Keyword

volatility modeling

Description: A set of statistical and econometric methods for estimating and forecasting the changing variability of financial or other time-series data.

Primary topic: Financial Risk and Volatility Modeling (75%)

OpenAlex ID: keywords/volatility-modeling

Multivariate Simultaneous Generalized ARCH

1995 · Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 4,503

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

1998 · Torben G. Andersen, Tim Bollerslev · International Economic Review · 3,377

A long memory property of stock market returns and a new model

1993 · Zhuanxin Ding, Clive W.J. Granger, et al. · Journal of Empirical Finance · 3,254

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 · Robert F. Engle, David M. Lilien, et al. · Econometrica · 2,469

Multivariate GARCH models: a survey

· Sébastien Laurent, Luc Bauwens, et al. · RePEc: Research Papers in Economics · 2,053

Modeling Asymmetric Comovements of Asset Returns

1998 · Kenneth F. Kroner, Victor K. Ng · Review of Financial Studies · 1,587

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

2001 · Robert Engle, Kevin Sheppard · National Bureau of Economic Research · 1,400

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Multivariate Stochastic Variance Models

1994 · A. Harvey, E. Ruiz, et al. · The Review of Economic Studies · 1,365

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A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

2002 · Y. K Tse, Albert K. C Tsui · Journal of Business and Economic Statistics · 1,198

5 Stochastic volatility

1996 · Eric Ghysels, Andrew C. Harvey, et al. · Handbook of statistics · 1,188

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The Economic Value of Volatility Timing

2001 · Jeff Fleming, Chris Kirby, et al. · The Journal of Finance · 843

Forecasting Volatility in Financial Markets: A Review

2003 · Ser-Huang Poon, Clive W. J Granger · Journal of Economic Literature · 798

Arch Models: Properties, Estimation and Testing

1993 · Anil K. Bera, Matthew L. Higgins · Journal of Economic Surveys · 786

Statistical aspects of ARCH and stochastic volatility

1996 · Neil Shephard · Springer eBooks · 749

Volatilities of different time resolutions — Analyzing the dynamics of market components

1997 · Ulrich A. Müller, Michel M. Dacorogna, et al. · Journal of Empirical Finance · 744

New frontiers for arch models

2002 · Robert Engle · Journal of Applied Econometrics · 739

All in the family Nesting symmetric and asymmetric GARCH models

1995 · Ludger Hentschel · Journal of Financial Economics · 723

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Modeling the price dynamics of CO2 emission allowances

2008 · Eva Benz, Stefan Trück · Energy Economics · 694

What good is a volatility model?

2001 · R.F. Engle, A.J. Patton · Quantitative Finance · 691

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The detection and estimation of long memory in stochastic volatility

1998 · F.Jay Breidt, Nuno Crato, et al. · Journal of Econometrics · 617

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Inequality Constraints in the Univariate GARCH Model

1992 · Daniel B. Nelson, Charles Q. Cao · Journal of Business and Economic Statistics · 611

Quadratic ARCH Models

1995 · E. Sentana · The Review of Economic Studies · 559

Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH

2015 · Syed Abul Basher, Perry Sadorsky · Energy Economics · 546

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Forecasting Volatility in Financial Markets: A Review

2003 · Ser-Huang Poon, Clive W. J Granger · Journal of Economic Literature · 543

Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

1994 · Mico Loretan, Peter C.B. Phillips · Journal of Empirical Finance · 517

Works count: 6,715

Citation count: 78,670