{"id":"https://openalex.org/W2079103452","doi":"https://doi.org/10.1016/s1057-5219(03)00067-x","title":"Modeling volatility and changes in the swap spread","display_name":"Modeling volatility and changes in the swap spread","publication_year":2003,"publication_date":"2003-01-01","ids":{"openalex":"https://openalex.org/W2079103452","doi":"https://doi.org/10.1016/s1057-5219(03)00067-x","mag":"2079103452"},"language":"en","primary_location":{"id":"doi:10.1016/s1057-5219(03)00067-x","doi":"https://doi.org/10.1016/s1057-5219(03)00067-x","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1057-5219(03)00067-x","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","is_traditional":true,"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/A5051798172","display_name":"Francis Haeuck In","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Francis In","raw_affiliation_strings":["Department of Accounting and Finance, Monash University, Clayton, Victoria 3168, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, Monash University, Clayton, Victoria 3168, Australia","institution_ids":["https://openalex.org/I56590836"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109165820","display_name":"Rob Brown","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I165779595","display_name":"The University of Melbourne","ror":"https://ror.org/01ej9dk98","country_code":"AU","type":"education","lineage":["https://openalex.org/I165779595"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Rob Brown","raw_affiliation_strings":["Department of Finance, University of Melbourne, Parkville, Victoria 3010, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, University of Melbourne, Parkville, Victoria 3010, Australia","institution_ids":["https://openalex.org/I165779595"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058738700","display_name":"Victor Fang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Victor Fang","raw_affiliation_strings":["Department of Accounting and Finance, Monash University, Caulfield, Victoria 3145, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Accounting and Finance, Monash University, Caulfield, Victoria 3145, Australia","institution_ids":["https://openalex.org/I56590836"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5051798172"],"corresponding_institution_ids":["https://openalex.org/I56590836"],"apc_list":{"value":3770,"currency":"USD","value_usd":3770},"apc_paid":null,"fwci":0.4967,"has_fulltext":false,"cited_by_count":21,"citation_normalized_percentile":{"value":0.78019175,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"12","issue":"5","first_page":"545","last_page":"561"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.6890000104904175,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.6890000104904175,"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":0.1851000040769577,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.07859999686479568,"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/swap-spreads","display_name":"swap spreads","score":0.781000018119812},{"id":"https://openalex.org/keywords/interest-rate-volatility","display_name":"interest rate volatility","score":0.9129999876022339},{"id":"https://openalex.org/keywords/volatility-spillovers","display_name":"volatility spillovers","score":0.6259999871253967},{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.8730000257492065},{"id":"https://openalex.org/keywords/default-risk-premium","display_name":"default risk premium","score":0.8849999904632568},{"id":"https://openalex.org/keywords/corporate-bonds","display_name":"corporate bonds","score":0.7129999995231628},{"id":"https://openalex.org/keywords/interest-rate-swaps","display_name":"interest rate swaps","score":0.5389999747276306}],"concepts":[{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.8837800025939941},{"id":"https://openalex.org/C99560960","wikidata":"https://www.wikidata.org/wiki/Q205258","display_name":"Interest rate swap","level":3,"score":0.8340773582458496},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6948192119598389},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.6699469089508057},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.6212633848190308},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.517250120639801},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5112717151641846},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.47246289253234863},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.4651765525341034},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.4630005955696106},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4447143077850342},{"id":"https://openalex.org/C30589699","wikidata":"https://www.wikidata.org/wiki/Q624028","display_name":"Credit default swap","level":3,"score":0.43101975321769714},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.42634329199790955},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.42587172985076904},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.3523426055908203},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.2830576002597809},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1285005509853363}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/s1057-5219(03)00067-x","doi":"https://doi.org/10.1016/s1057-5219(03)00067-x","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s1057-5219(03)00067-x","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:12:y:2003:i:5:p:545-561","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1057-5219(03)00067-X","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":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W763828851","https://openalex.org/W1488149609","https://openalex.org/W1558567973","https://openalex.org/W1564887203","https://openalex.org/W1653259012","https://openalex.org/W1974933992","https://openalex.org/W1977395680","https://openalex.org/W1982807538","https://openalex.org/W1984376065","https://openalex.org/W1999814123","https://openalex.org/W2000151764","https://openalex.org/W2015047150","https://openalex.org/W2017085775","https://openalex.org/W2019782624","https://openalex.org/W2022405913","https://openalex.org/W2025899806","https://openalex.org/W2030121826","https://openalex.org/W2033258075","https://openalex.org/W2047073656","https://openalex.org/W2049209183","https://openalex.org/W2049287603","https://openalex.org/W2053800147","https://openalex.org/W2054477007","https://openalex.org/W2058815839","https://openalex.org/W2063593194","https://openalex.org/W2080484563","https://openalex.org/W2095463876","https://openalex.org/W2100935590","https://openalex.org/W2136124305","https://openalex.org/W2137871685","https://openalex.org/W2149318811","https://openalex.org/W2162764180","https://openalex.org/W2164777891","https://openalex.org/W3015297855","https://openalex.org/W3107625316","https://openalex.org/W3122403692","https://openalex.org/W3122911893"],"related_works":["https://openalex.org/W2077740605","https://openalex.org/W2162764180","https://openalex.org/W2289292620","https://openalex.org/W110049282","https://openalex.org/W7097825363","https://openalex.org/W2044855483","https://openalex.org/W2015047150","https://openalex.org/W2014749210","https://openalex.org/W7098816920","https://openalex.org/W2069860405"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}