Citation analysis for Journal of Financial Econometrics / Oxford University Press

Citation Profile [Updated: 2025-11-20 18:08:17]

5 Years H Index

Impact Factor (IF)

0.75

5 Years IF

1.4

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
2003	0	0.43	0.47	0	19	19	436	5	20	0		0			0	5	0.26	0.21
2004	0.79	0.47	1.12	0.79	24	43	2113	38	68	19	15	19	15		0	23	0.96	0.21
2005	1.33	0.5	1.46	1.33	27	70	1156	83	170	43	57	43	57	1	1.2	14	0.52	0.23
2006	1.69	0.49	2.09	1.63	24	94	2830	192	366	51	86	70	114	1	0.5	32	1.33	0.22
2007	1.98	0.44	2.13	1.65	10	104	363	219	587	51	101	94	155		0	6	0.6	0.2
2008	2.76	0.47	2.77	2.1	21	125	595	346	933	34	94	104	218	1	0.3	4	0.19	0.22
2009	1.58	0.46	2.81	2.44	24	149	1785	417	1351	31	49	106	259	1	0.2	23	0.96	0.23
2010	1.44	0.46	2.35	2.17	33	182	430	420	1778	45	65	106	230		0	11	0.33	0.2
2011	1.54	0.51	2.72	2.05	23	205	489	553	2336	57	88	112	230		0	20	0.87	0.24
2012	1.23	0.5	2.51	1.64	22	227	305	565	2905	56	69	111	182	5	0.9	10	0.45	0.21
2013	1.58	0.54	2.93	1.74	23	250	456	730	3638	45	71	123	214	4	0.5	21	0.91	0.24
2014	1.64	0.53	3.04	2.03	26	276	341	835	4478	45	74	125	254	3	0.4	10	0.38	0.22
2015	1.39	0.53	2.65	1.28	33	309	584	818	5297	49	68	127	162		0	31	0.94	0.22
2016	1.46	0.5	2.67	1.6	33	342	541	913	6210	59	86	127	203	2	0.2	17	0.52	0.2
2017	1.55	0.52	2.26	1.47	29	371	97	838	7048	66	102	137	202	6	0.7		0	0.21
2018	1.32	0.53	2.16	1.35	24	395	709	851	7901	62	82	144	194	9	1.1	8	0.33	0.22
2019	0.36	0.54	2.18	1.15	17	412	91	898	8799	53	19	145	167	2	0.2	5	0.29	0.21
2020	0.98	0.64	2.23	1.37	22	434	407	969	9768	41	40	136	186	2	0.2	8	0.36	0.3
2021	1.59	0.74	2.11	1.58	36	470	151	990	10758	39	62	125	197	5	0.5	9	0.25	0.27
2022	1.79	0.74	1.93	1.45	32	502	99	968	11726	58	104	128	186	1	0.1	13	0.41	0.22
2023	0.99	0.7	1.87	2.49	55	557	72	1042	12768	68	67	131	326	15	1.4	3	0.05	0.2
2024	0.75	0.82	1.81	1.4	54	611	45	1105	13873	87	65	162	227	5	0.5	18	0.33	0.24

