{"id":"https://openalex.org/W4412372056","doi":"https://doi.org/10.1111/jtsa.12849","title":"Decoupling Interday and Intraday Volatility Dynamics With Price Durations","display_name":"Decoupling Interday and Intraday Volatility Dynamics With Price Durations","publication_year":2025,"publication_date":"2025-06-29","ids":{"openalex":"https://openalex.org/W4412372056","doi":"https://doi.org/10.1111/jtsa.12849"},"language":"en","primary_location":{"id":"doi:10.1111/jtsa.12849","doi":"https://doi.org/10.1111/jtsa.12849","is_oa":true,"landing_page_url":"https://doi.org/10.1111/jtsa.12849","pdf_url":null,"source":{"id":"https://openalex.org/S206595242","display_name":"Journal of Time Series Analysis","issn_l":"0143-9782","issn":["0143-9782","1467-9892"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","doyens","jufo-2","norway-2","poland-100","russia-white-list-2"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Time Series Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1111/jtsa.12849","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100427038","display_name":"Yifan Li","orcid":"https://orcid.org/0000-0002-4941-3629","observed_orcids":["https://orcid.org/0000-0002-4941-3629"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Yifan Li","raw_affiliation_strings":["Alliance Manchester Business School University of Manchester  Manchester UK"],"raw_orcid":"https://orcid.org/0000-0002-4941-3629","affiliations":[{"raw_affiliation_string":"Alliance Manchester Business School University of Manchester  Manchester UK","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5087732166","display_name":"Ingmar Nolte","orcid":"https://orcid.org/0000-0002-5065-8201","observed_orcids":["https://orcid.org/0000-0002-5065-8201"]},"institutions":[{"id":"https://openalex.org/I67415387","display_name":"Lancaster University","ror":"https://ror.org/04f2nsd36","country_code":"GB","type":"education","lineage":["https://openalex.org/I67415387"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Ingmar Nolte","raw_affiliation_strings":["Lancaster University Management School Lancaster University  Lancaster UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lancaster University Management School Lancaster University  Lancaster UK","institution_ids":["https://openalex.org/I67415387"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069230388","display_name":"Sandra Nolte","orcid":"https://orcid.org/0000-0002-2805-3409","observed_orcids":["https://orcid.org/0000-0002-2805-3409"]},"institutions":[{"id":"https://openalex.org/I67415387","display_name":"Lancaster University","ror":"https://ror.org/04f2nsd36","country_code":"GB","type":"education","lineage":["https://openalex.org/I67415387"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Sandra Nolte","raw_affiliation_strings":["Lancaster University Management School Lancaster University  Lancaster UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Lancaster University Management School Lancaster University  Lancaster UK","institution_ids":["https://openalex.org/I67415387"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054981004","display_name":"Shifan Yu","orcid":"https://orcid.org/0000-0002-7917-6214","observed_orcids":["https://orcid.org/0000-0002-7917-6214"]},"institutions":[{"id":"https://openalex.org/I40120149","display_name":"University of Oxford","ror":"https://ror.org/052gg0110","country_code":"GB","type":"education","lineage":["https://openalex.org/I40120149"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Shifan Yu","raw_affiliation_strings":["Oxford\u2010Man Institute of Quantitative Finance University of Oxford  Oxford UK"],"raw_orcid":"https://orcid.org/0000-0002-7917-6214","affiliations":[{"raw_affiliation_string":"Oxford\u2010Man Institute of Quantitative Finance University of Oxford  Oxford UK","institution_ids":["https://openalex.org/I40120149"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3510,"currency":"USD","value_usd":3510},"apc_paid":{"value":3510,"currency":"USD","value_usd":3510},"fwci":0.939,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.7732977,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":93,"max":96},"biblio":{"volume":"46","issue":"6","first_page":"1224","last_page":"1250"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9937000274658203,"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":0.9937000274658203,"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":0.0044999998062849045,"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":0.0003000000142492354,"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/price-duration","display_name":"price