{"id":"https://openalex.org/W2790534634","doi":"https://doi.org/10.1007/978-3-319-75429-1_24","title":"A Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks","display_name":"A Regime Switching for Dynamic Conditional Correlation and GARCH: Application to Agricultural Commodity Prices and Market Risks","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2790534634","doi":"https://doi.org/10.1007/978-3-319-75429-1_24","mag":"2790534634"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-319-75429-1_24","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-75429-1_24","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/A5085447328","display_name":"Benchawanaree Chodchuangnirun","orcid":null},"institutions":[{"id":"https://openalex.org/I58196637","display_name":"Ramkhamhaeng University","ror":"https://ror.org/00mrw8k38","country_code":"TH","type":"education","lineage":["https://openalex.org/I58196637"]}],"countries":["TH"],"is_corresponding":false,"raw_author_name":"Benchawanaree Chodchuangnirun","raw_affiliation_strings":["Faculty of Economics, Ramkhamhaeng University, Bangkok, Thailand"],"affiliations":[{"raw_affiliation_string":"Faculty of Economics, Ramkhamhaeng University, Bangkok, Thailand","institution_ids":["https://openalex.org/I58196637"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5020022323","display_name":"Woraphon Yamaka","orcid":"https://orcid.org/0000-0002-0787-1437"},"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":"Woraphon Yamaka","raw_affiliation_strings":["Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand"],"affiliations":[{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Faculty of Economics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5057205684","display_name":"Chatchai Khiewngamdee","orcid":"https://orcid.org/0009-0003-4493-8367"},"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":true,"raw_author_name":"Chatchai Khiewngamdee","raw_affiliation_strings":["Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","Department of Agricultural Economy and Development, Faculty of Agriculture, Chiang Mai University, Chiang Mai, Thailand"],"affiliations":[{"raw_affiliation_string":"Center of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]},{"raw_affiliation_string":"Department of Agricultural Economy and Development, Faculty of Agriculture, Chiang Mai University, Chiang Mai, Thailand","institution_ids":["https://openalex.org/I48076826"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5057205684"],"corresponding_institution_ids":["https://openalex.org/I48076826"],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":19.2899,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.99062149,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"289","last_page":"301"},"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":0.9921000003814697,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9846000075340271,"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/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.7668105363845825},{"id":"https://openalex.org/keywords/commodity","display_name":"Commodity","score":0.641338586807251},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5545375943183899},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5086365938186646},{"id":"https://openalex.org/keywords/agriculture","display_name":"Agriculture","score":0.45038771629333496},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3570767343044281},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.35033392906188965},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.1442541480064392},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.12907224893569946}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7668105363845825},{"id":"https://openalex.org/C2779439359","wikidata":"https://www.wikidata.org/wiki/Q317088","display_name":"Commodity","level":2,"score":0.641338586807251},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5545375943183899},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5086365938186646},{"id":"https://openalex.org/C118518473","wikidata":"https://www.wikidata.org/wiki/Q11451","display_name":"Agriculture","level":2,"score":0.45038771629333496},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3570767343044281},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.35033392906188965},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.1442541480064392},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.12907224893569946},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-319-75429-1_24","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-319-75429-1_24","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":[{"id":"https://metadata.un.org/sdg/2","score":0.7599999904632568,"display_name":"Zero hunger"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1576326745","https://openalex.org/W1727659491","https://openalex.org/W1999996900","https://openalex.org/W2008621908","https://openalex.org/W2012242451","https://openalex.org/W2063593194","https://openalex.org/W2074812030","https://openalex.org/W2107624714","https://openalex.org/W2116093227","https://openalex.org/W2122549219","https://openalex.org/W2161808462","https://openalex.org/W2168131362","https://openalex.org/W2295504584","https://openalex.org/W2411987262"],"related_works":["https://openalex.org/W2209232670","https://openalex.org/W1594573861","https://openalex.org/W2820935738","https://openalex.org/W3140312610","https://openalex.org/W3189124972","https://openalex.org/W1510270556","https://openalex.org/W2580771375","https://openalex.org/W2126434678","https://openalex.org/W2084097819","https://openalex.org/W3081398302"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
