{"id":"https://openalex.org/W2117966429","doi":"https://doi.org/10.1002/fut.3990140306","title":"Assessing the intraday relationship between implied and historical volatility","display_name":"Assessing the intraday relationship between implied and historical volatility","publication_year":1994,"publication_date":"1994-05-01","ids":{"openalex":"https://openalex.org/W2117966429","doi":"https://doi.org/10.1002/fut.3990140306","mag":"2117966429"},"language":"en","primary_location":{"id":"doi:10.1002/fut.3990140306","doi":"https://doi.org/10.1002/fut.3990140306","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.3990140306","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/A5031253063","display_name":"Ira G. Kawaller","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I2800233406","display_name":"CME Group (United States)","ror":"https://ror.org/01r89aa81","country_code":"US","type":"company","lineage":["https://openalex.org/I2800233406"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ira G. Kawaller","raw_affiliation_strings":["Ira G. Kawaller is Vice President\u2014Director, New York Office of the Chicago Mercantile Exchange"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ira G. Kawaller is Vice President\u2014Director, New York Office of the Chicago Mercantile Exchange","institution_ids":["https://openalex.org/I2800233406"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5000695323","display_name":"Paul D. Koch","orcid":"https://orcid.org/0000-0002-3554-1224","observed_orcids":["https://orcid.org/0000-0002-3554-1224"]},"institutions":[{"id":"https://openalex.org/I146416000","display_name":"University of Kansas","ror":"https://ror.org/001tmjg57","country_code":"US","type":"education","lineage":["https://openalex.org/I146416000"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Paul D. Koch","raw_affiliation_strings":["Paul D. Koch is an Associate Professor at the University of Kansas"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Paul D. Koch is an Associate Professor at the University of Kansas","institution_ids":["https://openalex.org/I146416000"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5112226936","display_name":"John Peterson","orcid":"https://orcid.org/0000-0002-1819-7193","observed_orcids":["https://orcid.org/0000-0002-1819-7193"]},"institutions":[{"id":"https://openalex.org/I21700936","display_name":"Northern State University","ror":"https://ror.org/01kwgrb31","country_code":"US","type":"education","lineage":["https://openalex.org/I21700936"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"John E. Peterson","raw_affiliation_strings":["John E. Peterson is an Instructor at Northern State University in South Dakota"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"John E. Peterson is an Instructor at Northern State University in South Dakota","institution_ids":["https://openalex.org/I21700936"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":1.9086,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.88424251,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"14","issue":"3","first_page":"323","last_page":"346"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9214000105857849,"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":0.9214000105857849,"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":0.04569999873638153,"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":0.017000000923871994,"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/implied-volatility","display_name":"implied volatility","score":0.9940000176429749},{"id":"https://openalex.org/keywords/historical-volatility","display_name":"historical volatility","score":1.0},{"id":"https://openalex.org/keywords/intraday-volatility","display_name":"intraday volatility","score":0.8429999947547913},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.6230000257492065},{"id":"https://openalex.org/keywords/futures-markets","display_name":"futures markets","score":0.6190000176429749}],"concepts":[{"id":"https://openalex.org/C2778805511","wikidata":"https://www.wikidata.org/wiki/Q1713","display_name":"Citation","level":2,"score":0.5921471118927002},{"id":"https://openalex.org/C161191863","wikidata":"https://www.wikidata.org/wiki/Q199655","display_name":"Library science","level":1,"score":0.45831483602523804},{"id":"https://openalex.org/C48103436","wikidata":"https://www.wikidata.org/wiki/Q599031","display_name":"State (computer science)","level":2,"score":0.44559550285339355},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.3766930103302002},{"id":"https://openalex.org/C52119013","wikidata":"https://www.wikidata.org/wiki/Q50637","display_name":"Art history","level":1,"score":0.3255009055137634},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2045435607433319},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.09477010369300842}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1002/fut.3990140306","doi":"https://doi.org/10.1002/fut.3990140306","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.3990140306","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"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W66483636","https://openalex.org/W1977329577","https://openalex.org/W1978161169","https://openalex.org/W1979822406","https://openalex.org/W1987246815","https://openalex.org/W2017297397","https://openalex.org/W2027117312","https://openalex.org/W2033469922","https://openalex.org/W2034064628","https://openalex.org/W2041930636","https://openalex.org/W2046390707","https://openalex.org/W2050067494","https://openalex.org/W2052635514","https://openalex.org/W2074567665","https://openalex.org/W2077791698","https://openalex.org/W2080160229","https://openalex.org/W2087964979","https://openalex.org/W2091237524","https://openalex.org/W2093230975","https://openalex.org/W2096808000","https://openalex.org/W2122074941","https://openalex.org/W2128262725","https://openalex.org/W2148338846","https://openalex.org/W2153271406","https://openalex.org/W2178225550","https://openalex.org/W2895270050","https://openalex.org/W3125066342","https://openalex.org/W4238864853","https://openalex.org/W4256031309","https://openalex.org/W4301511718"],"related_works":["https://openalex.org/W1989747139","https://openalex.org/W1976647235","https://openalex.org/W7019710532","https://openalex.org/W608898622","https://openalex.org/W2068580113","https://openalex.org/W2973428981","https://openalex.org/W1524349771","https://openalex.org/W4243807003","https://openalex.org/W7048036830","https://openalex.org/W7096186115"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
