{"id":"https://openalex.org/W2005158875","doi":"https://doi.org/10.1093/rfs/4.4.753","title":"Econometric Aspects of the Variance-Bounds Tests: A Survey","display_name":"Econometric Aspects of the Variance-Bounds Tests: A Survey","publication_year":1991,"publication_date":"1991-10-01","ids":{"openalex":"https://openalex.org/W2005158875","doi":"https://doi.org/10.1093/rfs/4.4.753","mag":"2005158875"},"language":"en","primary_location":{"id":"doi:10.1093/rfs/4.4.753","doi":"https://doi.org/10.1093/rfs/4.4.753","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.4.753","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","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":null,"display_name":"Christian Gilles","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Christian Gilles","raw_affiliation_strings":["Board of Governors of the Federal Reserve System,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Board of Governors of the Federal Reserve System,","institution_ids":["https://openalex.org/I2802905149"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101101669","display_name":"Stephen F. LeRoy","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I130238516","display_name":"University of Minnesota","ror":"https://ror.org/017zqws13","country_code":"US","type":"education","lineage":["https://openalex.org/I130238516"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Stephen F. LeRoy","raw_affiliation_strings":["University of Minnesota, Minnesota, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Minnesota, Minnesota, USA","institution_ids":["https://openalex.org/I130238516"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":4028,"currency":"USD","value_usd":4028},"apc_paid":null,"fwci":7.1213,"has_fulltext":false,"cited_by_count":95,"citation_normalized_percentile":{"value":0.9629944,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"4","issue":"4","first_page":"753","last_page":"791"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8744999766349792,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.8744999766349792,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.06120000034570694,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.031099999323487282,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/asset-price-volatility","display_name":"asset price volatility","score":0.8920000195503235},{"id":"https://openalex.org/keywords/excess-volatility","display_name":"excess volatility","score":0.9539999961853027},{"id":"https://openalex.org/keywords/statistical-significance","display_name":"statistical significance","score":0.6439999938011169},{"id":"https://openalex.org/keywords/econometric-bias","display_name":"econometric bias","score":0.8320000171661377}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7229527831077576},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.717610776424408},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6938136219978333},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5156809091567993},{"id":"https://openalex.org/C180075932","wikidata":"https://www.wikidata.org/wiki/Q5333342","display_name":"Econometric model","level":2,"score":0.4968259632587433},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.44029322266578674},{"id":"https://openalex.org/C47664361","wikidata":"https://www.wikidata.org/wiki/Q7242636","display_name":"Price variance","level":3,"score":0.43083053827285767},{"id":"https://openalex.org/C2778705799","wikidata":"https://www.wikidata.org/wiki/Q2823610","display_name":"Financial asset","level":2,"score":0.42567145824432373},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4172397255897522},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.33998724818229675},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.21443712711334229},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18520116806030273},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.10236379504203796},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.07222777605056763},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1093/rfs/4.4.753","doi":"https://doi.org/10.1093/rfs/4.4.753","is_oa":false,"landing_page_url":"https://doi.org/10.1093/rfs/4.4.753","pdf_url":null,"source":{"id":"https://openalex.org/S170137484","display_name":"Review of Financial Studies","issn_l":"0893-9454","issn":["0893-9454","1465-7368"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310311648","host_organization_name":"Oxford