing of Risk Premia in Finite Samples	5
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	4
Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics	4
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	4
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	4
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	4
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	4
A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas	3

Intraday Market Predictability: A Machine Learning Approach	3
Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights	3
A Comparative Study of Likelihood Approximations for Univariate Diffusions	3
Disagreement in Market Index Options	3
Composite Likelihood for Stochastic Migration Model with Unobserved Factor	3
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	3
SMARTboost Learning for Tabular Data	3
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	2
A Structural Break in the Aggregate Earnings–Returns Relation	2
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	2
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	2
Increasing the information content of realized volatility forecasts	2
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	2
A Consistent and Robust Test for Autocorrelated Jump Occurrences	2
Factor Overnight GARCH-Itô Models	2
Estimating Unobserved Soft Adjustment in Credit Rating Models: Before and after the Dodd–Frank Act	2
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	2
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	2
The U.S. Treasury Term Premia in a Low Interest Rate Regime	2
Arbitrage Pricing Theory for Idiosyncratic Variance Factors	2
Empirical Asset Pricing with Many Test Assets	2
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	2
When Safe-Haven Asset Is Less than a Safe-Haven Play	1
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	1
An Information-Theoretic Asset Pricing Model	1
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	1
Smooth-Transition Regression Models for Non-Stationary Extremes	1
Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity	1
The Determinants of Volatility Timing Performance	1
Introduction to the 2018 Hal White Memorial Lecture	1
Estimation with Errors in Variables via the Characteristic Function	1
High-Dimensional Granger Causality Tests with an Application to VIX and News	1
Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics	1
An Enhanced Factor Model for Portfolio Selection in High Dimensions	0
A Multicountry Model of the Term Structures of Interest Rates with a GVAR	0
Dynamic Nonparametric Clustering of Multivariate Panel Data	0
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	0
Time-Transformed Test for Bubbles under Non-stationary Volatility	0
An Application of Damped Diffusion for Modeling Volatility Dynamics	0
Forecasting Loan Default in Europe with Machine Learning	0
Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds	0
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	0
A New Test on Asset Return Predictability with Structural Breaks	0
Multivariate Fractional Components Analysis	0
Comment on: Identification Robust Testing of Risk Premia in Finite Samples	0
Geographic Dependence and Diversification in House Price Returns: The Role of Leverage	0
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	0
Comment on: Identification Robust Testing of Risk Premia in Finite Samples	0
Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes	0
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	0

Maximum-Likelihood Estimation Using the Zig-Zag Algorithm	0
Beyond Co-integration: New Tools for Inference on Co-movements	0
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	0
Regulatory Capital and Incentives for Risk Model Choice under Basel 3*	0
Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models	0
Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts	0
Finite Lag Estimation of Non-Markovian Processes	0
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	0
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	0
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	0
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	0
Option Prices and the Probability of Success of Cash Mergers	0
Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors	0
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	0
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	0
A Stochastic Price Duration Model for Estimating High-Frequency Volatility	0
A Truncated Mixture Transition Model for Interval-Valued Time Series	0
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	0
Real-Time Identification and High-Frequency Analysis of Deposits Outflows	0
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	0
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	0
Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model	0
Volatility Estimation and Forecasts Based on Price Durations	0
Common Bubble Detection in Large Dimensional Financial Systems	0
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	0
Integrating Structural and Reduced-Form Methods in Empirical Finance	0
A Joint Model for the Term Structure of Interest Rates and Realized Volatility	0
Risk Premia and Lévy Jumps: Theory and Evidence	0
Empirical Asset Pricing with Functional Factors	0
Identifying Risk Factors and Their Premia: A Study on Electricity Prices	0
Intraday Trades Profile Estimation: An Intensity Approach	0
Measures of Model Risk for Continuous-Time Finance Models	0
Powers Correlation Analysis of Returns with a Non-stationary Zero-Process	0
A New Test for Multiple Predictive Regression	0
Semi-Strong Factors in Asset Returns	0
Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances	0
Volatility Forecasting with Machine Learning and Intraday Commonality	0
Empirical Asset Pricing with Score-Driven Conditional Betas	0
FX Comovements and Their Economic Determinants	0
Periodicity in Cryptocurrency Volatility and Liquidity	0
Optimal Portfolio Using Factor Graphical Lasso	0
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	0