Concepedia

Volatility Of Volatility

Volatility of Volatility is a stochastic volatility parameter that quantifies the degree of variation in the instantaneous volatility process over time, distinguishing itself from other volatility measures by capturing the second-order uncertainty inherent in the volatility dynamics of financial assets.

60

Publications

2.4K

Citations

116

Authors

87

Institutions

Publications per year

2017–2026

16

Variants

Vol Of VolVvol

Parents

Publications

60

Cryptocurrency Market Analysis from the Open Innovation Perspective

Alexey Mikhaylov · Journal of Open Innovation Technology Market and Complexity · 2020 · 148 citations · Full text

, , +13

Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world

Wael Rouatbi, Ender Demir, Renatas Kizys et al. · International Review of Financial Analysis · 2021 · 130 citations · Full text

, , +14

Impaired adaptation of learning to contingency volatility in internalizing psychopathology

Chris Gagne, Ondrej Zika, Peter Dayan et al. · eLife · 2020 · 126 citations · Full text

, , +17

Smile Dynamics IV

Lorenzo Bergomi · SSRN Electronic Journal · 2009 · 103 citations · Full text

, , +17

Volatility-of-Volatility Risk

Darien Huang, Christian Schlag, Ivan Shaliastovich et al. · Journal of Financial and Quantitative Analysis · 2018 · 102 citations

, , +17

1–5 of 60

Authors

116

  1. AE
    Almut E. D. Veraart

    Imperial College London, United Kingdom

    3 publications · 99 citations

    3

    h-index

  2. OE
    Ole E. Barndorff–Nielsen

    Aarhus University, Denmark

    3 publications · 99 citations

    3

    h-index

  3. JD
    José Da Fonseca

    Auckland University of Technology, New Zealand

    3 publications · 73 citations

    3

    h-index

  4. MJ
    Maurice J. Roche

    National University of Ireland, Maynooth, Ireland

    3 publications · 69 citations

    3

    h-index

  5. MJ
    Michael J. Moore

    Tulane University, United States

    2 publications · 51 citations

    2

    h-index

1–5 of 116

Institutions

87

  1. University of Tübingen

    Tübingen, Germany

    3 h-index

    4 publications

    210 citations

  2. Imperial College London

    London, United Kingdom

    3 h-index

    3 publications

    99 citations

  3. Auckland University of Technology

    Auckland, New Zealand

    3 h-index

    4 publications

    91 citations

  4. Université Paris 1 Panthéon-Sorbonne

    Paris, France

    2 h-index

    2 publications

    33 citations

  5. Baruch College

    New York, United States

    2 h-index

    2 publications

    33 citations

  6. Aarhus University

    Aarhus, Denmark

    2 h-index

    3 publications

    103 citations

  7. National University of Ireland, Maynooth

    Maynooth, Ireland

    2 h-index

    2 publications

    59 citations

  8. Wayne State University

    Detroit, United States

    2 h-index

    10 publications

    175 citations

1–8 of 87

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 234 citations

    9

    h-index

  2. International Journal of Theoretical and Applied Finance

    IJTAF · 3 publications · 108 citations

    3

    h-index

  3. Journal of Futures Markets

    2 publications · 59 citations

    2

    h-index

  4. Journal of Financial Econometrics

    2 publications · 77 citations

    2

    h-index

  5. British Journal of Healthcare Management

    BJHCM · 2 publications · 34 citations

    2

    h-index

1–5