Citation analysis for Journal of Financial Econometrics / Oxford University Press

Citation Profile [Updated: 2026-03-14 21:09:38]

5 Years H Index

Impact Factor (IF)

0.71

5 Years IF

1.1

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	438	5	20	0		0			0	5	0.26	0.21
2004	0.79	0.47	1.12	0.79	24	43	2119	38	68	19	15	19	15		0	23	0.96	0.21
2005	1.33	0.51	1.47	1.33	27	70	1168	84	171	43	57	43	57	1	1.2	15	0.56	0.23
2006	1.71	0.49	2.1	1.64	24	94	2846	193	368	51	87	70	115	1	0.5	32	1.33	0.22
2007	1.98	0.44	2.13	1.65	10	104	366	219	589	51	101	94	155		0	6	0.6	0.2
2008	2.76	0.47	2.78	2.11	21	125	598	347	936	34	94	104	219	1	0.3	4	0.19	0.22
2009	1.58	0.46	2.81	2.45	24	149	1808	418	1355	31	49	106	260	1	0.2	23	0.96	0.23
2010	1.44	0.46	2.35	2.18	33	182	430	421	1783	45	65	106	231		0	11	0.33	0.2
2011	1.54	0.51	2.72	2.05	23	205	489	553	2341	57	88	112	230		0	20	0.87	0.23
2012	1.23	0.5	2.51	1.64	22	227	307	565	2910	56	69	111	182	5	0.9	10	0.45	0.21
2013	1.58	0.54	2.93	1.74	23	250	459	730	3643	45	71	123	214	4	0.5	21	0.91	0.24
2014	1.64	0.53	3.04	2.03	26	276	347	835	4483	45	74	125	254	3	0.4	10	0.38	0.22
2015	1.39	0.52	2.65	1.28	33	309	597	818	5302	49	68	127	162		0	31	0.94	0.22
2016	1.46	0.5	2.67	1.6	33	342	547	913	6215	59	86	127	203	2	0.2	17	0.52	0.2
2017	1.55	0.52	2.26	1.47	29	371	98	838	7053	66	102	137	202	6	0.7		0	0.21
2018	1.32	0.53	2.16	1.35	24	395	754	851	7906	62	82	144	194	9	1.1	8	0.33	0.22
2019	0.36	0.54	2.18	1.15	17	412	95	899	8805	53	19	145	167	2	0.2	5	0.29	0.21
2020	0.98	0.64	2.23	1.37	22	434	427	969	9774	41	40	136	186	2	0.2	8	0.36	0.3
2021	1.59	0.74	2.11	1.58	36	470	166	990	10764	39	62	125	197	5	0.5	9	0.25	0.27
2022	1.79	0.73	1.93	1.45	32	502	110	968	11732	58	104	128	186	1	0.1	13	0.41	0.22
2023	1	0.69	1.87	2.5	55	557	84	1043	12775	68	68	131	327	15	1.4	3	0.05	0.2
2024	0.72	0.81	1.82	1.4	54	611	55	1109	13884	87	63	162	227	5	0.5	18	0.33	0.23
2025	0.71		1.39	1.1	32	643	6	892	14776	109	77	199	219		0	7	0.22

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	1402
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	986
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	715
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	624
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	496
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	292
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	261
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	257
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	195
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	191
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	178
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	175
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	154
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	142
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	142
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	133
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	131
21	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	119
22	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
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	89
28	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	88
29	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
30	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	84
31	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	83
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	77
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	77
36	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
37	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	75
38	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
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	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	65
42	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
43	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
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	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
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	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
49	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
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	361
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	228
3	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	74
4	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	61
5	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	56
6	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	39
7	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	38
8	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	33
9	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	27
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	26
11	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	24
12	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	23
13	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
14	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	21
15	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	20
16	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	20
17	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	19
18	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	16
19	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
20	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	16
21	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	15
22	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	14
23	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	13
24	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	13
25	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	13
26	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	13
27	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	12
28	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
29	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	12
30	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	12
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	11
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	11
33	2014	Static Hedging of Standard Options. (2014). Wu, Liuren ; Carr, Peter. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:12:y:2014:i:1:p:3-46.. Full description at Econpapers \|\| Download paper	11
34	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	10
35	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	10
36	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	10
37	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	9
38	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	9
39	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	9
40	2015	Long Memory and Periodicity in Intraday Volatility. (2015). Rossi, Eduardo ; Fantazzini, Dean. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:13:y:2015:i:4:p:922-961.. Full description at Econpapers \|\| Download paper	8
41	2011	A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones. (2011). Robert, Christian Y.. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:9:y:2011:i:2:p:344-366. Full description at Econpapers \|\| Download paper	8
42	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	8
43	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	8
44	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	7
45	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	7
46	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	7
47	2021	Dynamic Adaptive Mixture Models with an Application to Volatility and Risk. (2021). Catania, Leopoldo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:19:y:2021:i:4:p:531-564.*. Full description at Econpapers \|\| Download paper	7
48	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	7
49	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	7
50	2023	Common Bubble Detection in Large Dimensional Financial Systems. (2023). Shi, Shuping ; Phillips, Peter ; Chencapital, YE. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:989-1063.*. Full description at Econpapers \|\| Download paper	6

