{"id":"https://openalex.org/W2773448351","doi":"https://doi.org/10.1016/j.physa.2017.12.004","title":"Structural changes and out-of-sample prediction of realized range-based variance in the stock market","display_name":"Structural changes and out-of-sample prediction of realized range-based variance in the stock market","publication_year":2017,"publication_date":"2017-12-08","ids":{"openalex":"https://openalex.org/W2773448351","doi":"https://doi.org/10.1016/j.physa.2017.12.004","mag":"2773448351"},"language":"en","primary_location":{"id":"doi:10.1016/j.physa.2017.12.004","doi":"https://doi.org/10.1016/j.physa.2017.12.004","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2017.12.004","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-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":"Physica A: Statistical Mechanics and its Applications","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/A5060668195","display_name":"Xu Gong","orcid":"https://orcid.org/0000-0002-0862-2766","observed_orcids":["https://orcid.org/0000-0002-0862-2766"]},"institutions":[{"id":"https://openalex.org/I191208505","display_name":"Xiamen University","ror":"https://ror.org/00mcjh785","country_code":"CN","type":"education","lineage":["https://openalex.org/I191208505"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xu Gong","raw_affiliation_strings":["School of Economics, Xiamen University, Xiamen, 361005, China","School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Xiamen, 361005, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics, Xiamen University, Xiamen, 361005, China","institution_ids":["https://openalex.org/I191208505"]},{"raw_affiliation_string":"School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Xiamen, 361005, China","institution_ids":["https://openalex.org/I191208505"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003679114","display_name":"Boqiang Lin","orcid":"https://orcid.org/0000-0002-1308-400X","observed_orcids":["https://orcid.org/0000-0002-1308-400X"]},"institutions":[{"id":"https://openalex.org/I191208505","display_name":"Xiamen University","ror":"https://ror.org/00mcjh785","country_code":"CN","type":"education","lineage":["https://openalex.org/I191208505"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Boqiang Lin","raw_affiliation_strings":["School of Economics, Xiamen University, Xiamen, 361005, China","School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Xiamen, 361005, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics, Xiamen University, Xiamen, 361005, China","institution_ids":["https://openalex.org/I191208505"]},{"raw_affiliation_string":"School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy, Xiamen University, Xiamen, 361005, China","institution_ids":["https://openalex.org/I191208505"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5003679114"],"corresponding_institution_ids":["https://openalex.org/I191208505"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":5.9629,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.96096518,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"494","issue":null,"first_page":"27","last_page":"39"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"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":0.9976000189781189,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"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":0.0003000000142492354,"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/structural-breaks","display_name":"structural breaks","score":0.7799999713897705},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.6449999809265137},{"id":"https://openalex.org/keywords/high-frequency-volatility","display_name":"high-frequency volatility","score":0.8230000138282776},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.8420000076293945},{"id":"https://openalex.org/keywords/financial-crises","display_name":"financial crisis","score":0.8999999761581421},{"id":"https://openalex.org/keywords/icss-algorithm","display_name":"ICSS algorithm","score":0.6439999938011169},{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.4440000057220459}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.741816520690918},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.6094948649406433},{"id":"https://openalex.org/C186008389","wikidata":"https://www.wikidata.org/wiki/Q7625010","display_name":"Structural break","level":2,"score":0.5684628486633301},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.5578984618186951},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5467097759246826},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5274888277053833},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.522379457950592},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.477533221244812},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4643317759037018},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.46262454986572266},{"id":"https://openalex.org/C2993021520","wikidata":"https://www.wikidata.org/wiki/Q175199","display_name":"Sample