Financial Risk and Volatility Modeling

Financial Risk and Volatility Modeling is a research topic within Finance. Science Explorer counts 32k research works in it since 1951. 10.1% of them reached the world's top 10% most cited for their field and year.

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.

Volatility
GARCH Models
Copula Modeling
Stochastic Volatility
Contagion
Dependence
Realized Volatility
Risk Management
Multivariate Analysis
Market Integration

Research works: 32k
In the world top 10%: 3.2k
Top-10% rate: 10.1%
Growth, 2018-21 → 2022-25: -5%
Largest producer: China

Financial Risk and Volatility Modeling

Which countries lead Financial Risk and Volatility Modeling research?

By volume, China and the United States publish the most (1.1k and 619 works in 2022-now).

By volume, 2022-now

1 China 1.1k works
2 United States 619 works
3 India 298 works
4 United Kingdom 253 works
5 France 222 works
6 Germany 188 works
7 Türkiye 185 works
8 Italy 182 works
9 Canada 141 works
10 Japan 117 works

How concentrated that is

The same countries as shares of everything the list above accounts for. A node where two countries do two thirds of the work and one spread evenly across twelve read alike as a ranking and not at all alike here.

China1,078 · 32.8%United States619 · 18.8%India298 · 9.1%United Kingdom253 · 7.7%6 others listed1,034 · 31.5%

Shares of the rows listed above, not of the whole node.

Which institutions lead Financial Risk and Volatility Modeling research?

By volume in 2022-now, Centre National de la Recherche Scientifique publishes the most Financial Risk and Volatility Modeling research, followed by Southwestern University of Finance and Economics and Zhejiang Gongshang University.

By volume, 2022-now

1 Centre National de la Recherche ScientifiqueFrance 63 works
2 Southwestern University of Finance and EconomicsChina 24 works
3 Zhejiang Gongshang UniversityChina 20 works
4 Shanghai University of Finance and EconomicsChina 18 works
5 The University of SydneyAustralia 17 works
6 Southwest Jiaotong UniversityChina 17 works
7 Jilin UniversityChina 16 works
8 Shandong UniversityChina 16 works
9 Sapienza University of RomeItaly 16 works
10 Nanjing University of Science and TechnologyChina 16 works

Who are the leading researchers in Financial Risk and Volatility Modeling?

The most-cited researchers publishing on Financial Risk and Volatility Modeling include Yoshua Bengio, Eugene F. Fama and Andrei Shleifer.

1 Yoshua Bengio Canada 476k citations
2 Eugene F. Fama United States 262k citations
3 Andrei Shleifer United States 234k citations
4 Kai You Wang China 224k citations
5 Harry Eugene Stanley United States 198k citations
6 Sanjay Basu United States 193k citations

Ranked by citations received across their whole record, among researchers with at least three works on this topic.

What are the most cited papers in Financial Risk and Volatility Modeling?

The most cited paper in Financial Risk and Volatility Modeling is "Distribution of the Estimators for Autoregressive Time Series with a Unit Root" (David Alan Dickey, Wayne Arthur Fuller, 1979), with 23,250 citations. Next come "Generalized autoregressive conditional heteroskedasticity" (22,677) and "Testing for a unit root in time series regression" (18,270).

Most cited papers
#	Paper	Released	Citations
1	Distribution of the Estimators for Autoregressive Time Series with a Unit Root David Alan Dickey, Wayne Arthur Fuller · Journal of the American Statistical Association Open access	Jun 1979	23,250
2	Generalized autoregressive conditional heteroskedasticity Tim Bollerslev · Journal of Econometrics Open access	Apr 1986	22,677
3	Testing for a unit root in time series regression Peter C.B. Phillips, Pierre Perrón · Biometrika	1988	18,270
4	Statistical analysis of cointegration vectors Søren Johansen · Journal of Economic Dynamics and Control	Jun 1988	16,966
5	Testing for unit roots in heterogeneous panels Kyung So Im, M. Hashem Pesaran, Yongcheol Shin · Journal of Econometrics Open access	30 Apr 2003	15,285

All 98 most cited papers, with filters and sorting

Where is Financial Risk and Volatility Modeling research done?

