{"id":"https://openalex.org/W2043937652","doi":"https://doi.org/10.1016/0378-4266(92)90048-5","title":"Forecasting the correlation structure of share prices: A test of new models","display_name":"Forecasting the correlation structure of share prices: A test of new models","publication_year":1992,"publication_date":"1992-06-01","ids":{"openalex":"https://openalex.org/W2043937652","doi":"https://doi.org/10.1016/0378-4266(92)90048-5","mag":"2043937652"},"language":"en","primary_location":{"id":"doi:10.1016/0378-4266(92)90048-5","doi":"https://doi.org/10.1016/0378-4266(92)90048-5","is_oa":false,"landing_page_url":"https://doi.org/10.1016/0378-4266(92)90048-5","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","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/A5070064194","display_name":"Cheol S. Eun","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I66946132","display_name":"University of Maryland, College Park","ror":"https://ror.org/047s2c258","country_code":"US","type":"education","lineage":["https://openalex.org/I66946132"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Cheol S. Eun","raw_affiliation_strings":["University of Maryland, College Park, MD 20742, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Maryland, College Park, MD 20742, USA","institution_ids":["https://openalex.org/I66946132"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5068711138","display_name":"Bruce G. Resnick","orcid":"https://orcid.org/0000-0002-8315-216X","observed_orcids":["https://orcid.org/0000-0002-8315-216X"]},"institutions":[{"id":"https://openalex.org/I4210119109","display_name":"Indiana University Bloomington","ror":"https://ror.org/02k40bc56","country_code":"US","type":"education","lineage":["https://openalex.org/I4210119109","https://openalex.org/I592451"]},{"id":"https://openalex.org/I592451","display_name":"Indiana University","ror":"https://ror.org/01kg8sb98","country_code":"US","type":"education","lineage":["https://openalex.org/I592451"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Bruce G. Resnick","raw_affiliation_strings":["Indiana University, Bloomington, IN 47405, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Indiana University, Bloomington, IN 47405, USA","institution_ids":["https://openalex.org/I4210119109","https://openalex.org/I592451"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5070064194"],"corresponding_institution_ids":["https://openalex.org/I66946132"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":0.8387,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.80585516,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":93},"biblio":{"volume":"16","issue":"3","first_page":"643","last_page":"656"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5425000190734863,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.5425000190734863,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.43309998512268066,"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":0.006000000052154064,"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/correlation-forecasting","display_name":"correlation forecasting","score":0.7440000176429749},{"id":"https://openalex.org/keywords/multi-index-models","display_name":"multi-index models","score":0.7760000228881836},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"arbitrage pricing theory","score":0.9589999914169312},{"id":"https://openalex.org/keywords/single-index-model","display_name":"single index model","score":0.9959999918937683},{"id":"https://openalex.org/keywords/firm-size-effect","display_name":"firm size effect","score":0.7639999985694885},{"id":"https://openalex.org/keywords/industry-impact","display_name":"industry effects","score":0.7689999938011169},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.3659999966621399}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7536109685897827},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.628746509552002},{"id":"https://openalex.org/C166955791","wikidata":"https://www.wikidata.org/wiki/Q629579","display_name":"Macro","level":2,"score":0.5622915029525757},{"id":"https://openalex.org/C117220453","wikidata":"https://www.wikidata.org/wiki/Q5172842","display_name":"Correlation","level":2,"score":0.5273105502128601},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.509549617767334},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.35337918996810913},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.29654359817504883},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.22315379977226257},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/0378-4266(92)90048-5","doi":"https://doi.org/10.1016/0378-4266(92)90048-5","is_oa":false,"landing_page_url":"https://doi.org/10.1016/0378-4266(92)90048-5","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking & Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:jbfina:v:16:y:1992:i:3:p:643-656","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/0378-4266(92)90048-5","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,"listed_in":[],"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":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":19,"referenced_works":["https://openalex.org/W595787095","https://openalex.org/W631412031","https://openalex.org/W649511033","https://openalex.org/W1573041115","https://openalex.org/W1984575633","https://openalex.org/W1990986169","https://openalex.org/W1993709375","https://openalex.org/W2004894597","https://openalex.org/W2010681793","https://openalex.org/W2015800048","https://openalex.org/W2046231816","https://openalex.org/W2052975614","https://openalex.org/W2072980348","https://openalex.org/W2085317472","https://openalex.org/W2090874083","https://openalex.org/W2132372959","https://openalex.org/W2132393714","https://openalex.org/W2179227905","https://openalex.org/W3121477522"],"related_works":["https://openalex.org/W1993143594","https://openalex.org/W1972315264","https://openalex.org/W4416966233","https://openalex.org/W2035232823","https://openalex.org/W7221790010","https://openalex.org/W2753334995","https://openalex.org/W4286896323","https://openalex.org/W2216979918","https://openalex.org/W2046790286","https://openalex.org/W2142996838"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}