{"id":"https://openalex.org/W3032865617","doi":"https://doi.org/10.1016/j.resourpol.2020.101856","title":"The predictive power of oil price shocks on realized volatility of oil: A note","display_name":"The predictive power of oil price shocks on realized volatility of oil: A note","publication_year":2020,"publication_date":"2020-09-23","ids":{"openalex":"https://openalex.org/W3032865617","doi":"https://doi.org/10.1016/j.resourpol.2020.101856","mag":"3032865617","pmid":"https://pubmed.ncbi.nlm.nih.gov/34173422","pmcid":"https://www.ncbi.nlm.nih.gov/pmc/articles/7509536"},"language":"en","primary_location":{"id":"doi:10.1016/j.resourpol.2020.101856","doi":"https://doi.org/10.1016/j.resourpol.2020.101856","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2020.101856","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","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":"Resources Policy","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref","pubmed"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7509536","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049480238","display_name":"R\u0131za Demirer","orcid":"https://orcid.org/0000-0002-1840-8085","observed_orcids":["https://orcid.org/0000-0002-1840-8085"]},"institutions":[{"id":"https://openalex.org/I87547150","display_name":"Southern Illinois University Edwardsville","ror":"https://ror.org/04cqs5j56","country_code":"US","type":"education","lineage":["https://openalex.org/I2801502357","https://openalex.org/I87547150"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Riza Demirer","raw_affiliation_strings":["Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, 62026-1102, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL, 62026-1102, USA","institution_ids":["https://openalex.org/I87547150"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5015669404","display_name":"Rangan Gupta","orcid":"https://orcid.org/0000-0001-5002-3428","observed_orcids":["https://orcid.org/0000-0001-5002-3428","https://orcid.org/0000-0001-8164-135X"]},"institutions":[{"id":"https://openalex.org/I69552723","display_name":"University of Pretoria","ror":"https://ror.org/00g0p6g84","country_code":"ZA","type":"education","lineage":["https://openalex.org/I69552723"]}],"countries":["ZA"],"is_corresponding":true,"raw_author_name":"Rangan Gupta","raw_affiliation_strings":["Department of Economics, University of Pretoria, Pretoria, 0002, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Pretoria, Pretoria, 0002, South Africa","institution_ids":["https://openalex.org/I69552723"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5049751786","display_name":"Christian Pierdzioch","orcid":"https://orcid.org/0000-0001-6887-7763","observed_orcids":["https://orcid.org/0000-0001-6887-7763","https://orcid.org/0009-0009-4360-940X"]},"institutions":[{"id":"https://openalex.org/I190134885","display_name":"Helmut Schmidt University","ror":"https://ror.org/04e8jbs38","country_code":"DE","type":"education","lineage":["https://openalex.org/I190134885"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Christian Pierdzioch","raw_affiliation_strings":["Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008, Hamburg, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008, Hamburg, Germany","institution_ids":["https://openalex.org/I190134885"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5021804779","display_name":"Syed Jawad Hussain Shahzad","orcid":"https://orcid.org/0000-0003-3511-6057","observed_orcids":["https://orcid.org/0000-0003-3511-6057"]},"institutions":[{"id":"https://openalex.org/I107640659","display_name":"South Ural State University","ror":"https://ror.org/03sfk2504","country_code":"RU","type":"education","lineage":["https://openalex.org/I107640659"]},{"id":"https://openalex.org/I4210131537","display_name":"MBS School of Business","ror":"https://ror.org/037tw3m02","country_code":"FR","type":"education","lineage":["https://openalex.org/I4210131537"]}],"countries":["FR","RU"],"is_corresponding":false,"raw_author_name":"Syed Jawad Hussain Shahzad","raw_affiliation_strings":["Montpellier Business School, Montpellier, France","South Ural State University, Chelyabinsk, Russian Federation"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Montpellier Business School, Montpellier, France","institution_ids":["https://openalex.org/I4210131537"]},{"raw_affiliation_string":"South Ural State University, Chelyabinsk, Russian Federation","institution_ids":["https://openalex.org/I107640659"]}]}],"institutions":[],"countries_distinct_count":5,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5015669404"],"corresponding_institution_ids":["https://openalex.org/I69552723"],"apc_list":{"value":1300,"currency":"USD","value_usd":1300},"apc_paid":null,"fwci":7.7392,"has_fulltext":false,"cited_by_count":52,"citation_normalized_percentile":{"value":0.97368688,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":"69","issue":null,"first_page":"101856","last_page":"101856"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.6265000104904175,"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":0.6265000104904175,"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":0.3716000020503998,"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":0.00019999999494757503,"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/oil-price-shocks","display_name":"oil price shocks","score":0.9819999933242798},{"id":"https://openalex.org/keywords/realized-volatility","display_name":"realized volatility","score":0.8550000190734863},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.7670000195503235},{"id":"https://openalex.org/keywords/oil-supply-shocks","display_name":"oil supply shocks","score":0.8669999837875366},{"id":"https://openalex.org/keywords/oil-demand-shocks","display_name":"oil demand shocks","score":0.9959999918937683},{"id":"https://openalex.org/keywords/risk-shocks","display_name":"risk shocks","score":0.8980000019073486},{"id":"https://openalex.org/keywords/financial-market-risk","display_name":"financial market