Concepedia

Volatility Factor Models

Volatility Factor Models is a class of statistical models in financial econometrics that decompose the volatility of asset returns into common latent factors and idiosyncratic components, thereby distinguishing itself from alternative volatility models by explicitly attributing time-varying volatility dynamics to structured, interpretable sources of systematic risk.

108

Publications

10.1K

Citations

188

Authors

168

Institutions

Publications per year

2017–2026

29

Parents

Publications

108

High idiosyncratic volatility and low returns: International and further U.S. evidence

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · Journal of Financial Economics · 2008 · 1.5K citations

, , +16

Range‐Based Estimation of Stochastic Volatility Models

Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold · The Journal of Finance · 2002 · 1.2K citations · Full text

, , +17

Investigating the Behavior of Idiosyncratic Volatility*

Yexiao Xu, Burton G. Malkiel · The Journal of Business · 2003 · 522 citations

, , +17

Safe Haven Currencies

Angelo Ranaldo, Paul Söderlind · European Finance Review · 2010 · 463 citations · Full text

, , +17

Dynamics of implied volatility surfaces

Rama Cont, José Da Fonseca · Quantitative Finance · 2002 · 443 citations

, , +17

1–5 of 108

Authors

188

  1. AA
    Andrew Ang

    BlackRock (United States), United States

    4 publications · 2.2K citations

    4

    h-index

  2. AB
    Alexander Barinov

    University of California, Riverside, United States

    4 publications · 160 citations

    4

    h-index

  3. XZ
    Xiaoyan Zhang

    Tsinghua University, China

    3 publications · 2.1K citations

    3

    h-index

  4. AC
    Andrea Carriero

    Bocconi University, Italy

    3 publications · 144 citations

    3

    h-index

  5. RJ
    Robert J. Hodrick

    National Bureau of Economic Research, United States

    3 publications · 2.1K citations

    3

    h-index

1–5 of 188

Institutions

168

  1. National Bureau of Economic Research

    Cambridge, United States

    9 h-index

    13 publications

    2.3K citations

  2. Queen Mary University of London

    London, United Kingdom

    6 h-index

    6 publications

    240 citations

  3. Princeton University

    Princeton, United States

    4 h-index

    5 publications

    1.4K citations

  4. Copenhagen Business School

    Copenhagen, Denmark

    4 h-index

    4 publications

    244 citations

  5. New York University

    New York, United States

    4 h-index

    5 publications

    125 citations

  6. Tsinghua University

    Beijing, China

    4 h-index

    4 publications

    313 citations

  7. Centre for Economic Policy Research

    London, United Kingdom

    4 h-index

    4 publications

    141 citations

  8. London School of Economics and Political Science

    London, United Kingdom

    4 h-index

    4 publications

    174 citations

1–8 of 168

Venues

  1. SSRN Electronic Journal

    Repository · 27 publications · 1.2K citations

    19

    h-index

  2. The Journal of Finance

    4 publications · 1.8K citations

    4

    h-index

  3. Journal of Financial Econometrics

    4 publications · 569 citations

    4

    h-index

  4. Management Science

    3 publications · 200 citations

    3

    h-index

  5. Journal of Applied Econometrics

    3 publications · 135 citations

    3

    h-index

1–5