Volatility Modeling Publications

Publications in Volatility Modeling

Explore the most influential research papers and scholarly works that have shaped Volatility Modeling. Use the concept filter below to focus on a specific sub-area of research.

Volatility Modeling

12.1K

Publications

1.1M

Citations

Showing yearly statistics from 2000-2026.

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	Year	Citations
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Halbert White Econometrica Empirical FinanceEconometric ModelVolatility ModelingEconomicsLeast Squares Interpretation	1980	25.8K
Generalized autoregressive conditional heteroskedasticity Tim Bollerslev Journal of Econometrics EconomicsVolatility ModelingAsset PricingBusinessEconometrics	1986	21.9K
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation Robert F. Engle Econometrica Forecasting MethodologyVolatility ModelingEngineeringMacroeconomic ForecastingEconomic Fluctuation	1982	20.3K
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Whitney K. Newey, Kenneth D. West Econometrica Empirical FinanceVolatility ModelingEconomicsFinancial EconomicsAsset Pricing	1987	16.8K
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models Søren Johansen Econometrica Volatility ModelingLikelihood AnalysisCointegration VectorsTime Series EconometricsInternational Finance	1991	11K
Conditional Heteroskedasticity in Asset Returns: A New Approach Daniel B. Nelson Econometrica Empirical FinanceVolatility InnovationsVolatility ModelingEconomicsFinancial Economics	1991	10.3K
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle The Journal of Finance Empirical FinanceVolatility ModelingMonthly Conditional VolatilityEngineeringConditional Volatility	1993	8.6K
Dynamic Conditional Correlation Robert F. Engle Journal of Business and Economic Statistics Econometric ModelEconomicsVolatility ModelingEngineeringAsset Pricing	2002	6.9K
The Log of Gravity João Santos Silva, Silvana Tenreyro The Review of Economics and Statistics Volatility ModelingEngineeringTradeGravity EffectsCosmology	2006	5.8K
A Simple Test for Heteroscedasticity and Random Coefficient Variation Trevor Breusch, A. R. Pagan Econometrica Econometric ModelVolatility ModelingEconomicsAsset PricingMacroeconomics	1979	5.2K
Better to give than to receive: Predictive directional measurement of volatility spillovers Francis X. Diebold, Kamil Yılmaz International Journal of Forecasting EconomicsVolatility ModelingFinancial EconomicsAsset PricingEngineering	2011	5.1K
The Cross‐Section of Volatility and Expected Returns Andrew Ang, Robert J. Hodrick, Yuhang Xing, The Journal of Finance Empirical FinanceEconomicsVolatility ModelingMultivariate Stochastic VolatilityAsset Pricing	2006	4.7K

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