Volatility Decomposition is a methodological framework in financial econometrics that parses aggregate volatility into distinct components attributable to different sources of variation, such as persistent trends, transient shocks, or structural breaks, thereby enabling the analysis of their relative contributions to overall market fluctuations.
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Miklós Koren, Silvana Tenreyro · The Quarterly Journal of Economics · 2007 · 602 citations · Full text
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National Bureau of Economic Research
Cambridge, United States
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London School of Economics and Political Science
London, United Kingdom
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University of Pennsylvania
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Aarhus University
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New York, United States
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Koç University
Istanbul, Türkiye
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Rotterdam, The Netherlands
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International Monetary Fund
Washington D.C., United States
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IRFA · 7 publications · 497 citations
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- Journal of Econometrics
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