Class information for:
Level 1: REALIZED VOLATILITY//HIGH FREQUENCY DATA//VALUE AT RISK

Basic class information
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
2 4 ECONOMICS//POLITICAL SCIENCE//EDUCATION & EDUCATIONAL RESEARCH 1996300
115 3       BUSINESS, FINANCE//ECONOMICS//JOURNAL OF BANKING & FINANCE 72270
34 2             BUSINESS, FINANCE//ECONOMICS//JOURNAL OF FUTURES MARKETS 33240
1003 1                   REALIZED VOLATILITY//HIGH FREQUENCY DATA//VALUE AT RISK 2939

Terms with highest relevance score


rank Category termType chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 REALIZED VOLATILITY authKW 1577871 7% 73% 203
2 HIGH FREQUENCY DATA authKW 1164408 7% 52% 210
3 VALUE AT RISK authKW 829393 9% 29% 269
4 GARCH authKW 685045 8% 29% 222
5 VOLATILITY FORECASTING authKW 643549 3% 65% 92
6 LEVERAGE EFFECT authKW 526829 3% 62% 79
7 MARKET MICROSTRUCTURE NOISE authKW 483353 2% 96% 47
8 MICROSTRUCTURE NOISE authKW 470569 2% 83% 53
9 BACKTESTING authKW 416206 2% 76% 51
10 STOCHASTIC VOLATILITY authKW 413146 6% 21% 184

Web of Science journal categories


chi_square_rank Category chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 Social Sciences, Mathematical Methods 100521 23% 1% 673
2 Economics 96155 61% 1% 1800
3 Business, Finance 96098 27% 1% 795
4 Statistics & Probability 31113 25% 0% 743
5 Mathematics, Interdisciplinary Applications 18605 18% 0% 539
6 Management 3037 7% 0% 218
7 Computer Science, Interdisciplinary Applications 950 5% 0% 161
8 Business 203 2% 0% 55
9 Operations Research & Management Science 159 2% 0% 63
10 Computer Science, Software Engineering 79 2% 0% 50

Address terms


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 CREATES 149761 2% 26% 53
2 FINANCE 75740 9% 3% 258
3 TN THIELE MATH NAT SCI 55139 0% 86% 6
4 ADV FINANCIAL STUDIES 53609 0% 100% 5
5 DISCIPLINE OPERAT MANAGEMENT ECONOMETR 42879 0% 50% 8
6 ECON 37235 21% 1% 616
7 CEREFIM 34573 0% 32% 10
8 DISCIPLINE BUSINESS ANALYT 34125 0% 29% 11
9 FINANCIAL ENGN UNIT 32165 0% 100% 3
10 POST BUSINESS ADM 24504 0% 57% 4

Journals


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass
1 JOURNAL OF FINANCIAL ECONOMETRICS 293383 3% 35% 79
2 JOURNAL OF ECONOMETRICS 123079 7% 6% 204
3 JOURNAL OF FORECASTING 87855 3% 8% 102
4 JOURNAL OF EMPIRICAL FINANCE 84613 2% 11% 70
5 ECONOMETRIC REVIEWS 58592 2% 11% 48
6 JOURNAL OF BUSINESS & ECONOMIC STATISTICS 58020 3% 6% 88
7 STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS 55876 2% 11% 49
8 QUANTITATIVE FINANCE 39842 2% 5% 71
9 JOURNAL OF RISK 38508 1% 14% 26
10 JOURNAL OF APPLIED ECONOMETRICS 33789 2% 5% 63

Author Key Words


chi_square_rank term chi_square shrOfCwithTerm shrOfTermInClass termInClass LCSH search Wikipedia search
1 REALIZED VOLATILITY 1577871 7% 73% 203 Search REALIZED+VOLATILITY Search REALIZED+VOLATILITY
2 HIGH FREQUENCY DATA 1164408 7% 52% 210 Search HIGH+FREQUENCY+DATA Search HIGH+FREQUENCY+DATA
3 VALUE AT RISK 829393 9% 29% 269 Search VALUE+AT+RISK Search VALUE+AT+RISK
4 GARCH 685045 8% 29% 222 Search GARCH Search GARCH
5 VOLATILITY FORECASTING 643549 3% 65% 92 Search VOLATILITY+FORECASTING Search VOLATILITY+FORECASTING
6 LEVERAGE EFFECT 526829 3% 62% 79 Search LEVERAGE+EFFECT Search LEVERAGE+EFFECT
7 MARKET MICROSTRUCTURE NOISE 483353 2% 96% 47 Search MARKET+MICROSTRUCTURE+NOISE Search MARKET+MICROSTRUCTURE+NOISE
8 MICROSTRUCTURE NOISE 470569 2% 83% 53 Search MICROSTRUCTURE+NOISE Search MICROSTRUCTURE+NOISE
9 BACKTESTING 416206 2% 76% 51 Search BACKTESTING Search BACKTESTING
10 STOCHASTIC VOLATILITY 413146 6% 21% 184 Search STOCHASTIC+VOLATILITY Search STOCHASTIC+VOLATILITY

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.

Classes with closest relation at Level 1


rank cluster_id2 link
1 8813 NONLINEAR TIME SERIES//QUASI MAXIMUM LIKELIHOOD ESTIMATION//GEOMETRIC ERGODICITY
2 4993 CONTAGION//VOLATILITY SPILLOVERS//DYNAMIC CONDITIONAL CORRELATION
3 630 OPTION PRICING//AMERICAN OPTIONS//STOCHASTIC VOLATILITY
4 31167 PRICE LIMITS//MAGNET EFFECT//PRICE LIMIT
5 22922 INFLATION UNCERTAINTY//OUTPUT GROWTH//INFLATION VARIABILITY
6 14371 TECHNICAL ANALYSIS//TECHNICAL TRADING RULES//TRADING RULES
7 708 BUSINESS, FINANCE//MARKET MICROSTRUCTURE//LIQUIDITY
8 4950 LONG MEMORY//FRACTIONAL INTEGRATION//LONG RANGE DEPENDENCE
9 8895 DYNAMIC FACTOR MODEL//FACTOR MODELS//INTERNATIONAL JOURNAL OF FORECASTING
10 13252 PREDICTIVE REGRESSION//STOCK RETURN PREDICTABILITY//RETURN PREDICTABILITY

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