Class information for:
Level 1: GARCH//GARCH MODELS//VALUE AT RISK

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
1852 2458 30.6 55%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
144 2             BUSINESS, FINANCE//JOURNAL OF FUTURES MARKETS//ECONOMICS 23368
1852 1                   GARCH//GARCH MODELS//VALUE AT RISK 2458

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 GARCH authKW 1045915 10% 34% 250
2 GARCH MODELS authKW 675336 5% 42% 129
3 VALUE AT RISK authKW 558018 8% 23% 199
4 BACKTESTING authKW 331396 2% 65% 41
5 LEVERAGE EFFECT authKW 316625 2% 46% 56
6 ARCH MODELS authKW 276360 2% 51% 44
7 VOLATILITY authKW 222956 7% 11% 169
8 QUASI MAXIMUM LIKELIHOOD authKW 212515 2% 46% 37
9 STOCHASTIC VOLATILITY authKW 201606 5% 14% 115
10 MULTIVARIATE GARCH authKW 193385 2% 31% 51

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with term
in class
1 Social Sciences, Mathematical Methods 84890 23% 1% 566
2 Economics 62392 54% 0% 1327
3 Statistics & Probability 52349 36% 0% 875
4 Business, Finance 31546 17% 1% 417
5 Mathematics, Interdisciplinary Applications 17476 19% 0% 476
6 Computer Science, Interdisciplinary Applications 2275 9% 0% 215
7 Management 1667 6% 0% 149
8 Computer Science, Software Engineering 284 3% 0% 73
9 Agricultural Economics & Policy 201 1% 0% 17
10 Operations Research & Management Science 128 2% 0% 52

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 DISCIPLINE OPERAT MANAGEMENT ECONOMETR 49676 0% 50% 8
2 ECON COMMERCE 38126 1% 9% 34
3 ECON 30276 20% 1% 503
4 ECONOMETR 27606 3% 4% 63
5 FINANCE 26831 6% 2% 138
6 DISCIPLINE BUSINESS ANALYT 25632 0% 26% 8
7 SOCIOECON DEV TERRITORIES 24842 0% 100% 2
8 ISMA 24339 0% 20% 10
9 EQUIPPE GREMARS 18062 0% 36% 4
10 SUSTAINABIL TECHNOL POLICY 17378 0% 20% 7

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF FINANCIAL ECONOMETRICS 92371 2% 19% 40
2 JOURNAL OF ECONOMETRICS 74030 6% 4% 146
3 JOURNAL OF BUSINESS & ECONOMIC STATISTICS 64218 3% 6% 85
4 STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS 61025 2% 10% 47
5 JOURNAL OF TIME SERIES ANALYSIS 58400 2% 8% 59
6 JOURNAL OF FORECASTING 56848 3% 6% 75
7 ECONOMETRIC THEORY 53811 3% 6% 75
8 JOURNAL OF EMPIRICAL FINANCE 46816 2% 8% 47
9 ECONOMETRIC REVIEWS 46762 2% 10% 38
10 JOURNAL OF RISK MODEL VALIDATION 29885 1% 14% 17

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 GARCH 1045915 10% 34% 250 Search GARCH Search GARCH
2 GARCH MODELS 675336 5% 42% 129 Search GARCH+MODELS Search GARCH+MODELS
3 VALUE AT RISK 558018 8% 23% 199 Search VALUE+AT+RISK Search VALUE+AT+RISK
4 BACKTESTING 331396 2% 65% 41 Search BACKTESTING Search BACKTESTING
5 LEVERAGE EFFECT 316625 2% 46% 56 Search LEVERAGE+EFFECT Search LEVERAGE+EFFECT
6 ARCH MODELS 276360 2% 51% 44 Search ARCH+MODELS Search ARCH+MODELS
7 VOLATILITY 222956 7% 11% 169 Search VOLATILITY Search VOLATILITY
8 QUASI MAXIMUM LIKELIHOOD 212515 2% 46% 37 Search QUASI+MAXIMUM+LIKELIHOOD Search QUASI+MAXIMUM+LIKELIHOOD
9 STOCHASTIC VOLATILITY 201606 5% 14% 115 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY
10 MULTIVARIATE GARCH 193385 2% 31% 51 Search MULTIVARIATE+GARCH Search MULTIVARIATE+GARCH

