Financial Risk and Volatility Modeling

Field	Economics, Econometrics and Finance
Subfield	Finance
Domain	Social Sciences
OpenAlex	T10282

Smeal faculty

• Anh Le - score 5.0
• Giang Nguyen - score 3.0
• Charles Cao - score 1.0
• Jingzhi Huang - score 1.0
• Joel M. Vanden - score 1.0
• Liang Peng - score 1.0

Papers

• Inequality Constraints in the Univariate GARCH Model (1992) - cites 611
• The price of variance risk (2016) - cites 189
• Time Variation in Diversification Benefits of Commodity, REITs, and TIPS (2011) - cites 84
• Liquidity and Volatility in the U.S. Treasury Market (2013) - cites 44
• Liquidity and volatility in the U.S. Treasury market (2020) - cites 32
• The Price of Variance Risk (2014) - cites 24
• The Price of Variance Risk (2015) - cites 20
• Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care? (2012) - cites 16
• Risk and Return Trade-Off in the U.S. Treasury Market (2014) - cites 12
• Equilibrium analysis of volatility clustering (2004) - cites 12
• Liquidity and volatility in the U.S. Treasury market (0) - cites 2
• Risk and Return Trade-o in the U.S. Treasury Market (2014) - cites 1