{"id":"https://openalex.org/W2086909453","doi":"https://doi.org/10.1016/s0165-1765(03)00146-0","title":"Time reversibility tests of volume\u2013volatility dynamics for stock returns","display_name":"Time reversibility tests of volume\u2013volatility dynamics for stock returns","publication_year":2003,"publication_date":"2003-06-30","ids":{"openalex":"https://openalex.org/W2086909453","doi":"https://doi.org/10.1016/s0165-1765(03)00146-0","mag":"2086909453"},"language":"en","primary_location":{"id":"doi:10.1016/s0165-1765(03)00146-0","doi":"https://doi.org/10.1016/s0165-1765(03)00146-0","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0165-1765(03)00146-0","pdf_url":null,"source":{"id":"https://openalex.org/S36178057","display_name":"Economics Letters","issn_l":"0165-1765","issn":["0165-1765","1873-7374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","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":"Economics Letters","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/A5039522040","display_name":"Wai Mun Fong","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":true,"raw_author_name":"Wai Mun Fong","raw_affiliation_strings":["Department of Finance and Accounting, National University of Singapore, 1 Business Link, Singapore 117592, Singapore"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance and Accounting, National University of Singapore, 1 Business Link, Singapore 117592, Singapore","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5039522040"],"corresponding_institution_ids":["https://openalex.org/I165932596"],"apc_list":{"value":3030,"currency":"USD","value_usd":3030},"apc_paid":null,"fwci":2.2016,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.90625785,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"81","issue":"1","first_page":"39","last_page":"45"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9550999999046326,"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":0.9550999999046326,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.032099999487400055,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.006000000052154064,"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/time-reversibility","display_name":"time reversibility","score":0.9089999794960022},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.765999972820282},{"id":"https://openalex.org/keywords/trading-volume","display_name":"trading volume","score":0.8029999732971191},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.7649999856948853},{"id":"https://openalex.org/keywords/mixture-of-distribution-hypothesis","display_name":"mixture of distribution hypothesis","score":0.9070000052452087},{"id":"https://openalex.org/keywords/nonparametric-tests","display_name":"nonparametric tests","score":0.8309999704360962},{"id":"https://openalex.org/keywords/dynamic-asymmetry","display_name":"dynamic asymmetry","score":0.7089999914169312},{"id":"https://openalex.org/keywords/shock","display_name":"shock","score":0.5580000281333923},{"id":"https://openalex.org/keywords/single-factor-model","display_name":"one-factor model","score":0.5450000166893005}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7501631379127502},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7379478812217712},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6604748368263245},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6303894519805908},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.5160970091819763},{"id":"https://openalex.org/C87007009","wikidata":"https://www.wikidata.org/wiki/Q210832","display_name":"Statistical hypothesis testing","level":2,"score":0.4797428846359253},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39534229040145874},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3427008390426636},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33286336064338684},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2751696705818176},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1602879762649536},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.081560879945755},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/s0165-1765(03)00146-0","doi":"https://doi.org/10.1016/s0165-1765(03)00146-0","is_oa":false,"landing_page_url":"https://doi.org/10.1016/s0165-1765(03)00146-0","pdf_url":null,"source":{"id":"https://openalex.org/S36178057","display_name":"Economics Letters","issn_l":"0165-1765","issn":["0165-1765","1873-7374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","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":"Economics Letters","raw_type":"journal-article"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/44468","doi":null,"is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/44468","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","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":"Scopus","raw_type":"Article"},{"id":"pmh:oai:RePEc:eee:ecolet:v:81:y:2003:i:1:p:39-45","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0165-1765(03)00146-0","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":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1590967632","https://openalex.org/W1947130700","https://openalex.org/W1964072684","https://openalex.org/W1993117258","https://openalex.org/W2012562345","https://openalex.org/W2026920987","https://openalex.org/W2033815796","https://openalex.org/W2046325355","https://openalex.org/W2076396344","https://openalex.org/W2117178635","https://openalex.org/W2152229836","https://openalex.org/W3023906401","https://openalex.org/W3123704440","https://openalex.org/W3125101120","https://openalex.org/W4292049208"],"related_works":["https://openalex.org/W2159668105","https://openalex.org/W2152229836","https://openalex.org/W7011793711","https://openalex.org/W1965369319","https://openalex.org/W2016896275","https://openalex.org/W2257998965","https://openalex.org/W2591455108","https://openalex.org/W1538848399","https://openalex.org/W1968484728","https://openalex.org/W1498479740"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2018,"cited_by_count":4},{"year":2016,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}