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 NIETO, MR , RUIZ, E , (2016) FRONTIERS IN VAR FORECASTING AND BACKTESTING.INTERNATIONAL JOURNAL OF FORECASTING. VOL. 32. ISSUE 2. P. 475 -501 85 57% 1
2 BAUWENS, L , LAURENT, S , ROMBOUTS, JVK , (2006) MULTIVARIATE GARCH MODELS: A SURVEY.JOURNAL OF APPLIED ECONOMETRICS. VOL. 21. ISSUE 1. P. 79-109 43 75% 376
3 HAAS, M , (2010) SKEW-NORMAL MIXTURE AND MARKOV-SWITCHING GARCH PROCESSES.STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS. VOL. 14. ISSUE 4. P. - 50 76% 5
4 LI, WK , ZHU, K , (2015) A NEW PEARSON-TYPE QMLE FOR CONDITIONALLY HETEROSCEDASTIC MODELS.JOURNAL OF BUSINESS & ECONOMIC STATISTICS. VOL. 33. ISSUE 4. P. 552 -565 35 88% 2
5 CHEN, CWS , SO, MKP , LIU, FC , (2011) A REVIEW OF THRESHOLD TIME SERIES MODELS IN FINANCE.STATISTICS AND ITS INTERFACE. VOL. 4. ISSUE 2. P. 167 -181 57 58% 3
6 FRANCQ, C , ZAKOIAN, JM , (2016) ESTIMATING MULTIVARIATE VOLATILITY MODELS EQUATION BY EQUATION.JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY. VOL. 78. ISSUE 3. P. 613 -635 28 97% 1
7 PACURAR, M , (2008) AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE.JOURNAL OF ECONOMIC SURVEYS. VOL. 22. ISSUE 4. P. 711 -751 48 64% 36
8 POON, SH , GRANGER, CWJ , (2003) FORECASTING VOLATILITY IN FINANCIAL MARKETS: A REVIEW.JOURNAL OF ECONOMIC LITERATURE. VOL. 41. ISSUE 2. P. 478-539 51 48% 355
9 MEDEIROS, MC , VEIGA, A , (2009) MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL.ECONOMETRIC THEORY. VOL. 25. ISSUE 1. P. 117 -161 39 76% 10
10 FAN, JQ , QI, L , XIU, DC , (2014) QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF GARCH MODELS WITH HEAVY-TAILED LIKELIHOODS.JOURNAL OF BUSINESS & ECONOMIC STATISTICS. VOL. 32. ISSUE 2. P. 178 -191 24 96% 18

Classes with closest relation at Level 1


Rank Class id link
1 7014 HIGH FREQUENCY DATA//REALIZED VOLATILITY//MICROSTRUCTURE NOISE
2 20360 NONLINEAR TIME SERIES//BILINEAR MODEL//ARRANGED AUTOREGRESSION
3 5363 CONTAGION//STOCK MARKET INTEGRATION//VOLATILITY SPILLOVERS
4 1907 OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY
5 20420 INFLATION UNCERTAINTY//OUTPUT GROWTH//INFLATION VOLATILITY
6 21918 BICORRELATION//SECTORAL SHARES//TRICORRELATION
7 5121 LONG MEMORY//FRACTIONAL INTEGRATION//LONG RANGE DEPENDENCE
8 20967 ALPHA STABLE DISTRIBUTION//STABLE DISTRIBUTION//SYMMETRIC ALPHA STABLE DISTRIBUTION
9 11419 TERM SPREAD//MARKOV SWITCHING//MARKOV SWITCHING MODELS
10 4377 OIL PRICES//OIL PRICE SHOCKS//ENERGY ECONOMICS

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