{"id":"https://openalex.org/W2888985402","doi":"https://doi.org/10.1080/00036846.2018.1488073","title":"Score-driven Markov-switching EGARCH models: an application to systematic risk analysis","display_name":"Score-driven Markov-switching EGARCH models: an application to systematic risk analysis","publication_year":2018,"publication_date":"2018-08-29","ids":{"openalex":"https://openalex.org/W2888985402","doi":"https://doi.org/10.1080/00036846.2018.1488073","mag":"2888985402"},"language":"en","primary_location":{"id":"doi:10.1080/00036846.2018.1488073","doi":"https://doi.org/10.1080/00036846.2018.1488073","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2018.1488073","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"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":"Applied Economics","raw_type":"journal-article"},"volume":null,"type":"article","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/A5088751416","display_name":"Szabolcs Blazsek","orcid":"https://orcid.org/0000-0002-0394-1258","observed_orcids":["https://orcid.org/0000-0002-0394-1258"]},"institutions":[{"id":"https://openalex.org/I52334195","display_name":"Universidad Francisco Marroqu\u00edn","ror":"https://ror.org/03hrwak15","country_code":"GT","type":"education","lineage":["https://openalex.org/I52334195"]}],"countries":["GT"],"is_corresponding":true,"raw_author_name":"Szabolcs Blazsek","raw_affiliation_strings":["School of Business, Universidad Francisco Marroqu\u00edn, Guatemala City, Guatemala"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business, Universidad Francisco Marroqu\u00edn, Guatemala City, Guatemala","institution_ids":["https://openalex.org/I52334195"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5067867458","display_name":"Han-Chiang Ho","orcid":"https://orcid.org/0000-0002-6266-6110","observed_orcids":["https://orcid.org/0000-0002-6266-6110"]},"institutions":[{"id":"https://openalex.org/I4210153668","display_name":"Wenzhou-Kean University","ror":"https://ror.org/05609xa16","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210153668"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Han-Chiang Ho","raw_affiliation_strings":["College of Business and Public Management, Wenzhou-Kean University, Wenzhou, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business and Public Management, Wenzhou-Kean University, Wenzhou, China","institution_ids":["https://openalex.org/I4210153668"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048719062","display_name":"Suping Liu","orcid":"https://orcid.org/0000-0003-3274-6870","observed_orcids":["https://orcid.org/0000-0003-3274-6870"]},"institutions":[{"id":"https://openalex.org/I4210153668","display_name":"Wenzhou-Kean University","ror":"https://ror.org/05609xa16","country_code":"CN","type":"education","lineage":["https://openalex.org/I4210153668"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Su-Ping Liu","raw_affiliation_strings":["College of Business and Public Management, Wenzhou-Kean University, Wenzhou, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business and Public Management, Wenzhou-Kean University, Wenzhou, China","institution_ids":["https://openalex.org/I4210153668"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5088751416"],"corresponding_institution_ids":["https://openalex.org/I52334195"],"apc_list":null,"apc_paid":null,"fwci":1.9845,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.87871496,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"50","issue":"56","first_page":"6047","last_page":"6060"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":1.0,"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":1.0,"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":0.0,"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":0.0,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8220000267028809},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":1.0},{"id":"https://openalex.org/keywords/systematic-risk","display_name":"systematic risk","score":0.8270000219345093},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.8650000095367432},{"id":"https://openalex.org/keywords/volatility-regimes","display_name":"volatility regimes","score":0.6970000267028809},{"id":"https://openalex.org/keywords/normal-inverse-gaussian-distribution","display_name":"normal inverse Gaussian distribution","score":0.9520000219345093},{"id":"https://openalex.org/keywords/risk-prediction","display_name":"risk prediction","score":0.4560000002384186},{"id":"https://openalex.org/keywords/exchange-traded-funds","display_name":"exchange-traded