{"id":"https://openalex.org/W2113099733","doi":"https://doi.org/10.2469/faj.v60.n1.2595","title":"The Changing Nature of Stock and Bond Volatility","display_name":"The Changing Nature of Stock and Bond Volatility","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W2113099733","doi":"https://doi.org/10.2469/faj.v60.n1.2595","mag":"2113099733"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v60.n1.2595","doi":"https://doi.org/10.2469/faj.v60.n1.2595","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n1.2595","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","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":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=500047","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5011322120","display_name":"Charles P. Jones","orcid":"https://orcid.org/0000-0003-1457-8148","observed_orcids":["https://orcid.org/0000-0003-1457-8148"]},"institutions":[{"id":"https://openalex.org/I137902535","display_name":"North Carolina State University","ror":"https://ror.org/04tj63d06","country_code":"US","type":"education","lineage":["https://openalex.org/I137902535"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Charles P. Jones","raw_affiliation_strings":["Charles P. Jones, CFA, is Edwin Gill Professor of Finance at North Carolina State University, Raleigh"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Charles P. Jones, CFA, is Edwin Gill Professor of Finance at North Carolina State University, Raleigh","institution_ids":["https://openalex.org/I137902535"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074243566","display_name":"Jack W. Wilson","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I137902535","display_name":"North Carolina State University","ror":"https://ror.org/04tj63d06","country_code":"US","type":"education","lineage":["https://openalex.org/I137902535"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jack W. Wilson","raw_affiliation_strings":["Jack W. Wilson is professor of finance at North Carolina State University, Raleigh"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Jack W. Wilson is professor of finance at North Carolina State University, Raleigh","institution_ids":["https://openalex.org/I137902535"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I137902535"],"apc_list":null,"apc_paid":null,"fwci":4.0538,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.94178163,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"60","issue":"1","first_page":"100","last_page":"113"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7689999938011169,"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":0.7689999938011169,"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":0.20469999313354492,"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":0.01140000019222498,"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/stock-market-volatility","display_name":"stock market volatility","score":0.9269999861717224},{"id":"https://openalex.org/keywords/bond-market-volatility","display_name":"bond market volatility","score":0.996999979019165},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.7710000276565552},{"id":"https://openalex.org/keywords/historical-stock-returns","display_name":"historical stock returns","score":0.6010000109672546}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7809029221534729},{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.7601916193962097},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6641358137130737},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6537549495697021},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47565528750419617},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.46040594577789307},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.43772539496421814},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.4254966080188751},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.42080947756767273},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.41624826192855835},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41130000352859497},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.35959869623184204},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.3578324317932129},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11716166138648987},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.07760971784591675},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.05509713292121887},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2469/faj.v60.n1.2595","doi":"https://doi.org/10.2469/faj.v60.n1.2595","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n1.2595","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","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":"Financial Analysts Journal","raw_type":"journal-article"},{"id":"mag:3121533618","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=500047","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:taf:ufajxx:v:60:y:2004:i:1:p:100-113","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2469/faj.v60.n1.2595","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":{"id":"mag:3121533618","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=500047","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W588985920","https://openalex.org/W595787095","https://openalex.org/W1513281941","https://openalex.org/W1585814524","https://openalex.org/W1717247977","https://openalex.org/W1976658031","https://openalex.org/W1996112084","https://openalex.org/W2005601557","https://openalex.org/W2007785900","https://openalex.org/W2018468456","https://openalex.org/W2032503496","https://openalex.org/W2033471701","https://openalex.org/W2056756438","https://openalex.org/W2064074645","https://openalex.org/W2088931247","https://openalex.org/W2088992973","https://openalex.org/W2093218581","https://openalex.org/W2143690586","https://openalex.org/W2170395131","https://openalex.org/W2171472723","https://openalex.org/W3022041122","https://openalex.org/W4230687924","https://openalex.org/W4248606515"],"related_works":["https://openalex.org/W1601507726","https://openalex.org/W2093218581","https://openalex.org/W2093438521","https://openalex.org/W2903968124","https://openalex.org/W2077543959","https://openalex.org/W2081676195","https://openalex.org/W1977431661","https://openalex.org/W2000535571","https://openalex.org/W4315646780","https://openalex.org/W7113687635"],"abstract_inverted_index":{"This":[0],"article":[1],"examines":[2],"the":[3,17,60,66,70,79,85],"changing":[4],"nature":[5],"of":[6,46,72,76,87],"U.S.":[7],"stock":[8,54],"and":[9,16,25,31,50,55,74],"bond":[10,56],"risk":[11],"from":[12],"1871":[13],"through":[14],"2000":[15],"implications":[18],"for":[19],"asset":[20,90],"allocation.":[21,91],"Using":[22],"geometric":[23],"means":[24],"standard":[26],"deviations,":[27],"we":[28,51],"examine":[29],"nominal":[30],"inflation-adjusted":[32],"monthly":[33],"returns":[34,43],"over":[35,44,59,78],"nonoverlapping":[36],"5-year":[37],"periods,":[38],"as":[39,41],"well":[40],"annual":[42],"periods":[45],"approximately":[47],"25":[48],"years,":[49],"document":[52],"how":[53],"volatility":[57,71,75],"changed":[58],"period.":[61],"Our":[62],"analysis":[63],"suggests":[64],"that":[65],"relative":[67],"change":[68,93],"in":[69,89],"stocks":[73,88],"bonds":[77],"past":[80],"50":[81],"years":[82],"has":[83],"increased":[84],"importance":[86],"The":[92],"is":[94,100],"even":[95],"more":[96],"pronounced":[97],"when":[98],"inflation":[99],"considered.":[101]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-09-29T14:09:16.559479","created_date":"2016-06-24T00:00:00"}