OOIR: Observatory of International Research

Papers

(The median citation count of Journal of Financial Econometrics is 2. 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 2021-12-01 to 2025-12-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	71
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	71
Disagreement in Market Index Options	25
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Increasing the information content of realized volatility forecasts	16
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	14
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	12
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	10
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	9
Semi-Strong Factors in Asset Returns	8
Volatility Forecasting with Machine Learning and Intraday Commonality	8
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	7
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	7
The Role of Jumps in Realized Volatility Modeling and Forecasting	7
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	5
A Consistent and Robust Test for Autocorrelated Jump Occurrences	5
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	5
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	5
Empirical Asset Pricing with Many Test Assets	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Time-Transformed Test for Bubbles under Non-stationary Volatility	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Common Bubble Detection in Large Dimensional Financial Systems	4
A New Test for Multiple Predictive Regression	4

Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	4
Large Sample Estimators of the Stochastic Discount Factor	3
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	3
The Determinants of Volatility Timing Performance	3
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	3
Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks	3
Efficient Pricing and Model Calibration With Large Panels of Options	3
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	3
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	3
Integrating Structural and Reduced-Form Methods in Empirical Finance	3
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	2
An Enhanced Factor Model for Portfolio Selection in High Dimensions	2
Periodicity in Cryptocurrency Volatility and Liquidity	2
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	2
An Information-Theoretic Asset Pricing Model	2
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	2
Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	2
Dynamic Nonparametric Clustering of Multivariate Panel Data	2