Araştırma Makalesi
BibTex RIS Kaynak Göster
Yıl 2024, Cilt: 24 Sayı: 2, 131 - 148, 25.05.2024
https://doi.org/10.21121/eab.922952

Öz

Kaynakça

  • Akel, V. (2011), Kriz Dönemlerinde Finansal Piyasalar Arasındaki Volatilite Yayılma Etkisi, 1. Basım, Detay Yayıncılık, Ankara
  • Andersen, Torben, G; Bollerslev, T; Diebold, FX; Labys, P. (2003). Modeling and Forecasting Realized Volatility, Econometrica, 71 (2); 579-625
  • Andersen, Torben, G.; Bollerslev, Tim; Diebold, Francis X., (2007). Roughing It Up: Including Jump Components in The Measurement, Modeling, and Forecasting of Return Volatility, Review of Economics and Statistics, 89 (4); 701-720
  • Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, The Distribution of Realized Exchange Rate Volatility, Journal of American Statistical Association, 2001, 96(453);42-55
  • Andersen, TG; Bollerslev, T., Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review, 1998, 39(4);885-905
  • Bekaert, G; Wu, GJ, Asymmetric Volatility and Risk in Equity Markets, Review of Financial Studies, 2000, 13(1);1-42
  • Baker, H. K., Kumar, S., & Pandey, N. (2019). Thirty years of the Global Finance Journal: A bibliometric analysis. Global Finance Journal, 100492.
  • Barndorff-Nielsen, OE; Shephard, N., Econometric Analysis of Realized Volatility and Its use in Estimating Stochastic Volatility Models, Journal of The Royal Ststistical Society Series B-Statistical Methodology, 2002, 64;253-280
  • Bollerslev, T. Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, 1986, Pages 307-327
  • Chen, J., & Yang, L. (2019). A Bibliometric Review of Volatility Spillovers in Financial Markets: Knowledge Bases and Research Fronts. Emerging Markets Finance and Trade, 1-22.
  • Depren, Ö., Kartal, M. T., & Depren, S. K. (2018). Borsalarda Oynaklık Üzerine Yayınlanmış Akademik Çalışmaların Bibliyometrik Analizi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, 2(6), 1-15.
  • Diebold, FX; Nerlove, M., The Dynamics of Eschange-Rate-Volatility-Amultivariate Latent Factor ARCH Model, Journal of Applied Econometrics, 1989, 4(1);1-21
  • Emhan, Abdürrahim, (2009). “Risk Yönetim Süreci ve Risk Yönetmekte Kullanılan Teknikler”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23 (3), 209 -220
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation Econometrica 50: 987-1008.
  • Flores‐Sosa, M., Avilés‐Ochoa, E., & Merigó, J. M. (2020). Exchange rate and volatility: A bibliometric review. International Journal of Finance & Economics.
  • French, KR; Schwert, GW; Stambaugh, RF, Expected Stock Returns and Volatility, Journal of Financial Economics, 1987, 19(1);3-29
  • Glosten, LR; Jagannathan, R; Runkle, DE, On The Relation Between The Expected Value and The Volatility of The Nominal Excess Return on Stocks, Journal of Finance, 1993, 48(5);1779-1801
  • Heston, SL (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343
  • Hussain, A., Fatima, N. ve Kumar, D. (2011). Bibliometric analysis of the 'Electronic Library' journal (2000-2010). Webology, 8(1): 1-11.
  • Kabongo, J. (2019). Twenty Years of the Journal of African Business: A Bibliometric Analysis, Journal of African Business, 20(2), 170-179
  • Merediz-Solà, I., & Bariviera, A. F. (2019). A bibliometric analysis of bitcoin scientific production. Research in International Business and Finance, 50, 294-305.
  • Merigó, J. M. and Yang, J. B. (2016), Accounting Research: A Bibliometric Analysis, Australian Account Review, 27(1), 71-100
  • Patton, Andrew J. Volatility Forecast Comparison Using Imperfect Volatility Proxies, Journal of Econometrics, 2011, 160(1);246-256
  • Poon, SH; Granger, CWJ, Forecasting Volatility in Financial Markets: A Review, Journal of Economic Litarature, 2003, 41(2);478-539
  • Schwert, GW, Stock Volatility and The Crash of 87, Review of Financial Studies, 1990, 3(1;77-106
  • Schwert, GW, Why Does Stock-Market Volatility Change Over Time, Journal of Finance, 1989, 44(5), 1115-1153
  • Vianez, J. P, Martínez, R. G. and Román, C, P. (2020), A bibliometric analysis of behavioural finance with mapping analysis tools, European Research on Management and Business Economics, 26(2), 71-77
  • Wei, G. (2016), “A Bibliometric Analysis of The Top Five Economics Journals During 2012–2016.”, Journal of Economic Survey, 33(1), 25-59
  • Wiggins, JB, Option Values Under Stochastic Volatility-Theory and Empirical Estimates, Journal of Financial Economics, 1987, 19(2);351-372

