Volatility Breaks is a statistical framework in financial econometrics that identifies and models abrupt shifts in the latent volatility process of asset returns, distinguishing itself from continuous volatility models by explicitly accounting for discrete structural changes in the variance dynamics.
55
Publications
5.5K
Citations
104
Authors
93
Institutions
Publications per year
2017–2026
10
Parents
Publications
55
Robert F. Engle · Journal of Applied Econometrics · 2002 · 750 citations
1–5 of 55
Authors
104
- ME
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- DV
4
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- MK
3
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- MS
3
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- JD
2
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1–5 of 104
Institutions
93
University of Nebraska at Omaha
Omaha, United States
4 h-index
6 publications
120 citations
New York University
New York, United States
3 h-index
3 publications
844 citations
Newcastle University
Newcastle upon Tyne, United Kingdom
3 h-index
3 publications
81 citations
Tinbergen Institute
Rotterdam, The Netherlands
2 h-index
3 publications
42 citations
Universidad de Navarra
Pamplona, Spain
2 h-index
2 publications
84 citations
University of Manchester
Manchester, United Kingdom
2 h-index
2 publications
291 citations
Bocconi University
Milan, Italy
2 h-index
2 publications
184 citations
University of Hong Kong
Pok Fu Lam, Hong Kong
2 h-index
4 publications
230 citations
1–8 of 93
Venues
- SSRN Electronic Journal
Repository · 7 publications · 138 citations
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- Journal of Applied Econometrics
3 publications · 1.1K citations
3
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- Energy Economics
3 publications · 134 citations
3
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- Applied Financial Economics
3 publications · 66 citations
3
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- RePEc: Research Papers in Economics
Repository · 2 publications · 80 citations
2
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1–5