{"id":"https://openalex.org/W2079546641","doi":"https://doi.org/10.1016/j.econmod.2010.11.016","title":"Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation","display_name":"Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation","publication_year":2011,"publication_date":"2011-01-08","ids":{"openalex":"https://openalex.org/W2079546641","doi":"https://doi.org/10.1016/j.econmod.2010.11.016","mag":"2079546641"},"language":"en","primary_location":{"id":"doi:10.1016/j.econmod.2010.11.016","doi":"https://doi.org/10.1016/j.econmod.2010.11.016","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.econmod.2010.11.016","pdf_url":null,"source":{"id":"https://openalex.org/S141184754","display_name":"Economic Modelling","issn_l":"0264-9993","issn":["0264-9993","1873-6122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","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":"Economic Modelling","raw_type":"journal-article"},"parent_works":[],"lineage":["https://openalex.org/W2079546641"],"child_works_count":0,"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/A5089041027","display_name":"Jung\u2010Bin Su","orcid":"https://orcid.org/0000-0003-3271-3462","observed_orcids":["https://orcid.org/0000-0003-3271-3462"]},"institutions":[{"id":"https://openalex.org/I2753814022","display_name":"China University of Science and Technology","ror":"https://ror.org/03sfb9j07","country_code":"TW","type":"education","lineage":["https://openalex.org/I2753814022"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Jung-Bin Su","raw_affiliation_strings":["Department of Finance, China University of Science and Technology, No. 245, Sec.\u00a03, Academia Rd., Nangang Dist., Taipei 11581, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Finance, China University of Science and Technology, No. 245, Sec.\u00a03, Academia Rd., Nangang Dist., Taipei 11581, Taiwan, ROC","institution_ids":["https://openalex.org/I2753814022"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020939752","display_name":"Jui\u2010Cheng Hung","orcid":"https://orcid.org/0000-0003-3445-6906","observed_orcids":["https://orcid.org/0000-0003-3445-6906"]},"institutions":[{"id":"https://openalex.org/I205612303","display_name":"Chinese Culture University","ror":"https://ror.org/04shepe48","country_code":"TW","type":"education","lineage":["https://openalex.org/I205612303"]}],"countries":["TW"],"is_corresponding":false,"raw_author_name":"Jui-Cheng Hung","raw_affiliation_strings":["Department of Banking and Finance, Chinese Culture University, No. 55, Hwa-Kang Rd., Yang-Ming-Shan, Taipei 11114, Taiwan, ROC"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Banking and Finance, Chinese Culture University, No. 55, Hwa-Kang Rd., Yang-Ming-Shan, Taipei 11114, Taiwan, ROC","institution_ids":["https://openalex.org/I205612303"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5089041027"],"corresponding_institution_ids":["https://openalex.org/I2753814022"],"apc_list":{"value":3660,"currency":"USD","value_usd":3660},"apc_paid":null,"fwci":4.1829,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.94102844,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":100},"biblio":{"volume":"28","issue":"3","first_page":"1117","last_page":"1130"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9965999722480774,"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":0.9965999722480774,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.002099999925121665,"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":9.999999747378752e-05,"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/value-at-risk","display_name":"value at risk","score":0.972000002861023},{"id":"https://openalex.org/keywords/jump-dynamics","display_name":"jump dynamics","score":0.9070000052452087},{"id":"https://openalex.org/keywords/heavy-tailed-distributions","display_name":"heavy-tailed distributions","score":0.9049999713897705},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.9760000109672546},{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.8999999761581421},{"id":"https://openalex.org/keywords/skewed-normal-distribution","display_name":"skewed normal distribution","score":0.9919999837875366},{"id":"https://openalex.org/keywords/var-accuracy","display_name":"VaR accuracy","score":0.8450000286102295},{"id":"https://openalex.org/keywords/subprime-mortgage-crisis","display_name":"subprime crisis","score":0.8899999856948853},{"id":"https://openalex.org/keywords/stock-market-indices","display_name":"stock market indices","score":0.6890000104904175},{"id":"https://openalex.org/keywords/international-stock-markets","display_name":"international stock markets","score":0.7149999737739563}],"concepts":[{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.9107640981674194},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.789771318435669},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7467690706253052},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6450065970420837},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5813615918159485},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.552498459815979},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.5096783638000488},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4868170917034149},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.4200224280357361},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.35402339696884155},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30557408928871155},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.19274255633354187},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.07436349987983704},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","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":4,"locations":[{"id":"doi:10.1016/j.econmod.2010.11.016","doi":"https://doi.org/10.1016/j.econmod.2010.11.016","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.econmod.2010.11.016","pdf_url":null,"source":{"id":"https://openalex.org/S141184754","display_name":"Economic Modelling","issn_l":"0264-9993","issn":["0264-9993","1873-6122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-1","norway-1","poland-100","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":"Economic Modelling","raw_type":"journal-article"},{"id":"pmh:oai:https://irlib.pccu.edu.tw/:987654321/24045","doi":null,"is_oa":false,"landing_page_url":"https://irlib.pccu.edu.tw//handle/987654321/24045","pdf_url":null,"source":{"id":"https://openalex.org/S7407064331","display_name":"Chinese Culture University Repository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"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"},{"id":"pmh:oai:tkuir.lib.tku.edu.tw:987654321/126743","doi":null,"is_oa":false,"landing_page_url":"https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/126743","pdf_url":null,"source":{"id":"https://openalex.org/S4406922698","display_name":"Tamkang University Institutional Repository (TKUIR)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"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":null},{"id":"pmh:oai:RePEc:eee:ecmode:v:28:y:2011:i:3:p:1117-1130","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0264-9993(10)00241-5","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":37,"referenced_works":["https://openalex.org/W1551275368","https://openalex.org/W1834357967","https://openalex.org/W1966342924","https://openalex.org/W1977970167","https://openalex.org/W1988611515","https://openalex.org/W1989529822","https://openalex.org/W1994401197","https://openalex.org/W1998491684","https://openalex.org/W1999029409","https://openalex.org/W1999996900","https://openalex.org/W2017444052","https://openalex.org/W2020439483","https://openalex.org/W2026731464","https://openalex.org/W2050902901","https://openalex.org/W2059744362","https://openalex.org/W2067068472","https://openalex.org/W2067580741","https://openalex.org/W2069317099","https://openalex.org/W2073857998","https://openalex.org/W2076396344","https://openalex.org/W2097914681","https://openalex.org/W2100406142","https://openalex.org/W2105305265","https://openalex.org/W2120387405","https://openalex.org/W2127923747","https://openalex.org/W2133334225","https://openalex.org/W2150747312","https://openalex.org/W2156273867","https://openalex.org/W2156908840","https://openalex.org/W2158580072","https://openalex.org/W2172364747","https://openalex.org/W2784613697","https://openalex.org/W2798264002","https://openalex.org/W3122175640","https://openalex.org/W3122384970","https://openalex.org/W3123110032","https://openalex.org/W3217457548"],"related_works":["https://openalex.org/W2581674195","https://openalex.org/W2005640183","https://openalex.org/W2215928716","https://openalex.org/W4417019557","https://openalex.org/W2024226278","https://openalex.org/W3187035629","https://openalex.org/W1989918613","https://openalex.org/W2731188499","https://openalex.org/W6981632279","https://openalex.org/W1973016585"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":15},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-14T11:04:58.165337","created_date":"2016-06-24T00:00:00"}
