Concepedia

Volatility Regimes

Volatility Regimes is a theoretical construct in financial econometrics that categorizes distinct states of market volatility—characterized by differing levels of persistence, magnitude, and structural behavior—thereby enabling the modeling and analysis of time-varying volatility dynamics according to identifiable, recurrent patterns.

160

Publications

8.4K

Citations

329

Authors

267

Institutions

Publications per year

2017–2026

43

Parents

Publications

160

Volatility and cross correlation across major stock markets

Latha Ramchand, Raúl Susmel · Journal of Empirical Finance · 1998 · 508 citations

, , +17

Some stylized facts of the Bitcoin market

Aurelio F. Bariviera, María José Basgall, Waldo Hasperué et al. · Physica A Statistical Mechanics and its Applications · 2017 · 442 citations · Full text

, , +14

Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?

Shuyue Yi, Zishuang Xu, Gang‐Jin Wang · International Review of Financial Analysis · 2018 · 429 citations

, , +12

Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

Qiang Dai, Kenneth J. Singleton, Wei Yang · Review of Financial Studies · 2007 · 306 citations

, , +17

Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis

Paraskevi Katsiampa, Shaen Corbet, Brian M. Lucey · Finance research letters · 2019 · 296 citations · Full text

, , +13

1–5 of 160

Authors

329

  1. MB
    Mehmet Balcılar

    Eastern Mediterranean University, Cyprus

    6 publications · 409 citations

    6

    h-index

  2. SH
    Shawkat Hammoudeh

    Drexel University, United States

    4 publications · 313 citations

    5

    h-index

  3. RS
    Raúl Susmel

    University of Houston, United States

    4 publications · 909 citations

    4

    h-index

  4. GB
    Geert Bekaert

    Columbia University, United States

    4 publications · 498 citations

    4

    h-index

  5. AT
    Allan Timmermann

    University of California San Diego, United States

    3 publications · 161 citations

    3

    h-index

1–5 of 329

Institutions

267

  1. National Bureau of Economic Research

    Cambridge, United States

    6 h-index

    8 publications

    483 citations

  2. Eastern Mediterranean University

    Famagusta, Cyprus

    5 h-index

    5 publications

    398 citations

  3. Drexel University

    Philadelphia, United States

    5 h-index

    4 publications

    313 citations

  4. University of New Haven

    West Haven, United States

    4 h-index

    4 publications

    157 citations

  5. Centre for Economic Policy Research

    London, United Kingdom

    4 h-index

    4 publications

    276 citations

  6. University of Houston

    Houston, United States

    3 h-index

    5 publications

    1.5K citations

  7. Athens University of Economics and Business

    Athens, Greece

    3 h-index

    3 publications

    74 citations

  8. Montpellier Business School

    Montpellier, France

    3 h-index

    3 publications

    255 citations

1–8 of 267

Venues

  1. SSRN Electronic Journal

    Repository · 22 publications · 581 citations

    14

    h-index

  2. International Journal of Finance & Economics

    IJFE · 6 publications · 118 citations

    6

    h-index

  3. Finance research letters

    5 publications · 756 citations

    5

    h-index

  4. 4

    h-index

  5. Applied Financial Economics

    4 publications · 156 citations

    4

    h-index

1–5