Class information for: |
Basic class information |
ID | Publications | Average number of references |
Avg. shr. active ref. in WoS |
---|---|---|---|
1034 | 2802 | 32.1 | 55% |
Classes in level above (level 2) |
ID, lev. above |
Publications | Label for level above |
---|---|---|
445 | 15497 | LONG MEMORY//JOURNAL OF TIME SERIES ANALYSIS//JOURNAL OF ECONOMETRICS |
Terms with highest relevance score |
Rank | Term | Type of term | Relevance score (tfidf) |
Class's shr. of term's tot. occurrences |
Shr. of publ. in class containing term |
Num. of publ. in class |
---|---|---|---|---|---|---|
1 | REALIZED VOLATILITY | Author keyword | 131 | 60% | 5% | 144 |
2 | GARCH | Author keyword | 91 | 31% | 9% | 245 |
3 | MARKET MICROSTRUCTURE NOISE | Author keyword | 89 | 90% | 1% | 38 |
4 | HIGH FREQUENCY DATA | Author keyword | 81 | 41% | 5% | 151 |
5 | MICROSTRUCTURE NOISE | Author keyword | 57 | 78% | 1% | 38 |
6 | INTEGRATED VOLATILITY | Author keyword | 56 | 85% | 1% | 29 |
7 | VOLATILITY FORECASTING | Author keyword | 53 | 57% | 2% | 64 |
8 | REALIZED VARIANCE | Author keyword | 49 | 68% | 2% | 43 |
9 | VALUE AT RISK | Author keyword | 49 | 21% | 7% | 205 |
10 | GARCH MODELS | Author keyword | 42 | 43% | 3% | 73 |
Web of Science journal categories |
Author Key Words |
Rank | Web of Science journal category | Relevance score (tfidf) |
Class's shr. of term's tot. occurrences |
Shr. of publ. in class containing term |
Num. of publ. in class |
LCSH search | Wikipedia search |
---|---|---|---|---|---|---|---|
1 | REALIZED VOLATILITY | 131 | 60% | 5% | 144 | Search REALIZED+VOLATILITY | Search REALIZED+VOLATILITY |
2 | GARCH | 91 | 31% | 9% | 245 | Search GARCH | Search GARCH |
3 | MARKET MICROSTRUCTURE NOISE | 89 | 90% | 1% | 38 | Search MARKET+MICROSTRUCTURE+NOISE | Search MARKET+MICROSTRUCTURE+NOISE |
4 | HIGH FREQUENCY DATA | 81 | 41% | 5% | 151 | Search HIGH+FREQUENCY+DATA | Search HIGH+FREQUENCY+DATA |
5 | MICROSTRUCTURE NOISE | 57 | 78% | 1% | 38 | Search MICROSTRUCTURE+NOISE | Search MICROSTRUCTURE+NOISE |
6 | INTEGRATED VOLATILITY | 56 | 85% | 1% | 29 | Search INTEGRATED+VOLATILITY | Search INTEGRATED+VOLATILITY |
7 | VOLATILITY FORECASTING | 53 | 57% | 2% | 64 | Search VOLATILITY+FORECASTING | Search VOLATILITY+FORECASTING |
8 | REALIZED VARIANCE | 49 | 68% | 2% | 43 | Search REALIZED+VARIANCE | Search REALIZED+VARIANCE |
9 | VALUE AT RISK | 49 | 21% | 7% | 205 | Search VALUE+AT+RISK | Search VALUE+AT+RISK |
10 | GARCH MODELS | 42 | 43% | 3% | 73 | Search GARCH+MODELS | Search GARCH+MODELS |
Key Words Plus |
Rank | Web of Science journal category | Relevance score (tfidf) |
Class's shr. of term's tot. occurrences |
Shr. of publ. in class containing term |
Num. of publ. in class |
---|---|---|---|---|---|
1 | HIGH FREQUENCY DATA | 193 | 73% | 5% | 148 |
2 | MARKET MICROSTRUCTURE NOISE | 172 | 90% | 3% | 74 |
3 | CONDITIONAL HETEROSKEDASTICITY | 161 | 38% | 12% | 338 |
4 | AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY | 160 | 50% | 8% | 233 |
5 | REALIZED VOLATILITY | 157 | 61% | 6% | 165 |
6 | ARCH MODELS | 133 | 62% | 5% | 139 |
7 | MICROSTRUCTURE NOISE | 129 | 74% | 3% | 96 |
8 | INTEGRATED VOLATILITY | 93 | 86% | 2% | 48 |
