{"id":"https://openalex.org/W2162042839","doi":"https://doi.org/10.1007/s00181-014-0845-3","title":"GARCH modeling of five popular commodities","display_name":"GARCH modeling of five popular commodities","publication_year":2014,"publication_date":"2014-07-21","ids":{"openalex":"https://openalex.org/W2162042839","doi":"https://doi.org/10.1007/s00181-014-0845-3","mag":"2162042839"},"language":"en","primary_location":{"id":"doi:10.1007/s00181-014-0845-3","doi":"https://doi.org/10.1007/s00181-014-0845-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00181-014-0845-3","pdf_url":null,"source":{"id":"https://openalex.org/S178258306","display_name":"Empirical Economics","issn_l":"0377-7332","issn":["0377-7332","1435-8921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Empirical Economics","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/A5012321564","display_name":"Saralees Nadarajah","orcid":"https://orcid.org/0000-0002-0481-0372","observed_orcids":["https://orcid.org/0000-0002-0481-0372","https://orcid.org/0000-0002-7505-7066","https://orcid.org/0000-0001-7763-5862"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Saralees Nadarajah","raw_affiliation_strings":["School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5040039304","display_name":"Emmanuel Afuecheta","orcid":"https://orcid.org/0000-0002-9223-0799","observed_orcids":["https://orcid.org/0000-0002-9223-0799"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Emmanuel Afuecheta","raw_affiliation_strings":["School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK","institution_ids":["https://openalex.org/I28407311"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066521546","display_name":"Stephen Chan","orcid":"https://orcid.org/0000-0002-2312-2137","observed_orcids":["https://orcid.org/0000-0002-2312-2137"]},"institutions":[{"id":"https://openalex.org/I28407311","display_name":"University of Manchester","ror":"https://ror.org/027m9bs27","country_code":"GB","type":"education","lineage":["https://openalex.org/I28407311"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Stephen Chan","raw_affiliation_strings":["School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, University of Manchester, Manchester\u00a0, M13 9PL, UK","institution_ids":["https://openalex.org/I28407311"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5012321564"],"corresponding_institution_ids":["https://openalex.org/I28407311"],"apc_list":{"value":3490,"currency":"USD","value_usd":3490},"apc_paid":null,"fwci":2.7122,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.90579347,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"48","issue":"4","first_page":"1691","last_page":"1712"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9984999895095825,"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":0.9984999895095825,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.0007999999797903001,"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":0.00019999999494757503,"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-models","display_name":"GARCH models","score":0.9610000252723694},{"id":"https://openalex.org/keywords/commodity-prices","display_name":"commodity prices","score":0.5849999785423279},{"id":"https://openalex.org/keywords/theobroma-cacao","display_name":"Theobroma cacao","score":0.6039999723434448},{"id":"https://openalex.org/keywords/crude-oil","display_name":"crude oil","score":0.9570000171661377},{"id":"https://openalex.org/keywords/gold","display_name":"gold","score":0.8379999995231628},{"id":"https://openalex.org/keywords/silver","display_name":"silver","score":1.0},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"volatility modeling","score":0.5730000138282776}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7939181923866272},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.6287605166435242},{"id":"https://openalex.org/C2987168347","wikidata":"https://www.wikidata.org/wiki/Q22656","display_name":"Crude oil","level":2,"score":0.6062114238739014},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5975732207298279},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5928632020950317},{"id":"https://openalex.org/C2780598303","wikidata":"https://www.wikidata.org/wiki/Q65921492","display_name":"Flexibility (engineering)","level":2,"score":0.4958120286464691},{"id":"https://openalex.org/C68593654","wikidata":"https://www.wikidata.org/wiki/Q1270246","display_name":"Brent