Get quick answers to your questions about the article from our AI researcher chatbot
{'id': 'https://openalex.org/W1911047832', 'doi': 'https://doi.org/10.2139/ssrn.2580313', 'title': 'Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis', 'display_name': 'Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis', 'publication_year': 2014, 'publication_date': '2014-01-01', 'ids': {'openalex': 'https://openalex.org/W1911047832', 'doi': 'https://doi.org/10.2139/ssrn.2580313', 'mag': '1911047832'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://doi.org/10.2139/ssrn.2580313', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4210172589', 'display_name': 'SSRN Electronic Journal', 'issn_l': '1556-5068', 'issn': ['1556-5068'], 'is_oa': False, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I1318003438', 'host_organization_name': 'RELX Group (Netherlands)', 'host_organization_lineage': ['https://openalex.org/I1318003438'], 'host_organization_lineage_names': ['RELX Group (Netherlands)'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}, 'type': 'article', 'type_crossref': 'journal-article', 'indexed_in': ['crossref'], 'open_access': {'is_oa': True, 'oa_status': 'green', 'oa_url': 'http://www.rcea.org/RePEc/pdf/wp31_14.pdf', 'any_repository_has_fulltext': True}, 'authorships': [{'author_position': 'first', 'author': {'id': 'https://openalex.org/A5042124345', 'display_name': 'Mark J. Jensen', 'orcid': 'https://orcid.org/0000-0003-0455-4644'}, 'institutions': [{'id': 'https://openalex.org/I119878761', 'display_name': 'Federal Reserve Bank of Atlanta', 'ror': 'https://ror.org/05qg1tz58', 'country_code': 'US', 'type': 'other', 'lineage': ['https://openalex.org/I119878761', 'https://openalex.org/I1317239608']}], 'countries': ['US'], 'is_corresponding': True, 'raw_author_name': 'Mark J. Jensen', 'raw_affiliation_strings': ['Federal Reserve Bank of Atlanta'], 'affiliations': [{'raw_affiliation_string': 'Federal Reserve Bank of Atlanta', 'institution_ids': ['https://openalex.org/I119878761']}]}, {'author_position': 'last', 'author': {'id': 'https://openalex.org/A5113877968', 'display_name': 'John M. Maheu', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I98251732', 'display_name': 'McMaster University', 'ror': 'https://ror.org/02fa3aq29', 'country_code': 'CA', 'type': 'education', 'lineage': ['https://openalex.org/I98251732']}], 'countries': ['CA'], 'is_corresponding': False, 'raw_author_name': 'John M. Maheu', 'raw_affiliation_strings': ['McMaster University - Michael G. DeGroote School of Business'], 'affiliations': [{'raw_affiliation_string': 'McMaster University - Michael G. DeGroote School of Business', 'institution_ids': ['https://openalex.org/I98251732']}]}], 'institution_assertions': [], 'countries_distinct_count': 2, 'institutions_distinct_count': 2, 'corresponding_author_ids': ['https://openalex.org/A5042124345'], 'corresponding_institution_ids': ['https://openalex.org/I119878761'], 'apc_list': None, 'apc_paid': None, 'fwci': 1.089, 'has_fulltext': True, 'fulltext_origin': 'ngrams', 'cited_by_count': 4, 'citation_normalized_percentile': {'value': 0.723299, 'is_in_top_1_percent': False, 'is_in_top_10_percent': False}, 'cited_by_percentile_year': {'min': 79, 'max': 81}, 'biblio': {'volume': None, 'issue': None, 'first_page': None, 'last_page': None}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T10282', 'display_name': 'Financial Risk and Volatility Modeling', 'score': 0.9991, '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': 0.9991, '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/T11270', 'display_name': 'Complex Systems and Time Series Analysis', 'score': 0.995, '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/T10067', 'display_name': 'Stochastic processes and financial applications', 'score': 0.9943, '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': [], 'concepts': [{'id': 'https://openalex.org/C149782125', 'wikidata': 'https://www.wikidata.org/wiki/Q160039', 'display_name': 'Econometrics', 'level': 1, 'score': 0.69788206}, {'id': 'https://openalex.org/C102366305', 'wikidata': 'https://www.wikidata.org/wiki/Q1097688', 'display_name': 'Nonparametric statistics', 'level': 2, 'score': 0.6394639}, {'id': 'https://openalex.org/C91602232', 'wikidata': 'https://www.wikidata.org/wiki/Q756115', 'display_name': 'Volatility (finance)', 'level': 2, 'score': 0.63457537}, {'id': 'https://openalex.org/C107673813', 'wikidata': 'https://www.wikidata.org/wiki/Q812534', 'display_name': 'Bayesian probability', 