University Press","host_organization_lineage":["https://openalex.org/P4310311648","https://openalex.org/P4310311647"],"host_organization_lineage_names":["Oxford University Press","University of Oxford"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Studies","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":61,"referenced_works":["https://openalex.org/W1484799109","https://openalex.org/W1487898923","https://openalex.org/W1500169817","https://openalex.org/W1506153074","https://openalex.org/W1509573782","https://openalex.org/W1521975445","https://openalex.org/W1532067570","https://openalex.org/W1539860402","https://openalex.org/W1556316478","https://openalex.org/W1574786337","https://openalex.org/W1580342459","https://openalex.org/W1581106285","https://openalex.org/W1591726557","https://openalex.org/W1598607535","https://openalex.org/W1967047281","https://openalex.org/W1969592867","https://openalex.org/W1975122157","https://openalex.org/W1975140694","https://openalex.org/W1976413713","https://openalex.org/W1992403182","https://openalex.org/W2011696830","https://openalex.org/W2012848184","https://openalex.org/W2018262488","https://openalex.org/W2034325507","https://openalex.org/W2038621549","https://openalex.org/W2046535250","https://openalex.org/W2050643653","https://openalex.org/W2056099894","https://openalex.org/W2061489468","https://openalex.org/W2069708664","https://openalex.org/W2074242865","https://openalex.org/W2077880088","https://openalex.org/W2091185484","https://openalex.org/W2094926655","https://openalex.org/W2095169544","https://openalex.org/W2123518587","https://openalex.org/W2132807882","https://openalex.org/W2138204322","https://openalex.org/W2144487825","https://openalex.org/W2150779817","https://openalex.org/W2168286034","https://openalex.org/W2323266160","https://openalex.org/W2570834760","https://openalex.org/W2889914443","https://openalex.org/W2890394739","https://openalex.org/W3021558768","https://openalex.org/W3021680388","https://openalex.org/W3023063214","https://openalex.org/W3097267636","https://openalex.org/W3121973807","https://openalex.org/W3122433429","https://openalex.org/W3122475708","https://openalex.org/W3122712023","https://openalex.org/W3124256936","https://openalex.org/W3124704119","https://openalex.org/W3124986104","https://openalex.org/W3125017137","https://openalex.org/W3125360998","https://openalex.org/W4210795705","https://openalex.org/W4229511720","https://openalex.org/W4236849383"],"related_works":["https://openalex.org/W1501608546","https://openalex.org/W1487898923","https://openalex.org/W3096323227","https://openalex.org/W2011696830","https://openalex.org/W2170057635","https://openalex.org/W2889716543","https://openalex.org/W6989434711","https://openalex.org/W3123030674","https://openalex.org/W4255667147","https://openalex.org/W1500816212"],"abstract_inverted_index":{"We":[0],"survey":[1],"the":[2,9,20,37,45,54,68,78,82,108,121],"variance-bounds":[3,17],"tests":[4,18,55,66,84],"of":[5,12,19,27,30,36,47,62,67,91,97,120,131],"asset-price":[6],"volatility,":[7,88],"stressing":[8],"econometric":[10,79],"aspects":[11],"these":[13],"tests.":[14],"The":[15,33,129],"first":[16],"present-value":[21,69],"relation":[22],"reported":[23],"apparently":[24],"striking":[25],"evidence":[26],"excess":[28,87,98],"volatility":[29,99],"asset":[31],"prices.":[32],"statistical":[34,93],"significance":[35],"results,":[38],"however,":[39],"was":[40],"either":[41],"marginal":[42],"or,":[43],"in":[44,75,126],"case":[46],"model-free":[48],"tests,":[49],"impossible":[50],"to":[51,105],"assess.":[52],"Moreover,":[53],"were":[56,71],"soon":[57],"criticized":[58],"for":[59,123],"a":[60],"number":[61],"biases.":[63],"Various":[64],"other":[65],"relations":[70],"later":[72],"developed,":[73],"avoiding":[74],"different":[76],"degrees":[77],"problems":[80],"attending":[81],"first-generation":[83],"also":[85],"found":[86],"though":[89],"sometimes":[90],"borderline":[92],"significance.":[94],"This":[95],"finding":[96],"is":[100,103],"robust":[101],"and":[102],"difficult":[104],"explain":[106],"within":[107],"representative-consumer,":[109],"frictionless-market":[110],"model.":[111],"Article":[112],"published":[113],"by":[114],"Oxford":[115],"University":[116],"Press":[117],"on":[118],"behalf":[119],"Society":[122],"Financial":[124,132],"Studies":[125],"its":[127],"journal,":[128],"Review":[130],"Studies.":[133]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}