{"id":"https://openalex.org/W4382280285","doi":"https://doi.org/10.1007/s10287-023-00465-z","title":"Implied volatility smoothing at COVID-19 times","display_name":"Implied volatility smoothing at COVID-19 times","publication_year":2023,"publication_date":"2023-06-27","ids":{"openalex":"https://openalex.org/W4382280285","doi":"https://doi.org/10.1007/s10287-023-00465-z"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-023-00465-z","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00465-z","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00465-z.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00465-z.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079124637","display_name":"Sebastiano Vitali","orcid":"https://orcid.org/0000-0002-6984-4194"},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Sebastiano Vitali","raw_affiliation_strings":["Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5043473436","display_name":"Milo\u0161 Kopa","orcid":"https://orcid.org/0000-0002-9438-4484"},"institutions":[{"id":"https://openalex.org/I21250087","display_name":"Charles University","ror":"https://ror.org/024d6js02","country_code":"CZ","type":"education","lineage":["https://openalex.org/I21250087"]}],"countries":["CZ"],"is_corresponding":false,"raw_author_name":"Milo\u0161 Kopa","raw_affiliation_strings":["Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovska 83, 186 75, Prague, Czech Republic"],"affiliations":[{"raw_affiliation_string":"Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, Sokolovska 83, 186 75, Prague, Czech Republic","institution_ids":["https://openalex.org/I21250087"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5092279686","display_name":"Gabriele Giana","orcid":null},"institutions":[{"id":"https://openalex.org/I11039511","display_name":"University of Bergamo","ror":"https://ror.org/02mbd5571","country_code":"IT","type":"education","lineage":["https://openalex.org/I11039511"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Gabriele Giana","raw_affiliation_strings":["Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy"],"affiliations":[{"raw_affiliation_string":"Department of Economics, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy","institution_ids":["https://openalex.org/I11039511"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5079124637"],"corresponding_institution_ids":["https://openalex.org/I11039511"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.1241696,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"20","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"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":0.9944999814033508,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.991599977016449,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.7373578548431396},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6813972592353821},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.6706500053405762},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6096916198730469},{"id":"https://openalex.org/keywords/smoothing","display_name":"Smoothing","score":0.5773357152938843},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.49448728561401367},{"id":"https://openalex.org/keywords/variance-swap","display_name":"Variance swap","score":0.49411705136299133},{"id":"https://openalex.org/keywords/coronavirus-disease-2019","display_name":"Coronavirus disease 2019 (COVID-19)","score":0.48559993505477905},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.47488707304000854},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.46705496311187744},{"id":"https://openalex.org/keywords/volatility-swap","display_name":"Volatility swap","score":0.45327863097190857},{"id":"https://openalex.org/keywords/equity","display_name":"Equity (law)","score":0.42435818910598755},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.41138312220573425},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.3272045850753784},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.254145085811615},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.09707489609718323}],"concepts":[{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.7373578548431396},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6813972592353821},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.6706500053405762},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6096916198730469},{"id":"https://openalex.org/C3770464","wikidata":"https://www.wikidata.org/wiki/Q775963","display_name":"Smoothing","level":2,"score":0.5773357152938843},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.49448728561401367},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.49411705136299133},{"id":"https://openalex.org/C3008058167","wikidata":"https://www.wikidata.org/wiki/Q84263196","display_name":"Coronavirus disease 2019 (COVID-19)","level":4,"score":0.48559993505477905},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.47488707304000854},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.46705496311187744},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.45327863097190857},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.42435818910598755},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.41138312220573425},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3272045850753784},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.254145085811615},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.09707489609718323},{"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/C524204448","wikidata":"https://www.wikidata.org/wiki/Q788926","display_name":"Infectious disease (medical specialty)","level":3,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C2779134260","wikidata":"https://www.wikidata.org/wiki/Q12136","display_name":"Disease","level":2,"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/C142724271","wikidata":"https://www.wikidata.org/wiki/Q7208","display_name":"Pathology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s10287-023-00465-z","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00465-z","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00465-z.