{"id":"https://openalex.org/W1141928065","doi":"https://doi.org/10.1016/j.irfa.2015.08.005","title":"Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market","display_name":"Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market","publication_year":2015,"publication_date":"2015-08-13","ids":{"openalex":"https://openalex.org/W1141928065","doi":"https://doi.org/10.1016/j.irfa.2015.08.005","mag":"1141928065"},"language":"en","primary_location":{"id":"doi:10.1016/j.irfa.2015.08.005","doi":"https://doi.org/10.1016/j.irfa.2015.08.005","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.irfa.2015.08.005","pdf_url":null,"source":{"id":"https://openalex.org/S145572626","display_name":"International Review of Financial Analysis","issn_l":"1057-5219","issn":["1057-5219","1873-8079"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Financial Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5083663523","display_name":"Raquel L\u00f3pez","orcid":"https://orcid.org/0000-0001-7331-4455","observed_orcids":["https://orcid.org/0000-0001-7331-4455"]},"institutions":[{"id":"https://openalex.org/I79189158","display_name":"University of Castilla-La Mancha","ror":"https://ror.org/05r78ng12","country_code":"ES","type":"education","lineage":["https://openalex.org/I79189158"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Raquel L\u00f3pez","raw_affiliation_strings":["Department of Economics and Finance, University of Castilla-La Mancha, Plaza de la Universidad, 1, 02071, Albacete, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, University of Castilla-La Mancha, Plaza de la Universidad, 1, 02071, Albacete, Spain","institution_ids":["https://openalex.org/I79189158"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5083663523"],"corresponding_institution_ids":["https://openalex.org/I79189158"],"apc_list":{"value":3770,"currency":"USD","value_usd":3770},"apc_paid":null,"fwci":3.8216,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.92992601,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"42","issue":null,"first_page":"292","last_page":"303"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9243000149726868,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9243000149726868,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.04740000143647194,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.014700000174343586,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility-index","display_name":"volatility index","score":0.6460000276565552},{"id":"https://openalex.org/keywords/treasury-bond-futures","display_name":"Treasury bond futures","score":0.6050000190734863},{"id":"https://openalex.org/keywords/macroeconomic-announcements","display_name":"macroeconomic announcements","score":0.7480000257492065},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.593999981880188},{"id":"https://openalex.org/keywords/granger-causality","display_name":"Granger causality","score":0.6259999871253967},{"id":"https://openalex.org/keywords/u-s-treasury-market","display_name":"U.S. Treasury market","score":0.39500001072883606}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7323221564292908},{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.6827313899993896},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6754989624023438},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6019214987754822},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5365320444107056},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.5348300933837891},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5059618353843689},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.49072396755218506},{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.4859555959701538},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.47048452496528625},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.46447882056236267},{"id":"https://openalex.org/C120310109","wikidata":"https://www.wikidata.org/wiki/Q3239315","display_name":"Fixed income","level":3,"score":0.45574286580085754},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.43963879346847534},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.293854683637619},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.140649676322937},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.1273249387741089},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.irfa.2015.08.005","doi":"https://doi.org/10.1016/j.irfa.2015.08.005","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.irfa.2015.08.005","pdf_url":null,"source":{"id":"https://openalex.org/S145572626","display_name":"International Review of Financial Analysis","issn_l":"1057-5219","issn":["1057-5219","1873-8079"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Review of Financial Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:finana:v:42:y:2015:i:c:p:292-303","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1057521915001386","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":55,"referenced_works":["https://openalex.org/W1501158853","https://openalex.org/W1531866461","https://openalex.org/W1571438983","https://openalex.org/W1574337147","https://openalex.org/W1600554440","https://openalex.org/W1608360219","https://openalex.org/W1969931425","https://openalex.org/W1988326759","https://openalex.org/W1993067437","https://openalex.org/W1993301979","https://openalex.org/W1998048891","https://openalex.org/W1999559953","https://openalex.org/W2000350663","https://openalex.org/W2002777042","https://openalex.org/W2006910832","https://openalex.org/W2007068257","https://openalex.org/W2025176312","https://openalex.org/W2038899908","https://openalex.org/W2039125932","https://openalex.org/W2040315127","https://openalex.org/W2049234737","https://openalex.org/W2049392410","https://openalex.org/W2050067494","https://openalex.org/W2064162177","https://openalex.org/W2065461442","https://openalex.org/W2076515897","https://openalex.org/W2084931349","https://openalex.org/W2093082189","https://openalex.org/W2097353777","https://openalex.org/W2108855171","https://openalex.org/W2111682960","https://openalex.org/W2113465651","https://openalex.org/W2160747540","https://openalex.org/W2334271213","https://openalex.org/W2573695102","https://openalex.org/W2788622070","https://openalex.org/W2977330347","https://openalex.org/W3021146541","https://openalex.org/W3021444882","https://openalex.org/W3121171688","https://openalex.org/W3121992077","https://openalex.org/W3122232370","https://openalex.org/W3122293068","https://openalex.org/W3122449757","https://openalex.org/W3122579405","https://openalex.org/W3123696883","https://openalex.org/W3124262433","https://openalex.org/W3124812671","https://openalex.org/W3124933125","https://openalex.org/W3125018527","https://openalex.org/W3125417900","https://openalex.org/W3125524568","https://openalex.org/W3125546102","https://openalex.org/W6629786074","https://openalex.org/W6683597690"],"related_works":["https://openalex.org/W7046257167","https://openalex.org/W3121992077","https://openalex.org/W3124788863","https://openalex.org/W568319591","https://openalex.org/W3207868542","https://openalex.org/W2108626801","https://openalex.org/W3151075880","https://openalex.org/W1984226036","https://openalex.org/W1991170587","https://openalex.org/W7098560494"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":2}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}