IF:	Two years Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for all series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Five years Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	Year	Title	Cited
1	2009	A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers \|\| Download paper	1381
2	2006	Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers \|\| Download paper	982
3	2004	Power and Bipower Variation with Stochastic Volatility and Jumps. (2004). . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:1-37. Full description at Econpapers \|\| Download paper	790
4	2006	Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers \|\| Download paper	711
5	2018	Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers \|\| Download paper	583
6	2005	The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers \|\| Download paper	488
7	2004	On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers \|\| Download paper	303
8	2006	Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; PAOLELLA, MARC S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers \|\| Download paper	291
9	2004	A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers \|\| Download paper	259
10	2006	Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers \|\| Download paper	255
11	2007	Why Do Absolute Returns Predict Volatility So Well?. (2007). Forsberg, Lars ; Ghysels, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers \|\| Download paper	192
12	2005	A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers \|\| Download paper	189
13	2008	Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers \|\| Download paper	177
14	2004	Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers \|\| Download paper	173
15	2009	Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, AndrÃ©as ; Chollete, Loran. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers \|\| Download paper	153
16	2004	How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers \|\| Download paper	153
17	2015	Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers \|\| Download paper	141
18	2014	The Price Impact of Order Book Events. (2014). Stoikov, Sasha ; Cont, Rama ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers \|\| Download paper	139
19	2006	The Generalized Hyperbolic Skew Students t-Distribution. (2006). Aas, Kjersti ; Haff, Ingrid Hobaek. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers \|\| Download paper	132
20	2020	Causal Change Detection in Possibly Integrated Systems: Revisiting the MoneyâIncome Relationship. (2020). Hurn, Stan ; Shi, Shuping. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:1:p:158-180.*. Full description at Econpapers \|\| Download paper	123
21	2006	Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers \|\| Download paper	118
22	2016	Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004â2014. (2016). Yilmaz, Kamil ; Diebold, Francis. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers \|\| Download paper	118
23	2010	Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers \|\| Download paper	109
24	2004	Mixed Normal Conditional Heteroskedasticity. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:211-250. Full description at Econpapers \|\| Download paper	107
25	2004	Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers \|\| Download paper	101
26	2003	Dynamics of Trade-by-Trade Price Movements: Decomposition and Models. (2003). Shephard, Neil ; Rydberg, Tina Hviid. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:1:y:2003:i:1:p:2-25. Full description at Econpapers \|\| Download paper	94
27	2004	Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach. (2004). de Goeij, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:531-564. Full description at Econpapers \|\| Download paper	88
28	2013	Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers \|\| Download paper	86
29	2006	Long Memory and the Relation Between Implied and Realized Volatility. (2006). Perron, Benoit ; Bandi, Federico M.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:636-670. Full description at Econpapers \|\| Download paper	85
30	2008	Time-Varying Arrival Rates of Informed and Uninformed Trades. (2008). Wu, Liuren ; Engle, Robert ; Easley, David ; O'Hara, Maureen. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207. Full description at Econpapers \|\| Download paper	82
31	2015	Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers \|\| Download paper	81
32	2009	Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model. (2009). TerÃ¤svirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:373-411. Full description at Econpapers \|\| Download paper	81
33	2006	Inequality Constraints in the Fractionally Integrated GARCH Model. (2006). Conrad, Christian ; Haag, Berthold R.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:413-449. Full description at Econpapers \|\| Download paper	77
34	2005	Autoregressive Conditional Kurtosis. (2005). Brooks, Chris. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:3:p:399-421. Full description at Econpapers \|\| Download paper	76
35	2020	Understanding Cryptocurrencies. (2020). Reule, Raphael ; HÃ¤rdle, Wolfgang ; Hrdle, Wolfgang Karl ; Harvey, Campbell R. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208.. Full description at Econpapers \|\| Download paper	75
36	2007	Integrated Covariance Estimation using High-frequency Data in the Presence of Noise. (2007). Voev, Valeri ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:68-104. Full description at Econpapers \|\| Download paper	75
37	2004	Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492. Full description at Econpapers \|\| Download paper	75
38	2005	Reexamining the Profitability of Technical Analysis with Data Snooping Checks. (2005). Kuan, Chung-Ming ; HSU, Po-Hsuan. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:606-628. Full description at Econpapers \|\| Download paper	74
39	2008	Are There Structural Breaks in Realized Volatility?. (2008). Maheu, John ; Liu, Chun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:326-360. Full description at Econpapers \|\| Download paper	71
40	2010	Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions. (2010). Czado, Claudia ; Min, Aleksey. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:511-546. Full description at Econpapers \|\| Download paper	69
41	2008	Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers \|\| Download paper	64
42	2012	Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512. Full description at Econpapers \|\| Download paper	62
43	2016	Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.. Full description at Econpapers \|\| Download paper	62
44	2015	Bayesian Mixed Frequency VARs. (2015). Seoane, HernÃ¡n ; Kim, Tae Bong ; Foerster, Andrew ; Chiu, Ching-Wai (Jeremy) ; Eraker, Bjorn. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:698-721.. Full description at Econpapers \|\| Download paper	61
45	2008	Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107. Full description at Econpapers \|\| Download paper	58
46	2016	Term Structure Persistence. (2016). Moreno, Antonio ; Lovcha, Yuliya ; Gil-Alana, Luis ; Abbritti, Mirko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:2:p:331-352.. Full description at Econpapers \|\| Download paper	57
47	2010	Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation. (2010). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449. Full description at Econpapers \|\| Download paper	57
48	2011	Backtesting Value-at-Risk: A GMM Duration-Based Test. (2011). Tokpavi, Sessi ; Hurlin, Christophe ; Candelon, Bertrand. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:314-343. Full description at Econpapers \|\| Download paper	57
49	2016	On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802.. Full description at Econpapers \|\| Download paper	57
50	2005	Nonparametric Inference of Value-at-Risk for Dependent Financial Returns. (2005). Chen, Song. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:2:p:227-255. Full description at Econpapers \|\| Download paper	56