The largest centres of Financial Risk and Volatility Modeling research in 2022-now are Beijing (China), Shanghai (China), London (United Kingdom) and Nanjing (China). Among places with at least 20 works in it, it is an unusually large share of all research in Palaiseau.

Largest cities, 2022-now

1 BeijingChina 159 works
2 ShanghaiChina 103 works
3 LondonUnited Kingdom 78 works
4 NanjingChina 72 works
5 SeoulSouth Korea 60 works
6 ChengduChina 59 works
7 TokyoJapan 57 works
8 ParisFrance 57 works
9 HangzhouChina 55 works
10 MoscowRussia 48 works

Where it is the local speciality

PalaiseauFR · 21.8 works9.5×

← less than its size predicts1×more →

Location quotient: how much more of its research is in Financial Risk and Volatility Modeling than the world average.

See Financial Risk and Volatility Modeling on the map

Where is the best place to study Financial Risk and Volatility Modeling?

Among universities, judged by research, Southwest Jiaotong University, Imam Mohammad ibn Saud Islamic University and Zhejiang Gongshang University score highest, combining excellence, specialisation, size, growth and international reach. Research strength is one signal when choosing where to study; it does not measure teaching.

above the meannear itbelow it

One dot per university in the first ten of the table below, at the default weights. The upper left is the interesting corner: small places doing unusually strong work.

Excellenceshare of its work in the world top 10%, 2022-now and all time averaged

40%

Specialisationhow much of its work is in this field, counted up to 10× the world share

10%

Sizeits output in this field, on a log scale

30%

Growthoutput growth, counted from -20% to +20%

10%

Internationalshare of its work with a co-author abroad

10%

Each slider sets a weight; the share it gets of the score is beside it.