Bibliometric Analysis of Studies of Published in the Field of Volatility

Yıl 2024, Cilt: 24 Sayı: 2, 131 - 148, 25.05.2024
https://doi.org/10.21121/eab.922952

Öz

Volatility, which is used to determine the risk structure of financial markets or instruments, is one of the most used methods by researchers. In this study which is conducted to reveal the tag of volatility studies, 11,894 articles related to volatility between 1975 and 2020, which were scanned in the Web of Science database, were subjected to bibliometric analysis. As a consequence of the investigation, the details of the subject such as the country with the highest number of publications, institutions, the most cited authors, articles, leading journals and keywords in the field were revealed. As a consequence of the, it was determined that the authors worked on three basic subjects such as "stocks and stock markets", "exchange rates" and "macroeconomic indicators" on volatility. It has been observed that the main objectives of the studies conducted are either to compare the performance of existing volatility estimation models or to develop new models by adding new variables.

Kaynakça

  • Akel, V. (2011), Kriz Dönemlerinde Finansal Piyasalar Arasındaki Volatilite Yayılma Etkisi, 1. Basım, Detay Yayıncılık, Ankara
  • Andersen, Torben, G; Bollerslev, T; Diebold, FX; Labys, P. (2003). Modeling and Forecasting Realized Volatility, Econometrica, 71 (2); 579-625
  • Andersen, Torben, G.; Bollerslev, Tim; Diebold, Francis X., (2007). Roughing It Up: Including Jump Components in The Measurement, Modeling, and Forecasting of Return Volatility, Review of Economics and Statistics, 89 (4); 701-720
  • Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P, The Distribution of Realized Exchange Rate Volatility, Journal of American Statistical Association, 2001, 96(453);42-55
  • Andersen, TG; Bollerslev, T., Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts, International Economic Review, 1998, 39(4);885-905
  • Bekaert, G; Wu, GJ, Asymmetric Volatility and Risk in Equity Markets, Review of Financial Studies, 2000, 13(1);1-42
  • Baker, H. K., Kumar, S., & Pandey, N. (2019). Thirty years of the Global Finance Journal: A bibliometric analysis. Global Finance Journal, 100492.
  • Barndorff-Nielsen, OE; Shephard, N., Econometric Analysis of Realized Volatility and Its use in Estimating Stochastic Volatility Models, Journal of The Royal Ststistical Society Series B-Statistical Methodology, 2002, 64;253-280
  • Bollerslev, T. Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, Volume 31, Issue 3, 1986, Pages 307-327
  • Chen, J., & Yang, L. (2019). A Bibliometric Review of Volatility Spillovers in Financial Markets: Knowledge Bases and Research Fronts. Emerging Markets Finance and Trade, 1-22.
  • Depren, Ö., Kartal, M. T., & Depren, S. K. (2018). Borsalarda Oynaklık Üzerine Yayınlanmış Akademik Çalışmaların Bibliyometrik Analizi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, 2(6), 1-15.
  • Diebold, FX; Nerlove, M., The Dynamics of Eschange-Rate-Volatility-Amultivariate Latent Factor ARCH Model, Journal of Applied Econometrics, 1989, 4(1);1-21
  • Emhan, Abdürrahim, (2009). “Risk Yönetim Süreci ve Risk Yönetmekte Kullanılan Teknikler”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23 (3), 209 -220
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation Econometrica 50: 987-1008.
  • Flores‐Sosa, M., Avilés‐Ochoa, E., & Merigó, J. M. (2020). Exchange rate and volatility: A bibliometric review. International Journal of Finance & Economics.
  • French, KR; Schwert, GW; Stambaugh, RF, Expected Stock Returns and Volatility, Journal of Financial Economics, 1987, 19(1);3-29
  • Glosten, LR; Jagannathan, R; Runkle, DE, On The Relation Between The Expected Value and The Volatility of The Nominal Excess Return on Stocks, Journal of Finance, 1993, 48(5);1779-1801
  • Heston, SL (1993) A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343
  • Hussain, A., Fatima, N. ve Kumar, D. (2011). Bibliometric analysis of the 'Electronic Library' journal (2000-2010). Webology, 8(1): 1-11.
  • Kabongo, J. (2019). Twenty Years of the Journal of African Business: A Bibliometric Analysis, Journal of African Business, 20(2), 170-179
  • Merediz-Solà, I., & Bariviera, A. F. (2019). A bibliometric analysis of bitcoin scientific production. Research in International Business and Finance, 50, 294-305.
  • Merigó, J. M. and Yang, J. B. (2016), Accounting Research: A Bibliometric Analysis, Australian Account Review, 27(1), 71-100
  • Patton, Andrew J. Volatility Forecast Comparison Using Imperfect Volatility Proxies, Journal of Econometrics, 2011, 160(1);246-256
  • Poon, SH; Granger, CWJ, Forecasting Volatility in Financial Markets: A Review, Journal of Economic Litarature, 2003, 41(2);478-539
  • Schwert, GW, Stock Volatility and The Crash of 87, Review of Financial Studies, 1990, 3(1;77-106
  • Schwert, GW, Why Does Stock-Market Volatility Change Over Time, Journal of Finance, 1989, 44(5), 1115-1153
  • Vianez, J. P, Martínez, R. G. and Román, C, P. (2020), A bibliometric analysis of behavioural finance with mapping analysis tools, European Research on Management and Business Economics, 26(2), 71-77
  • Wei, G. (2016), “A Bibliometric Analysis of The Top Five Economics Journals During 2012–2016.”, Journal of Economic Survey, 33(1), 25-59
  • Wiggins, JB, Option Values Under Stochastic Volatility-Theory and Empirical Estimates, Journal of Financial Economics, 1987, 19(2);351-372
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi, İşletme
Bölüm Araştırma Makalesi
Yazarlar

