Financial Risk and Volatility Modeling

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.

Journals publishing in this area

1

Physica A Statistical Mechanics and its Applications

ISSN 0378-43711,498 articles in this topic

231h-index

2.59Impact

33KArticles

718.8KCitations

2

Journal of Econometrics

ISSN 0304-40761,459 articles in this topic

329h-index

2.51Impact

6.4KArticles

679.8KCitations

3

Journal of Banking & Finance

ISSN 0378-4266618 articles in this topic

304h-index

3.84Impact

7.5KArticles

502.8KCitations

4

Annals of Statistics

The Annals of Statistics

ISSN 0090-5364589 articles in this topic

318h-index

2.58Impact

6.3KArticles

624.7KCitations

5

Journal of the American Statistical Association

Journal of the American Statistical Association

ISSN 0162-1459479 articles in this topic

648h-index

1.61Impact

28KArticles

2.5MCitations

6

Biometrika

ISSN 0006-3444365 articles in this topic

361h-index

1.41Impact

13.4KArticles

893.4KCitations

7

The Journal of Finance

ISSN 0022-1082255 articles in this topic

658h-index

10.71Impact

16.1KArticles

1.9MCitations

8

Econometrica

ISSN 0012-9682225 articles in this topic

528h-index

6.11Impact

7.3KArticles

1.6MCitations

9

Journal of Financial Economics

ISSN 0304-405X201 articles in this topic

545h-index

8.91Impact

4.8KArticles

1.3MCitations

10

Journal of the Royal Statistical Society Series B (Statistical Methodology)

ISSN 1369-7412181 articles in this topic

307h-index

1.61Impact

4.2KArticles

739.3KCitations

11

Energy Economics

ISSN 0140-9883166 articles in this topic

285h-index

10.28Impact

8.7KArticles

492.5KCitations

12

Review of Financial Studies

ISSN 0893-9454160 articles in this topic

390h-index

9.41Impact

3.3KArticles

602.1KCitations