{"id":"https://openalex.org/W1974882552","doi":"https://doi.org/10.2316/journal.205.2011.2.205-5498","title":"VOLATILITY PREDICTION BY TREED GAUSSIAN PROCESS WITH LIMITING LINEAR MODEL","display_name":"VOLATILITY PREDICTION BY TREED GAUSSIAN PROCESS WITH LIMITING LINEAR MODEL","publication_year":2011,"publication_date":"2011-01-01","ids":{"openalex":"https://openalex.org/W1974882552","doi":"https://doi.org/10.2316/journal.205.2011.2.205-5498","mag":"1974882552"},"language":"en","primary_location":{"id":"doi:10.2316/journal.205.2011.2.205-5498","doi":"https://doi.org/10.2316/journal.205.2011.2.205-5498","is_oa":false,"landing_page_url":"https://doi.org/10.2316/journal.205.2011.2.205-5498","pdf_url":null,"source":{"id":"https://openalex.org/S79564839","display_name":"International Journal of Modelling and Simulation","issn_l":"0228-6203","issn":["0228-6203","1925-7082"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-20","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Modelling and Simulation","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5031251011","display_name":"Phichhang Ou","orcid":"https://orcid.org/0000-0002-6358-5355","observed_orcids":["https://orcid.org/0000-0002-6358-5355"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Phichhang Ou","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5108364091","display_name":"Hengshan Wang","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Hengshan Wang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.5119,"has_fulltext":false,"cited_by_count":42,"citation_normalized_percentile":{"value":0.77202061,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":100},"biblio":{"volume":"31","issue":"2","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"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":0.9976000189781189,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.0020000000949949026,"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"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","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/garch","display_name":"GARCH","score":0.8809999823570251},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.9980000257492065},{"id":"https://openalex.org/keywords/gjr-garch","display_name":"GJR-GARCH","score":0.9800000190734863},{"id":"https://openalex.org/keywords/hang-seng-index","display_name":"Hang Seng Index","score":0.9039999842643738},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7149999737739563},{"id":"https://openalex.org/keywords/news-impact","display_name":"news effects","score":0.6100000143051147}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5765892267227173},{"id":"https://openalex.org/C188198153","wikidata":"https://www.wikidata.org/wiki/Q1613840","display_name":"Limiting","level":2,"score":0.5366164445877075},{"id":"https://openalex.org/C61326573","wikidata":"https://www.wikidata.org/wiki/Q1496376","display_name":"Gaussian process","level":3,"score":0.5101728439331055},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4823157787322998},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.43609100580215454},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.408377468585968},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.38800621032714844},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38303422927856445},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3710469603538513},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.20357036590576172},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.1896897256374359},{"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/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2316/journal.205.2011.2.205-5498","doi":"https://doi.org/10.2316/journal.205.2011.2.205-5498","is_oa":false,"landing_page_url":"https://doi.org/10.2316/journal.205.2011.2.205-5498","pdf_url":null,"source":{"id":"https://openalex.org/S79564839","display_name":"International Journal of Modelling and Simulation","issn_l":"0228-6203","issn":["0228-6203","1925-7082"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-20","russia-white-list-1"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Modelling and Simulation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2145400060","https://openalex.org/W7100051690","https://openalex.org/W1519005862","https://openalex.org/W4225632085","https://openalex.org/W4380592331","https://openalex.org/W2901176530","https://openalex.org/W3119579366","https://openalex.org/W2789364533","https://openalex.org/W4311946595","https://openalex.org/W2161024837"],"abstract_inverted_index":{"AbstractIn":[0],"this":[1],"paper,":[2],"we":[3],"present":[4],"new":[5],"hybrid":[6,93,116],"models":[7,48,94,107],"of":[8,46,54,64,71,83,124],"financial":[9],"volatility":[10,37],"using":[11],"treed":[12],"Gaussian":[13,66,117],"processes":[14,118],"with":[15],"jumps":[16],"to":[17,78],"the":[18,58,62,65,80,84,92,101,115],"limiting":[19],"linear":[20],"model":[21],"(TGPLLM)":[22],"based":[23],"on":[24],"GARCH,":[25,103],"EGARCH,":[26,104],"and":[27,43,105],"GJR":[28,106],"models.":[29,86],"The":[30,87],"TGPLLM":[31],"is":[32,49,61,76,112],"modelled":[33],"as":[34,40,57],"three":[35],"different":[36],"forms":[38],"denoted":[39],"TGPLLM-GARCH,":[41],"TGPLLM-EGARCH,":[42],"TGPLLM-GJR.":[44],"Each":[45],"these":[47],"trained":[50],"by":[51],"Matern":[52],"family":[53],"correlation":[55,59],"function":[56,60],"heart":[63],"process.":[67],"Hang":[68],"Seng":[69],"Index":[70],"Hong":[72],"Kong":[73],"stock":[74],"market":[75],"analysed":[77],"check":[79],"predictive":[81,97],"accuracy":[82],"proposed":[85],"empirical":[88],"results":[89],"show":[90],"that":[91,114],"contribute":[95],"improved":[96],"capability":[98],"rather":[99],"than":[100],"stationary":[102],"for":[108],"all":[109],"cases.":[110],"It":[111],"found":[113],"can":[119],"significantly":[120],"capture":[121],"leverage":[122],"effect":[123],"news.":[125]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":21},{"year":2024,"cited_by_count":14},{"year":2023,"cited_by_count":1},{"year":2017,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
