{"id":"https://openalex.org/W2019694570","doi":"https://doi.org/10.1080/135184700336946","title":"On the volatility of measures of financial risk: an investigation using returns from European markets","display_name":"On the volatility of measures of financial risk: an investigation using returns from European markets","publication_year":2000,"publication_date":"2000-03-01","ids":{"openalex":"https://openalex.org/W2019694570","doi":"https://doi.org/10.1080/135184700336946","mag":"2019694570"},"language":"en","primary_location":{"id":"doi:10.1080/135184700336946","doi":"https://doi.org/10.1080/135184700336946","is_oa":false,"landing_page_url":"https://doi.org/10.1080/135184700336946","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"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-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","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/A5030561857","display_name":"Babak Eftekhari","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Babak Eftekhari","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"Christian S. Pedersen","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Christian S. Pedersen","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5001318457","display_name":"Stephen Satchell","orcid":"https://orcid.org/0000-0002-5258-762X","observed_orcids":["https://orcid.org/0000-0002-5258-762X"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stephen E. Satchell","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.2915,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.93235931,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"6","issue":"1","first_page":"18","last_page":"38"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5365999937057495,"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":0.5365999937057495,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.44679999351501465,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.004999999888241291,"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/risk-measures","display_name":"risk measures","score":0.7760000228881836},{"id":"https://openalex.org/keywords/semivariance","display_name":"semivariance","score":0.8510000109672546},{"id":"https://openalex.org/keywords/lower-partial-moments","display_name":"lower partial moments","score":0.9369999766349792},{"id":"https://openalex.org/keywords/gini-coefficient","display_name":"Gini coefficient","score":0.7879999876022339},{"id":"https://openalex.org/keywords/absolute-deviation","display_name":"absolute deviation","score":0.996999979019165},{"id":"https://openalex.org/keywords/standard-deviation","display_name":"standard deviation","score":0.7820000052452087},{"id":"https://openalex.org/keywords/non-normal-returns","display_name":"non-normal returns","score":0.7059999704360962},{"id":"https://openalex.org/keywords/european-stock-markets","display_name":"European stock markets","score":0.6690000295639038},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.6320000290870667},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"portfolio optimization","score":0.8560000061988831},{"id":"https://openalex.org/keywords/cross-market-comparison","display_name":"cross-market comparison","score":0.5080000162124634}],"concepts":[{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.6748409271240234},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6732437014579773},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6093384623527527},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.5804839730262756},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5750418305397034},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5416808724403381},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.49051040410995483},{"id":"https://openalex.org/C120934525","wikidata":"https://www.wikidata.org/wiki/Q849149","display_name":"Absolute deviation","level":2,"score":0.42928940057754517},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.42155927419662476},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.390498548746109},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3655816316604614},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3407977223396301},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2805172801017761},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.1148199737071991},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.11156776547431946},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.09758925437927246},{"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/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}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/135184700336946","doi":"https://doi.org/10.1080/135184700336946","is_oa":false,"landing_page_url":"https://doi.org/10.1080/135184700336946","pdf_url":null,"source":{"id":"https://openalex.org/S82316188","display_name":"European