Nonparametric Volatility Estimation is a method in financial econometrics that belongs to the class of volatility modeling techniques and is distinguished by its reliance on minimal distributional assumptions, directly estimating volatility from high-frequency price data using sample-path properties such as realized variation, kernel smoothing, or local averaging without imposing a parametric functional form.
164
Publications
15.6K
Citations
236
Authors
172
Institutions
Publications per year
2017–2026
25
Publications
164
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations
Measuring and Testing the Impact of News on Volatility
Robert Engle, Victor Ng · The Journal of Finance · 1993 · 765 citations
1–5 of 164
Authors
236
- GT
9
h-index
- VT
7
h-index
- DX
6
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- WK
5
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- PA
5
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1–5 of 236
Institutions
172
Duke University
Durham, United States
13 h-index
22 publications
1.6K citations
Humboldt-Universität zu Berlin
Berlin, Germany
10 h-index
12 publications
895 citations
University of Chicago
Chicago, United States
9 h-index
12 publications
1.6K citations
National Bureau of Economic Research
Cambridge, United States
8 h-index
11 publications
455 citations
Aarhus University
Aarhus, Denmark
8 h-index
13 publications
427 citations
Northwestern University
Evanston, United States
7 h-index
10 publications
616 citations
Princeton University
Princeton, United States
6 h-index
9 publications
642 citations
University of Illinois Chicago
Chicago, United States
5 h-index
5 publications
824 citations
1–8 of 172
Venues
- SSRN Electronic Journal
Repository · 23 publications · 785 citations
15
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- The Annals of Statistics
12 publications · 835 citations
12
h-index
- Journal of Econometrics
9 publications · 1.1K citations
9
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- Econometric Theory
9 publications · 356 citations
9
h-index
- Journal of the American Statistical Association
7 publications · 321 citations
7
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