variance","level":3,"score":0.45435819029808044},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.43115681409835815},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.37656402587890625},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.36907678842544556},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2765483856201172},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.1770988404750824},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.10654595494270325},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.09540709853172302},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.08013412356376648},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C146978453","wikidata":"https://www.wikidata.org/wiki/Q3798668","display_name":"Aerospace engineering","level":1,"score":0.0},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.physa.2017.12.004","doi":"https://doi.org/10.1016/j.physa.2017.12.004","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2017.12.004","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-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":"Physica A: Statistical Mechanics and its Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378437117312475","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":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1136818391","display_name":null,"funder_award_id":"2017M612121","funder_id":"https://openalex.org/F4320321543","funder_display_name":"China Postdoctoral Science Foundation"},{"id":"https://openalex.org/G1168075022","display_name":"\u57fa\u4e8e\u6df7\u9891\u6570\u636e\u7684\u5927\u5b97\u5546\u54c1\u4ef7\u683c\u6ce2\u52a8\u5efa\u6a21\u53ca\u5176\u5e94\u7528\u7814\u7a76","funder_award_id":"71701176","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321543","display_name":"China Postdoctoral Science Foundation","ror":"https://ror.org/0426zh255"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":73,"referenced_works":["https://openalex.org/W391670430","https://openalex.org/W1031982865","https://openalex.org/W1547068196","https://openalex.org/W1549193693","https://openalex.org/W1638448958","https://openalex.org/W1934859356","https://openalex.org/W1974348225","https://openalex.org/W1976668747","https://openalex.org/W1978984979","https://openalex.org/W1981748110","https://openalex.org/W1993181591","https://openalex.org/W1994915121","https://openalex.org/W1998856889","https://openalex.org/W2011859559","https://openalex.org/W2049079152","https://openalex.org/W2050143770","https://openalex.org/W2050902901","https://openalex.org/W2065262960","https://openalex.org/W2066815740","https://openalex.org/W2067038792","https://openalex.org/W2068138154","https://openalex.org/W2070516830","https://openalex.org/W2075304461","https://openalex.org/W2081845631","https://openalex.org/W2085846453","https://openalex.org/W2089786693","https://openalex.org/W2094257667","https://openalex.org/W2095138862","https://openalex.org/W2095537491","https://openalex.org/W2101358371","https://openalex.org/W2104904937","https://openalex.org/W2121891463","https://openalex.org/W2125536334","https://openalex.org/W2128642005","https://openalex.org/W2133491221","https://openalex.org/W2136796521","https://openalex.org/W2141089220","https://openalex.org/W2141621500","https://openalex.org/W2141952883","https://openalex.org/W2146134639","https://openalex.org/W2149264765","https://openalex.org/W2157468125","https://openalex.org/W2166672289","https://openalex.org/W2180617874","https://openalex.org/W2210467829","https://openalex.org/W2327684475","https://openalex.org/W2433930442","https://openalex.org/W2464826314","https://openalex.org/W2487337118","https://openalex.org/W2548381941","https://openalex.org/W2557848219","https://openalex.org/W2560261639","https://openalex.org/W2560273181","https://openalex.org/W2560326876","https://openalex.org/W2586344229","https://openalex.org/W2604337616","https://openalex.org/W2605805845","https://openalex.org/W2608669853","https://openalex.org/W2611875853","https://openalex.org/W2620035829","https://openalex.org/W2748431603","https://openalex.org/W2750703806","https://openalex.org/W2762142247","https://openalex.org/W2804290102","https://openalex.org/W3022085142","https://openalex.org/W3121364726","https://openalex.org/W3123070447","https://openalex.org/W3123350379","https://openalex.org/W3124454571","https://openalex.org/W3125696988","https://openalex.org/W3125987794","https://openalex.org/W4247434036","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W1974348225","https://openalex.org/W2939624207","https://openalex.org/W2972946776","https://openalex.org/W2560261639","https://openalex.org/W1658404620","https://openalex.org/W3178347964","https://openalex.org/W2254597161","https://openalex.org/W2805419335","https://openalex.org/W2011310623","https://openalex.org/W7163162002"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":7}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2017-12-22T00:00:00"}
