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 2021-05-01 to 2025-05-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	50
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	48
Disagreement in Market Index Options	25
Increasing the information content of realized volatility forecasts	21
When Safe-Haven Asset Is Less than a Safe-Haven Play	18
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	16
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	12
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	11
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	11
Multivariate Fractional Components Analysis	10
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	8
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	8
Semi-Strong Factors in Asset Returns	7
Volatility Forecasting with Machine Learning and Intraday Commonality	6
Forecasting Loan Default in Europe with Machine Learning	6
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	6
The Role of Jumps in Realized Volatility Modeling and Forecasting	6
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	5
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	5
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	4
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	4
A Consistent and Robust Test for Autocorrelated Jump Occurrences	4
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	4
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	4

Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	3
Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds	3
A New Test for Multiple Predictive Regression	3
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	3
Empirical Asset Pricing with Many Test Assets	3
The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach	3
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	3
Common Bubble Detection in Large Dimensional Financial Systems	3
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	3
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement	2
Intraday Trades Profile Estimation: An Intensity Approach	2
Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective	2
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples	2
The Determinants of Volatility Timing Performance	2
Time-Transformed Test for Bubbles under Non-stationary Volatility	2
Large Sample Estimators of the Stochastic Discount Factor	2
Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options	2
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	2
A New Tail-Based Correlation Measure and Its Application in Global Equity Markets	2
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	2
Intraday Market Predictability: A Machine Learning Approach	2
Dynamic Nonparametric Clustering of Multivariate Panel Data	1
An Enhanced Factor Model for Portfolio Selection in High Dimensions	1
Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility	1
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence	1
Integrating Structural and Reduced-Form Methods in Empirical Finance	1
Periodicity in Cryptocurrency Volatility and Liquidity	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
An Information-Theoretic Asset Pricing Model	1
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach	1
Optimal Portfolio Using Factor Graphical Lasso	1