{"id":"https://openalex.org/W2085642832","doi":"https://doi.org/10.1002/fut.20251","title":"The information content of implied volatility in light of the jump/continuous decomposition of realized volatility","display_name":"The information content of implied volatility in light of the jump/continuous decomposition of realized volatility","publication_year":2007,"publication_date":"2007-02-13","ids":{"openalex":"https://openalex.org/W2085642832","doi":"https://doi.org/10.1002/fut.20251","mag":"2085642832"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20251","doi":"https://doi.org/10.1002/fut.20251","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20251","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","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/A5110007761","display_name":"Pierre Giot","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I149768937","display_name":"University of Namur","ror":"https://ror.org/03d1maw17","country_code":"BE","type":"education","lineage":["https://openalex.org/I149768937"]}],"countries":["BE"],"is_corresponding":true,"raw_author_name":"Pierre Giot","raw_affiliation_strings":["University of Namur, Namur, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Namur, Namur, Belgium","institution_ids":["https://openalex.org/I149768937"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5110738865","display_name":"S\u00e9bastien Laurent","orcid":"https://orcid.org/0000-0002-4148-756X","observed_orcids":["https://orcid.org/0000-0002-4148-756X"]},"institutions":[{"id":"https://openalex.org/I149768937","display_name":"University of Namur","ror":"https://ror.org/03d1maw17","country_code":"BE","type":"education","lineage":["https://openalex.org/I149768937"]}],"countries":["BE"],"is_corresponding":false,"raw_author_name":"S\u00e9bastien Laurent","raw_affiliation_strings":["University of Namur, Namur, Belgium"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Namur, Namur, Belgium","institution_ids":["https://openalex.org/I149768937"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5110007761"],"corresponding_institution_ids":["https://openalex.org/I149768937"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":5.8865,"has_fulltext":false,"cited_by_count":98,"citation_normalized_percentile":{"value":0.95829646,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":"27","issue":"4","first_page":"337","last_page":"359"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9940999746322632,"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":0.9940999746322632,"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":0.002199999988079071,"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":0.0013000000035390258,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility","display_name":"implied volatility","score":0.9980000257492065},{"id":"https://openalex.org/keywords/realized-volatility","display_name":"realized volatility","score":0.6940000057220459},{"id":"https://openalex.org/keywords/information-content","display_name":"information content","score":0.7310000061988831},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.6489999890327454},{"id":"https://openalex.org/keywords/vix-index","display_name":"VIX index","score":0.8259999752044678},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.765999972820282},{"id":"https://openalex.org/keywords/s-p-100-index","display_name":"S&P 100 index","score":0.871999979019165}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8562967777252197},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7466150522232056},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.7406413555145264},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.6910359263420105},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.669569730758667},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.6689075231552124},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6377623677253723},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5398217439651489},{"id":"https://openalex.org/C2777402642","wikidata":"https://www.wikidata.org/wiki/Q2557224","display_name":"Explanatory power","level":2,"score":0.5249119997024536},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.5010473728179932},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.46079355478286743},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.45079922676086426},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.41967839002609253},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/fut.20251","doi":"https://doi.org/10.1002/fut.20251","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20251","pdf_url":null,"source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},{"id":"pmh:oai:dial.uclouvain.be:boreal:19283","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2078/19283","pdf_url":null,"source":{"id":"https://openalex.org/S4306401974","display_name":"DIAL (Catholic University of Leuven)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I99464096","host_organization_name":"KU Leuven","host_organization_lineage":["https://openalex.org/I99464096"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Futures Markets, Vol. 27 Iss. 4, p. 337-359 (2007)","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:pure.unamur.be:openaire_cris_publications/5975f7e1-f8f6-4ac0-b8b4-26f84dfdacae","doi":null,"is_oa":false,"landing_page_url":"https://researchportal.unamur.be/en/publications/5975f7e1-f8f6-4ac0-b8b4-26f84dfdacae","pdf_url":null,"source":{"id":"https://openalex.org/S4406922457","display_name":"Repository of the University of Namur","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Giot, P & Laurent, S 2007, 'The information content of implied volatility in light of the jump/continuous decomposition of realized volatility', Journal of Futures Markets, vol. 27, pp. 337-359.","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W1594842258","https://openalex.org/W1825069682","https://openalex.org/W1963787328","https://openalex.org/W1979575715","https://openalex.org/W1983056091","https://openalex.org/W1995060245","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2002497463","https://openalex.org/W2007910409","https://openalex.org/W2034358898","https://openalex.org/W2051235503","https://openalex.org/W2057418282","https://openalex.org/W2061160212","https://openalex.org/W2068138154","https://openalex.org/W2068456731","https://openalex.org/W2104486676","https://openalex.org/W2111682960","https://openalex.org/W2136215272","https://openalex.org/W2140585983","https://openalex.org/W2148548869","https://openalex.org/W2156908840","https://openalex.org/W2160012257","https://openalex.org/W2612529863","https://openalex.org/W3005117407","https://openalex.org/W3022035575","https://openalex.org/W3121806303","https://openalex.org/W3122914455","https://openalex.org/W3123217382","https://openalex.org/W3123653015","https://openalex.org/W3124187578"],"related_works":["https://openalex.org/W3122863451","https://openalex.org/W2126388986","https://openalex.org/W3107745433","https://openalex.org/W2135472182","https://openalex.org/W2070862805","https://openalex.org/W2912012174","https://openalex.org/W2770714080","https://openalex.org/W1564233005","https://openalex.org/W1594842258","https://openalex.org/W592807496"],"abstract_inverted_index":{"Abstract":[0],"In":[1],"the":[2,7,11,39,48,60,65,71,77,89,115],"framework":[3],"of":[4,10,14,64,103],"encompassing":[5,66],"regressions,":[6],"information":[8,97],"content":[9],"jump/continuous":[12,72],"components":[13,73,82],"historical":[15],"volatility":[16,21,54,93,106,112],"is":[17,22],"assessed":[18],"when":[19,70,100],"implied":[20,53,92],"included":[23],"as":[24],"an":[25],"additional":[26],"regressor.":[27],"The":[28,56],"authors'":[29],"empirical":[30],"application":[31],"focuses":[32],"on":[33],"daily":[34,45],"and":[35,41,44,51,79],"intradaily":[36],"data":[37,46],"for":[38,47],"S&P100":[40],"S&P500":[42],"indexes,":[43],"associated":[49],"VXO":[50],"VIX":[52],"indexes.":[55],"results":[57],"show":[58],"that":[59,91],"total":[61],"explanatory":[62],"power":[63],"regressions":[67,116],"barely":[68],"changes":[69],"are":[74,83,107],"included,":[75],"although":[76],"weekly":[78],"monthly":[80],"continuous":[81],"usually":[84],"significant.":[85],"This":[86],"evidence":[87],"supports":[88],"view":[90],"has":[94],"very":[95],"high":[96],"content,":[98],"even":[99],"extended":[101],"decompositions":[102],"past":[104],"realized":[105],"used.":[108],"Moreover,":[109],"adding":[110],"GARCH\u2010type":[111],"forecasts":[113],"in":[114],"confirms":[117],"these":[118],"results.":[119],"\u00a9":[120],"2007":[121,129],"Wiley":[122],"Periodicals,":[123],"Inc.":[124],"Jrl":[125],"Fut":[126],"Mark":[127],"27:337\u2013359,":[128]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":7},{"year":2021,"cited_by_count":5},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":10},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":9},{"year":2012,"cited_by_count":5}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2016-06-24T00:00:00"}