Journal of Finance","issn_l":"1351-847X","issn":["1351-847X","1466-4364"],"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-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The European Journal of Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:eurjfi:v:6:y:2000:i:1:p:18-38","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/135184700336946","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":[{"id":"https://openalex.org/F4320320273","display_name":"University of Cambridge","ror":"https://ror.org/013meh722"},{"id":"https://openalex.org/F4320334630","display_name":"Economic and Social Research Council","ror":"https://ror.org/03n0ht308"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W148455047","https://openalex.org/W1560063063","https://openalex.org/W1872908693","https://openalex.org/W1997130667","https://openalex.org/W1998048231","https://openalex.org/W1998513711","https://openalex.org/W2012865406","https://openalex.org/W2014166814","https://openalex.org/W2029056003","https://openalex.org/W2034485809","https://openalex.org/W2038865108","https://openalex.org/W2047144206","https://openalex.org/W2062229217","https://openalex.org/W2064788390","https://openalex.org/W2079615115","https://openalex.org/W2082808673","https://openalex.org/W2089260477","https://openalex.org/W2090874083","https://openalex.org/W2117278512","https://openalex.org/W2117897510","https://openalex.org/W2141863469","https://openalex.org/W2148654185","https://openalex.org/W2163362688","https://openalex.org/W2169869866","https://openalex.org/W2328831975","https://openalex.org/W2991769409","https://openalex.org/W3203679971","https://openalex.org/W4236670843","https://openalex.org/W4239488419","https://openalex.org/W4241584625","https://openalex.org/W4252707658","https://openalex.org/W4300578501"],"related_works":["https://openalex.org/W3144197547","https://openalex.org/W2567698005","https://openalex.org/W1506637684","https://openalex.org/W2983239755","https://openalex.org/W3211412744","https://openalex.org/W1979636682","https://openalex.org/W1869280323","https://openalex.org/W2026171666","https://openalex.org/W1558269465","https://openalex.org/W4402673486"],"abstract_inverted_index":{"The":[0],"statistical":[1],"properties":[2],"of":[3,6,19,23,70,73,122,151,171],"various":[4],"measures":[5,25,72,121,215],"risk":[7,24,123,152,167,214],"were":[8,58,77,101,210,219],"investigated":[9,211],"with":[10],"a":[11,36,130],"view":[12,131],"to":[13,31,39,66,119,196,200],"explaining":[14],"the":[15,28,46,48,52,55,68,89,93,97,126,138,143,148,164,184,187,189,193,201,204],"reasons":[16],"for":[17,41,88,153],"lack":[18],"use":[20,40],"in":[21],"finance":[22],"other":[26,124],"than":[27,125],"variance,":[29],"and":[30,54,109,159,180,216],"see":[32],"if":[33],"there":[34,115],"is":[35,112,116,162,192],"sensible":[37],"measure":[38,150],"cross-European":[42],"comparisons.":[43],"As":[44],"examples,":[45],"semi-variance,":[47],"lower":[49,175],"partial":[50],"moment,":[51],"Gini,":[53],"absolute":[56,205],"deviation":[57,145,195],"considered.":[59],"A":[60],"Monte":[61],"Carlo":[62],"study":[63,67],"was":[64],"conducted":[65],"behaviour":[69],"these":[71,223],"risk.":[74],"Bootstrap":[75],"methods":[76],"used":[78],"by":[79],"drawing":[80],"random":[81],"observations":[82],"from":[83,96],"real":[84],"financial":[85],"returns":[86],"data,":[87],"same":[90],"purpose.":[91],"Specifically,":[92],"equity":[94],"indices":[95],"following":[98],"stock":[99],"markets":[100,156,177],"used:":[102],"Germany,":[103],"United":[104],"Kingdom,":[105],"France,":[106],"Italy,":[107],"Holland":[108,179],"Belgium.":[110],"It":[111],"concluded":[113],"that":[114,132,141],"little":[117],"reason":[118],"reject":[120],"variance":[127],"based":[128],"on":[129],"they":[133],"are":[134],"too":[135],"volatile.":[136],"Indeed":[137],"evidence":[139],"shows":[140],"whilst":[142],"standard":[144,194],"may":[146],"be":[147,197],"appropriate":[149],"high":[154],"volume":[155,176],"(Germany,":[157],"UK":[158],"France),":[160],"it":[161],"not":[163],"most":[165],"reliable":[166],"measurement":[168],"(in":[169],"terms":[170],"volatility)":[172],"when":[173],"considering":[174],"(Italy,":[178],"Belgium).":[181],"That":[182],"is,":[183],"more":[185,190],"non-normal":[186],"returns,":[188],"likely":[191],"volatile":[198],"compared":[199],"Gini":[202],"or":[203],"deviation.":[206],"Finally,":[207],"optimized":[208],"portfolios":[209],"using":[212],"different":[213],"substantial":[217],"differences":[218],"found;":[220],"this":[221],"suggests":[222],"findings":[224],"have":[225],"practical":[226],"consequences.":[227]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