duration","score":0.847000002861023},{"id":"https://openalex.org/keywords/volatility-estimation","display_name":"volatility estimation","score":0.921999990940094},{"id":"https://openalex.org/keywords/integrated-volatility","display_name":"integrated volatility","score":0.6959999799728394},{"id":"https://openalex.org/keywords/spot-volatility","display_name":"spot volatility","score":0.9700000286102295},{"id":"https://openalex.org/keywords/intraday-volatility","display_name":"intraday volatility","score":0.7480000257492065},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.8330000042915344},{"id":"https://openalex.org/keywords/fomc-announcements","display_name":"FOMC announcements","score":0.8479999899864197},{"id":"https://openalex.org/keywords/high-frequency-data","display_name":"high-frequency data","score":0.5830000042915344}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.708513617515564},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6732797622680664},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6549617052078247},{"id":"https://openalex.org/C205606062","wikidata":"https://www.wikidata.org/wiki/Q5249645","display_name":"Decoupling (probability)","level":2,"score":0.609973669052124},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5154205560684204},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.0},{"id":"https://openalex.org/C133731056","wikidata":"https://www.wikidata.org/wiki/Q4917288","display_name":"Control engineering","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1111/jtsa.12849","doi":"https://doi.org/10.1111/jtsa.12849","is_oa":true,"landing_page_url":"https://doi.org/10.1111/jtsa.12849","pdf_url":null,"source":{"id":"https://openalex.org/S206595242","display_name":"Journal of Time Series Analysis","issn_l":"0143-9782","issn":["0143-9782","1467-9892"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","doyens","jufo-2","norway-2","poland-100","russia-white-list-2"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Time Series Analysis","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.4850075","doi":"https://doi.org/10.2139/ssrn.4850075","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4850075","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:pure.atira.dk:openaire/300dbd4c-f412-43b7-9aa3-0cbc69eed36b","doi":null,"is_oa":true,"landing_page_url":"https://research.manchester.ac.uk/en/publications/300dbd4c-f412-43b7-9aa3-0cbc69eed36b","pdf_url":null,"source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Li, Y, Nolte, I, Nolte, S & Yu, S 2025, 'Decoupling Interday and Intraday Volatility Dynamics With Price Durations', Journal of Time Series Analysis. https://doi.org/10.1111/jtsa.12849","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:eprints.lancs.ac.uk:229220","doi":null,"is_oa":true,"landing_page_url":"https://eprints.lancs.ac.uk/id/eprint/229220/1/JTSA-6180-R2.pdf","pdf_url":"https://eprints.lancs.ac.uk/id/eprint/229220/1/JTSA-6180-R2.pdf","source":{"id":"https://openalex.org/S4306401916","display_name":"Lancaster EPrints (Lancaster University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I67415387","host_organization_name":"Lancaster University","host_organization_lineage":["https://openalex.org/I67415387"],"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":"Journal Article"}],"best_oa_location":{"id":"doi:10.1111/jtsa.12849","doi":"https://doi.org/10.1111/jtsa.12849","is_oa":true,"landing_page_url":"https://doi.org/10.1111/jtsa.12849","pdf_url":null,"source":{"id":"https://openalex.org/S206595242","display_name":"Journal of Time Series Analysis","issn_l":"0143-9782","issn":["0143-9782","1467-9892"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","doyens","jufo-2","norway-2","poland-100","russia-white-list-2"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Time Series Analysis","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G8453815019","display_name":"North West Social Science Doctoral Training Partnership (NWSSDTP)","funder_award_id":"ES/P000665/1","funder_id":"https://openalex.org/F4320334630","funder_display_name":"Economic and Social Research Council"}],"funders":[{"id":"https://openalex.org/F4320334630","display_name":"Economic and Social Research