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 2021-09-01 to 2025-09-01.)

Article	Citations
Endogenous Volatility in the Foreign Exchange Market	60
Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads	59
Disagreement in Market Index Options	45
When Safe-Haven Asset Is Less than a Safe-Haven Play	21
Increasing the information content of realized volatility forecasts	21
Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices	19
Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary	15
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity	14
Finding Inflation Uncertainty Factors: A Sparse Stochastic Volatility Approach	12
Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion	11
Estimation of an Order Book Dependent Hawkes Process for Large Datasets	10
Multivariate Fractional Components Analysis	8
Volatility Forecasting with Machine Learning and Intraday Commonality	7
Semi-Strong Factors in Asset Returns	7
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach	6
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models	6
The Role of Jumps in Realized Volatility Modeling and Forecasting	6
How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning	6
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables	6
Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure	5
A Consistent and Robust Test for Autocorrelated Jump Occurrences	5
Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components	4
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia	4
Empirical Asset Pricing with Many Test Assets	4
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns	4

Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness	4
Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process	4