50 most relevant documents in this series (papers most cited in the last two years)

#	Year	Title	Cited
1	2018	Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. (2018). Krehlik, Tomas ; BarunÃk, Jozef ; Kehlik, Toma. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.. Full description at Econpapers \|\| Download paper	480
2	2009	A Simple Approximate Long-Memory Model of Realized Volatility. (2009). Corsi, Fulvio. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:2:p:174-196. Full description at Econpapers \|\| Download paper	319
3	2006	Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns. (2006). Sheppard, Kevin ; Engle, Robert ; Cappiello, Lorenzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:4:p:537-572. Full description at Econpapers \|\| Download paper	110
4	2006	Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. (2006). Shephard, Neil. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:1-30. Full description at Econpapers \|\| Download paper	96
5	2020	Causal Change Detection in Possibly Integrated Systems: Revisiting the MoneyâIncome Relationship. (2020). Hurn, Stan ; Shi, Shuping. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:1:p:158-180.*. Full description at Econpapers \|\| Download paper	89
6	2014	The Price Impact of Order Book Events. (2014). Stoikov, Sasha ; Cont, Rama ; Kukanov, Arseniy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:47-88.. Full description at Econpapers \|\| Download paper	52
7	2005	The Relative Contribution of Jumps to Total Price Variance. (2005). Tauchen, George ; Huang, Xin. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:456-499. Full description at Econpapers \|\| Download paper	46
8	2020	Realized Volatility Forecasting with Neural Networks. (2020). Bucci, Andrea. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:3:p:502-531.. Full description at Econpapers \|\| Download paper	43
9	2006	Leverage and Volatility Feedback Effects in High-Frequency Data. (2006). Tauchen, George ; Bollerslev, Tim ; Litvinova, Julia . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:3:p:353-384. Full description at Econpapers \|\| Download paper	38
10	2008	Estimating Value at Risk and Expected Shortfall Using Expectiles. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:2:p:231-252. Full description at Econpapers \|\| Download paper	36
11	2004	A New Approach to Markov-Switching GARCH Models. (2004). Haas, Markus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:493-530. Full description at Econpapers \|\| Download paper	32
12	2021	Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly. (2021). Ledoit, Olivier ; Wolf, Michael ; de Nard, Gianluca. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:236-257.. Full description at Econpapers \|\| Download paper	31
13	2020	Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. (2020). Hafner, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:233-249.. Full description at Econpapers \|\| Download paper	30
14	2007	Why Do Absolute Returns Predict Volatility So Well?. (2007). Forsberg, Lars ; Ghysels, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:5:y:2007:i:1:p:31-67. Full description at Econpapers \|\| Download paper	30
15	2020	Understanding Cryptocurrencies. (2020). Reule, Raphael ; HÃ¤rdle, Wolfgang ; Hrdle, Wolfgang Karl ; Harvey, Campbell R. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:181-208.. Full description at Econpapers \|\| Download paper	28
16	2004	On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation. (2004). Patton, Andrew. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:130-168. Full description at Econpapers \|\| Download paper	27
17	2015	Testing for Predictability in Conditionally Heteroskedastic Stock Returns. (2015). Westerlund, Joakim ; Narayan, Paresh. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:342-375.. Full description at Econpapers \|\| Download paper	26
18	2006	Value-at-Risk Prediction: A Comparison of Alternative Strategies. (2006). Mittnik, Stefan ; Kuester, Keith ; PAOLELLA, MARC S.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:1:p:53-89. Full description at Econpapers \|\| Download paper	23
19	2016	Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004â2014. (2016). Yilmaz, Kamil ; Diebold, Francis. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:1:p:81-127.. Full description at Econpapers \|\| Download paper	22
20	2022	Decoupling the Short- and Long-Term Behavior of Stochastic Volatility. (2022). Pakkanen, Mikko S ; Bennedsen, Mikkel ; Lunde, Asger. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:5:p:961-1006.. Full description at Econpapers \|\| Download paper	22
21	2020	High-Frequency Jump Analysis of the Bitcoin Market. (2020). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:209-232.*. Full description at Econpapers \|\| Download paper	21
22	2020	Pricing Cryptocurrency Options. (2020). Wang, Weining ; HÃ¤rdle, Wolfgang ; Hrdle, Wolfgang Karl ; Hou, Ai Jun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:250-279.*. Full description at Econpapers \|\| Download paper	20
23	2005	A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data. (2005). Lunde, Asger ; Hansen, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:3:y:2005:i:4:p:525-554. Full description at Econpapers \|\| Download paper	19
24	2023	A Machine Learning Approach to Volatility Forecasting. (2023). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1680-1727.*. Full description at Econpapers \|\| Download paper	19
25	2022	The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation. (2022). Ledoit, Olivier ; Wolf, Michael. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:1:p:187-218.. Full description at Econpapers \|\| Download paper	18