Crude","level":3,"score":0.4497520625591278},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3951086699962616},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3580498695373535},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12153872847557068},{"id":"https://openalex.org/C78762247","wikidata":"https://www.wikidata.org/wiki/Q1273174","display_name":"Petroleum engineering","level":1,"score":0.10951042175292969},{"id":"https://openalex.org/C127313418","wikidata":"https://www.wikidata.org/wiki/Q1069","display_name":"Geology","level":0,"score":0.09414246678352356},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/s00181-014-0845-3","doi":"https://doi.org/10.1007/s00181-014-0845-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00181-014-0845-3","pdf_url":null,"source":{"id":"https://openalex.org/S178258306","display_name":"Empirical Economics","issn_l":"0377-7332","issn":["0377-7332","1435-8921"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Empirical Economics","raw_type":"journal-article"},{"id":"pmh:oai:pure.atira.dk:openaire_cris_publications/4f6f7864-d4d3-4b6f-bd00-f9a25dd244e1","doi":null,"is_oa":false,"landing_page_url":"https://research.manchester.ac.uk/en/publications/4f6f7864-d4d3-4b6f-bd00-f9a25dd244e1","pdf_url":null,"source":{"id":"https://openalex.org/S4306400662","display_name":"Research Explorer (The University of Manchester)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I28407311","host_organization_name":"University of Manchester","host_organization_lineage":["https://openalex.org/I28407311"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Nadarajah, S, Afuecheta, E & Chan, S 2014, 'Garch modeling of five popular commodities', Empirical Economics, vol. 48, pp. 1691-1712. https://doi.org/10.1007/s00181-014-0845-3","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:empeco:v:48:y:2015:i:4:p:1691-1712","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00181-014-0845-3","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":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":62,"referenced_works":["https://openalex.org/W94194614","https://openalex.org/W177671424","https://openalex.org/W196950274","https://openalex.org/W561083706","https://openalex.org/W1503244648","https://openalex.org/W1577081683","https://openalex.org/W1597383921","https://openalex.org/W1639275303","https://openalex.org/W1710188462","https://openalex.org/W1818354251","https://openalex.org/W1970313060","https://openalex.org/W1970707980","https://openalex.org/W1977290774","https://openalex.org/W1978409692","https://openalex.org/W1988467128","https://openalex.org/W2004991837","https://openalex.org/W2016118312","https://openalex.org/W2023640300","https://openalex.org/W2025754441","https://openalex.org/W2031412503","https://openalex.org/W2047793472","https://openalex.org/W2049317347","https://openalex.org/W2065589331","https://openalex.org/W2066390116","https://openalex.org/W2067388869","https://openalex.org/W2074466695","https://openalex.org/W2076209196","https://openalex.org/W2079493819","https://openalex.org/W2079615115","https://openalex.org/W2080077716","https://openalex.org/W2090637028","https://openalex.org/W2096018560","https://openalex.org/W2098153119","https://openalex.org/W2106181847","https://openalex.org/W2115558956","https://openalex.org/W2117558517","https://openalex.org/W2126540662","https://openalex.org/W2132387267","https://openalex.org/W2133133432","https://openalex.org/W2137161443","https://openalex.org/W2150198708","https://openalex.org/W2152873044","https://openalex.org/W2153489002","https://openalex.org/W2155215532","https://openalex.org/W2163629391","https://openalex.org/W2166737125","https://openalex.org/W2202613982","https://openalex.org/W2581670143","https://openalex.org/W2582743722","https://openalex.org/W3121766225","https://openalex.org/W3122384970","https://openalex.org/W3122417607","https://openalex.org/W3122458357","https://openalex.org/W3124010001","https://openalex.org/W3125246470","https://openalex.org/W4213302443","https://openalex.org/W4232178349","https://openalex.org/W4241620272","https://openalex.org/W4241745315","https://openalex.org/W4251428492","https://openalex.org/W4285719527","https://openalex.org/W4294373530"],"related_works":["https://openalex.org/W2110724114","https://openalex.org/W6989188910","https://openalex.org/W7047539877","https://openalex.org/W2784339223","https://openalex.org/W4212851431","https://openalex.org/W2810245082","https://openalex.org/W3141649403","https://openalex.org/W7096513857","https://openalex.org/W4287730385","https://openalex.org/W2374965660"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":4},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
