{"id":"https://openalex.org/W1571942599","doi":"https://doi.org/10.1007/978-3-319-03395-2_16","title":"A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets","display_name":"A Vine Copula Approach for Analyzing Financial Risk and Co-movement of the Indonesian, Philippine and Thailand Stock Markets","publication_year":2013,"publication_date":"2013-11-16","ids":{"openalex":"https://openalex.org/W1571942599","doi":"https://doi.org/10.1007/978-3-319-03395-2_16","mag":"1571942599"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-03395-2_16","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-03395-2_16","pdf_url":null,"source":{"id":"https://openalex.org/S2764905038","display_name":"Advances in intelligent systems and computing","issn_l":"2194-5357","issn":["2194-5357","2194-5365"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Intelligent Systems and Computing","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/A5058887761","display_name":"Songsak Sriboonchitta","orcid":"https://orcid.org/0000-0002-3511-5452"},"institutions":[{"id":"https://openalex.org/I48076826","display_name":"Chiang Mai University","ror":"https://ror.org/05m2fqn25","country_code":"TH","type":"education","lineage":["https://openalex.org/I48076826"]}],"countries":["TH"],"is_corresponding":false,"raw_author_name":"Songsak Sriboonchitta","raw_affiliation_strings":["Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","Chiang Mai University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Chiang Mai University","institution_ids":["https://openalex.org/I48076826"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068343244","display_name":"Jianxu Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I48076826","display_name":"Chiang Mai University","ror":"https://ror.org/05m2fqn25","country_code":"TH","type":"education","lineage":["https://openalex.org/I48076826"]}],"countries":["TH"],"is_corresponding":false,"raw_author_name":"Jianxu Liu","raw_affiliation_strings":["Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","Chiang Mai University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Chiang Mai University","institution_ids":["https://openalex.org/I48076826"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5061275811","display_name":"\u0412\u043b\u0430\u0434\u0438\u043a \u041a\u0440\u0435\u0439\u043d\u043e\u0432\u0438\u0447","orcid":"https://orcid.org/0000-0002-1244-1650"},"institutions":[{"id":"https://openalex.org/I164936912","display_name":"The University of Texas at El Paso","ror":"https://ror.org/04d5vba33","country_code":"US","type":"education","lineage":["https://openalex.org/I164936912"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Vladik Kreinovich","raw_affiliation_strings":["Computer Science Department, University of Texas at El Paso, El Paso, USA","University of Texas at, El Paso"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science Department, University of Texas at El Paso, El Paso, USA","institution_ids":["https://openalex.org/I164936912"]},{"raw_affiliation_string":"University of Texas at, El Paso","institution_ids":["https://openalex.org/I164936912"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5101955674","display_name":"Hung T. Nguyen","orcid":"https://orcid.org/0000-0002-8564-7529"},"institutions":[{"id":"https://openalex.org/I10052268","display_name":"New Mexico State University","ror":"https://ror.org/00hpz7z43","country_code":"US","type":"education","lineage":["https://openalex.org/I10052268"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Hung T. Nguyen","raw_affiliation_strings":["Department of Mathematical Sciences, New Mexico State University, New Mexico, USA","New Mexico State University, "],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, New Mexico State University, New Mexico, USA","institution_ids":["https://openalex.org/I10052268"]},{"raw_affiliation_string":"New Mexico State University, ","institution_ids":["https://openalex.org/I10052268"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":13.773,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.98629198,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"245","last_page":"257"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998000264167786,"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":0.9998000264167786,"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":0.9947999715805054,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9865999817848206,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/vine-copula","display_name":"Vine copula","score":0.9076862335205078},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.6986901164054871},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6522312164306641},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.549691379070282},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4903142750263214},{"id":"https://openalex.org/keywords/stock","display_name":"Stock (firearms)","score":0.4875178039073944},{"id":"https://openalex.org/keywords/stock-exchange","display_name":"Stock exchange","score":0.4628514349460602},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.43046835064888},{"id":"https://openalex.org/keywords/pairwise-comparison","display_name":"Pairwise