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 2022-08-01 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