Concepedia

Volatility Modelling

Volatility Modelling is a quantitative methodology in financial econometrics that specifically characterizes and forecasts the time-varying uncertainty of asset returns within financial markets.

2.9K

Publications

252.7K

Citations

4.3K

Authors

1.8K

Institutions

Publications per year

2017–2026

806

Parents

Publications

2.9K

Conditional Heteroskedasticity in Asset Returns: A New Approach

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

, , +17

The Cross‐Section of Volatility and Expected Returns

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations

, , +17

Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

, , +17

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.6K citations

, , +16

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

, , +17

1–5 of 2.9K

Authors

4.3K

  1. FM
    Feng Ma

    Southwest Jiaotong University, China

    35 publications · 2.3K citations

    28

    h-index

  2. TB
    Tim Bollerslev

    Duke University, United States

    33 publications · 12.1K citations

    27

    h-index

  3. TG
    Torben G. Andersen

    Northwestern University, United States

    33 publications · 11.3K citations

    26

    h-index

  4. RG
    Rangan Gupta

    University of Pretoria, South Africa

    30 publications · 2.5K citations

    23

    h-index

  5. RF
    Robert F. Engle

    New York University, United States

    25 publications · 12.7K citations

    21

    h-index

1–5 of 4.3K

Institutions

1.8K

  1. National Bureau of Economic Research

    Cambridge, United States

    47 h-index

    144 publications

    17.6K citations

  2. Duke University

    Durham, United States

    41 h-index

    83 publications

    12.8K citations

  3. Southwest Jiaotong University

    Chengdu, China

    38 h-index

    154 publications

    9.4K citations

  4. Aarhus University

    Aarhus, Denmark

    34 h-index

    78 publications

    10K citations

  5. New York University

    New York, United States

    34 h-index

    55 publications

    9.2K citations

  6. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    26 h-index

    50 publications

    3.9K citations

  7. University of Pennsylvania

    Philadelphia, United States

    26 h-index

    56 publications

    6.7K citations

  8. Nanjing University of Science and Technology

    Nanjing, China

    24 h-index

    48 publications

    2.8K citations

1–8 of 1.8K

Venues

  1. SSRN Electronic Journal

    Repository · 306 publications · 12.8K citations

    55

    h-index

  2. Journal of Econometrics

    75 publications · 13.4K citations

    49

    h-index

  3. 39

    h-index

  4. The Journal of Finance

    40 publications · 29K citations

    37

    h-index

  5. Journal of Empirical Finance

    59 publications · 6.2K citations

    33

    h-index

1–5