comparison","score":0.4140927195549011},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24362239241600037},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.22628253698349},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.21296414732933044},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.1558404564857483},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14356449246406555}],"concepts":[{"id":"https://openalex.org/C2779676228","wikidata":"https://www.wikidata.org/wiki/Q25303905","display_name":"Vine copula","level":3,"score":0.9076862335205078},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6986901164054871},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6522312164306641},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.549691379070282},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4903142750263214},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4875178039073944},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.4628514349460602},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.43046835064888},{"id":"https://openalex.org/C184898388","wikidata":"https://www.wikidata.org/wiki/Q1435712","display_name":"Pairwise comparison","level":2,"score":0.4140927195549011},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24362239241600037},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.22628253698349},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.21296414732933044},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.1558404564857483},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14356449246406555},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/978-3-319-03395-2_16","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-03395-2_16","pdf_url":null,"source":{"id":"https://openalex.org/S2764905038","display_name":"Advances in intelligent systems and computing","issn_l":"2194-5357","issn":["2194-5357","2194-5365"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Intelligent Systems and Computing","raw_type":"book-chapter"},{"id":"pmh:oai:digitalcommons.utep.edu:cs_papers-1177","is_oa":false,"landing_page_url":"http://digitalcommons.utep.edu/cs_papers/176","pdf_url":null,"source":{"id":"https://openalex.org/S4306402377","display_name":"DigitalCommons@UTEP (The University of Texas at El Paso)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I164936912","host_organization_name":"The University of Texas at El Paso","host_organization_lineage":["https://openalex.org/I164936912"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Departmental Papers (CS)","raw_type":"text"},{"id":"pmh:oai:digitalcommons.utep.edu:cs_techrep-1799","is_oa":false,"landing_page_url":"https://digitalcommons.utep.edu/cs_techrep/811","pdf_url":null,"source":{"id":"https://openalex.org/S4377196403","display_name":"scholarworks - UTEP (The University of Texas at El Paso)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I164936912","host_organization_name":"The University of Texas at El Paso","host_organization_lineage":["https://openalex.org/I164936912"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Departmental Technical Reports (CS)","raw_type":"text"},{"id":"pmh:oai:scholarworks.utep.edu:cs_techrep-1799","is_oa":false,"landing_page_url":"https://scholarworks.utep.edu/cs_techrep/811","pdf_url":null,"source":{"id":"https://openalex.org/S4377196403","display_name":"scholarworks - UTEP (The University of Texas at El Paso)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I164936912","host_organization_name":"The University of Texas at El Paso","host_organization_lineage":["https://openalex.org/I164936912"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Departmental Technical Reports (CS)","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.404.7226","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.404.7226","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.cs.utep.edu/vladik/2013/tr13-64.pdf","raw_type":"text"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5400000214576721,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W33934829","https://openalex.org/W54148240","https://openalex.org/W651695277","https://openalex.org/W833718354","https://openalex.org/W1570262350","https://openalex.org/W1895429286","https://openalex.org/W1972612317","https://openalex.org/W1972882514","https://openalex.org/W1981975946","https://openalex.org/W1992105816","https://openalex.org/W1994403842","https://openalex.org/W2009943334","https://openalex.org/W2061160212","https://openalex.org/W2069618407","https://openalex.org/W2084128712","https://openalex.org/W2092627469","https://openalex.org/W2093849599","https://openalex.org/W2102791579","https://openalex.org/W2114336414","https://openalex.org/W2185002614","https://openalex.org/W2228307171","https://openalex.org/W2320148535","https://openalex.org/W2482072357","https://openalex.org/W2505741293","https://openalex.org/W2798180542","https://openalex.org/W3124901277","https://openalex.org/W4300705184"],"related_works":["https://openalex.org/W3037440021","https://openalex.org/W3041085928","https://openalex.org/W2172691568","https://openalex.org/W2922061780","https://openalex.org/W2744668118","https://openalex.org/W2393681788","https://openalex.org/W3036914094","https://openalex.org/W2623281204","https://openalex.org/W2237437671","https://openalex.org/W2370045301"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":9},{"year":2014,"cited_by_count":1}],"updated_date":"2026-08-01T09:00:35.917206","created_date":"2025-10-10T00:00:00"}