{"id":"https://openalex.org/W2144242530","doi":"https://doi.org/10.1002/fut.20120","title":"Volatility and commodity price dynamics","display_name":"Volatility and commodity price dynamics","publication_year":2004,"publication_date":"2004-08-25","ids":{"openalex":"https://openalex.org/W2144242530","doi":"https://doi.org/10.1002/fut.20120","mag":"2144242530"},"language":"en","primary_location":{"id":"doi:10.1002/fut.20120","doi":"https://doi.org/10.1002/fut.20120","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20120","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":true,"oa_status":"green","oa_url":"http://hdl.handle.net/1721.1/44979","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043753481","display_name":"Robert S. Pindyck","orcid":"https://orcid.org/0000-0001-8296-9875","observed_orcids":["https://orcid.org/0000-0001-8296-9875"]},"institutions":[{"id":"https://openalex.org/I63966007","display_name":"Massachusetts Institute of Technology","ror":"https://ror.org/042nb2s44","country_code":"US","type":"education","lineage":["https://openalex.org/I63966007"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Robert S. Pindyck","raw_affiliation_strings":["Massachusetts Institute of Technology, Cambridge, Massachusetts","Massachusetts Institute of Technology, Cambridge, Massachusetts#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Massachusetts Institute of Technology, Cambridge, Massachusetts","institution_ids":["https://openalex.org/I63966007"]},{"raw_affiliation_string":"Massachusetts Institute of Technology, Cambridge, Massachusetts#TAB#","institution_ids":["https://openalex.org/I63966007"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5043753481"],"corresponding_institution_ids":["https://openalex.org/I63966007"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":23.0562,"has_fulltext":false,"cited_by_count":351,"citation_normalized_percentile":{"value":0.99352195,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":99,"max":100},"biblio":{"volume":"24","issue":"11","first_page":"1029","last_page":"1047"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9965999722480774,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9965999722480774,"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"}},{"id":"https://openalex.org/T11898","display_name":"Economics of Agriculture and Food Markets","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"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0012000000569969416,"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/commodity-price-volatility","display_name":"commodity price volatility","score":0.9869999885559082},{"id":"https://openalex.org/keywords/crude-oil","display_name":"crude oil","score":0.9789999723434448},{"id":"https://openalex.org/keywords/heating-oil","display_name":"heating oil","score":0.984000027179718},{"id":"https://openalex.org/keywords/gasoline","display_name":"gasoline","score":1.0},{"id":"https://openalex.org/keywords/inventory","display_name":"inventory","score":0.7620000243186951},{"id":"https://openalex.org/keywords/spot-prices","display_name":"spot prices","score":0.7990000247955322},{"id":"https://openalex.org/keywords/futures-prices","display_name":"futures prices","score":0.9990000128746033},{"id":"https://openalex.org/keywords/structural-model","display_name":"structural model","score":0.5849999785423279},{"id":"https://openalex.org/keywords/determinants-of-volatility","display_name":"volatility determinants","score":0.8259999752044678}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8420116305351257},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7737545371055603},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7411353588104248},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.675789475440979},{"id":"https://openalex.org/C2987168347","wikidata":"https://www.wikidata.org/wiki/Q22656","display_name":"Crude oil","level":2,"score":0.5913363099098206},{"id":"https://openalex.org/C90937171","wikidata":"https://www.wikidata.org/wiki/Q764869","display_name":"Contango","level":3,"score":0.56415194272995},{"id":"https://openalex.org/C65230186","wikidata":"https://www.wikidata.org/wiki/Q912452","display_name":"Heating oil","level":2,"score":0.5589947700500488},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.5326504111289978},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5294960141181946},{"id":"https://openalex.org/C2776667075","wikidata":"https://www.wikidata.org/wiki/Q2922469","display_name":"Commodity market","level":2,"score":0.5162829756736755},{"id":"https://openalex.org/C103697071","wikidata":"https://www.wikidata.org/wiki/Q39558","display_name":"Gasoline","level":2,"score":0.49117109179496765},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4806150794029236},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.47540220618247986},{"id":"https://openalex.org/C141100683","wikidata":"https://www.wikidata.org/wiki/Q748644","display_name":"Convenience yield","level":4,"score":0.45940840244293213},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.43394890427589417},{"id":"https://openalex.org/C70784835","wikidata":"https://www.wikidata.org/wiki/Q1049071","display_name":"West Texas Intermediate","level":3,"score":0.4137880206108093},{"id":"https://openalex.org/C2776789725","wikidata":"https://www.wikidata.org/wiki/Q1572221","display_name":"Spot market","level":3,"score":0.4133051037788391},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10249760746955872},{"id":"https://openalex.org/C206658404","wikidata":"https://www.wikidata.org/wiki/Q12725","display_name":"Electricity","level":2,"score":0.0},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C119599485","wikidata":"https://www.wikidata.org/wiki/Q43035","display_name":"Electrical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C78762247","wikidata":"https://www.wikidata.org/wiki/Q1273174","display_name":"Petroleum engineering","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/C548081761","wikidata":"https://www.wikidata.org/wiki/Q180388","display_name":"Waste management","level":1,"score":0.0},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1002/fut.20120","doi":"https://doi.org/10.1002/fut.20120","is_oa":false,"landing_page_url":"https://doi.org/10.1002/fut.20120","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:CiteSeerX.psu:10.1.1.390.7665","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.390.7665","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://download.clib.psu.ac.th/datawebclib/e_resource/trial_database/WileyInterScienceCD/pdf/FUT/FUT_3.