Journal of Financial Econometrics

Aims & Scope

The Journal's scope encompasses the themes that animate the field today.

Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus.

More specifically, the scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling, transaction data, and microstructure of financial markets.

Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest.

View Aims & Scope

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Metrics & Ranking

Impact Factor

Year	Value
2025	2.2

Journal Rank

Year	Value
2024	1452

Journal Citation Indicator

Year	Value
2024	288

SJR (SCImago Journal Rank)

Year	Value
2024	1.989

Quartile

Year	Value
2024	Q1

h-index

Year	Value
2024	54

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Abstracting & Indexing

Journal is indexed in leading academic databases, ensuring global visibility and accessibility of our peer-reviewed research.

• Scopus
• Google Scholar
• Web of Science

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Subjects & Keywords

Journal’s research areas, covering key disciplines and specialized sub-topics in Economics, Econometrics and Finance, designed to support cutting-edge academic discovery.

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Most Cited Articles

The Most Cited Articles section features the journal's most impactful research, based on citation counts. These articles have been referenced frequently by other researchers, indicating their significant contribution to their respective fields.

• A Simple Approximate Long-Memory Model of Realized Volatility

  Citation: 1626

  Authors: F.

• Power and Bipower Variation with Stochastic Volatility and Jumps

  Citation: 1343

  Authors: O. E.

• Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

  Citation: 1011

  Authors: L., R. F., K.

• Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*

  Citation: 848

  Authors: Jozef, Tomáš

• Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

  Citation: 839

  Authors: O. E.

• The Relative Contribution of Jumps to Total Price Variance

  Citation: 580

  Authors: X.

• On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation

  Citation: 440

  Authors: A. J.

• Value-at-Risk Prediction: A Comparison of Alternative Strategies

  Citation: 365

  Authors: K.

• A New Approach to Markov-Switching GARCH Models

  Citation: 349

  Authors: M.

• Leverage and Volatility Feedback Effects in High-Frequency Data

  Citation: 294

  Authors: T.

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