26	2013	GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium. (2013). Hao, Jinji. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:556-580. Full description at Econpapers \|\| Download paper	17
27	2004	Backtesting Value-at-Risk: A Duration-Based Approach. (2004). Pelletier, Denis. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:84-108. Full description at Econpapers \|\| Download paper	16
28	2010	Comparison of Volatility Measures: a Risk Management Perspective. (2010). Gallo, Giampiero ; Brownlees, Christian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:8:y:2010:i:1:p:29-56. Full description at Econpapers \|\| Download paper	16
29	2016	Dynamic Conditional Beta. (2016). Engle, Robert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:643-667.. Full description at Econpapers \|\| Download paper	16
30	2006	Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. (2006). Wohar, Mark ; Rapach, David E.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:238-274. Full description at Econpapers \|\| Download paper	15
31	2015	Estimating Shadow-Rate Term Structure Models with Near-Zero Yields. (2015). Rudebusch, Glenn ; Jens H. E. Christensen, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:2:p:226-259.. Full description at Econpapers \|\| Download paper	15
32	2006	The Generalized Hyperbolic Skew Students t-Distribution. (2006). Aas, Kjersti ; Haff, Ingrid Hobaek. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:4:y:2006:i:2:p:275-309. Full description at Econpapers \|\| Download paper	15
33	2004	Persistence and Kurtosis in GARCH and Stochastic Volatility Models. (2004). Carnero, M. Angeles. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:2:p:319-342. Full description at Econpapers \|\| Download paper	14
34	2022	Regression-Based Expected Shortfall Backtesting. (2022). Dimitriadis, Timo ; Bayer, Sebastian. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:3:p:437-471.*. Full description at Econpapers \|\| Download paper	13
35	2008	Nonparametric Estimation of Expected Shortfall. (2008). Chen, Song. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:1:p:87-107. Full description at Econpapers \|\| Download paper	13
36	2019	Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2019). Koopman, Siem Jan ; Hansen, Peter ; Janus, P ; Gorgi, P. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:17:y:2019:i:1:p:1-32.. Full description at Econpapers \|\| Download paper	13
37	2009	Modeling International Financial Returns with a Multivariate Regime-switching Copula. (2009). Valdesogo Robles, Alfonso ; Heinen, AndrÃ©as ; Chollete, Loran. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:7:y:2009:i:4:p:437-480. Full description at Econpapers \|\| Download paper	13
38	2008	Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall. (2008). Taylor, James W.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:6:y:2008:i:3:p:382-406. Full description at Econpapers \|\| Download paper	12
39	2004	How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes. (2004). Calvet, Laurent. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:1:p:49-83. Full description at Econpapers \|\| Download paper	12
40	2015	Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regressionâ . (2015). Phillips, Peter ; Peter C. B. Phillips, . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:3:p:521-555.. Full description at Econpapers \|\| Download paper	12
41	2012	Asymmetry and Long Memory in Volatility Modeling. (2012). Medeiros, Marcelo ; Asai, Manabu. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:10:y:2012:i:3:p:495-512. Full description at Econpapers \|\| Download paper	12
42	2018	Downside Variance Risk Premium. (2018). Jahan-Parvar, Mohammad ; Feunou, Bruno ; Okou, Cedric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:341-383.. Full description at Econpapers \|\| Download paper	12
43	2016	On the Observed-Data Deviance Information Criterion for Volatility Modeling. (2016). Grant, Angelia ; Chan, Joshua. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:14:y:2016:i:4:p:772-802.. Full description at Econpapers \|\| Download paper	12
44	2013	Broker-Dealer Risk Appetite and Commodity Returns. (2013). Etula, Erkko. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:11:y:2013:i:3:p:486-521. Full description at Econpapers \|\| Download paper	11
45	2004	Pessimistic Portfolio Allocation and Choquet Expected Utility. (2004). Bassett, Gilbert. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:2:y:2004:i:4:p:477-492. Full description at Econpapers \|\| Download paper	11
46	2021	Robo-Advising: Learning Investorsâ Risk Preferences via Portfolio Choices. (2021). Lacedelli, Octavio Ruiz ; Stern, Matt ; Alsabah, Humoud ; Capponi, Agostino. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:2:p:369-392.*. Full description at Econpapers \|\| Download paper	11
47	2021	Price Discovery in High Resolution. (2021). Hasbrouck, Joel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:395-430.*. Full description at Econpapers \|\| Download paper	10
48	2020	Investing with Cryptocurrenciesâa Liquidity Constrained Investment Approach. (2020). Trimborn, Simon ; HÃ¤rdle, Wolfgang ; Hrdle, Wolfgang Karl ; Li, Mingyang. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:280-306.*. Full description at Econpapers \|\| Download paper	10
49	2024	Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure. (2024). Wang, Qian ; Leippold, Markus ; Kolbel, Julian F ; Rillaerts, Jordy. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:1:p:30-69.*. Full description at Econpapers \|\| Download paper	10
50	2021	Rejoinder on: Price Discovery in High Resolution. (2021). Hasbrouck, Joel. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:3:p:465-471.*. Full description at Econpapers \|\| Download paper	10

