Concepedia

Volatility Modeling

Volatility Modeling is a statistical methodology in financial econometrics and quantitative finance that characterizes the time-varying nature of asset return variability by specifying dynamic processes for the conditional variance of financial time series.

18.7K

Publications

1.5M

Citations

20.5K

Authors

4.8K

Institutions

Publications per year

2017–2026

5.1K

Parents

Children

Publications

18.7K

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

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Statistical analysis of cointegration vectors

Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations

, , +13

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

, , +17

Illiquidity and stock returns: cross-section and time-series effects

Yakov Amihud · Journal of Financial Markets · 2002 · 10.3K citations · Full text

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1–5 of 18.7K

Authors

20.5K

  1. TB
    Tim Bollerslev

    Duke University, United States

    79 publications · 68.4K citations

    59

    h-index

  2. RF
    Robert F. Engle

    New York University, United States

    90 publications · 39.6K citations

    53

    h-index

  3. RG
    Rangan Gupta

    University of Pretoria, South Africa

    124 publications · 9.1K citations

    52

    h-index

  4. EB
    Elie Bouri

    Lebanese American University, Lebanon

    98 publications · 9K citations

    50

    h-index

  5. FM
    Feng Ma

    Southwest Jiaotong University, China

    85 publications · 5.5K citations

    47

    h-index

1–5 of 20.5K

Institutions

4.8K

  1. National Bureau of Economic Research

    Cambridge, United States

    122 h-index

    711 publications

    153.2K citations

  2. Duke University

    Durham, United States

    100 h-index

    292 publications

    51.2K citations

  3. New York University

    New York, United States

    85 h-index

    306 publications

    55.9K citations

  4. University of Chicago

    Chicago, United States

    76 h-index

    221 publications

    55.4K citations

  5. University of Pennsylvania

    Philadelphia, United States

    72 h-index

    184 publications

    38.9K citations

  6. Columbia University

    New York, United States

    70 h-index

    199 publications

    42.7K citations

  7. Aarhus University

    Aarhus, Denmark

    69 h-index

    345 publications

    54K citations

  8. Federal Reserve

    Washington D.C., United States

    61 h-index

    263 publications

    20.6K citations

1–8 of 4.8K

Venues

  1. The Journal of Finance

    311 publications · 119.9K citations

    148

    h-index

  2. SSRN Electronic Journal

    Repository · 2K publications · 86.1K citations

    121

    h-index

  3. Journal of Econometrics

    385 publications · 89.9K citations

    120

    h-index

  4. Energy Economics

    322 publications · 34.4K citations

    104

    h-index

  5. Journal of Business and Economic Statistics

    JBES · 262 publications · 42.5K citations

    98

    h-index

1–5