{"id":"https://openalex.org/W3022494523","doi":"https://doi.org/10.1002/ijfe.385","title":"Decomposing European bond and equity volatility","display_name":"Decomposing European bond and equity volatility","publication_year":2008,"publication_date":"2008-12-15","ids":{"openalex":"https://openalex.org/W3022494523","doi":"https://doi.org/10.1002/ijfe.385","mag":"3022494523"},"language":"en","primary_location":{"id":"doi:10.1002/ijfe.385","doi":"https://doi.org/10.1002/ijfe.385","is_oa":false,"landing_page_url":"https://doi.org/10.1002/ijfe.385","pdf_url":null,"source":{"id":"https://openalex.org/S146099957","display_name":"International Journal of Finance & Economics","issn_l":"1076-9307","issn":["1076-9307","1099-1158"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","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":"International Journal of Finance &amp; Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.560602","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5011812744","display_name":"Charlotte Christiansen","orcid":"https://orcid.org/0000-0001-7360-1147","observed_orcids":["https://orcid.org/0000-0001-7360-1147"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Charlotte Christiansen","raw_affiliation_strings":["CREATES, University of Aarhus, Denmark"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CREATES, University of Aarhus, Denmark","institution_ids":["https://openalex.org/I204337017"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5011812744"],"corresponding_institution_ids":["https://openalex.org/I204337017"],"apc_list":{"value":3400,"currency":"USD","value_usd":3400},"apc_paid":null,"fwci":8.734,"has_fulltext":false,"cited_by_count":44,"citation_normalized_percentile":{"value":0.97469359,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"15","issue":"2","first_page":"105","last_page":"122"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9945999979972839,"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":0.9945999979972839,"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":0.005100000184029341,"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/T10503","display_name":"Global Financial Crisis and Policies","score":9.999999747378752e-05,"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/volatility-spillovers","display_name":"volatility spillovers","score":0.9369999766349792},{"id":"https://openalex.org/keywords/bond-market-volatility","display_name":"bond market volatility","score":0.8339999914169312},{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.9269999861717224},{"id":"https://openalex.org/keywords/euro-adoption","display_name":"euro adoption","score":0.6510000228881836},{"id":"https://openalex.org/keywords/market-integration","display_name":"market integration","score":0.8730000257492065}],"concepts":[{"id":"https://openalex.org/C69738904","wikidata":"https://www.wikidata.org/wiki/Q11693","display_name":"Bond","level":2,"score":0.730276882648468},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6493867039680481},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6455972194671631},{"id":"https://openalex.org/C55527203","wikidata":"https://www.wikidata.org/wiki/Q334194","display_name":"Spillover effect","level":2,"score":0.6375867128372192},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.610331654548645},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5810108184814453},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.5344188809394836},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.45398277044296265},{"id":"https://openalex.org/C154775046","wikidata":"https://www.wikidata.org/wiki/Q188","display_name":"German","level":2,"score":0.4305424690246582},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.42095521092414856},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.2654750645160675},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.12394493818283081},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12170043587684631},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.055306583642959595},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1002/ijfe.385","doi":"https://doi.org/10.1002/ijfe.385","is_oa":false,"landing_page_url":"https://doi.org/10.1002/ijfe.385","pdf_url":null,"source":{"id":"https://openalex.org/S146099957","display_name":"International Journal of Finance & Economics","issn_l":"1076-9307","issn":["1076-9307","1099-1158"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","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":"International Journal of Finance &amp; Economics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.560602","doi":"https://doi.org/10.2139/ssrn.560602","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.560602","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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:ijf:ijfiec:v:15:y:2010:i:2:p:105-122","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1002/ijfe.385","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"},{"id":"pmh:oai:pure.atira.dk:publications/4f7e91b0-e2f6-11dd-8fc3-000ea68e967b","doi":null,"is_oa":false,"landing_page_url":"https://pure.au.dk/portal/en/publications/4f7e91b0-e2f6-11dd-8fc3-000ea68e967b","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Christiansen, C 2010, 'Decomposing European Bond and Equity Volatility', International Journal of Finance and Economics, vol. 15, no. 2, pp. 105-122. https://doi.org/10.1002/Ijfe.385","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.560602","doi":"https://doi.org/10.2139/ssrn.560602","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.560602","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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320318286","display_name":"Copenhagen Business School","ror":"https://ror.org/04sppb023"},{"id":"https://openalex.org/F4320320943","display_name":"Danmarks Grundforskningsfond","ror":"https://ror.org/00znyv691"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":55,"referenced_works":["https://openalex.org/W1490148754","https://openalex.org/W1495779368","https://openalex.org/W1522592437","https://openalex.org/W1567579011","https://openalex.org/W1575345035","https://openalex.org/W1581492247","https://openalex.org/W1727659491","https://openalex.org/W1970694313","https://openalex.org/W1985358018","https://openalex.org/W1995834279","https://openalex.org/W2000194002","https://openalex.org/W2004530264","https://openalex.org/W2018364810","https://openalex.org/W2019036387","https://openalex.org/W2027953212","https://openalex.org/W2028726096","https://openalex.org/W2028738662","https://openalex.org/W2034707435","https://openalex.org/W2054477007","https://openalex.org/W2061160212","https://openalex.org/W2063593194","https://openalex.org/W2066580768","https://openalex.org/W2077505670","https://openalex.org/W2079898209","https://openalex.org/W2081845631","https://openalex.org/W2104741357","https://openalex.org/W2117330494","https://openalex.org/W2129249812","https://openalex.org/W2135808131","https://openalex.org/W2137294934","https://openalex.org/W2144176130","https://openalex.org/W2151432181","https://openalex.org/W2155187653","https://openalex.org/W2168956349","https://openalex.org/W2240687320","https://openalex.org/W2266391215","https://openalex.org/W2606453933","https://openalex.org/W2891832533","https://openalex.org/W3022297202","https://openalex.org/W3022754635","https://openalex.org/W3023352629","https://openalex.org/W3089136439","https://openalex.org/W3121818550","https://openalex.org/W3121850481","https://openalex.org/W3122088046","https://openalex.org/W3122251927","https://openalex.org/W3122275744","https://openalex.org/W3123219930","https://openalex.org/W3123289511","https://openalex.org/W3123852691","https://openalex.org/W3125295699","https://openalex.org/W3125457405","https://openalex.org/W3125498299","https://openalex.org/W3125770767","https://openalex.org/W3125870866"],"related_works":["https://openalex.org/W7096044871","https://openalex.org/W7100829636","https://openalex.org/W2986275232","https://openalex.org/W3122251927","https://openalex.org/W7096881998","https://openalex.org/W3125851884","https://openalex.org/W2788254745","https://openalex.org/W3116257380","https://openalex.org/W2512819086","https://openalex.org/W7097081540"],"abstract_inverted_index":{"Abstract":[0],"The":[1,41,75],"paper":[2],"investigates":[3],"volatility":[4,26],"spillover":[5,27],"from":[6,56],"US":[7,57,59],"and":[8,24,67],"aggregate":[9],"European":[10,14,61,63,94],"asset":[11,16],"markets":[12,95,101],"into":[13,53],"national":[15,76],"markets.":[17,106],"A":[18,31],"main":[19],"contribution":[20],"is":[21,28,39,51],"that":[22],"bond":[23,77,84,100],"equity":[25],"analysed":[29],"simultaneously.":[30],"new":[32],"model":[33],"belonging":[34],"to":[35],"the":[36,46,88,91,93],"\u2018volatility\u2010spillover\u2019":[37],"class":[38],"suggested:":[40],"conditional":[42],"variance":[43],"of":[44,90],"e.g.":[45],"unexpected":[47],"German":[48,65,68],"stock":[49,105],"return":[50],"divided":[52],"separate":[54],"effects":[55,72],"bonds,":[58,62,66],"stocks,":[60,64],"stocks.":[69],"Significant":[70],"volatility\u2010spillover":[71],"are":[73,80],"found.":[74],"(stock)":[78,85],"volatilities":[79],"mainly":[81],"influenced":[82],"by":[83],"effects.":[86],"After":[87],"introduction":[89],"euro":[92],"have":[96],"become":[97],"more":[98,102],"integrated;":[99],"so":[103],"than":[104],"Copyright":[107],"\u00a9":[108],"2008":[109],"John":[110],"Wiley":[111],"&":[112],"Sons,":[113],"Ltd.":[114]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2020-05-13T00:00:00"}
