{"id":"https://openalex.org/W2166960396","doi":"https://doi.org/10.1016/j.najef.2012.06.011","title":"The rise and fall of S&P500 variance futures","display_name":"The rise and fall of S&P500 variance futures","publication_year":2012,"publication_date":"2012-09-26","ids":{"openalex":"https://openalex.org/W2166960396","doi":"https://doi.org/10.1016/j.najef.2012.06.011","mag":"2166960396"},"language":"en","primary_location":{"id":"doi:10.1016/j.najef.2012.06.011","doi":"https://doi.org/10.1016/j.najef.2012.06.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2012.06.011","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","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":"The North American Journal of Economics and Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://eprints.ucm.es/id/eprint/13910/1/1135.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5002729048","display_name":"Chia\u2010Lin Chang","orcid":"https://orcid.org/0000-0001-8835-760X","observed_orcids":["https://orcid.org/0000-0001-8835-760X"]},"institutions":[{"id":"https://openalex.org/I162838928","display_name":"National Chung Hsing University","ror":"https://ror.org/05vn3ca78","country_code":"TW","type":"education","lineage":["https://openalex.org/I162838928"]},{"id":"https://openalex.org/I99613584","display_name":"National Taipei University","ror":"https://ror.org/03e29r284","country_code":"TW","type":"education","lineage":["https://openalex.org/I99613584"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Chia-Lin Chang","raw_affiliation_strings":["Department of Finance, National Chung Hsing University, Taiwan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, National Chung Hsing University, Taiwan","institution_ids":["https://openalex.org/I162838928","https://openalex.org/I99613584"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5072312140","display_name":"Juan\u2010\u00c1ngel Jim\u00e9nez\u2010Mart\u00edn","orcid":"https://orcid.org/0000-0001-5608-3288","observed_orcids":["https://orcid.org/0000-0001-5608-3288"]},"institutions":[{"id":"https://openalex.org/I121748325","display_name":"Universidad Complutense de Madrid","ror":"https://ror.org/02p0gd045","country_code":"ES","type":"education","lineage":["https://openalex.org/I121748325"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Juan-Angel Jimenez-Martin","raw_affiliation_strings":["Department of Quantitative Economics, Complutense University of Madrid, Spain#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Quantitative Economics, Complutense University of Madrid, Spain#TAB#","institution_ids":["https://openalex.org/I121748325"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045702318","display_name":"Michael J. McAleer","orcid":"https://orcid.org/0000-0003-2707-3835","observed_orcids":["https://orcid.org/0000-0003-2707-3835"]},"institutions":[{"id":"https://openalex.org/I198488067","display_name":"Tinbergen Institute","ror":"https://ror.org/054xxtt73","country_code":"NL","type":"education","lineage":["https://openalex.org/I198488067"]},{"id":"https://openalex.org/I22299242","display_name":"Kyoto University","ror":"https://ror.org/02kpeqv85","country_code":"JP","type":"education","lineage":["https://openalex.org/I22299242"]},{"id":"https://openalex.org/I913958620","display_name":"Erasmus University Rotterdam","ror":"https://ror.org/057w15z03","country_code":"NL","type":"education","lineage":["https://openalex.org/I913958620"]}],"countries":["JP","NL"],"is_corresponding":false,"raw_author_name":"Michael McAleer","raw_affiliation_strings":["Econometric Institute, Erasmus University Rotterdam, The Netherlands; Institute of Economic Research, Kyoto University, Japan; Tinbergen Institute, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Econometric Institute, Erasmus University Rotterdam, The Netherlands; Institute of Economic Research, Kyoto University, Japan; Tinbergen Institute, The Netherlands","institution_ids":["https://openalex.org/I198488067","https://openalex.org/I22299242","https://openalex.org/I913958620"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055538283","display_name":"Teodosio P\u00e9rez Amaral","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I121748325","display_name":"Universidad Complutense de Madrid","ror":"https://ror.org/02p0gd045","country_code":"ES","type":"education","lineage":["https://openalex.org/I121748325"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Teodosio Perez Amaral","raw_affiliation_strings":["Department of Quantitative Economics, Complutense University of Madrid, Spain#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Quantitative Economics, Complutense University of Madrid, Spain#TAB#","institution_ids":["https://openalex.org/I121748325"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":6,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3050,"currency":"USD","value_usd":3050},"apc_paid":null,"fwci":8.508,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.97486369,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"25","issue":null,"first_page":"151","last_page":"167"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9872999787330627,"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":0.9872999787330627,"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":0.006000000052154064,"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":0.003800000064074993,"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/variance-swaps","display_name":"variance swaps","score":0.621999979019165},{"id":"https://openalex.org/keywords/volatility-derivatives","display_name":"volatility derivatives","score":0.8339999914169312},{"id":"https://openalex.org/keywords/vix","display_name":"VIX","score":0.6620000004768372},{"id":"https://openalex.org/keywords/realized-variance","display_name":"realized variance","score":0.781000018119812},{"id":"https://openalex.org/keywords/conditional-volatility-models","display_name":"conditional volatility models","score":0.8650000095367432},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.5600000023841858},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.6309999823570251},{"id":"https://openalex.org/keywords/portfolio-risk-management","display_name":"portfolio risk management","score":0.8230000138282776}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7892078161239624},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6362866759300232},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5540668368339539},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.486666738986969},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.38934314250946045},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1016/j.najef.2012.06.011","doi":"https://doi.org/10.1016/j.najef.2012.06.