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2025	Climate transition and the speed of leverage adjustment. (2025). Dallocchio, Maurizio ; Dercole, Francesco ; Frascati, Domenico ; Mariani, Massimo. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001139. Full description at Econpapers \|\| Download paper
2025	The Rise of Climate Risks: Evidence from Firms Expected Default Frequencies. (2025). Ruggiero, Francesco ; Faralli, Matilde. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_062_25. Full description at Econpapers \|\| Download paper
2025	Defining Current and Expected Financial Constraints Using AI: Reinterpreting the Cash Flow Sensitivity of Cash. (2025). GÃ¶rtz, Christoph ; Grtz, Christoph ; Cho, Rachel ; Schrder, Max ; McGowan, Danny. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12054. Full description at Econpapers \|\| Download paper
2025	Plastic reduction and firm characteristics: Evidence from (non-) financial information in Japan. (2025). Nomura, Kai ; Yamamoto, Masashi. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:27:y:2025:i:3:d:10.1007_s10018-025-00438-3. Full description at Econpapers \|\| Download paper
2025	Tracking business opportunities for climate solutions using AI in regulated accounting reports. (2025). Xu, Simon ; Awada, Marcantonio ; Serafeim, George ; Lu, Shirley. In: Nature Communications. RePEc:nat:natcom:v:16:y:2025:i:1:d:10.1038_s41467-025-64723-1. Full description at Econpapers \|\| Download paper
2025	Voluntary disclosures and climate change uncertainty: Evidence from CDS premiums. (2025). Imerman, Michael B ; Ye, Xiaoxia ; Zhao, Ran. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925000999. Full description at Econpapers \|\| Download paper
2025	Do firms benefit from carbon risk management? Evidence from the credit default swaps market. (2025). Duong, Huu Nhan ; Kalev, Petko S ; Kalimipalli, Madhu ; Trivedi, Saurabh. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001117. Full description at Econpapers \|\| Download paper
2025	Climate information disclosure quality and systemic risk in the U.S. banking industry. (2025). Hu, Zinan ; Borjigin, Sumuya. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s157230892500049x. Full description at Econpapers \|\| Download paper
2025	Using Daily Stock Returns to Estimate the Unconditional and Conditional Variances of Lower-Frequency Stock Returns. (2025). Kirby, Chris. In: Risks. RePEc:gam:jrisks:v:13:y:2025:i:10:p:190-:d:1764267. Full description at Econpapers \|\| Download paper
2025	A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599. Full description at Econpapers \|\| Download paper
2025	The endogeneity of profitability and investment. (2025). Chinloy, Peter ; Imes, Matthew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01357-2. Full description at Econpapers \|\| Download paper
2025	Diffusion Index Forecast with Tensor Data. (2025). Han, Yuefeng ; Chen, Bin ; Yu, Qiyang. In: Papers. RePEc:arx:papers:2511.02235. Full description at Econpapers \|\| Download paper
2025	Editorial A Tribute to Professor Geoffrey Alan Hawkes (19 September 1938â9 November 2023). (2025). Chen, Jing. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:30:y:2025:i:1:d:10.1007_s13253-024-00661-7. Full description at Econpapers \|\| Download paper
2025	The Stochastic Evolution of Financial Asset Prices. (2025). Santos, Alvaro ; Paraskevopoulos, Ioannis. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:2002-:d:1681291. Full description at Econpapers \|\| Download paper
2025	Volatility Spillover Effects Between Carbon Futures and Stock Markets: A DGC-t-MSV-BN Model. (2025). Wang, Jining ; Man, Tian. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:15:p:2412-:d:1710978. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2025