'level': 2, 'score': 0.53900737}, {'id': 'https://openalex.org/C162324750', 'wikidata': 'https://www.wikidata.org/wiki/Q8134', 'display_name': 'Economics', 'level': 0, 'score': 0.4116836}, {'id': 'https://openalex.org/C105795698', 'wikidata': 'https://www.wikidata.org/wiki/Q12483', 'display_name': 'Statistics', 'level': 1, 'score': 0.4028153}, {'id': 'https://openalex.org/C41008148', 'wikidata': 'https://www.wikidata.org/wiki/Q21198', 'display_name': 'Computer science', 'level': 0, 'score': 0.36195636}, {'id': 'https://openalex.org/C33923547', 'wikidata': 'https://www.wikidata.org/wiki/Q395', 'display_name': 'Mathematics', 'level': 0, 'score': 0.33476675}], 'mesh': [], 'locations_count': 5, 'locations': [{'is_oa': False, 'landing_page_url': 'https://doi.org/10.2139/ssrn.2580313', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4210172589', 'display_name': 'SSRN Electronic Journal', 'issn_l': '1556-5068', 'issn': ['1556-5068'], 'is_oa': False, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I1318003438', 'host_organization_name': 'RELX Group (Netherlands)', 'host_organization_lineage': ['https://openalex.org/I1318003438'], 'host_organization_lineage_names': ['RELX Group (Netherlands)'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}, {'is_oa': True, 'landing_page_url': 'http://www.rcea.org/RePEc/pdf/wp31_14.pdf', 'pdf_url': 'http://www.rcea.org/RePEc/pdf/wp31_14.pdf', 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, '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': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': 'mit', 'license_id': 'https://openalex.org/licenses/mit', 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, {'is_oa': True, 'landing_page_url': 'http://hdl.handle.net/10419/101029', 'pdf_url': 'https://www.econstor.eu/bitstream/10419/101029/1/wp1406.pdf', 'source': {'id': 'https://openalex.org/S4306401696', 'display_name': 'Econstor (Econstor)', 'issn_l': None, 'issn': None, 'is_oa': True, 'is_in_doaj': False, 'is_core': False, 'host_organization': None, 'host_organization_name': None, 'host_organization_lineage': [], 'host_organization_lineage_names': [], 'type': 'repository'}, 'license': 'other-oa', 'license_id': 'https://openalex.org/licenses/other-oa', 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, {'is_oa': True, 'landing_page_url': 'https://frbatlanta.org/-/media/Documents/research/publications/wp/2014/wp1406.pdf?la=en', 'pdf_url': 'https://frbatlanta.org/-/media/Documents/research/publications/wp/2014/wp1406.pdf?la=en', 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, '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': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, {'is_oa': True, 'landing_page_url': 'https://mpra.ub.uni-muenchen.de/52132/1/MPRA_paper_52132.pdf', 'pdf_url': 'https://mpra.ub.uni-muenchen.de/52132/1/MPRA_paper_52132.pdf', 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, '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': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}], 'best_oa_location': {'is_oa': True, 'landing_page_url': 'http://www.rcea.org/RePEc/pdf/wp31_14.pdf', 'pdf_url': 'http://www.rcea.org/RePEc/pdf/wp31_14.pdf', 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, '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': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': 'mit', 'license_id': 'https://openalex.org/licenses/mit', 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, 'sustainable_development_goals': [{'display_name': 'Decent work and economic growth', 'id': 'https://metadata.un.org/sdg/8', 'score': 0.5}], 'grants': [], 'datasets': [], 'versions': [], 'referenced_works_count': 77, 'referenced_works': ['https://openalex.org/W1523330956', 'https://openalex.org/W1528242606', 'https://openalex.org/W1585130913', 'https://openalex.org/W1595729080', 'https://openalex.org/W1879215575', 'https://openalex.org/W1966268097', 'https://openalex.org/W1983382968', 'https://openalex.org/W1987078010', 'https://openalex.org/W1987129854', 'https://openalex.org/W1995642998', 'https://openalex.org/W2014586030', 'https://openalex.org/W2016755900', 'https://openalex.org/W2022322482', 'https://openalex.org/W2027124963', 'https://openalex.org/W2039030717', 'https://openalex.org/W2049828044', 'https://openalex.org/W2052880033', 'https://openalex.org/W2063390378', 'https://openalex.org/W2065392216', 'https://openalex.org/W2069429561', 'https://openalex.org/W2070783162', 'https://openalex.org/W2071940340', 'https://openalex.org/W2072169887', 