Concepedia

Conditional Variance Estimation

Conditional Variance Estimation is a statistical method that quantifies the uncertainty of a random variable's realization at unsampled locations given observed data, by computing the variance of the conditional distribution derived from a geostatistical model.

640

Publications

61.3K

Citations

1.1K

Authors

618

Institutions

Publications per year

2017–2026

72

Parents

Publications

640

Measuring and Testing the Impact of News on Volatility

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

, , +17

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Robert F. Engle, David M. Lilien, Russell P. Robins · Econometrica · 1987 · 2.5K citations

, , +17

Analysis of Complex Survey Samples

Thomas Lumley · Journal of Statistical Software · 2004 · 2.3K citations · Full text

, , +15

Modelling the persistence of conditional variances

Robert F. Engle, Tim Bollerslev · Econometric Reviews · 1986 · 2.1K citations

, , +15

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Peter Reinhard Hansen, Asger Lunde · Journal of Applied Econometrics · 2005 · 1.7K citations · Full text

, , +17

1–5 of 640

Authors

1.1K

  1. DT
    Dag Tjøstheim

    University of Bergen, Norway

    7 publications · 992 citations

    7

    h-index

  2. RT
    Richard T. Baillie

    Michigan State University, United States

    7 publications · 2.3K citations

    7

    h-index

  3. CB
    Chris Brooks

    University of Reading, United Kingdom

    6 publications · 417 citations

    6

    h-index

  4. SL
    Sébastien Laurent

    UCLouvain, Belgium

    6 publications · 399 citations

    6

    h-index

  5. RF
    Robert F. Engle

    New York University, United States

    6 publications · 9.3K citations

    6

    h-index

1–5 of 1.1K

Institutions

618

  1. Aarhus University

    Aarhus, Denmark

    12 h-index

    13 publications

    1.1K citations

  2. University of Chicago

    Chicago, United States

    11 h-index

    15 publications

    5.7K citations

  3. National Bureau of Economic Research

    Cambridge, United States

    11 h-index

    16 publications

    2.1K citations

  4. Michigan State University

    East Lansing, United States

    10 h-index

    16 publications

    2.4K citations

  5. Cornell University

    Ithaca, United States

    9 h-index

    10 publications

    3.2K citations

  6. The University of Sydney

    Sydney, Australia

    9 h-index

    13 publications

    519 citations

  7. London School of Economics and Political Science

    London, United Kingdom

    8 h-index

    11 publications

    717 citations

  8. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    8 h-index

    11 publications

    1.2K citations

1–8 of 618

Venues

  1. Journal of the American Statistical Association

    34 publications · 3.4K citations

    25

    h-index

  2. SSRN Electronic Journal

    Repository · 51 publications · 1.9K citations

    23

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 22 publications · 4.7K citations

    19

    h-index

  4. RePEc: Research Papers in Economics

    Repository · 23 publications · 1.3K citations

    14

    h-index

  5. Journal of Applied Econometrics

    13 publications · 4K citations

    13

    h-index

1–5