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Financial Risk and Volatility Modeling
TopicLeading institutions, researchers & key papers
This cluster of papers focuses on modeling and forecasting financial volatility, including topics such as GARCH models, copula modeling, stochastic volatility, contagion, dependence, realized volatility, and risk management in the context of market integration.
21
Works
IDs:OpenAlex
How has Financial Risk and Volatility Modeling's publication output changed over time?
ScholarIQpublication output · 2002–2020
Output grew0% over the shown period — from 1 works in 2002 to 1 in 2020.
1
2
1
2
2
1
200220072008201220132020
What are the most-cited papers on Financial Risk and Volatility Modeling?
ScholarIQmost cited works
Local Gaussian correlation: A new measure of dependence
Dag Tjøstheim, Karl Ove Hufthammer
S127742747. 2012110 Citations
A robust estimator for the tail index of Pareto-type distributions
Björn Vandewalle, Jan Beirlant, Andreas Christmann, Mia Hubert
S132362803. 200784 CitationsOPEN ACCESS
Realized volatility forecasting and option pricing
Federico M. Bandi, Jeffrey R. Russell, Yang Chen
S127742747. 200871 Citations
Using local Gaussian correlation in a nonlinear re-examination of financial contagion
Bård Støve, Dag Tjøstheim, Karl Ove Hufthammer
S145875555. 201369 Citations
Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory
Haiying Wang, Ying Yuan, Yiou Li, Xunhong Wang
S141184754. 202059 CitationsOPEN ACCESS
Where is Financial Risk and Volatility Modeling research published, and who funds it?
ScholarIQvenues & funding sources
TOP JOURNALS
S127742747181
S13236280384
S14587555569
S14118475459
S2570707741
TOP FUNDERS
National Science Foundation—
NIH—
Wellcome Trust—
European Research Council—
Funder breakdown is a member featureSign up free to unlock
How much of the research on Financial Risk and Volatility Modeling is open access?
ScholarIQopen access share
33%OPEN ACCESS
Gold
0%
Green
33%
Hybrid
0%
Bronze
0%
Closed
67%
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