Concepedia

Asymmetric Volatility Models

Asymmetric Volatility Models is a class of econometric models within volatility modeling that specifically capture the phenomenon where negative shocks to asset returns engender higher future volatility than positive shocks of equal magnitude, thereby distinguishing them from symmetric volatility models.

406

Publications

28.7K

Citations

717

Authors

489

Institutions

Publications per year

2017–2026

137

Variants

Asymmetric Volatility Model

Parents

Publications

406

Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

, , +17

Modeling Asymmetric Comovements of Asset Returns

Kenneth F. Kroner, Victor Ng · Review of Financial Studies · 1998 · 1.6K citations

, , +17

The econometrics of ultra-high frequency data /

Robert F. Engle · The Journal of the Abraham Lincoln Association · 800 citations · Full text

, , +17

Measuring and Testing the Impact of News on Volatility

Robert Engle, Victor Ng · The Journal of Finance · 1993 · 765 citations

, , +17

All in the family Nesting symmetric and asymmetric GARCH models

Ludger Hentschel · Journal of Financial Economics · 1995 · 741 citations · Full text

, , +16

1–5 of 406

Authors

717

  1. MM
    Michael McAleer

    Erasmus University Rotterdam, Netherlands

    12 publications · 1K citations

    12

    h-index

  2. RF
    Robert F. Engle

    New York University, United States

    10 publications · 5.9K citations

    10

    h-index

  3. MT
    Muhammad Tahir Suleman

    University of Otago, New Zealand

    6 publications · 253 citations

    6

    h-index

  4. SH
    Sang Hoon Kang

    Pusan National University, South Korea

    5 publications · 285 citations

    5

    h-index

  5. VN
    Victor Ng

    Western University, Canada

    5 publications · 6.2K citations

    5

    h-index

1–5 of 717

Institutions

489

  1. The University of Western Australia

    Perth, Australia

    11 h-index

    15 publications

    1.5K citations

  2. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    10 h-index

    10 publications

    585 citations

  3. Pusan National University

    Busan, South Korea

    8 h-index

    11 publications

    537 citations

  4. New York University

    New York, United States

    7 h-index

    8 publications

    658 citations

  5. Tunis El Manar University

    Tunis, Tunisia

    6 h-index

    6 publications

    314 citations

  6. National Bureau of Economic Research

    Cambridge, United States

    6 h-index

    7 publications

    244 citations

  7. Swiss Finance Institute

    Zurich, Switzerland

    6 h-index

    8 publications

    560 citations

  8. Monash University

    Melbourne, Australia

    5 h-index

    6 publications

    110 citations

1–8 of 489

Venues

  1. SSRN Electronic Journal

    Repository · 32 publications · 866 citations

    16

    h-index

  2. Energy Economics

    14 publications · 1.2K citations

    14

    h-index

  3. Applied Financial Economics

    12 publications · 792 citations

    12

    h-index

  4. Applied Economics

    8 publications · 177 citations

    8

    h-index

  5. Quantitative Finance

    8 publications · 1K citations

    8

    h-index

1–5