Concepedia

Volatility Seasonality

Volatility Seasonality is a temporal pattern in financial time series analysis that refers to the systematic, recurring fluctuations in the variance or volatility of commodity returns at specific times of the year, distinguishing it from constant-volatility models and general seasonal price movements by focusing specifically on the seasonality of second-moment dynamics in prices.

96

Publications

5.8K

Citations

191

Authors

134

Institutions

Publications per year

2017–2026

11

Parents

Publications

96

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Ulrich Müller, Robert J. Nagler, Richard B. Olsen et al. · Journal of International Money and Finance · 1993 · 630 citations

, , +15

Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

Richard T. Baillie, Tim Bollerslev · The Review of Economic Studies · 1991 · 504 citations

, , +17

Seasonality in the cross-section of stock returns☆

Steve Heston, Ronnie Sadka · Journal of Financial Economics · 2007 · 336 citations

, , +12

Certain Observations on Seasonal Movements in Stock Prices

Sidney B. Wachtel · Journal of Business of the University of Chicago · 1942 · 315 citations

, , +16

Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.

Narasimhan Jegadeesh · The Journal of Finance · 1991 · 223 citations

, , +17

1–5 of 96

Authors

191

  1. MM
    Martin Martens

    Erasmus University Rotterdam, Netherlands

    3 publications · 303 citations

    3

    h-index

  2. YC
    Yuanchen Chang

    National Chengchi University, Taiwan

    2 publications · 139 citations

    2

    h-index

  3. JF
    Jeff Fleming

    Rice University, United States

    2 publications · 73 citations

    2

    h-index

  4. AS
    Aaron Smith

    University of California, Davis, United States

    2 publications · 85 citations

    2

    h-index

  5. HS
    Hiroaki Suenaga

    Curtin University, Australia

    2 publications · 85 citations

    2

    h-index

1–5 of 191

Institutions

134

  1. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    3 h-index

    5 publications

    550 citations

  2. University of Bradford

    Bradford, United Kingdom

    2 h-index

    2 publications

    36 citations

  3. Zhejiang University

    Hangzhou, China

    2 h-index

    2 publications

    70 citations

  4. Borsa Istanbul (Turkey)

    Istanbul, Turkey

    2 h-index

    2 publications

    67 citations

  5. University of Delhi

    New Delhi, India

    2 h-index

    2 publications

    80 citations

  6. Leeds Beckett University

    Leeds, United Kingdom

    2 h-index

    2 publications

    36 citations

  7. Northwestern University

    Evanston, United States

    2 h-index

    4 publications

    1.1K citations

  8. Concordia University

    Montreal, Canada

    2 h-index

    2 publications

    72 citations

1–8 of 134

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 173 citations

    9

    h-index

  2. Applied Financial Economics

    8 publications · 301 citations

    8

    h-index

  3. The Journal of Finance

    6 publications · 518 citations

    6

    h-index

  4. Applied Economics Letters

    5 publications · 97 citations

    5

    h-index

  5. Journal of Business Finance &amp Accounting

    2 publications · 62 citations

    2

    h-index

1–5