Class information for:
Level 1: REALIZED VOLATILITY//GARCH//MARKET MICROSTRUCTURE NOISE

Basic class information
ID Publications Average number
of references		 Avg. shr. active
ref. in WoS
1034 2802 32.1 55%


Bar chart of Publication_year

Last years might be incomplete

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