Citing documents used to compute impact factor: 65

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2024	Markowitz portfolios under transaction costs. (2024). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420. Full description at Econpapers \|\| Download paper
2024	Factor mimicking portfolios for climate risk. (2024). Engle, Robert ; De Nard, Gianluca ; Kelly, Bryan. In: ECON - Working Papers. RePEc:zur:econwp:429. Full description at Econpapers \|\| Download paper
2024	Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602. Full description at Econpapers \|\| Download paper
2024	Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685. Full description at Econpapers \|\| Download paper
2024	Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415. Full description at Econpapers \|\| Download paper
2024	The ESG-efficient frontier under ESG rating uncertainty. (2024). Chibane, Messaoud ; Joubrel, Mathieu. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009115. Full description at Econpapers \|\| Download paper
2024	Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040. Full description at Econpapers \|\| Download paper
2024	GARCH-M model with an asymmetric risk premium: Distinguishing between âgoodâ and âbadâ volatility periods. (2024). Trifonov, Juri ; Potanin, Bogdan. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x. Full description at Econpapers \|\| Download paper
2024	Properties of risk aversion estimated from portfolio weights. (2024). Satchell, Steve ; Kwon, Oh Kang ; Grant, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00375-y. Full description at Econpapers \|\| Download paper
2024	Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussÃ£o. RePEc:fgv:eesptd:567. Full description at Econpapers \|\| Download paper
2024	Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134. Full description at Econpapers \|\| Download paper
2024	Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers \|\| Download paper
2024	Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378. Full description at Econpapers \|\| Download paper
2024	Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301. Full description at Econpapers \|\| Download paper
2024	An evaluation of the adequacy of LÃ©vy and extreme value tail risk estimates. (2024). Hassan, M. Kabir ; Mozumder, Sharif. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00614-6. Full description at Econpapers \|\| Download paper
2024	Basel IV and the structural relationship between SA and IMA. (2024). Rossignolo, Adrin F. In: Remef - Revista Mexicana de EconomÃa y Finanzas Nueva Ãpoca REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:19:y:2024:i:2:a:1. Full description at Econpapers \|\| Download paper
2024	Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: Papers. RePEc:arx:papers:2402.05030. Full description at Econpapers \|\| Download paper
2024	Inference for Two-Stage Extremum Estimators. (2024). Houndetoungan, Aristide ; Maoude, Abdoul Haki. In: THEMA Working Papers. RePEc:ema:worpap:2024-01. Full description at Econpapers \|\| Download paper
2024	Econometric Aspects of Convergence: A Survey. (2024). Smith, Ronald. In: Open Economies Review. RePEc:kap:openec:v:35:y:2024:i:4:d:10.1007_s11079-024-09753-w. Full description at Econpapers \|\| Download paper
2024	Statistical inference for rough volatility: Minimax Theory. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers \|\| Download paper
2024	Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216. Full description at Econpapers \|\| Download paper
2024	Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter. (2024). Tang, Siu Hin ; Rosenbaum, Mathieu ; Zhou, Chao. In: Papers. RePEc:arx:papers:2311.04727. Full description at Econpapers \|\| Download paper
2024	Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers \|\| Download paper
2024	Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897. Full description at Econpapers \|\| Download paper
2024	Fractal properties, information theory, and market efficiency. (2024). Brouty, Xavier ; Garcin, Matthieu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:180:y:2024:i:c:s0960077924000948. Full description at Econpapers \|\| Download paper
2024	A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659. Full description at Econpapers \|\| Download paper
2024	Forecasting volatility with machine learning and rough volatility: example from the crypto-winter. (2024). Zhou, Chao ; Rosenbaum, Mathieu ; Tang, Siu Hin. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00108-1. Full description at Econpapers \|\| Download paper
2024	Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2. Full description at Econpapers \|\| Download paper