#	University	Score	Top 10%	Specialisation	Works	Growth
1	Southwest Jiaotong UniversityChina	78.7	34.7%	4.8×	17	+58.3%
2	Imam Mohammad ibn Saud Islamic UniversitySaudi Arabia	63.4	26.2%	10.3×	9	+156.0%
3	Zhejiang Gongshang UniversityChina	60.5	14.9%	28.0×	20	+144.3%
4	University of SfaxTunisia	58.9	22.9%	10.2×	12	+37.8%
5	Southwestern University of Finance and EconomicsChina	58.2	10.2%	35.6×	24	-1.9%
6	University of LisbonPortugal	56.0	20.1%	4.1×	15	+81.2%
7	University of OxfordUnited Kingdom	54.4	20.9%	1.8×	12	+22.1%
8	Shanghai University of Finance and EconomicsChina	52.0	10.6%	38.7×	18	+1.4%
9	Hunan UniversityChina	51.4	24.6%	3.4×	11	+66.2%
10	Nanjing University of Finance and EconomicsChina	51.3	23.3%	15.7×	10	+36.6%
11	École Polytechnique Fédérale de LausanneSwitzerland	50.6	21.3%	4.5×	9	+114.1%
12	Nanjing University of Science and TechnologyChina	48.4	10.8%	4.1×	16	+44.2%
13	University of PretoriaSouth Africa	46.6	24.8%	5.5×	11	-22.3%
14	Renmin University of ChinaChina	46.5	9.5%	9.4×	14	+34.5%
15	Jilin UniversityChina	45.6	10.8%	3.0×	16	-0.3%
16	Bucharest University of Economic StudiesRomania	45.3	14.6%	15.9×	12	+40.9%
17	University of SalzburgAustria	45.3	14.9%	17.4×	10	+107.7%
18	Hong Kong University of Science and TechnologyChina	44.7	11.1%	4.8×	9	+16.5%
19	Sapienza University of RomeItaly	44.0	7.8%	2.9×	16	+42.2%
20	Macquarie UniversityAustralia	44.0	6.4%	8.1×	14	+13.1%
21	Dongbei University of Finance and EconomicsChina	43.8	17.8%	30.8×	9	+115.5%
22	The University of SydneyAustralia	43.6	7.0%	3.0×	17	-0.1%
23	University of ManchesterUnited Kingdom	42.4	9.3%	3.4×	13	+12.0%
24	Capital University of Economics and BusinessChina	42.4	16.1%	30.1×	10	+20.4%
25	Universidade de São PauloBrazil	42.0	14.2%	1.4×	13	+33.4%
26	Chinese University of Hong KongChina	41.9	10.9%	3.2×	11	+8.0%
27	University of CopenhagenDenmark	41.6	10.9%	2.3×	10	+23.5%
28	Shandong UniversityChina	41.2	2.9%	2.6×	16	+50.0%
29	Central University of Finance and EconomicsChina	41.2	14.9%	22.5×	12	-8.1%
30	Imperial College LondonUnited Kingdom	41.0	8.1%	3.0×	14	-8.3%
31	University of JohannesburgSouth Africa	40.6	14.9%	4.4×	13	-2.8%
32	King Saud UniversitySaudi Arabia	40.0	11.4%	2.0×	9	+146.1%
33	Lancaster UniversityUnited Kingdom	38.8	14.6%	8.3×	10	-25.7%
34	Monash UniversityAustralia	38.1	14.3%	2.7×	12	-5.1%
35	Athens University of Economics and BusinessGreece	37.6	11.8%	46.8×	9	+17.1%
36	London School of Economics and Political ScienceUnited Kingdom	37.2	16.9%	8.2×	9	-22.4%
37	University of LiverpoolUnited Kingdom	37.1	7.8%	3.9×	10	+32.7%
38	University of Science and Technology of ChinaChina	36.8	14.7%	2.0×	11	+36.9%
39	Université de Caen NormandieFrance	36.4	6.7%	12.7×	10	+290.6%
40	Qassim UniversitySaudi Arabia	35.6	8.4%	7.0×	8	+145.6%
41	King Abdulaziz UniversitySaudi Arabia	33.9	3.9%	3.5×	9	+105.9%
42	KU LeuvenBelgium	28.1	4.9%	1.9×	9	+25.8%
43	University College LondonUnited Kingdom	26.9	8.6%	1.2×	9	+5.2%

Universities only. The score blends excellence (40%), size (30%), specialisation (10%), growth (10%), international reach (10%), 2022-now; growth compares 2018-21 with 2022-25 and counts up to +20%, since a jump from a small base is mostly noise.

Every institution in Financial Risk and Volatility Modeling, country by country

Is Financial Risk and Volatility Modeling research growing?

Output in 2022-2025 was 5% lower than in 2018-2021, peaking in 2014.

grewheldshrank

The same series as a ribbon: one cell per year, darker for more. The line above answers how much; this answers when.

Its share of all research

Growing output can still be a shrinking share: all of science grows. This is Financial Risk and Volatility Modeling as a percentage of every work published that year, 0.020% in 2024.

Fractional works of Financial Risk and Volatility Modeling over all fractional works that year. How the balance of science has shifted.

How much of it reaches the world top 10%

Year by year.

Of each year's works in it, the share that reached the world's 10% most cited for their field and year. A field is the world for its own topics, so there is no other line to hold it against.

Which topics inside it are moving

Growth and decline on one axis around a shared zero. Two lists side by side hide the thing that matters: whether the growth dwarfs the decline, or the other way round.

Discussion

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Which countries lead Financial Risk and Volatility Modeling research?

By volume, 2022-now

How concentrated that is

Which institutions lead Financial Risk and Volatility Modeling research?

By volume, 2022-now

Who are the leading researchers in Financial Risk and Volatility Modeling?

What are the most cited papers in Financial Risk and Volatility Modeling?

Where is Financial Risk and Volatility Modeling research done?

Largest cities, 2022-now

Where it is the local speciality

Where is the best place to study Financial Risk and Volatility Modeling?

Is Financial Risk and Volatility Modeling research growing?

Its share of all research

How much of it reaches the world top 10%

Which topics inside it are moving

Related research

Discussion