{"id":"https://openalex.org/W3043045202","doi":"https://doi.org/10.1016/j.najef.2020.101257","title":"Forecasting risk in the US Dollar exchange rate under volatility shifts","display_name":"Forecasting risk in the US Dollar exchange rate under volatility shifts","publication_year":2020,"publication_date":"2020-07-18","ids":{"openalex":"https://openalex.org/W3043045202","doi":"https://doi.org/10.1016/j.najef.2020.101257","mag":"3043045202"},"language":"en","primary_location":{"id":"doi:10.1016/j.najef.2020.101257","doi":"https://doi.org/10.1016/j.najef.2020.101257","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2020.101257","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","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":"The North American Journal of Economics and 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/A5060952217","display_name":"Hassan Anjum Butt","orcid":"https://orcid.org/0000-0002-1728-1668","observed_orcids":["https://orcid.org/0000-0002-1728-1668"]},"institutions":[{"id":"https://openalex.org/I103219246","display_name":"Missouri Southern State University","ror":"https://ror.org/01zqbp192","country_code":"US","type":"education","lineage":["https://openalex.org/I103219246"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hassan Anjum","raw_affiliation_strings":["Robert Plaster College of Business, Missouri Southern State University, Joplin Missouri 64801, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Robert Plaster College of Business, Missouri Southern State University, Joplin Missouri 64801, United States","institution_ids":["https://openalex.org/I103219246"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5075706652","display_name":"Farooq Malik","orcid":"https://orcid.org/0000-0003-0383-8709","observed_orcids":["https://orcid.org/0000-0003-0383-8709"]},"institutions":[{"id":"https://openalex.org/I203172682","display_name":"Northern Arizona University","ror":"https://ror.org/0272j5188","country_code":"US","type":"education","lineage":["https://openalex.org/I203172682"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Farooq Malik","raw_affiliation_strings":["William Franke College of Business, Northern Arizona University, Flagstaff, AZ 86011, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"William Franke College of Business, Northern Arizona University, Flagstaff, AZ 86011, United States","institution_ids":["https://openalex.org/I203172682"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5075706652"],"corresponding_institution_ids":["https://openalex.org/I203172682"],"apc_list":{"value":1130,"currency":"USD","value_usd":1130},"apc_paid":null,"fwci":3.5704,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.92822124,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"54","issue":null,"first_page":"101257","last_page":"101257"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"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":0.9994999766349792,"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"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.0,"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/us-dollar-exchange-rate","display_name":"US dollar exchange rate","score":0.9559999704360962},{"id":"https://openalex.org/keywords/volatility-shifts","display_name":"volatility shifts","score":0.949999988079071},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9039999842643738},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":0.7799999713897705},{"id":"https://openalex.org/keywords/kurtosis","display_name":"kurtosis","score":0.828000009059906},{"id":"https://openalex.org/keywords/non-normality-of-returns","display_name":"non-normality of returns","score":0.7799999713897705},{"id":"https://openalex.org/keywords/out-of-sample-forecast-accuracy","display_name":"out-of-sample forecast accuracy","score":0.6320000290870667},{"id":"https://openalex.org/keywords/exchange-rate-decline","display_name":"exchange rate decline","score":0.6499999761581421}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7445486187934875},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7402065992355347},{"id":"https://openalex.org/C109168655","wikidata":"https://www.wikidata.org/wiki/Q242988","display_name":"Liberian dollar","level":2,"score":0.6238532066345215},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.5937865972518921},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.5732398629188538},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5480218529701233},{"id":"https://openalex.org/C3019931467","wikidata":"https://www.wikidata.org/wiki/Q4917","display_name":"Us dollar","level":3,"score":0.48971179127693176},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4718213975429535},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.41832441091537476},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.41269540786743164},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3879665732383728},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09866347908973694},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.07786232233047485},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.najef.2020.101257","doi":"https://doi.org/10.1016/j.najef.2020.101257","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.najef.2020.101257","pdf_url":null,"source":{"id":"https://openalex.org/S155526628","display_name":"The North American Journal of Economics and Finance","issn_l":"1062-9408","issn":["1062-9408","1879-0860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","jufo-1","norway-1","poland-70","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":"The North American Journal of Economics and Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1062940820301546","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":31,"referenced_works":["https://openalex.org/W1549941806","https://openalex.org/W1592935674","https://openalex.org/W1973825495","https://openalex.org/W1977970167","https://openalex.org/W1979575715","https://openalex.org/W1982325928","https://openalex.org/W1994193869","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2011982427","https://openalex.org/W2044561161","https://openalex.org/W2049174687","https://openalex.org/W2054477007","https://openalex.org/W2055397365","https://openalex.org/W2057884190","https://openalex.org/W2073748617","https://openalex.org/W2075304461","https://openalex.org/W2100406142","https://openalex.org/W2110939842","https://openalex.org/W2120925732","https://openalex.org/W2137827605","https://openalex.org/W2153955954","https://openalex.org/W2165008828","https://openalex.org/W2310745381","https://openalex.org/W2790310748","https://openalex.org/W2900863199","https://openalex.org/W3022035575","https://openalex.org/W3124454571","https://openalex.org/W3124711895","https://openalex.org/W3148308495","https://openalex.org/W6629618545"],"related_works":["https://openalex.org/W2900863199","https://openalex.org/W2279491061","https://openalex.org/W2790310748","https://openalex.org/W2165008828","https://openalex.org/W3201529782","https://openalex.org/W7028474193","https://openalex.org/W3155906899","https://openalex.org/W2765431764","https://openalex.org/W7116916652","https://openalex.org/W4401402098"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":6}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2020-07-23T00:00:00"}