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:aisberg.unibg.it:10446/247069","is_oa":true,"landing_page_url":"https://hdl.handle.net/10446/247069","pdf_url":"https://aisberg.unibg.it/bitstream/10446/247069/1/s10287-023-00465-z_FINALE.pdf","source":{"id":"https://openalex.org/S4377196347","display_name":"Aisberg (University of Bergamo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I11039511","host_organization_name":"University of Bergamo","host_organization_lineage":["https://openalex.org/I11039511"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-023-00465-z","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,"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":{"id":"doi:10.1007/s10287-023-00465-z","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10287-023-00465-z","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-023-00465-z.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.6000000238418579,"id":"https://metadata.un.org/sdg/3","display_name":"Good health and well-being"}],"awards":[{"id":"https://openalex.org/G1859033731","display_name":null,"funder_award_id":"MIUR-ex60% 2021 SciResp Sebastiano Vitali","funder_id":"https://openalex.org/F4320331528","funder_display_name":"Ministero dell'Universit\u00e0 e della Ricerca"},{"id":"https://openalex.org/G2599214095","display_name":null,"funder_award_id":"19-28231X","funder_id":"https://openalex.org/F4320309872","funder_display_name":"Grantov\u00e1 Agentura, Univerzita Karlova"},{"id":"https://openalex.org/G7994587385","display_name":null,"funder_award_id":"19-28231X","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"},{"id":"https://openalex.org/G8653473796","display_name":null,"funder_award_id":"MIUR-ex60% 2020","funder_id":"https://openalex.org/F4320321873","funder_display_name":"Ministero dell\u2019Istruzione, dell\u2019Universit\u00e0 e della Ricerca"}],"funders":[{"id":"https://openalex.org/F4320309872","display_name":"Grantov\u00e1 Agentura, Univerzita Karlova","ror":"https://ror.org/024d6js02"},{"id":"https://openalex.org/F4320316219","display_name":"Universit\u00e0 degli studi di Bergamo","ror":"https://ror.org/02mbd5571"},{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"},{"id":"https://openalex.org/F4320321873","display_name":"Ministero dell\u2019Istruzione, dell\u2019Universit\u00e0 e della Ricerca","ror":"https://ror.org/0166hxq48"},{"id":"https://openalex.org/F4320331528","display_name":"Ministero dell'Universit\u00e0 e della Ricerca","ror":null}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4382280285.pdf"},"referenced_works_count":29,"referenced_works":["https://openalex.org/W1525826300","https://openalex.org/W1975600269","https://openalex.org/W2004360755","https://openalex.org/W2034941739","https://openalex.org/W2056972995","https://openalex.org/W2071058234","https://openalex.org/W2077791698","https://openalex.org/W2085170547","https://openalex.org/W2103975365","https://openalex.org/W2110466463","https://openalex.org/W2111420975","https://openalex.org/W2117727114","https://openalex.org/W2146848558","https://openalex.org/W2292194438","https://openalex.org/W2607176350","https://openalex.org/W2734134993","https://openalex.org/W2901828117","https://openalex.org/W3035431794","https://openalex.org/W3039103192","https://openalex.org/W3122718043","https://openalex.org/W3122879729","https://openalex.org/W3122895457","https://openalex.org/W3124302603","https://openalex.org/W3124792594","https://openalex.org/W3125351487","https://openalex.org/W3193810899","https://openalex.org/W4206419526","https://openalex.org/W4210749431","https://openalex.org/W4231057775"],"related_works":["https://openalex.org/W3166518942","https://openalex.org/W3021038160","https://openalex.org/W1984031927","https://openalex.org/W2061128599","https://openalex.org/W2996362422","https://openalex.org/W1530811338","https://openalex.org/W4310989636","https://openalex.org/W2169908486","https://openalex.org/W4287995767","https://openalex.org/W2018934424"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"work":[2],"aims":[3],"at":[4],"studying":[5],"the":[6,9,13,24,27,30,35,53,85,88,93,96,109,112],"impact":[7,20],"of":[8,26,29,34,56,81,87,95,111],"SARS-CoV-2":[10],"pandemic":[11],"on":[12,38,43],"global":[14],"financial":[15],"markets.":[16],"In":[17],"particular,":[18],"such":[19],"is":[21,50,75],"analysed":[22],"through":[23,92],"changes":[25],"shape":[28,110],"implied":[31,47,89,113],"volatility":[32,48,90,114],"smile":[33],"options":[36,58],"written":[37],"several":[39,44,101],"equity":[40],"indexes":[41],"and":[42,59,70,105],"stocks.":[45],"The":[46],"function":[49,69],"estimated":[51],"using":[52],"market-based":[54],"information":[55],"liquid":[57],"applying":[60],"a":[61,67,103],"semi-parametric":[62],"smoothing":[63],"technique":[64],"that":[65],"exploits":[66],"kernel":[68],"no-arbitrage":[71],"conditions.":[72],"Such":[73],"approach":[74],"applied":[76],"to":[77,83],"an":[78],"extensive":[79],"set":[80],"data":[82],"study":[84],"evolution":[86],"functions":[91],"months":[94],"pandemic.":[97],"We":[98],"show,":[99],"in":[100,108],"cases,":[102],"sudden":[104],"massive":[106],"change":[107],"functions.":[115]},"counts_by_year":[],"updated_date":"2026-04-10T15:06:20.359241","created_date":"2025-10-10T00:00:00"}