9 | GARCH MODELS | 82 | 54% | 4% | 104 |
10 | GENERALIZED ARCH | 72 | 45% | 4% | 122 |
Journals |
Rank | Web of Science journal category | Relevance score (tfidf) |
Class's shr. of term's tot. occurrences |
Shr. of publ. in class containing term |
Num. of publ. in class |
---|---|---|---|---|---|
1 | JOURNAL OF FINANCIAL ECONOMETRICS | 29 | 36% | 2% | 66 |
2 | JOURNAL OF EMPIRICAL FINANCE | 9 | 13% | 2% | 61 |
3 | STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 5 | 10% | 2% | 43 |
4 | ECONOMETRIC REVIEWS | 4 | 11% | 1% | 34 |
5 | JOURNAL OF RISK | 2 | 12% | 1% | 15 |
6 | JOURNAL OF RISK MODEL VALIDATION | 1 | 12% | 0% | 11 |
Reviews |
Title | Publ. year | Cit. | Active references | % act. ref. to same field |
---|---|---|---|---|
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility | 2007 | 203 | 66 | 59% |
Multivariate GARCH models: A survey | 2006 | 305 | 57 | 81% |
Realized volatility: A review | 2008 | 66 | 61 | 80% |
Forecasting volatility in financial markets: A review | 2003 | 307 | 106 | 48% |
Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics | 2001 | 532 | 40 | 28% |
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries | 2008 | 31 | 78 | 53% |
Autoregressive conditional duration models in finance: A survey of the theoretical and empirical literature | 2008 | 29 | 75 | 53% |
ARCH MODELING IN FINANCE - A REVIEW OF THE THEORY AND EMPIRICAL-EVIDENCE | 1992 | 1092 | 123 | 37% |
Recent theoretical results for time series models with Garch errors | 2002 | 102 | 75 | 51% |
Financial volatility: Issues and measuring techniques | 2008 | 7 | 34 | 56% |
Address terms |
Rank | Address term | Relevance score (tfidf) |
Class's shr. of term's tot. occurrences |
Shr. of publ. in class containing term |
Num. of publ. in class |
---|---|---|---|---|---|
1 | CREATES | 9 | 23% | 1.1% | 32 |
2 | ADV FINANCIAL STUDIES | 8 | 100% | 0.2% | 5 |
3 | TN THIELE MATH NAT SCI | 6 | 71% | 0.2% | 5 |
4 | FINANCIAL ENGN UNIT | 3 | 100% | 0.1% | 3 |
5 | DISCIPLINE OPERAT MANAGEMENT ECONOMETR | 3 | 38% | 0.2% | 6 |
6 | ISMA | 2 | 20% | 0.4% | 10 |
7 | SUSTAINABIL TECHNOL POLICY | 2 | 23% | 0.3% | 8 |
8 | CEREFIM | 2 | 25% | 0.2% | 7 |
9 | ECON MANAGEMENT MARCO FANNO | 2 | 25% | 0.2% | 7 |
10 | DISCIPLINE BUSINESS ANALYT | 2 | 31% | 0.2% | 5 |
Related classes at same level (level 1) |
Rank | Relatedness score | Related classes |
---|---|---|
1 | 0.0000183413 | IMPLIED VOLATILITY//STOCHASTIC VOLATILITY//OPTION PRICING |
2 | 0.0000172762 | ARRANGED AUTOREGRESSION//NONLINEAR TIME SERIES//SETAR MODELS |
3 | 0.0000168825 | CONTAGION//STOCK MARKET INTEGRATION//STOCK MARKETS |
4 | 0.0000112684 | SEQUENTIAL MONTE CARLO//MIXTURE KALMAN FILTER//STOCHASTIC VOLATILITY |
5 | 0.0000110284 | PORTMANTEAU TEST//VARIANCE RATIO TEST//FIXED SMOOTHING ASYMPTOTICS |
6 | 0.0000107717 | RANDOM CARRIER//MULTIVARIATE STABLE DISTRIBUTION//MULTIVARIATE STABLE DISTRIBUTIONS |
7 | 0.0000105188 | MAGNET EFFECT//PRICE LIMITS//DAILY PRICE LIMITS |
8 | 0.0000102906 | LONG MEMORY//FRACTIONAL INTEGRATION//FRACTIONAL COINTEGRATION |
9 | 0.0000085984 | COMPASS ROSE//NOISY CHAOS//BICORRELATIONS |
10 | 0.0000082781 | INFLATION UNCERTAINTY//OUTPUT GROWTH//INFLATION TARGETING |