Year	Citing document
2025	How weak are weak factors? Uniform inference for signal strength in signal plus noise models. (2025). Sodin, Sasha ; Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2507.18554. Full description at Econpapers \|\| Download paper
2025	Survey-based daily estimates of inflation expectations and risk premia in the euro area. (2025). Zinna, Gabriele ; Lilla, Francesca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_991_25. Full description at Econpapers \|\| Download paper
2025	The Shadow Rate Model: Letâs Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014. Full description at Econpapers \|\| Download paper
2025	Households Medium- to Long-Term Inflation Expectations Formation: The Role of Past Experience and Inflation Regimes. (2025). Fujii, GO ; Nakano, Shogo ; Takatomi, Kosuke. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp25e06. Full description at Econpapers \|\| Download paper
2025	A strategic view on the economic and inflation environment in the euro area. (2025). Wauters, Joris ; Valderrama, Maria ; RÃ¶he, Oke ; PÃ¶nkÃ¤, Harri ; Paredes, Joan ; Parker, Miles ; Meunier, Baptiste ; Meyler, Aidan ; Manu, Ana-Simona ; Mazelis, Falk ; Kataryniuk, IvÃ¡n ; Gulan, Adam ; Grimaud, Alex ; De Backer, Bruno ; Checherita Westphal, Cristina ; Benatti, Nicola ; Banbura, Marta ; Venditti, Fabrizio ; Kase, Hanno ; Aguilar, Pablo ; Gareis, Johannes ; Pnk, Harri ; Roma, Moreno ; Luketina, Marko ; Cova, Pietro ; Battistini, Niccol ; Kobayashi, Alicja ; Gallegos, Jose Elias ; Reedik, Reet ; Brand, Claus ; Lawton, Neil ; Hoeberichts, Marco ; Albertazzi, Ugo ; Sigwalt, Antoine ; Lydon, Reamonn ; Dorrucci, Ettore ; Ciccarelli, Matteo ; Muggenthaler-Gerathewohl, Philip ; Goy, Gavin ; Tth, MT ; Bobeica, Elena ; Kornprobst, Antoine ; Angelini, Elena ; Hutchinson, John ; Esposito, Claudia ; Schupp, Fabian ; Martorana, Giulia ; Dedola, Luca ; Kilponen, Juha ; Manzoni, Claudio ; Georgarakos, Dimitris ; Szrfi, Bla ; Dossche, Maarten ; Lisack, Nomie ; Botelho, Vasco ; Hynck, Christian ; Attinasi, Maria Grazia ; Wieland, Elisabeth ; Zimic, Sreko ; Hernndez, Catalina Martnez ; Schmller, Michaela Elfsbacka ; Gross, Johannes ; Bates, Colm ; Burriel, Pablo ; McGregor, Thomas ; Bitter, Lea ; Karakitsios, Alexandros ; Bessonovs, Andrejs ; Speck, Christian ; Modery, Wolfgang ; Falath, Juraj ; Nickel, Christiane ; Martnez-Martin, Jaime ; Bakowska, Katarzyna ; Galati, Gabriele ; Ioannou, Demosthenes ; Beck, Jeanne ; Kazakova, Daria ; Babura, Marta ; Papetti, Andrea ; Durero, Filippo ; Montes-Galdn, Carlos ; Emter, Lorenz ; Moral-Benito, Enrique ; Hahn, Elke ; Zimmer, Hlne ; Lodge, David ; Kasimati, Evangelia ; Bonam, Dennis ; Ili, Ivan ; D'Agostino, Mario ; Christoffel, Kai ; Momferatou, Daphne ; Enders, Almira ; Ilieva, Boryana ; Westermann, Thomas ; Frhling, Annette ; Lenza, Michele ; Kenny, Geoff ; Checherita-Westphal, Cristina ; Ribeiro, Pedro ; Rigato, Rodolfo Dinis ; Osbat, Chiara ; Koester, Gerrit ; Juvonen, Petteri ; Zorko, Robert ; Fritzer, Friedrich ; Pierluigi, Beatrice ; Nuo, Galo ; Lebastard, Laura ; Borgy, Vladimir ; Reichenbachas, Tomas ; Ploj, Gasper ; Landau, Bettina ; Jorra, Markus ; Zizza, Roberta ; Sanchez, Pablo Garcia ; Ortega, Eva ; Priftis, Romanos ; Kuik, Friderike ; Corbisiero, Giuseppe ; Consolo, Agostino ; Ilkova, Ivelina ; Franceschi, Emanuele ; Page, Adrian ; Holton, Sarah ; Kocharkov, Georgi ; Akkaya, Yildiz ; Gumiel, Jos Emilio ; Warmedinger, Thomas ; Prat, Blanca ; Chahad, Mohammed ; Lopez-Garcia, Paloma ; Debono, Nathaniel ; Carvalho, Alexandre ; Krief, Elias ; Foroni, Claudia ; Sagot, Juliette. In: Occasional Paper Series. RePEc:ecb:ecbops:2025371. Full description at Econpapers \|\| Download paper
2025	Does risk aversion predict the future real economy?. (2025). Ryu, Doojin ; Cho, Hoon ; Kim, Jinhwan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001275. Full description at Econpapers \|\| Download paper
2025	A Network Approach to Volatility Diffusion and Forecasting in Global Financial Markets. (2025). Fagiolo, Giorgio ; Napoletano, Mauro ; Zema, Sebastiano Michele ; Orlandini, Matteo. In: GREDEG Working Papers. RePEc:gre:wpaper:2025-19. Full description at Econpapers \|\| Download paper

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

10 most frequent citing series

#	Series	H	Cites
1	Papers / arXiv.org	97	588
2	Energy Economics / Elsevier	178	232
3	International Review of Financial Analysis / Elsevier	88	227
4	Finance Research Letters / Elsevier	92	182
5	Journal of Econometrics / Elsevier	238	164
6	International Review of Economics & Finance / Elsevier	65	146
7	The North American Journal of Economics and Finance / Elsevier	53	143
8	Resources Policy / Elsevier	88	134
9	Research in International Business and Finance / Elsevier	58	110
10	International Journal of Forecasting / Elsevier	94	108
11	Journal of Futures Markets / John Wiley & Sons, Ltd.	49	97