Concepedia

Volatility Measurement Error

Volatility Measurement Error is a methodological construct in financial econometrics that quantifies the discrepancy between observed volatility estimates and the true underlying latent volatility process, arising from limitations in measurement techniques or data constraints.

84

Publications

6.9K

Citations

163

Authors

120

Institutions

Publications per year

2017–2026

14

Parents

Publications

84

Predicting Volatility in the Foreign Exchange Market

Philippe Jorion · The Journal of Finance · 1995 · 698 citations

, , +17

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Econometrics · 2003 · 657 citations

, , +16

Financial reporting quality and idiosyncratic return volatility

Shiva Rajgopal, Mohan Venkatachalam · Journal of Accounting and Economics · 2010 · 536 citations

, , +14

Exploiting the errors: A simple approach for improved volatility forecasting

Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg · Journal of Econometrics · 2015 · 457 citations · Full text

, , +17

A vector error correction model of the Singapore stock market

Ramin Cooper Maysami, Tiong Sim Koh · International Review of Economics & Finance · 2000 · 449 citations

, , +13

1–5 of 84

Authors

163

  1. PJ
    Philippe Jorion

    University of California, Irvine, United States

    4 publications · 1.2K citations

    4

    h-index

  2. NM
    Nour Meddahi

    Toulouse School of Economics, France

    3 publications · 645 citations

    3

    h-index

  3. AJ
    Andrew J. Patton

    Duke University, United States

    3 publications · 669 citations

    3

    h-index

  4. TB
    Tim Bollerslev

    Duke University, United States

    3 publications · 806 citations

    3

    h-index

  5. TG
    Torben G. Andersen

    Northwestern University, United States

    2 publications · 353 citations

    2

    h-index

1–5 of 163

Institutions

120

  1. Duke University

    Durham, United States

    6 h-index

    8 publications

    2K citations

  2. University of Florence

    Florence, Italy

    4 h-index

    5 publications

    342 citations

  3. University of California, Irvine

    Irvine, United States

    4 h-index

    4 publications

    1.2K citations

  4. Université de Montréal

    Montreal, Canada

    3 h-index

    3 publications

    757 citations

  5. Cornell University

    Ithaca, United States

    3 h-index

    3 publications

    928 citations

  6. Centre National de la Recherche Scientifique

    Paris, France

    3 h-index

    3 publications

    121 citations

  7. UNSW Sydney

    Sydney, Australia

    2 h-index

    2 publications

    134 citations

  8. Maastricht University

    Maastricht, The Netherlands

    2 h-index

    2 publications

    468 citations

1–8 of 120

Venues

  1. Journal of Econometrics

    5 publications · 1.4K citations

    5

    h-index

  2. The Journal of Finance

    4 publications · 1.1K citations

    4

    h-index

  3. Financial Analysts Journal

    FAJ · 3 publications · 285 citations

    3

    h-index

  4. Journal of Financial Econometrics

    3 publications · 246 citations

    3

    h-index

  5. RePEc: Research Papers in Economics

    Repository · 3 publications · 64 citations

    3

    h-index

1–5