{"id":"https://openalex.org/W3091170825","doi":"https://doi.org/10.1007/978-3-030-53356-4_4","title":"Stress Testing Diversified Portfolios: The Case of the CoinShares Gold and Cryptoassets Index","display_name":"Stress Testing Diversified Portfolios: The Case of the CoinShares Gold and Cryptoassets Index","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3091170825","doi":"https://doi.org/10.1007/978-3-030-53356-4_4","mag":"3091170825"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-030-53356-4_4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-53356-4_4","pdf_url":null,"source":{"id":"https://openalex.org/S4210210199","display_name":"Springer proceedings in business and economics","issn_l":"2198-7246","issn":["2198-7246","2198-7254"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Springer Proceedings in Business and Economics","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/A5036896286","display_name":"Aikaterini Koutsouri","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Aikaterini Koutsouri","raw_affiliation_strings":["Department of Computing, Imperial College London, London, UK"],"affiliations":[{"raw_affiliation_string":"Department of Computing, Imperial College London, London, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5079496923","display_name":"Michael Petch","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Michael Petch","raw_affiliation_strings":["CoinShares, London, UK"],"affiliations":[{"raw_affiliation_string":"CoinShares, London, UK","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5050119476","display_name":"William J. Knottenbelt","orcid":"https://orcid.org/0000-0002-8490-1011"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"William J. Knottenbelt","raw_affiliation_strings":["Department of Computing, Imperial College London, London, UK"],"affiliations":[{"raw_affiliation_string":"Department of Computing, Imperial College London, London, UK","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5036896286"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":7.1669,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.96874783,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"43","last_page":"64"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9997000098228455,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9997000098228455,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973999857902527,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.993399977684021,"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/index","display_name":"Index (typography)","score":0.6564831733703613},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.6463865041732788},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.6219488382339478},{"id":"https://openalex.org/keywords/extreme-value-theory","display_name":"Extreme value theory","score":0.5856080651283264},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5841243267059326},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5121469497680664},{"id":"https://openalex.org/keywords/stress-testing","display_name":"Stress testing (software)","score":0.4912707209587097},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.47905075550079346},{"id":"https://openalex.org/keywords/market-risk","display_name":"Market risk","score":0.4750478267669678},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.37072429060935974},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.367980420589447},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3576856255531311},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.34709590673446655},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3334578573703766},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.32810378074645996},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.1554948091506958},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.109506756067276},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.07317197322845459}],"concepts":[{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6564831733703613},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6463865041732788},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6219488382339478},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.5856080651283264},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5841243267059326},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5121469497680664},{"id":"https://openalex.org/C7515471","wikidata":"https://www.wikidata.org/wiki/Q1936882","display_name":"Stress testing (software)","level":2,"score":0.4912707209587097},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.47905075550079346},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.4750478267669678},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.37072429060935974},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.367980420589447},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3576856255531311},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34709590673446655},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3334578573703766},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.32810378074645996},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.1554948091506958},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.109506756067276},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.07317197322845459},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1007/978-3-030-53356-4_4","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-030-53356-4_4","pdf_url":null,"source":{"id":"https://openalex.org/S4210210199","display_name":"Springer proceedings in business and economics","issn_l":"2198-7246","issn":["2198-7246","2198-7254"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Springer Proceedings in Business and Economics","raw_type":"book-chapter"},{"id":"pmh:oai:RePEc:spr:prbchp:978-3-030-53356-4_4","is_oa":false,"landing_page_url":null,"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,"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":"book"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/85628","is_oa":false,"landing_page_url":"http://hdl.handle.net/10044/1/85628","pdf_url":null,"source":{"id":"https://openalex.org/S4306401396","display_name":"Spiral (Imperial College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I47508984","host_organization_name":"Imperial College London","host_organization_lineage":["https://openalex.org/I47508984"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2nd International Conference on Mathematical Research for Blockchain Economy","raw_type":"Conference Paper"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320283","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1500866220","https://openalex.org/W1542184596","https://openalex.org/W1580925398","https://openalex.org/W1590120741","https://openalex.org/W1951444407","https://openalex.org/W2015339214","https://openalex.org/W2019245901","https://openalex.org/W2061160212","https://openalex.org/W2064186236","https://openalex.org/W2100011707","https://openalex.org/W2134752891","https://openalex.org/W2486563685","https://openalex.org/W2491554856","https://openalex.org/W2494873755","https://openalex.org/W2749714786","https://openalex.org/W2759609844","https://openalex.org/W2897880840","https://openalex.org/W3006255542","https://openalex.org/W3123534519","https://openalex.org/W3124381760"],"related_works":["https://openalex.org/W2618745416","https://openalex.org/W1552269621","https://openalex.org/W4383877768","https://openalex.org/W2388461563","https://openalex.org/W4255792000","https://openalex.org/W2594262720","https://openalex.org/W2270522634","https://openalex.org/W3125876968","https://openalex.org/W3033433420","https://openalex.org/W1977988247"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}