Council","ror":"https://ror.org/03n0ht308"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":75,"referenced_works":["https://openalex.org/W93027189","https://openalex.org/W348751596","https://openalex.org/W564229125","https://openalex.org/W1507378142","https://openalex.org/W1559344792","https://openalex.org/W1979575715","https://openalex.org/W1983366846","https://openalex.org/W1994281962","https://openalex.org/W1995598871","https://openalex.org/W1999996900","https://openalex.org/W2001772055","https://openalex.org/W2003413166","https://openalex.org/W2018240140","https://openalex.org/W2030548181","https://openalex.org/W2034392244","https://openalex.org/W2050238052","https://openalex.org/W2051235503","https://openalex.org/W2062128058","https://openalex.org/W2064978316","https://openalex.org/W2066815740","https://openalex.org/W2068138154","https://openalex.org/W2089387865","https://openalex.org/W2096669492","https://openalex.org/W2106540119","https://openalex.org/W2113883339","https://openalex.org/W2125142831","https://openalex.org/W2125472587","https://openalex.org/W2130071199","https://openalex.org/W2137077768","https://openalex.org/W2140585983","https://openalex.org/W2146134639","https://openalex.org/W2146399390","https://openalex.org/W2147013701","https://openalex.org/W2150405201","https://openalex.org/W2153271406","https://openalex.org/W2158595111","https://openalex.org/W2333755122","https://openalex.org/W2403459098","https://openalex.org/W2479761636","https://openalex.org/W2499063677","https://openalex.org/W2528063373","https://openalex.org/W2553269777","https://openalex.org/W2784931388","https://openalex.org/W2802464205","https://openalex.org/W2942897576","https://openalex.org/W2949695413","https://openalex.org/W2950144632","https://openalex.org/W3023292412","https://openalex.org/W3121354608","https://openalex.org/W3121364726","https://openalex.org/W3121375561","https://openalex.org/W3121532596","https://openalex.org/W3121892450","https://openalex.org/W3121990023","https://openalex.org/W3122025015","https://openalex.org/W3123351111","https://openalex.org/W3123478488","https://openalex.org/W3123647737","https://openalex.org/W3123910144","https://openalex.org/W3125722875","https://openalex.org/W3125987794","https://openalex.org/W3127486155","https://openalex.org/W3135851719","https://openalex.org/W3208587286","https://openalex.org/W4241170854","https://openalex.org/W4244155226","https://openalex.org/W4246999289","https://openalex.org/W4251828876","https://openalex.org/W4292027175","https://openalex.org/W4319789775","https://openalex.org/W4367018452","https://openalex.org/W4387905803","https://openalex.org/W4387993186","https://openalex.org/W4407873783","https://openalex.org/W6663759148"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W1979597421","https://openalex.org/W2007980826","https://openalex.org/W2061531152","https://openalex.org/W3002753104","https://openalex.org/W2077600819","https://openalex.org/W2142036596","https://openalex.org/W2286180210","https://openalex.org/W2753588648","https://openalex.org/W2760171142"],"abstract_inverted_index":{"ABSTRACT":[0],"This":[1,20],"article":[2],"introduces":[3],"a":[4,96],"novel":[5],"framework":[6],"for":[7,61,79],"volatility":[8,29,49,66,93,99,108],"estimation":[9,109],"based":[10,75],"on":[11,76,125],"price":[12,17,32,41],"durations":[13,42],"with":[14,68],"an":[15,103],"adaptive":[16],"change":[18],"threshold.":[19],"innovation":[21],"allows":[22],"us":[23],"to":[24,46],"disentangle":[25],"daily":[26,98],"and":[27,43,64,118],"intraday":[28,77,104],"dynamics":[30],"from":[31],"durations,":[33],"which":[34],"greatly":[35],"simplifies":[36],"the":[37,80,86,116],"parametric":[38],"modelling":[39],"of":[40,57,90,106,121],"hence":[44],"leads":[45],"more":[47],"accurate":[48],"estimators.":[50],"Simulation":[51],"results":[52],"demonstrate":[53],"superior":[54],"finite\u2010sample":[55],"performance":[56],"our":[58,91,112],"duration\u2010based":[59],"estimators":[60],"both":[62],"spot":[63,107],"integrated":[65,92],"compared":[67],"some":[69],"established":[70],"methods.":[71],"An":[72],"empirical":[73],"application":[74],"data":[78],"SPDR":[81],"S&P":[82],"500":[83],"ETF":[84],"highlights":[85],"improved":[87],"forecasting":[88,100],"accuracy":[89],"estimator":[94],"within":[95],"standard":[97],"framework.":[101],"Furthermore,":[102],"analysis":[105],"shows":[110],"that":[111],"method":[113],"can":[114],"capture":[115],"immediate":[117],"substantial":[119],"impact":[120],"FOMC":[122],"news":[123],"announcements":[124],"market":[126],"volatility.":[127]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2025-10-10T00:00:00"}