{"id":"https://openalex.org/W411134128","doi":"https://doi.org/10.1002/9780470688014","title":"ARCH Models for Financial Applications","display_name":"ARCH Models for Financial Applications","publication_year":2010,"publication_date":"2010-03-31","ids":{"openalex":"https://openalex.org/W411134128","doi":"https://doi.org/10.1002/9780470688014","mag":"411134128"},"language":"en","primary_location":{"id":"doi:10.1002/9780470688014","doi":"https://doi.org/10.1002/9780470688014","is_oa":false,"landing_page_url":"https://doi.org/10.1002/9780470688014","pdf_url":null,"source":{"id":"https://openalex.org/S4306464293","display_name":"Wiley eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},"volume":null,"type":"book","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/A5009045867","display_name":"Evdokia Xekalaki","orcid":"https://orcid.org/0000-0002-9507-0911","observed_orcids":["https://orcid.org/0000-0002-9507-0911"]},"institutions":[{"id":"https://openalex.org/I63072094","display_name":"University of Portsmouth","ror":"https://ror.org/03ykbk197","country_code":"GB","type":"education","lineage":["https://openalex.org/I63072094"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Evdokia Xekalaki","raw_affiliation_strings":["University Of Portsmouth"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University Of Portsmouth","institution_ids":["https://openalex.org/I63072094"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5003074891","display_name":"Stavros Antonios Degiannakis","orcid":"https://orcid.org/0000-0003-1931-5494","observed_orcids":["https://orcid.org/0000-0003-1931-5494"]},"institutions":[{"id":"https://openalex.org/I63072094","display_name":"University of Portsmouth","ror":"https://ror.org/03ykbk197","country_code":"GB","type":"education","lineage":["https://openalex.org/I63072094"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Stavros Degiannakis","raw_affiliation_strings":["University Of Portsmouth"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University Of Portsmouth","institution_ids":["https://openalex.org/I63072094"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I63072094"],"apc_list":null,"apc_paid":null,"fwci":8.2265,"has_fulltext":false,"cited_by_count":117,"citation_normalized_percentile":{"value":0.97038567,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":100},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9990000128746033,"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":0.9990000128746033,"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":0.00039999998989515007,"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"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","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/arch-models","display_name":"ARCH models","score":0.9599999785423279},{"id":"https://openalex.org/keywords/vix-index","display_name":"VIX index","score":0.7749999761581421},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.8240000009536743},{"id":"https://openalex.org/keywords/daily-returns","display_name":"daily returns","score":0.414000004529953},{"id":"https://openalex.org/keywords/financial-time-series","display_name":"financial time series","score":0.49799999594688416}],"concepts":[{"id":"https://openalex.org/C11312509","wikidata":"https://www.wikidata.org/wiki/Q12277","display_name":"Arch","level":2,"score":0.7071191668510437},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.35224270820617676},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.27310633659362793},{"id":"https://openalex.org/C66938386","wikidata":"https://www.wikidata.org/wiki/Q633538","display_name":"Structural engineering","level":1,"score":0.09780102968215942}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/9780470688014","doi":"https://doi.org/10.1002/9780470688014","is_oa":false,"landing_page_url":"https://doi.org/10.1002/9780470688014","pdf_url":null,"source":{"id":"https://openalex.org/S4306464293","display_name":"Wiley eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":null,"raw_type":"monograph"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-020330974","doi":null,"is_oa":false,"landing_page_url":"http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020330974&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-027348563","doi":null,"is_oa":false,"landing_page_url":"http://lib.myilibrary.com?id=254774","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"software, multimedia"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W1639275303","https://openalex.org/W1999996900","https://openalex.org/W2001806364","https://openalex.org/W2017480909","https://openalex.org/W2050902901","https://openalex.org/W2061160212","https://openalex.org/W2074310789","https://openalex.org/W2076396344","https://openalex.org/W2093739529","https://openalex.org/W2891601610","https://openalex.org/W3123985237","https://openalex.org/W3124026849","https://openalex.org/W3125023246"],"related_works":["https://openalex.org/W7071979209","https://openalex.org/W1967260842","https://openalex.org/W2075128083","https://openalex.org/W3123653015","https://openalex.org/W3124784132","https://openalex.org/W7100910558","https://openalex.org/W2906114182","https://openalex.org/W7074120602","https://openalex.org/W3115394827","https://openalex.org/W3125378732"],"abstract_inverted_index":{"ARCH":[0],"models":[1],"for":[2,16],"the":[3,10,14,27],"daily":[4],"S&P500":[5],"log-returns":[6],"are":[7],"estimated,":[8],"whereas":[9],"intraday":[11],"prices":[12],"comprise":[13],"dataset":[15],"an":[17,34],"ARFIMAX":[18],"model.":[19],"Model\u2019s":[20],"forecasting":[21],"performance":[22],"is":[23,31],"statistically":[24],"superior":[25],"when":[26],"CBOE\u2019s":[28],"VIX":[29],"index":[30],"incorporated":[32],"as":[33],"explanatory":[35],"variable.":[36]},"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":11},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":8},{"year":2016,"cited_by_count":15},{"year":2015,"cited_by_count":19},{"year":2014,"cited_by_count":12},{"year":2013,"cited_by_count":10},{"year":2012,"cited_by_count":7}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}