'https://openalex.org/W2074197415', 'https://openalex.org/W2089861335', 'https://openalex.org/W2090059250', 'https://openalex.org/W2091797506', 'https://openalex.org/W2098347405', 'https://openalex.org/W2102204929', 'https://openalex.org/W2104445881', 'https://openalex.org/W2112298479', 'https://openalex.org/W2118942461', 'https://openalex.org/W2123060556', 'https://openalex.org/W2123115565', 'https://openalex.org/W2123518587', 'https://openalex.org/W2136999619', 'https://openalex.org/W2142367888', 'https://openalex.org/W2142866271', 'https://openalex.org/W2144168425', 'https://openalex.org/W2146134639', 'https://openalex.org/W2150405201', 'https://openalex.org/W2151564376', 'https://openalex.org/W2151726729', 'https://openalex.org/W2151967501', 'https://openalex.org/W2154036191', 'https://openalex.org/W2160183711', 'https://openalex.org/W2170739294', 'https://openalex.org/W2170868725', 'https://openalex.org/W2171472723', 'https://openalex.org/W2184913006', 'https://openalex.org/W2895562402', 'https://openalex.org/W3005335434', 'https://openalex.org/W3121161916', 'https://openalex.org/W3121364726', 'https://openalex.org/W3122223922', 'https://openalex.org/W3122281927', 'https://openalex.org/W3122347406', 'https://openalex.org/W3122408111', 'https://openalex.org/W3122542355', 'https://openalex.org/W3122555292', 'https://openalex.org/W3122569533', 'https://openalex.org/W3123007700', 'https://openalex.org/W3123128110', 'https://openalex.org/W3123164798', 'https://openalex.org/W3123270401', 'https://openalex.org/W3123448183', 'https://openalex.org/W3123508833', 'https://openalex.org/W3123544567', 'https://openalex.org/W3125072131', 'https://openalex.org/W3125165308', 'https://openalex.org/W3125239845', 'https://openalex.org/W3125356465', 'https://openalex.org/W3125670819', 'https://openalex.org/W3125710411', 'https://openalex.org/W3125917875', 'https://openalex.org/W3125986434', 'https://openalex.org/W3126072850'], 'related_works': ['https://openalex.org/W4301368977', 'https://openalex.org/W4243114048', 'https://openalex.org/W3141138882', 'https://openalex.org/W2753588648', 'https://openalex.org/W2591392218', 'https://openalex.org/W2170349014', 'https://openalex.org/W2126977167', 'https://openalex.org/W2112690682', 'https://openalex.org/W1843324721', 'https://openalex.org/W10758870'], 'abstract_inverted_index': {'The': [0, 15, 57], 'relationship': [1, 26, 38, 103, 137, 147], 'between': [2, 27, 39, 104, 138], 'risk': [3], 'and': [4, 30, 43, 76, 99, 111, 142, 156], 'return': [5], 'is': [6, 20, 129, 133, 148], 'one': [7], 'of': [8, 17, 53, 60, 82, 108, 120], 'the': [9, 18, 36, 80, 105, 153, 159], 'most': [10], 'studied': [11], 'topics': [12], 'in': [13, 123], 'finance.': [14], 'majority': [16], 'literature': [19], 'based': [21], 'on': [22, 79], 'a': [23, 100], 'linear,': [24], 'parametric': [25], 'expected': [28, 139, 143], 'returns': [29, 42, 62, 110, 141], 'conditional': [31, 58, 106, 160], 'volatility.': [32], 'This': [33, 146], 'paper': [34], 'models': [35], 'contemporaneous': [37, 44, 112], 'market': [40], 'excess': [41, 61, 109, 140], 'log-realized': [45, 64, 113, 144], 'variances': [46], 'nonparametrically': [47], 'with': [48, 74], 'an': [49, 69, 134], 'infinite': [50, 70], 'mixture': [51, 71], 'representation': [52, 72], 'their': [54], 'joint': [55], 'distribution.': [56], 'distribution': [59, 155], 'given': [63], 'variance': [65], 'will': [66], 'also': [67], 'have': [68], 'but': [73], 'probabilities': [75], 'arguments': [77], 'depending': [78], 'value': [81], 'realized': [83], 'variance.': [84, 114, 145], 'Our': [85], 'nonparametric': [86], 'approach': [87], 'allows': [88], 'for': [89, 95], 'deviation': [90], 'from': [91], 'Gaussianity': [92], 'by': [93], 'allowing': [94], 'higher-order': [96], 'nonzero': [97], 'moments': [98], 'smooth': [101], 'nonlinear': [102], 'mean': [107], 'We': [115], 'find': [116], 'strong': [117], 'robust': [118], 'evidence': [119], 'volatility': [121, 127], 'feedback': [122, 128, 151], 'monthly': [124], 'data.': [125], 'Once': [126], 'accounted': [130], 'for,': [131], 'there': [132], 'unambiguous': [135], 'positive': [136], 'nonlinear.': [149], 'Volatility': [150], 'impacts': [152], 'whole': [154], 'not': [157], 'just': [158], 'mean.': [161]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W1911047832', 'counts_by_year': [{'year': 2019, 'cited_by_count': 1}, {'year': 2016, 'cited_by_count': 2}, {'year': 2015, 'cited_by_count': 1}], 'updated_date': '2024-12-16T19:09:43.031788', 'created_date': '2016-06-24'}