2024	On the spectral density of fractional OrnsteinâUhlenbeck processes. (2024). Yu, Jun ; Zhang, Chen ; Shi, Shuping. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002173. Full description at Econpapers \|\| Download paper
2024	Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449. Full description at Econpapers \|\| Download paper
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2024	The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2408.07271. Full description at Econpapers \|\| Download paper
2024	EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning. (2024). Poulos, Zissis ; Wang, Zeyu ; Malekzadeh, Parvin ; Plataniotis, Konstantinos N ; Chen, Jacky. In: Papers. RePEc:arx:papers:2408.12446. Full description at Econpapers \|\| Download paper
2024	Asset pricing under model uncertainty with finite time and states. (2024). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2408.13048. Full description at Econpapers \|\| Download paper
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2024	Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers \|\| Download paper
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2024	Risk Analysis of Mortgage Loan Default for Bank Customers and AI Machine Learning. (2024). Lo, Huai-Chun ; Hung, Ming-Tsung. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:14:y:2024:i:6:f:14_6_3. Full description at Econpapers \|\| Download paper
2024	Using machine learning to investigate the determinants of loan default in P2P lending: Are there differences between before and during COVID-19?. (2024). Liu, Feng ; Luo, Jing ; Xu, QI. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003020. Full description at Econpapers \|\| Download paper
2024	Limited attention to detail in financial markets: Evidence from reduced-form and structural estimation. (2024). Sautner, Zacharias ; Ladika, Tomislav ; Cronqvist, Henrik ; Pazaj, Elisa. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x24000345. Full description at Econpapers \|\| Download paper
2024	Let the Laser Beam Connect the Dots: Forecasting and Narrating Stock Market Volatility. (2024). Gupta, Amulya ; Yuan, Jie ; Zhang, Zhu. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:36:y:2024:i:6:p:1400-1416. Full description at Econpapers \|\| Download paper
2024	Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics. (2024). Peters, Gareth W ; He, Peilun ; Kordzakhia, Nino ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:2412.05889. Full description at Econpapers \|\| Download paper
2024	Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330. Full description at Econpapers \|\| Download paper
2024	Detecting and Forecasting Financial Bubbles in The Indian Stock Market Using Machine Learning Models. (2024). Kayal, Parthajit ; Manian, Mahalakshmi. In: Working Papers. RePEc:mad:wpaper:2024-270. Full description at Econpapers \|\| Download paper
2024	When Chinese mania meets global frenzy: Commodity price bubbles. (2024). Fan, John Hua ; Todorova, Neda ; Indriawan, Ivan ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000564. Full description at Econpapers \|\| Download paper
2024	Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517. Full description at Econpapers \|\| Download paper
2024	The factor structure of exchange rates volatility: global and intermittent factors. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Vladimir C. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:1:d:10.1007_s00181-023-02542-3. Full description at Econpapers \|\| Download paper
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2024	HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041. Full description at Econpapers \|\| Download paper
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2024	Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434. Full description at Econpapers \|\| Download paper
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2024	Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454. Full description at Econpapers \|\| Download paper
2024	Composite expectile estimation in partial functional linear regression model. (2024). Song, Xinyuan ; Yu, Ping ; Du, Jiang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:203:y:2024:i:c:s0047259x24000502. Full description at Econpapers \|\| Download paper
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2024	On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118. Full description at Econpapers \|\| Download paper
2024	Social media sentiment contagion and stock price jumps and crashes. (2024). Xiong, Yan ; Yang, Jing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002725. Full description at Econpapers \|\| Download paper
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Recent citations received in 2024

