{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2012:OGUA72ETUPKBBYEQCQQA5TIJJO","short_pith_number":"pith:OGUA72ET","canonical_record":{"source":{"id":"1208.4831","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2012-08-23T19:18:13Z","cross_cats_sorted":[],"title_canon_sha256":"750700b88591a75ec966a6aae6d90e4016f886d72347c55134edf94221947a29","abstract_canon_sha256":"80684dced3394d21f218a4dbf95569966cd239a1fd9970a3c8716640655593e5"},"schema_version":"1.0"},"canonical_sha256":"71a80fe893a3d410e09014200ecd094bbcbd6ad9bfb6f9b7916614b98b499650","source":{"kind":"arxiv","id":"1208.4831","version":2},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1208.4831","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"arxiv_version","alias_value":"1208.4831v2","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1208.4831","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"pith_short_12","alias_value":"OGUA72ETUPKB","created_at":"2026-05-18T12:27:16Z"},{"alias_kind":"pith_short_16","alias_value":"OGUA72ETUPKBBYEQ","created_at":"2026-05-18T12:27:16Z"},{"alias_kind":"pith_short_8","alias_value":"OGUA72ET","created_at":"2026-05-18T12:27:16Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2012:OGUA72ETUPKBBYEQCQQA5TIJJO","target":"record","payload":{"canonical_record":{"source":{"id":"1208.4831","kind":"arxiv","version":2},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2012-08-23T19:18:13Z","cross_cats_sorted":[],"title_canon_sha256":"750700b88591a75ec966a6aae6d90e4016f886d72347c55134edf94221947a29","abstract_canon_sha256":"80684dced3394d21f218a4dbf95569966cd239a1fd9970a3c8716640655593e5"},"schema_version":"1.0"},"canonical_sha256":"71a80fe893a3d410e09014200ecd094bbcbd6ad9bfb6f9b7916614b98b499650","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:33:38.655638Z","signature_b64":"NVA+xKf216Avqj0h/Y2QMtHEuG9cESHOQfvRNKFq5cww7wVVFuOwDXQG2UzH/1e6LZGDPk8Tn+PZm4T2mH2rBQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"71a80fe893a3d410e09014200ecd094bbcbd6ad9bfb6f9b7916614b98b499650","last_reissued_at":"2026-05-18T03:33:38.654928Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:33:38.654928Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1208.4831","source_version":2,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T03:33:38Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"ReyHLJqwF51qVZhIr09rKwf5JbqGikVNo0AZVS+KwlcLU2iTiSrLOn0T8i9EZggLOkgPXZFQpkWem3qpaXfICQ==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-08T22:59:50.076405Z"},"content_sha256":"969acf9dcd45284c0a89e3d8b400723c500b5b9c19282d23e2f1618435d8e54b","schema_version":"1.0","event_id":"sha256:969acf9dcd45284c0a89e3d8b400723c500b5b9c19282d23e2f1618435d8e54b"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2012:OGUA72ETUPKBBYEQCQQA5TIJJO","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.ST","authors_text":"Jozef Barunik, Michaela Barunikova","submitted_at":"2012-08-23T19:18:13Z","abstract_excerpt":"This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the estimation. For the realized volatility, we use recently proposed methods which are robust to noise as well as jumps and interestingly we find that it does not affect the implied-realized volatility relation. In addition, we develop"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1208.4831","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T03:33:38Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"+4I+cCYGN8maNkhHQiw7OnUbBJzrZGeEQhTWQdIDy6bsizlxjHDL2todhWBpnbuRxnTOlUtMHaNgdqf23gTJAw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-08T22:59:50.076941Z"},"content_sha256":"b18a22d2069455235eb776658c3220b352e564514476fda7eceaaca344e9dead","schema_version":"1.0","event_id":"sha256:b18a22d2069455235eb776658c3220b352e564514476fda7eceaaca344e9dead"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/bundle.json","state_url":"https://pith.science/