{"id":"https://openalex.org/W2998691701","doi":"https://doi.org/10.1007/978-3-030-37720-5_9","title":"Multi-step Prediction of Financial Asset Return Volatility Using Parsimonious Autoregressive Sequential Model","display_name":"Multi-step Prediction of Financial Asset Return Volatility Using Parsimonious Autoregressive Sequential Model","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W2998691701","doi":"https://doi.org/10.1007/978-3-030-37720-5_9","mag":"2998691701"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-030-37720-5_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-37720-5_9","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"},"type":"book-chapter","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/A5034563116","display_name":"Xiangru Fan","orcid":"https://orcid.org/0000-0002-6981-5078"},"institutions":[{"id":"https://openalex.org/I4210103986","display_name":"Jingdong (China)","ror":"https://ror.org/01dkjkq64","country_code":"CN","type":"company","lineage":["https://openalex.org/I4210103986"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Xiangru Fan","raw_affiliation_strings":["JD.com, Beijing, 102600, China"],"raw_orcid":"https://orcid.org/0000-0002-6981-5078","affiliations":[{"raw_affiliation_string":"JD.com, Beijing, 102600, China","institution_ids":["https://openalex.org/I4210103986"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5056691753","display_name":"Xiaoqian Wei","orcid":"https://orcid.org/0000-0003-3773-7121"},"institutions":[{"id":"https://openalex.org/I20231570","display_name":"Peking University","ror":"https://ror.org/02v51f717","country_code":"CN","type":"education","lineage":["https://openalex.org/I20231570"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaoqian Wei","raw_affiliation_strings":["Peiking University, Beijing, 100000, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Peiking University, Beijing, 100000, China","institution_ids":["https://openalex.org/I20231570"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100401385","display_name":"Di Wang","orcid":"https://orcid.org/0000-0001-6360-4360"},"institutions":[{"id":"https://openalex.org/I4210103986","display_name":"Jingdong (China)","ror":"https://ror.org/01dkjkq64","country_code":"CN","type":"company","lineage":["https://openalex.org/I4210103986"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Di Wang","raw_affiliation_strings":["JD.com, Beijing, 102600, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"JD.com, Beijing, 102600, China","institution_ids":["https://openalex.org/I4210103986"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100444381","display_name":"Wen Zhang","orcid":"https://orcid.org/0000-0002-2628-8992"},"institutions":[{"id":"https://openalex.org/I4210103986","display_name":"Jingdong (China)","ror":"https://ror.org/01dkjkq64","country_code":"CN","type":"company","lineage":["https://openalex.org/I4210103986"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wen Zhang","raw_affiliation_strings":["JD.com, Beijing, 102600, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"JD.com, Beijing, 102600, China","institution_ids":["https://openalex.org/I4210103986"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038360373","display_name":"Qi Wu","orcid":"https://orcid.org/0000-0002-4028-981X"},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Wu Qi","raw_affiliation_strings":["City University of Hongkong, Hongkong, SAR, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"City University of Hongkong, Hongkong, SAR, China","institution_ids":["https://openalex.org/I168719708"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":["https://openalex.org/A5034563116"],"corresponding_institution_ids":["https://openalex.org/I4210103986"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":1.4773,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.83888048,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"107","last_page":"121"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9988999962806702,"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":0.9988999962806702,"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":0.9973000288009644,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9822999835014343,"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/autoregressive-model","display_name":"Autoregressive model","score":0.7957206964492798},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7462121248245239},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5395094752311707},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.44305816292762756},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.43067386746406555},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.4136797785758972},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.12777012586593628},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.08829393982887268}],"concepts":[{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.7957206964492798},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7462121248245239},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5395094752311707},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.44305816292762756},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43067386746406555},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.4136797785758972},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.12777012586593628},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.08829393982887268}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-030-37720-5_9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-37720-5_9","pdf_url":null,"source":{"id":"https://openalex.org/S106296714","display_name":"Lecture notes in computer science","issn_l":"0302-9743","issn":["0302-9743","1611-3349"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Lecture Notes in Computer Science","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W136741500","https://openalex.org/W1515456191","https://openalex.org/W1835399918","https://openalex.org/W1977970167","https://openalex.org/W1999996900","https://openalex.org/W2001772055","https://openalex.org/W2015932231","https://openalex.org/W2017791169","https://openalex.org/W2020328455","https://openalex.org/W2061160212","https://openalex.org/W2120615054","https://openalex.org/W2127054128","https://openalex.org/W2150747312","https://openalex.org/W2157331557","https://openalex.org/W2168031453","https://openalex.org/W2171040943","https://openalex.org/W2268617045","https://openalex.org/W2901559072","https://openalex.org/W2962817261","https://openalex.org/W3098387724","https://openalex.org/W6602758235","https://openalex.org/W6604397808"],"related_works":["https://openalex.org/W2171218219","https://openalex.org/W1972271943","https://openalex.org/W2150410159","https://openalex.org/W3150905897","https://openalex.org/W4327525404","https://openalex.org/W4287185323","https://openalex.org/W2156628102","https://openalex.org/W2286180210","https://openalex.org/W2753588648","https://openalex.org/W2760171142"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}