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2012.06.011","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","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":"The North American Journal of Economics and Finance","raw_type":"journal-article"},{"id":"pmh:oai:www.ucm.es:13910","doi":null,"is_oa":true,"landing_page_url":"https://eprints.ucm.es/id/eprint/13910/1/1135.pdf","pdf_url":"https://eprints.ucm.es/id/eprint/13910/1/1135.pdf","source":{"id":"https://openalex.org/S4377196321","display_name":"Docta Complutense (Universidad Complutense de Madrid)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I121748325","host_organization_name":"Universidad Complutense de Madrid","host_organization_lineage":["https://openalex.org/I121748325"],"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":"","raw_type":"info:eu-repo/semantics/workingPaper"},{"id":"pmh:eur:oai:pure.eur.nl:publications/acf140d6-bf43-4985-b0bc-bc2d435cafcc","doi":null,"is_oa":false,"landing_page_url":"https://pure.eur.nl/en/publications/acf140d6-bf43-4985-b0bc-bc2d435cafcc","pdf_url":null,"source":{"id":"https://openalex.org/S4306401266","display_name":"EUR Research Repository (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/report"},{"id":"pmh:eur:oai:repub.eur.nl:26880","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/1765/26880","pdf_url":null,"source":{"id":"https://openalex.org/S4377196287","display_name":"RePub (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Report / Econometric Institute, Erasmus University Rotterdam, 1 - 25","raw_type":"info:eu-repo/semantics/workingpaper"},{"id":"pmh:oai:pure.eur.nl:openaire_cris_publications/acf140d6-bf43-4985-b0bc-bc2d435cafcc","doi":null,"is_oa":false,"landing_page_url":"https://pure.eur.nl/en/publications/acf140d6-bf43-4985-b0bc-bc2d435cafcc","pdf_url":null,"source":{"id":"https://openalex.org/S4306401266","display_name":"EUR Research Repository (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Chang, C-L, Jimenez, J-AJ, McAleer, M & Perez-Amaral, T 2011, The Rise and Fall of S &P500 Variance Futures. Econometric Institute, vol. EI 2011-37, Econometric Institute EI 2011-37 edn, Econometric Institute, Erasmus University Rotterdam, Rotterdam.","raw_type":"info:eu-repo/semantics/report"},{"id":"pmh:oai:repository.kulib.kyoto-u.ac.jp:2433/149245","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2433/149245","pdf_url":null,"source":{"id":"https://openalex.org/S4306401454","display_name":"Kyoto University Research Information Repository (Kyoto University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I22299242","host_organization_name":"Kyoto University","host_organization_lineage":["https://openalex.org/I22299242"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Research Paper"},{"id":"pmh:oai:repub.eur.nl:26880","doi":null,"is_oa":false,"landing_page_url":"https://repub.eur.nl/pub/26880","pdf_url":null,"source":{"id":"https://openalex.org/S4377196287","display_name":"RePub (Erasmus University Rotterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I913958620","host_organization_name":"Erasmus University Rotterdam","host_organization_lineage":["https://openalex.org/I913958620"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Report / Econometric Institute, Erasmus University Rotterdam, pp. 1-25","raw_type":"info:eu-repo/semantics/workingPaper"}],"best_oa_location":{"id":"pmh:oai:www.ucm.es:13910","doi":null,"is_oa":true,"landing_page_url":"https://eprints.ucm.es/id/eprint/13910/1/1135.pdf","pdf_url":"https://eprints.ucm.es/id/eprint/13910/1/1135.pdf","source":{"id":"https://openalex.org/S4377196321","display_name":"Docta Complutense (Universidad Complutense de Madrid)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I121748325","host_organization_name":"Universidad Complutense de Madrid","host_organization_lineage":["https://openalex.org/I121748325"],"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":"","raw_type":"info:eu-repo/semantics/workingPaper"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2166960396.pdf","grobid_xml":"https://content.openalex.org/works/W2166960396.grobid-xml"},"referenced_works_count":27,"referenced_works":["https://openalex.org/W1915679344","https://openalex.org/W1979575715","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2061160212","https://openalex.org/W2065776553","https://openalex.org/W2068456731","https://openalex.org/W2068459366","https://openalex.org/W2076574277","https://openalex.org/W2088322978","https://openalex.org/W2095220910","https://openalex.org/W2101497257","https://openalex.org/W2111724258","https://openalex.org/W2115724285","https://openalex.org/W2142518316","https://openalex.org/W2143053136","https://openalex.org/W2161314179","https://openalex.org/W2423293082","https://openalex.org/W2781225387","https://openalex.org/W3005117407","https://openalex.org/W3022253700","https://openalex.org/W3122265177","https://openalex.org/W3122392019","https://openalex.org/W3124229059","https://openalex.org/W3125933078","https://openalex.org/W4231345730","https://openalex.org/W6682580047"],"related_works":["https://openalex.org/W7098576108","https://openalex.org/W2561618236","https://openalex.org/W3124229059","https://openalex.org/W4360785504","https://openalex.org/W2907065625","https://openalex.org/W4394952037","https://openalex.org/W3144160087","https://openalex.org/W3126779163","https://openalex.org/W2237420861","https://openalex.org/W11315379"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":7},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}