OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Financial Econometrics is 4. 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 2022-05-01 to 2026-05-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	90
Disagreement in Market Index Options	86
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	32
When Safe-Haven Asset Is Less than a Safe-Haven Play	22
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	20
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	19
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	19
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time	13
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	12
Semi-Strong Factors in Asset Returns	11
Volatility Forecasting with Machine Learning and Intraday Commonality	9
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	8
A Consistent and Robust Test for Autocorrelated Jump Occurrences	7
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	6
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
Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility	4
Empirical Asset Pricing with Many Test Assets	4
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	4
A New Test for Multiple Predictive Regression	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4
Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4