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.531.7215","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.531.7215","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://web.mit.edu/rpindyck/www/Papers/Volatility_Comm_Price.pdf","raw_type":"text"},{"id":"pmh:oai:dspace.mit.edu:1721.1/44979","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/1721.1/44979","pdf_url":null,"source":{"id":"https://openalex.org/S4306400425","display_name":"DSpace@MIT (Massachusetts Institute of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I63966007","host_organization_name":"Massachusetts Institute of Technology","host_organization_lineage":["https://openalex.org/I63966007"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Working Paper"}],"best_oa_location":{"id":"pmh:oai:dspace.mit.edu:1721.1/44979","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/1721.1/44979","pdf_url":null,"source":{"id":"https://openalex.org/S4306400425","display_name":"DSpace@MIT (Massachusetts Institute of Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I63966007","host_organization_name":"Massachusetts Institute of Technology","host_organization_lineage":["https://openalex.org/I63966007"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc","license_id":"https://openalex.org/licenses/cc-by-nc","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Working Paper"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W302852197","https://openalex.org/W1499320520","https://openalex.org/W1561513404","https://openalex.org/W1786502099","https://openalex.org/W1973901720","https://openalex.org/W1975018809","https://openalex.org/W1977165957","https://openalex.org/W1986989146","https://openalex.org/W1995503011","https://openalex.org/W2005889960","https://openalex.org/W2019124768","https://openalex.org/W2028825107","https://openalex.org/W2029546405","https://openalex.org/W2063133098","https://openalex.org/W2088632743","https://openalex.org/W2089240053","https://openalex.org/W2110641059","https://openalex.org/W2121476648","https://openalex.org/W2135830723","https://openalex.org/W2141186877","https://openalex.org/W2145224101","https://openalex.org/W2148080284","https://openalex.org/W2160391594","https://openalex.org/W2327448214","https://openalex.org/W3024477906","https://openalex.org/W3025110474","https://openalex.org/W3121275215","https://openalex.org/W3121766168","https://openalex.org/W3122472133","https://openalex.org/W3124466994","https://openalex.org/W3125462118","https://openalex.org/W3125603799","https://openalex.org/W3125877814","https://openalex.org/W4365787967","https://openalex.org/W7009218561"],"related_works":["https://openalex.org/W7099327097","https://openalex.org/W7100175270","https://openalex.org/W1514129629","https://openalex.org/W7100840135","https://openalex.org/W2014933671","https://openalex.org/W11902808","https://openalex.org/W3028139156","https://openalex.org/W7099112636","https://openalex.org/W1970999887","https://openalex.org/W1579829463"],"abstract_inverted_index":{"Abstract":[0],"Commodity":[1],"prices":[2,80],"are":[3],"volatile,":[4],"and":[5,26,64,78,86,91,102],"volatility":[6,13,58,68],"itself":[7],"varies":[8],"over":[9],"time.":[10],"Changes":[11],"in":[12,59],"can":[14],"affect":[15],"market":[16,62],"variables":[17],"by":[18,27],"directly":[19],"affecting":[20,28],"the":[21,32,38,43,55,65,95],"marginal":[22,34],"value":[23],"of":[24,31,36,41,57,67,75],"storage,":[25],"a":[29,72],"component":[30],"total":[33],"cost":[35,40],"production,":[37],"opportunity":[39],"producing":[42],"commodity":[44,61],"now":[45],"rather":[46],"than":[47],"waiting":[48],"for":[49,84,94],"more":[50],"price":[51],"information.":[52],"I":[53,70],"examine":[54],"role":[56],"short\u2010run":[60],"dynamics":[63],"determinants":[66],"itself.":[69],"develop":[71],"structural":[73],"model":[74],"inventories,":[76],"spot,":[77],"futures":[79],"that":[81],"explicitly":[82],"accounts":[83],"volatility,":[85],"estimate":[87],"it":[88],"using":[89],"daily":[90],"weekly":[92],"data":[93],"petroleum":[96],"complex:":[97],"crude":[98],"oil,":[99,101],"heating":[100],"gasoline.":[103],"\u00a9":[104],"2004":[105,113],"Wiley":[106],"Periodicals,":[107],"Inc.":[108],"Jrl":[109],"Fut":[110],"Mark":[111],"24:1029\u20131047,":[112]},"counts_by_year":[{"year":2026,"cited_by_count":21},{"year":2025,"cited_by_count":18},{"year":2024,"cited_by_count":12},{"year":2023,"cited_by_count":12},{"year":2022,"cited_by_count":22},{"year":2021,"cited_by_count":16},{"year":2020,"cited_by_count":14},{"year":2019,"cited_by_count":16},{"year":2018,"cited_by_count":15},{"year":2017,"cited_by_count":16},{"year":2016,"cited_by_count":24},{"year":2015,"cited_by_count":19},{"year":2014,"cited_by_count":26},{"year":2013,"cited_by_count":20},{"year":2012,"cited_by_count":17}],"updated_date":"2026-10-22T09:42:04.148104","created_date":"2016-06-24T00:00:00"}