Özkan Şahin 0000-0001-5341-1274

Erkan Bil 0000-0003-4301-3816

Erken Görünüm Tarihi 23 Mayıs 2024
Yayımlanma Tarihi 25 Mayıs 2024
Kabul Tarihi 1 Mart 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 24 Sayı: 2

Kaynak Göster

APA Şahin, Ö., & Bil, E. (2024). Bibliometric Analysis of Studies of Published in the Field of Volatility. Ege Academic Review, 24(2), 131-148. https://doi.org/10.21121/eab.922952
AMA Şahin Ö, Bil E. Bibliometric Analysis of Studies of Published in the Field of Volatility. eab. Mayıs 2024;24(2):131-148. doi:10.21121/eab.922952
Chicago Şahin, Özkan, ve Erkan Bil. “Bibliometric Analysis of Studies of Published in the Field of Volatility”. Ege Academic Review 24, sy. 2 (Mayıs 2024): 131-48. https://doi.org/10.21121/eab.922952.
EndNote Şahin Ö, Bil E (01 Mayıs 2024) Bibliometric Analysis of Studies of Published in the Field of Volatility. Ege Academic Review 24 2 131–148.
IEEE Ö. Şahin ve E. Bil, “Bibliometric Analysis of Studies of Published in the Field of Volatility”, eab, c. 24, sy. 2, ss. 131–148, 2024, doi: 10.21121/eab.922952.
ISNAD Şahin, Özkan - Bil, Erkan. “Bibliometric Analysis of Studies of Published in the Field of Volatility”. Ege Academic Review 24/2 (Mayıs 2024), 131-148. https://doi.org/10.21121/eab.922952.
JAMA Şahin Ö, Bil E. Bibliometric Analysis of Studies of Published in the Field of Volatility. eab. 2024;24:131–148.
MLA Şahin, Özkan ve Erkan Bil. “Bibliometric Analysis of Studies of Published in the Field of Volatility”. Ege Academic Review, c. 24, sy. 2, 2024, ss. 131-48, doi:10.21121/eab.922952.
Vancouver Şahin Ö, Bil E. Bibliometric Analysis of Studies of Published in the Field of Volatility. eab. 2024;24(2):131-48.