Year	Citing document
2024	Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391. Full description at Econpapers \|\| Download paper
2024	Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players. (2024). Chen, Yufan ; Zhang, Ruixun ; Xu, Renyuan ; Wu, Lan. In: Papers. RePEc:arx:papers:2408.09505. Full description at Econpapers \|\| Download paper
2024	Inference in High-Dimensional Linear Projections: Multi-Horizon Granger Causality and Network Connectedness. (2024). Wang, Endong ; Dettaa, Eugene. In: Papers. RePEc:arx:papers:2410.04330. Full description at Econpapers \|\| Download paper
2024	ESG risks and corporate viability: insights from default probability term structure analysis. (2024). Ferriani, Fabrizio ; Pericoli, Marcello. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_892_24. Full description at Econpapers \|\| Download paper
2024	How to Detect Network Dependence in Latent Factor Models? A Bias-Corrected CD Test. (2024). Pesaran, Hashem M ; Xie, Yimeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11470. Full description at Econpapers \|\| Download paper
2024	Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908. Full description at Econpapers \|\| Download paper
2024	The importance of green patents for CDS pricing: The role of environmental disclosures. (2024). Rahman, Sohanur. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006133. Full description at Econpapers \|\| Download paper
2024	Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454. Full description at Econpapers \|\| Download paper
2024	Common factors in the returns on cryptocurrencies. (2024). Jung, Woosung ; Park, Haerang. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005154. Full description at Econpapers \|\| Download paper
2024	The FourierâMalliavin Volatility (FMVol) MATLABÂ® library. (2024). Sanfelici, Simona ; Toscano, Giacomo. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:226:y:2024:i:c:p:338-353. Full description at Econpapers \|\| Download paper
2024	Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099. Full description at Econpapers \|\| Download paper
2024	Heard the news? Environmental policy and clean investments. (2024). Noailly, JoÃ«lle ; Pla, Ireneu ; van den Heuvel, Matthias ; Nowzohour, Laura. In: Journal of Public Economics. RePEc:eee:pubeco:v:238:y:2024:i:c:s0047272724001269. Full description at Econpapers \|\| Download paper
2024	Intraday and daily dynamics of cryptocurrency. (2024). Jasiak, Joann ; Zhong, Cheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006506. Full description at Econpapers \|\| Download paper
2024	Tracing Bank Runs in Real Time. (2024). Kovner, Anna ; Eisenbach, Thomas ; Cipriani, Marco. In: Working Paper. RePEc:fip:fedrwp:98842. Full description at Econpapers \|\| Download paper
2024	Joint Impact of Market Volatility and Cryptocurrency Holdings on Corporate Liquidity: A Comparative Analysis of Cryptocurrency Exchanges and Other Firms. (2024). Lee, Namryoung. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:9:p:406-:d:1474638. Full description at Econpapers \|\| Download paper
2024	Are Intraday Returns Autocorrelated?. (2024). Li, Yufei ; Giraitis, Liudas ; Sucarrat, Genaro. In: Working Papers. RePEc:qmw:qmwecw:987. Full description at Econpapers \|\| Download paper
2024	Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240051. Full description at Econpapers \|\| Download paper

Recent citations received in 2023

Year	Citing document
2023	A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers \|\| Download paper
2023	Using fear, greed and machine learning for optimizing global portfolios: A Black-Litterman approach. (2023). Barua, Ronil ; Sharma, Anil K. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008875. Full description at Econpapers \|\| Download paper
2023	On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model. (2023). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:6:p:111-:d:1167116. Full description at Econpapers \|\| Download paper