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-08T22:59:50Z","links":{"resolver":"https://pith.science/pith/OGUA72ETUPKBBYEQCQQA5TIJJO","bundle":"https://pith.science/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/bundle.json","state":"https://pith.science/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/state.json","well_known_bundle":"https://pith.science/.well-known/pith/OGUA72ETUPKBBYEQCQQA5TIJJO/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2012:OGUA72ETUPKBBYEQCQQA5TIJJO","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"80684dced3394d21f218a4dbf95569966cd239a1fd9970a3c8716640655593e5","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2012-08-23T19:18:13Z","title_canon_sha256":"750700b88591a75ec966a6aae6d90e4016f886d72347c55134edf94221947a29"},"schema_version":"1.0","source":{"id":"1208.4831","kind":"arxiv","version":2}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1208.4831","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"arxiv_version","alias_value":"1208.4831v2","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1208.4831","created_at":"2026-05-18T03:33:38Z"},{"alias_kind":"pith_short_12","alias_value":"OGUA72ETUPKB","created_at":"2026-05-18T12:27:16Z"},{"alias_kind":"pith_short_16","alias_value":"OGUA72ETUPKBBYEQ","created_at":"2026-05-18T12:27:16Z"},{"alias_kind":"pith_short_8","alias_value":"OGUA72ET","created_at":"2026-05-18T12:27:16Z"}],"graph_snapshots":[{"event_id":"sha256:b18a22d2069455235eb776658c3220b352e564514476fda7eceaaca344e9dead","target":"graph","created_at":"2026-05-18T03:33:38Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the fractional cointegrating relation as the latter may introduce bias to the estimation. For the realized volatility, we use recently proposed methods which are robust to noise as well as jumps and interestingly we find that it does not affect the implied-realized volatility relation. In addition, we develop","authors_text":"Jozef Barunik, Michaela Barunikova","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2012-08-23T19:18:13Z","title":"Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1208.4831","kind":"arxiv","version":2},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:969acf9dcd45284c0a89e3d8b400723c500b5b9c19282d23e2f1618435d8e54b","target":"record","created_at":"2026-05-18T03:33:38Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"80684dced3394d21f218a4dbf95569966cd239a1fd9970a3c8716640655593e5","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2012-08-23T19:18:13Z","title_canon_sha256":"750700b88591a75ec966a6aae6d90e4016f886d72347c55134edf94221947a29"},"schema_version":"1.0","source":{"id":"1208.4831","kind":"arxiv","version":2}},"canonical_sha256":"71a80fe893a3d410e09014200ecd094bbcbd6ad9bfb6f9b7916614b98b499650","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"71a80fe893a3d410e09014200ecd094bbcbd6ad9bfb6f9b7916614b98b499650","first_computed_at":"2026-05-18T03:33:38.654928Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T03:33:38.654928Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"NVA+xKf216Avqj0h/Y2QMtHEuG9cESHOQfvRNKFq5cww7wVVFuOwDXQG2UzH/1e6LZGDPk8Tn+PZm4T2mH2rBQ==","signature_status":"signed_v1","signed_at":"2026-05-18T03:33:38.655638Z","signed_message":"canonical_sha256_bytes"},"source_id":"1208.4831","source_kind":"arxiv","source_version":2}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:969acf9dcd45284c0a89e3d8b400723c500b5b9c19282d23e2f1618435d8e54b","sha256:b18a22d2069455235eb776658c3220b352e564514476fda7eceaaca344e9dead"],"state_sha256":"f0b26efc4a422f15146efce933b528a238834148ef060c729284dd9737588907"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"zbiAwsiVMQb/OXMqF+umYyn6yPE0Yy8jqaOsdWthDAnl8+HK5iy9jlQpAs8NT1JdO4vNAf54MVV2uDG3BX+XDQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-08T22:59:50.079460Z","bundle_sha256":"3c666d6aaa743408d1e7d35d68afd42252a094dd850ca3ac67ff5a00e84ea2b8"}}