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
2.9K
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991 · 10.4K citations
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
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations
Why Does Stock Market Volatility Change Over Time?
G. William Schwert · The Journal of Finance · 1989 · 3.6K citations
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National Bureau of Economic Research
Cambridge, United States
47 h-index
144 publications
17.6K citations
Duke University
Durham, United States
41 h-index
83 publications
12.8K citations

Southwest Jiaotong University
Chengdu, China
38 h-index
154 publications
9.4K citations

Aarhus University
Aarhus, Denmark
34 h-index
78 publications
10K citations
New York University
New York, United States
34 h-index
55 publications
9.2K citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
26 h-index
50 publications
3.9K citations
University of Pennsylvania
Philadelphia, United States
26 h-index
56 publications
6.7K citations
Nanjing University of Science and Technology
Nanjing, China
24 h-index
48 publications
2.8K citations
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Repository · 306 publications · 12.8K citations
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