{"id":"https://openalex.org/W1845640631","doi":"https://doi.org/10.1007/978-3-540-28651-6_120","title":"Volatility Forecasts in Financial Time Series with HMM-GARCH Models","display_name":"Volatility Forecasts in Financial Time Series with HMM-GARCH Models","publication_year":2004,"publication_date":"2004-01-01","ids":{"openalex":"https://openalex.org/W1845640631","doi":"https://doi.org/10.1007/978-3-540-28651-6_120","mag":"1845640631"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-540-28651-6_120","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-540-28651-6_120","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/A5089151245","display_name":"Xiong-Fei Zhuang","orcid":null},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Xiong-Fei Zhuang","raw_affiliation_strings":["Computer Science and Engineering Department, The Chinese University of Hong Kong, Shatin, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science and Engineering Department, The Chinese University of Hong Kong, Shatin, Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111431165","display_name":"Laiwan Chan","orcid":null},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Lai-Wan Chan","raw_affiliation_strings":["Computer Science and Engineering Department, The Chinese University of Hong Kong, Shatin, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Computer Science and Engineering Department, The Chinese University of Hong Kong, Shatin, Hong Kong","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":7,"citation_normalized_percentile":{"value":0.1508982,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":null,"issue":null,"first_page":"807","last_page":"812"},"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9836000204086304,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9779000282287598,"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/volatility","display_name":"Volatility (finance)","score":0.8180578947067261},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.7720222473144531},{"id":"https://openalex.org/keywords/financial-models-with-long-tailed-distributions-and-volatility-clustering","display_name":"Financial models with long-tailed distributions and volatility clustering","score":0.7584319710731506},{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.6942166090011597},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.65739905834198},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6510695815086365},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.490892231464386},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4810600280761719},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.46088457107543945},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4461287260055542},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2823399305343628},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.18628811836242676}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8180578947067261},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7720222473144531},{"id":"https://openalex.org/C89218465","wikidata":"https://www.wikidata.org/wiki/Q5449732","display_name":"Financial models with long-tailed distributions and volatility clustering","level":5,"score":0.7584319710731506},{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.6942166090011597},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.65739905834198},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6510695815086365},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.490892231464386},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4810600280761719},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.46088457107543945},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4461287260055542},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2823399305343628},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.18628811836242676}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-540-28651-6_120","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-540-28651-6_120","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":[{"display_name":"No poverty","id":"https://metadata.un.org/sdg/1","score":0.7099999785423279}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1576326745","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2044503966","https://openalex.org/W2045438905","https://openalex.org/W2051564300","https://openalex.org/W2068138154","https://openalex.org/W2118854883","https://openalex.org/W2125838338","https://openalex.org/W3124527974","https://openalex.org/W3146166473","https://openalex.org/W4232115882","https://openalex.org/W4237712828","https://openalex.org/W4238262513","https://openalex.org/W4241115065"],"related_works":["https://openalex.org/W2561005359","https://openalex.org/W3046357205","https://openalex.org/W4250923151","https://openalex.org/W2146281355","https://openalex.org/W1522807025","https://openalex.org/W2169908486","https://openalex.org/W3015812536","https://openalex.org/W3122544694","https://openalex.org/W4241963418","https://openalex.org/W2061128599"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}
