{"id":"https://openalex.org/W642551822","doi":null,"title":"Nonlinearities and regime shifts in financial time series","display_name":"Nonlinearities and regime shifts in financial time series","publication_year":1997,"publication_date":"1997-01-01","ids":{"openalex":"https://openalex.org/W642551822","mag":"642551822"},"language":"en","primary_location":{"id":"mag:642551822","doi":null,"is_oa":false,"landing_page_url":"https://ex.hhs.se/dissertations/221868-FULLTEXT01.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},"volume":null,"type":"dissertation","indexed_in":[],"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/A5042422005","display_name":"Stefan \u00c5sbrink","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I180242103","display_name":"Stockholm School of Economics","ror":"https://ror.org/01s5jzh92","country_code":"SE","type":"education","lineage":["https://openalex.org/I180242103"]}],"countries":["SE"],"is_corresponding":true,"raw_author_name":"Stefan \u00c5sbrink","raw_affiliation_strings":["Stockholm school of economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stockholm school of economics","institution_ids":["https://openalex.org/I180242103"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5042422005"],"corresponding_institution_ids":["https://openalex.org/I180242103"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.0007999999797903001,"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":9.999999747378752e-05,"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/high-frequency-financial-data","display_name":"high-frequency financial data","score":0.7860000133514404},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"volatility modeling","score":0.5630000233650208},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.7350000143051147},{"id":"https://openalex.org/keywords/hidden-markov-models","display_name":"hidden Markov models","score":0.7310000061988831},{"id":"https://openalex.org/keywords/smooth-transition-models","display_name":"smooth transition models","score":0.7590000033378601},{"id":"https://openalex.org/keywords/conditional-volatility","display_name":"conditional variance","score":0.7590000033378601},{"id":"https://openalex.org/keywords/stylized-facts","display_name":"stylized facts","score":0.7799999713897705},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.7089999914169312},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.9900000095367432},{"id":"https://openalex.org/keywords/option-pricing","display_name":"option pricing","score":0.7319999933242798},{"id":"https://openalex.org/keywords/exchange-rates","display_name":"exchange rates","score":0.8679999709129333},{"id":"https://openalex.org/keywords/stock-prices","display_name":"stock prices","score":0.9169999957084656},{"id":"https://openalex.org/keywords/prediction-error-minimization","display_name":"prediction error minimization","score":0.7990000247955322},{"id":"https://openalex.org/keywords/regime-shifts","display_name":"tipping points","score":0.9139999747276306}],"concepts":[{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.8540762662887573},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6263889074325562},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5423044562339783},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.49951791763305664},{"id":"https://openalex.org/C67616677","wikidata":"https://www.wikidata.org/wiki/Q657107","display_name":"Financial econometrics","level":4,"score":0.4694228768348694},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4576520025730133},{"id":"https://openalex.org/C186215838","wikidata":"https://www.wikidata.org/wiki/Q772232","display_name":"Conditional expectation","level":2,"score":0.43732360005378723},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.4234102964401245},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.4118676781654358},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.4117946922779083},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3548591434955597},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.349224716424942},{"id":"https://openalex.org/C196390999","wikidata":"https://www.wikidata.org/wiki/Q11655436","display_name":"Indirect finance","level":3,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"mag:642551822","doi":null,"is_oa":false,"landing_page_url":"https://ex.hhs.se/dissertations/221868-FULLTEXT01.pdf","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"No