OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Financial Econometrics is 3. 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 2020-11-01 to 2024-11-01.)

Article	Citations
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models	37
Decoupling the Short- and Long-Term Behavior of Stochastic Volatility	34
A Machine Learning Approach to Volatility Forecasting	29
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	25
Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal	21
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	20
A Descriptive Study of High-Frequency Trade and Quote Option Data*	15
News and Idiosyncratic Volatility: The Public Information Processing Hypothesis*	13
Volatility Estimation and Forecasts Based on Price Durations	11
Forecasting Loan Default in Europe with Machine Learning	11
Realized GARCH, CBOE VIX, and the Volatility Risk Premium	11
Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure	9
Periodicity in Cryptocurrency Volatility and Liquidity	9
Volatility Forecasting with Machine Learning and Intraday Commonality	8
Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage	8
On the Autocorrelation of the Stock Market*	7
Intraday Market Predictability: A Machine Learning Approach	7
CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility	6
Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures	5
Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects	5
High-Dimensional Granger Causality Tests with an Application to VIX and News	5
Forecasting VIX Using Filtered Historical Simulation	5
Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage	4
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error	4
Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression	4

Regulatory Capital and Incentives for Risk Model Choice under Basel 3*	4
Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix	4
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	4
Bayesian Selection of Asset Pricing Factors Using Individual Stocks	4
Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model	3
Multilevel and Tail Risk Management	3
The Role of Jumps in Realized Volatility Modeling and Forecasting	3
Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps	3
Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data	3
Identification Robust Testing of Risk Premia in Finite Samples	3
Integrating Structural and Reduced-Form Methods in Empirical Finance	3
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	3
Time Variation in Cash Flows and Discount Rates	3