{"id":"https://openalex.org/W780900744","doi":"https://doi.org/10.1016/j.physa.2015.05.036","title":"Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach","display_name":"Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach","publication_year":2015,"publication_date":"2015-05-12","ids":{"openalex":"https://openalex.org/W780900744","doi":"https://doi.org/10.1016/j.physa.2015.05.036","mag":"780900744"},"language":"en","primary_location":{"id":"doi:10.1016/j.physa.2015.05.036","doi":"https://doi.org/10.1016/j.physa.2015.05.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2015.05.036","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-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":"Physica A: Statistical Mechanics and its Applications","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/A5057840382","display_name":"Chaker Aloui","orcid":"https://orcid.org/0000-0001-9197-8191","observed_orcids":["https://orcid.org/0000-0001-9197-8191","https://orcid.org/0009-0001-6402-6723"]},"institutions":[{"id":"https://openalex.org/I28022161","display_name":"King Saud University","ror":"https://ror.org/02f81g417","country_code":"SA","type":"education","lineage":["https://openalex.org/I28022161"]}],"countries":["SA"],"is_corresponding":false,"raw_author_name":"Chaker Aloui","raw_affiliation_strings":["College of Business Administration, King Saud University, Saudi Arabia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"College of Business Administration, King Saud University, Saudi Arabia","institution_ids":["https://openalex.org/I28022161"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5089759738","display_name":"Rania Jammazi","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I8636806","display_name":"University of Sousse","ror":"https://ror.org/00dmpgj58","country_code":"TN","type":"education","lineage":["https://openalex.org/I8636806"]}],"countries":["TN"],"is_corresponding":true,"raw_author_name":"Rania Jammazi","raw_affiliation_strings":["Faculty of Economic Sciences and Management of Sousse, Cite Erriadh, Sousse, Tunisia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economic Sciences and Management of Sousse, Cite Erriadh, Sousse, Tunisia","institution_ids":["https://openalex.org/I8636806"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5089759738"],"corresponding_institution_ids":["https://openalex.org/I8636806"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":9.0838,"has_fulltext":false,"cited_by_count":37,"citation_normalized_percentile":{"value":0.97444773,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"436","issue":null,"first_page":"62","last_page":"86"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8988999724388123,"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":0.8988999724388123,"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":0.09120000153779984,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.003100000089034438,"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/oil-prices","display_name":"oil prices","score":0.8700000047683716},{"id":"https://openalex.org/keywords/us-dollar-exchange-rate","display_name":"US dollar exchange rate","score":0.8579999804496765},{"id":"https://openalex.org/keywords/portfolio-risk-assessment","display_name":"portfolio risk assessment","score":0.777999997138977},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8479999899864197},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9980000257492065},{"id":"https://openalex.org/keywords/dynamic-conditional-correlation","display_name":"dynamic conditional correlation","score":0.8920000195503235},{"id":"https://openalex.org/keywords/noise-reduction","display_name":"noise reduction","score":0.6439999938011169}],"concepts":[{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.8330662846565247},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6294847726821899},{"id":"https://openalex.org/C38935604","wikidata":"https://www.wikidata.org/wiki/Q4330363","display_name":"Stylized fact","level":2,"score":0.5843304395675659},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.5808875560760498},{"id":"https://openalex.org/C46286280","wikidata":"https://www.wikidata.org/wiki/Q2414958","display_name":"Discrete wavelet transform","level":4,"score":0.5269670486450195},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5004703998565674},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.47308021783828735},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4407746195793152},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.43617379665374756},{"id":"https://openalex.org/C196216189","wikidata":"https://www.wikidata.org/wiki/Q2867","display_name":"Wavelet transform","level":3,"score":0.42991289496421814},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.41359928250312805},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33486831188201904},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.27439332008361816},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.212726891040802},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14401262998580933},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.11822003126144409},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.physa.2015.05.036","doi":"https://doi.org/10.1016/j.physa.2015.05.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.physa.2015.05.036","pdf_url":null,"source":{"id":"https://openalex.org/S24688465","display_name":"Physica A Statistical Mechanics and its Applications","issn_l":"0378-4371","issn":["0378-4371","1873-2119"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-class-a","anvur-scientific","cwts-core","dongbi-b","jufo-1","ki-jl-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":"Physica A: Statistical Mechanics and its Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:phsmap:v:436:y:2015:i:c:p:62-86","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378437115004513","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":[{"id":"https://openalex.org/G1313840583","display_name":null,"funder_award_id":"RGP-VPP-211","funder_id":"https://openalex.org/F4320322804","funder_display_name":"Deanship of Scientific Research, King Faisal University"}],"funders":[{"id":"https://openalex.org/F4320322804","display_name":"Deanship of Scientific Research, King Faisal University","ror":"https://ror.org/00dn43547"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1495461120","https://openalex.org/W1727659491","https://openalex.org/W1966760175","https://openalex.org/W1972337800","https://openalex.org/W1983136182","https://openalex.org/W1983384974","https://openalex.org/W1985471384","https://openalex.org/W1988283756","https://openalex.org/W1996089921","https://openalex.org/W1999603337","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2003317089","https://openalex.org/W2005424182","https://openalex.org/W2012936212","https://openalex.org/W2018833906","https://openalex.org/W2019199024","https://openalex.org/W2020857086","https://openalex.org/W2024214085","https://openalex.org/W2025078052","https://openalex.org/W2029661879","https://openalex.org/W2036983007","https://openalex.org/W2037126904","https://openalex.org/W2040801642","https://openalex.org/W2046891880","https://openalex.org/W2053266675","https://openalex.org/W2054957279","https://openalex.org/W2063163051","https://openalex.org/W2064186236","https://openalex.org/W2067417246","https://openalex.org/W2069936503","https://openalex.org/W2079280786","https://openalex.org/W2089572977","https://openalex.org/W2092416301","https://openalex.org/W2094882164","https://openalex.org/W2113987286","https://openalex.org/W2119436275","https://openalex.org/W2119833024","https://openalex.org/W2128156079","https://openalex.org/W2135177937","https://openalex.org/W2137023628","https://openalex.org/W2140580749","https://openalex.org/W2145208974","https://openalex.org/W2146842127","https://openalex.org/W2165410407","https://openalex.org/W2165714389","https://openalex.org/W3022547221","https://openalex.org/W4312874483"],"related_works":["https://openalex.org/W2575878891","https://openalex.org/W2009489428","https://openalex.org/W2097036232","https://openalex.org/W1972388221","https://openalex.org/W2094882164","https://openalex.org/W2063163051","https://openalex.org/W7214622501","https://openalex.org/W2807248403","https://openalex.org/W2092850355","https://openalex.org/W2357253465"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":4},{"year":2020,"cited_by_count":7},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":5},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}