poverty","score":0.46000000834465027,"id":"https://metadata.un.org/sdg/1"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W69377218","https://openalex.org/W782316750","https://openalex.org/W1511098757","https://openalex.org/W1533024535","https://openalex.org/W1965324089","https://openalex.org/W1966268097","https://openalex.org/W1979575715","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2006430387","https://openalex.org/W2021765450","https://openalex.org/W2033026922","https://openalex.org/W2054599015","https://openalex.org/W2058593686","https://openalex.org/W2068928693","https://openalex.org/W2079615115","https://openalex.org/W2118234389","https://openalex.org/W2124316204","https://openalex.org/W2142635246","https://openalex.org/W2146855196","https://openalex.org/W2523718275","https://openalex.org/W2891337468","https://openalex.org/W2891601610","https://openalex.org/W3146166473"],"related_works":["https://openalex.org/W656852284","https://openalex.org/W3141951923","https://openalex.org/W2148340862","https://openalex.org/W4243100478","https://openalex.org/W573754218","https://openalex.org/W4414217977","https://openalex.org/W7098450899","https://openalex.org/W1733910062","https://openalex.org/W2241958983","https://openalex.org/W1503692403"],"abstract_inverted_index":{"This":[0],"volume":[1],"contains":[2],"four":[3,15],"essays":[4],"on":[5,27,126,229],"various":[6],"topics":[7],"in":[8,41,47,51,59,86,279,283],"the":[9,17,28,35,71,87,100,117,120,127,138,147,152,155,175,197,210,220,236,243,254,261,264,288,297,300,307,310,320],"field":[10,102,309],"of":[11,19,34,67,103,111,142,154,163,167,199,215,240,242,296,299],"financial":[12,22,88,114,168],"econometrics.":[13],"All":[14],"discuss":[16],"properties":[18,110,153,298],"high":[20,112,169],"frequency":[21,113,170],"data":[23],"and":[24,58,83,94,109,146,160,178,185,232,258,263,277],"its":[25,161],"implications":[26],"model":[29],"choice":[30],"when":[31,213],"an":[32,190,207,316],"estimate":[33],"capital":[36,104,247],"asset":[37,105,248],"return":[38,106,249],"volatility":[39,237,250],"is":[40,122,218,271,275],"focus.":[42],"The":[43,266],"interest":[44],"lies":[45],"both":[46],"characterizing":[48],"stylized":[84,165,216],"facts":[85,166,217],"such":[52,252],"series":[53,56],"with":[54,137,189,206,256,306],"time":[55],"models":[57,108,251],"predicting":[60],"volatility.The":[61],"first":[62,311],"essay,":[63,136,173],"entitled":[64],"A":[65,181],"Survey":[66],"Recent":[68],"Papers":[69],"Considering":[70],"Standard":[72,130],"&":[73,131],"Poor":[74,132],"500":[75,133],"Composite":[76],"Stock":[77,233],"Index,":[78],"presents":[79],"recent":[80],"empirical":[81],"findings":[82],"market":[89],"from":[90],"1987":[91],"to":[92,99,124,192,319],"1996":[93],"gives":[95],"a":[96,201,293],"brief":[97],"introduction":[98,318],"research":[101,125,308],"volatitlity":[107],"data.":[115],"As":[116],"title":[118],"indicates,":[119],"survey":[121],"restricted":[123],"well":[128],"known":[129],"index.The":[134],"second":[135],"title,":[139],"Stylized":[140],"Facts":[141],"Daily":[143],"Return":[144],"Series":[145],"Hidden":[148,186],"Markov":[149,157,187],"Model,":[150,158],"investigates":[151,196,235],"hidden":[156],"HMM,":[159],"capability":[162],"reproducing":[164],"data.The":[171],"third":[172],"Modelling":[174],"Conditional":[176,179],"Mean":[177],"Variance:":[180],"combined":[182],"Smooth":[183],"Transition":[184],"Approach":[188],"Application":[191],"High":[193],"Frequency":[194],"Series,":[195],"consequences":[198],"combining":[200],"nonlinear":[202],"parameterized":[203],"conditional":[204,211],"mean":[205],"HMM":[208],"for":[209,226],"variance":[212],"characterization":[214],"considered.Finally,":[219],"fourth":[221],"essay":[222,274,312],"entitled,":[223],"Volatility":[224],"Forecasting":[225],"Option":[227],"Pricing":[228],"Exchange":[230],"Rates":[231],"Prices,":[234],"forecasting":[238],"performance":[239],"some":[241],"most":[244],"frequently":[245],"used":[246],"as":[253,315],"GARCH":[255],"normal":[257],"t-distributed":[259],"errors,":[260],"EGARCH":[262],"HMM.":[265,301],"prediction":[267],"error":[268],"minimization":[269],"approach":[270],"also":[272],"investigated.Each":[273],"self-contained":[276],"could,":[278],"principle,":[280],"be":[281],"read":[282],"any":[284],"order":[285],"chosen":[286],"by":[287],"reader.":[289],"This,":[290],"however,":[291],"requires":[292],"working":[294],"knowledge":[295],"For":[302],"readers":[303],"less":[304],"familiar":[305],"may":[313],"serve":[314],"helpful":[317],"following":[321],"three":[322],"essays.":[323]},"counts_by_year":[],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}