funds","score":0.843999981880188}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7123613357543945},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6796049475669861},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.6105070114135742},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35500019788742065},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3437669575214386},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2631494402885437}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1080/00036846.2018.1488073","doi":"https://doi.org/10.1080/00036846.2018.1488073","is_oa":false,"landing_page_url":"https://doi.org/10.1080/00036846.2018.1488073","pdf_url":null,"source":{"id":"https://openalex.org/S201533460","display_name":"Applied Economics","issn_l":"0003-6846","issn":["0003-6846","1466-4283"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"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":"Applied Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:taf:applec:v:50:y:2018:i:56:p:6047-6060","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/00036846.2018.1488073","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":18,"referenced_works":["https://openalex.org/W1551275368","https://openalex.org/W1555092484","https://openalex.org/W1830719945","https://openalex.org/W1975419935","https://openalex.org/W2012242451","https://openalex.org/W2074812030","https://openalex.org/W2116701769","https://openalex.org/W2117178635","https://openalex.org/W2126800696","https://openalex.org/W2164074660","https://openalex.org/W2206149923","https://openalex.org/W2258453415","https://openalex.org/W2591469116","https://openalex.org/W3123766821","https://openalex.org/W4230327943","https://openalex.org/W4238816640","https://openalex.org/W4241115065","https://openalex.org/W4251620884"],"related_works":["https://openalex.org/W6960069998","https://openalex.org/W4405436635","https://openalex.org/W2201730586","https://openalex.org/W7111744947","https://openalex.org/W2921203366","https://openalex.org/W4286493423","https://openalex.org/W2606224865","https://openalex.org/W2384497113","https://openalex.org/W4303629125","https://openalex.org/W4393006330"],"abstract_inverted_index":{"We":[0,33,163],"introduce":[1],"new":[2,92,118,171],"Markov-switching":[3,201],"(MS)":[4],"dynamic":[5,203],"conditional":[6,12,204,210],"score":[7,205],"(DCS)":[8],"exponential":[9,207],"generalized":[10,133,137,208,230,234],"autoregressive":[11,209],"heteroscedasticity":[13,211,258],"(EGARCH)":[14],"models,":[15,119,152],"to":[16,87,98,177],"be":[17],"used":[18],"by":[19,193],"practitioners":[20],"for":[21,47,59,61,112,127,159],"forecasting":[22,194],"value-at-risk":[23,213],"(VaR)":[24],"and":[25,73,143,156,196,259],"expected":[26,215],"shortfall":[27,216],"(ES)":[28],"in":[29],"systematic":[30,190],"risk":[31,191],"analysis.":[32],"use":[34,121],"daily":[35],"log-return":[36],"data":[37],"from":[38],"the":[39,48,54,88,100,107,113,117,128,140,160,166,170,180,237],"Standard":[40,218],"&":[41,219],"Poor\u2019s":[42],"500":[43,56,71,221],"(S&P":[44,222],"500)":[45],"index":[46],"period":[49],"1950\u20132016.":[50],"The":[51,91],"analysis":[52,192],"of":[53,63,99,139,169,179,236],"S&P":[55,70,89,161],"is":[57,175],"useful,":[58],"example,":[60],"investors":[62],"(i)":[64],"well-diversified":[65],"US":[66],"equity":[67],"portfolios;":[68],"(ii)":[69],"futures":[72],"options":[74],"traded":[75,83,225],"at":[76],"Chicago":[77],"Mercantile":[78],"Exchange":[79],"Globex;":[80],"(iii)":[81],"exchange":[82,224],"funds":[84,226],"(ETFs)":[85],"related":[86],"500.":[90,162],"MS":[93,102,150,172,181],"DCS-EGARCH":[94,151,173],"models":[95,174],"are":[96],"alternatives":[97],"recent":[101],"Beta-t-EGARCH":[103,182],"model":[104],"that":[105,165,178],"uses":[106],"symmetric":[108],"Student\u2019s":[109],"t":[110],"distribution":[111],"error":[114,129],"term.":[115],"For":[116,148],"we":[120,153,188],"more":[122],"flexible":[123],"asymmetric":[124],"probability":[125],"distributions":[126],"term:":[130],"Skew-Gen-t":[131,228],"(skewed":[132,229],"t),":[134],"EGB2":[135,232],"(exponential":[136,233],"beta":[138,235],"second":[141,238],"kind)":[142],"NIG":[144,240],"(normal-inverse":[145,241],"Gaussian)":[146],"distributions.":[147],"all":[149],"identify":[154],"high-":[155],"low-volatility":[157],"periods":[158],"find":[164],"statistical":[167],"performance":[168],"superior":[176],"model.":[183],"As":[184],"a":[185],"practical":[186],"application,":[187],"perform":[189],"VaR":[195],"ES.Abbreviation":[197],"Single":[198],"regime":[199],"(SR);":[200],"(MS);":[202],"(DCS);":[206],"(EGARCH);":[212],"(VaR);":[214],"(ES);":[217],"Poor's":[220],"500);":[223],"(ETFs);":[227],"t);":[231],"kind);":[239],"Gaussian);":[242],"log-likelihood":[243],"(LL);":[244],"standard":[245],"deviation":[246],"(SD);":[247],"partial":[248],"autocorrelation":[249,260],"function":[250],"(PACF);":[251],"likelihood-ratio":[252],"(LR);":[253],"ordinary":[254],"least":[255],"squares":[256],"(OLS);":[257],"consistent":[261],"(HAC);":[262],"Akaike":[263],"information":[264,268],"criterion":[265,269,272],"(AIC);":[266],"Bayesian":[267],"(BIC);":[270],"Hannan-Quinn":[271],"(HQC).":[273]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2018-09-07T00:00:00"}