2.2(top 20%)
impact factor
1.4K(top 20%)
papers
51.7K(top 10%)
citations
103(top 5%)
h-index
2.2(top 20%)
impact factor
1.7K
all documents
64.9K
doc citations
182(top 5%)
g-index

Top Articles

#TitleJournalYearCitations
1A long memory property of stock market returns and a new modelJournal of Empirical Finance19932,726
2Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approachJournal of Empirical Finance20001,281
3Improved estimation of the covariance matrix of stock returns with an application to portfolio selectionJournal of Empirical Finance20031,250
4Intraday periodicity and volatility persistence in financial marketsJournal of Empirical Finance19971,014
5Investor sentiment and the near-term stock marketJournal of Empirical Finance2004975
6The forward discount anomaly and the risk premium: A survey of recent evidenceJournal of Empirical Finance1996851
7Robust performance hypothesis testing with the Sharpe ratioJournal of Empirical Finance2008731
8Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returnsJournal of Empirical Finance2004661
9Measuring financial contagion: A Copula approachJournal of Empirical Finance2007654
10The econometrics of financial marketsJournal of Empirical Finance1996637
11Investor sentiment and stock returns: Some international evidenceJournal of Empirical Finance2009612
12International comovement of stock market returns: A wavelet analysisJournal of Empirical Finance2009578
13Common stock offerings across the business cycleJournal of Empirical Finance1993541
14Volatilities of different time resolutions — Analyzing the dynamics of market componentsJournal of Empirical Finance1997537
15Emerging markets financeJournal of Empirical Finance2003502
16Market stress and herdingJournal of Empirical Finance2004472
17Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasetsJournal of Empirical Finance1994465
18Understanding the relationship between founder–CEOs and firm performanceJournal of Empirical Finance2009450
19Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurementsJournal of Empirical Finance2005437
20The quality of market volatility forecasts implied by S&P 100 index option pricesJournal of Empirical Finance1998426
21Volatility and cross correlation across major stock marketsJournal of Empirical Finance1998402
22Instability of return prediction modelsJournal of Empirical Finance2006375
23A simple measure of the intensity of capital controlsJournal of Empirical Finance2003369
24Alternative constructions of Tobin's q: An empirical comparisonJournal of Empirical Finance1994357
25CAPM over the long run: 1926–2001Journal of Empirical Finance2007343
26Local bias in venture capital investmentsJournal of Empirical Finance2010341
27Firm-level implications of early stage venture capital investment — An empirical investigationJournal of Empirical Finance2007337
28Modelling daily Value-at-Risk using realized volatility and ARCH type modelsJournal of Empirical Finance2004326
29Sensitivity analysis of Values at RiskJournal of Empirical Finance2000323
30High frequency data in financial markets: Issues and applicationsJournal of Empirical Finance1997313
31The specification of conditional expectationsJournal of Empirical Finance2001299
32Predictable behavior, profits, and attentionJournal of Empirical Finance2007299
33A network perspective of the stock marketJournal of Empirical Finance2010299
34Corporate governance and firm value: International evidenceJournal of Empirical Finance2011294
35A primer on hedge fundsJournal of Empirical Finance1999292
36The information content of the trading processJournal of Empirical Finance1997287
37Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizonJournal of Empirical Finance1999270
38Analysis of hedge fund performanceJournal of Empirical Finance2004269
39Tail index and quantile estimation with very high frequency dataJournal of Empirical Finance1997263
40The incremental volatility information in one million foreign exchange quotationsJournal of Empirical Finance1997263
41Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. dataJournal of Empirical Finance2011252
42Political uncertainty and bank loan contractingJournal of Empirical Finance2014247
43Market timing and return prediction under model instabilityJournal of Empirical Finance2002246
44Conditional tail-risk in cryptocurrency marketsJournal of Empirical Finance2019244
45A contingent claim approach to performance evaluationJournal of Empirical Finance1994233
46When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactionsJournal of Empirical Finance2011231
47In-sample vs. out-of-sample tests of stock return predictability in the context of data miningJournal of Empirical Finance2006222
48Are investors moonstruck? Lunar phases and stock returnsJournal of Empirical Finance2006220
49Analysis of intraday herding behavior among the sector ETFsJournal of Empirical Finance2004219
50The rise in comovement across national stock markets: market integration or IT bubble?Journal of Empirical Finance2004213