risk","score":0.7369999885559082},{"id":"https://openalex.org/keywords/heterogeneous-autoregressive-model","display_name":"heterogeneous autoregressive model","score":0.7680000066757202},{"id":"https://openalex.org/keywords/high-frequency-data","display_name":"high-frequency data","score":0.753000020980835},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.8709999918937683}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8215129375457764},{"id":"https://openalex.org/C2778136018","wikidata":"https://www.wikidata.org/wiki/Q10350689","display_name":"Predictive power","level":2,"score":0.7899138927459717},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7025938034057617},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.615153968334198},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6131057739257812},{"id":"https://openalex.org/C2984556133","wikidata":"https://www.wikidata.org/wiki/Q297279","display_name":"Oil price","level":2,"score":0.5504733324050903},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.5373342037200928},{"id":"https://openalex.org/C2993360226","wikidata":"https://www.wikidata.org/wiki/Q912281","display_name":"Oil supply","level":2,"score":0.4371471107006073},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.432762086391449},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.43259188532829285},{"id":"https://openalex.org/C2781300812","wikidata":"https://www.wikidata.org/wiki/Q178061","display_name":"Shock (circulatory)","level":2,"score":0.41417625546455383},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.360154926776886},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"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/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C126322002","wikidata":"https://www.wikidata.org/wiki/Q11180","display_name":"Internal medicine","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1016/j.resourpol.2020.101856","doi":"https://doi.org/10.1016/j.resourpol.2020.101856","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.resourpol.2020.101856","pdf_url":null,"source":{"id":"https://openalex.org/S194185345","display_name":"Resources Policy","issn_l":"0301-4207","issn":["0301-4207","1873-7641"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-140","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":"Resources Policy","raw_type":"journal-article"},{"id":"pmh:oai:pubmedcentral.nih.gov:7509536","doi":null,"is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7509536","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resour Policy","raw_type":"Text"},{"id":"pmid:34173422","doi":null,"is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/34173422","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resources policy","raw_type":"Journal Article"},{"id":"mag:3124486060","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/pre/wpaper/202044.html","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":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0301420720308874","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:repository.up.ac.za:2263/81556","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/2263/81556","pdf_url":null,"source":{"id":"https://openalex.org/S4306401870","display_name":"UpSpace Institutional Repository (University of Pretoria)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I69552723","host_organization_name":"University of Pretoria","host_organization_lineage":["https://openalex.org/I69552723"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Postprint Article"}],"best_oa_location":{"id":"pmh:oai:pubmedcentral.nih.gov:7509536","doi":null,"is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/7509536","pdf_url":null,"source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Resour Policy","raw_type":"Text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1144081696","https://openalex.org/W1547068196","https://openalex.org/W1564650095","https://openalex.org/W1913814500","https://openalex.org/W1973809982","https://openalex.org/W2038845560","https://openalex.org/W2039709163","https://openalex.org/W2065821126","https://openalex.org/W2068138154","https://openalex.org/W2098052145","https://openalex.org/W2130774119","https://openalex.org/W2146134639","https://openalex.org/W2265671773","https://openalex.org/W2310745381","https://openalex.org/W2401731123","https://openalex.org/W2487337118","https://openalex.org/W2572501969","https://openalex.org/W2606715761","https://openalex.org/W2617434451","https://openalex.org/W2728984718","https://openalex.org/W2750703806","https://openalex.org/W2762142247","https://openalex.org/W2785782605","https://openalex.org/W2803050378","https://openalex.org/W2803546897","https://openalex.org/W2803549652","https://openalex.org/W2809870114","https://openalex.org/W2898256219","https://openalex.org/W2914110379","https://openalex.org/W2917132126","https://openalex.org/W2925285003","https://openalex.org/W2931083542","https://openalex.org/W2932795522","https://openalex.org/W2942810095","https://openalex.org/W2945058180","https://openalex.org/W2951823637","https://openalex.org/W2972654004","https://openalex.org/W2990418560","https://openalex.org/W3003967474","https://openalex.org/W3006271636","https://openalex.org/W3022266198","https://openalex.org/W3044191953","https://openalex.org/W3121513545","https://openalex.org/W3121597804","https://openalex.org/W3122114370","https://openalex.org/W3124797040","https://openalex.org/W3125290259","https://openalex.org/W3125722875"],"related_works":["https://openalex.org/W3004724985","https://openalex.org/W2759425076","https://openalex.org/W631769457","https://openalex.org/W2917132126","https://openalex.org/W2255115890","https://openalex.org/W2076627970","https://openalex.org/W3003967474","https://openalex.org/W3091977402","https://openalex.org/W4406751415","https://openalex.org/W2763263157"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":12},{"year":2021,"cited_by_count":15},{"year":2020,"cited_by_count":2}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2020-06-05T00:00:00"}