Recent citations received in 2022

Year	Citing document
2022	Excess Out-of-Sample Risk and Fleeting Modes. (2022). Potters, Marc ; Tikhonov, Konstantin ; Bouchaud, Jean-Philippe ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:2205.01012. Full description at Econpapers \|\| Download paper
2022	Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123. Full description at Econpapers \|\| Download paper
2022	Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250. Full description at Econpapers \|\| Download paper
2022	Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model. (2022). Yoon, Seong-Min ; Alshater, Muneer ; Tian, Maoxi. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322004704. Full description at Econpapers \|\| Download paper
2022	Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model. (2022). Gong, Yuting ; Shi, Wenming ; Nguyen, Son ; Liu, Qian ; Yin, Jingbo. In: Energy. RePEc:eee:energy:v:254:y:2022:i:pb:s0360544222012579. Full description at Econpapers \|\| Download paper
2022	Time-variation, multiple testing, and the factor zoo. (2022). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003441. Full description at Econpapers \|\| Download paper
2022	Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio. (2022). Taylor, James W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001133. Full description at Econpapers \|\| Download paper
2022	Improved Large Covariance Matrix Estimation Based on Efficient Convex Combination and Its Application in Portfolio Optimization. (2022). Yin, Zhixiang ; Zhang, Yan ; Tao, Jiyuan ; Wang, Guoqiang. In: Mathematics. RePEc:gam:jmathe:v:10:y:2022:i:22:p:4282-:d:974140. Full description at Econpapers \|\| Download paper
2022	Nonparametric Estimation of the Expected Shortfall Regression for Quasi-Associated Functional Data. (2022). Kaid, Zoulikha ; Rachdi, Mustapha ; Ait-Hennani, Larbi ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:10:y:2022:i:23:p:4508-:d:987723. Full description at Econpapers \|\| Download paper
2022	A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Storti, Giuseppe ; Wang, Chao. In: MPRA Paper. RePEc:pra:mprapa:115266. Full description at Econpapers \|\| Download paper
2022	The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers \|\| Download paper

Recent citations received in 2021

Year	Citing document
2021	Lessons from estimating the average option-implied volatility term structure for the Spanish banking sector. (2021). Gonzalez-Perez, Maria T.. In: Working Papers. RePEc:bde:wpaper:2128. Full description at Econpapers \|\| Download paper
2021	Jump-preserving varying-coefficient models for nonlinear time series. (2021). Cizek, Pavel ; Iek, Pavel ; Koo, Chao Hui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:58-96. Full description at Econpapers \|\| Download paper
2021	Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg. (2021). Kurbatskiy, Alexey ; Fantazzini, Dean ; Pushchelenko, Julia ; Mironenkov, Alexey ; Kurbatskii, Alexey. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:4:p:48-803:d:667485. Full description at Econpapers \|\| Download paper
2021	The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179. Full description at Econpapers \|\| Download paper
2021	Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics. (2021). Zhang, Xibin ; Keith, Jonathan ; Pourkhanali, Armin. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2021-15. Full description at Econpapers \|\| Download paper
2021	FinTech Lending. (2021). Puri, Manju ; Fuster, Andreas ; Berg, Tobias. In: NBER Working Papers. RePEc:nbr:nberwo:29421. Full description at Econpapers \|\| Download paper
2021	Clustering Dynamics and Persistence for Financial Multivariate Panel Data. (2021). Schaumburg, Julia ; Lucas, Andre ; Joo, Igor Custodio. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210040. Full description at Econpapers \|\| Download paper
2021	Do economic variables forecast commodity futures volatility?. (2021). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1735-1774. Full description at Econpapers \|\| Download paper

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	95	634
2	Energy Economics / Elsevier	175	261
3	International Review of Financial Analysis / Elsevier	86	223
4	Journal of Econometrics / Elsevier	237	196
5	Finance Research Letters / Elsevier	87	195
6	The North American Journal of Economics and Finance / Elsevier	52	179
7	International Review of Economics & Finance / Elsevier	65	163
8	Resources Policy / Elsevier	87	147
9	International Journal of Forecasting / Elsevier	93	134
10	Economic Modelling / Elsevier	94	126
11	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	114