{"id":"https://openalex.org/W1602756955","doi":"https://doi.org/10.1007/978-3-540-72588-6_150","title":"An Improved CAViaR Model for Oil Price Risk","display_name":"An Improved CAViaR Model for Oil Price Risk","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W1602756955","doi":"https://doi.org/10.1007/978-3-540-72588-6_150","mag":"1602756955"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-540-72588-6_150","is_oa":true,"landing_page_url":"https://doi.org/10.1007/978-3-540-72588-6_150","pdf_url":"https://link.springer.com/content/pdf/10.1007%2F978-3-540-72588-6_150.pdf","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":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://link.springer.com/content/pdf/10.1007%2F978-3-540-72588-6_150.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029959520","display_name":"Dashan Huang","orcid":"https://orcid.org/0000-0003-2951-7997"},"institutions":[{"id":"https://openalex.org/I22299242","display_name":"Kyoto University","ror":"https://ror.org/02kpeqv85","country_code":"JP","type":"education","lineage":["https://openalex.org/I22299242"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Dashan Huang","raw_affiliation_strings":["Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan","Department of Applied Mathematics and Physics, Graduate School of Informatics , Kyoto University , Kyoto, 606-8501, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan","institution_ids":["https://openalex.org/I22299242"]},{"raw_affiliation_string":"Department of Applied Mathematics and Physics, Graduate School of Informatics , Kyoto University , Kyoto, 606-8501, Japan","institution_ids":["https://openalex.org/I22299242"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5028294873","display_name":"Baimin Yu","orcid":null},"institutions":[{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210120485","display_name":"Academy of Mathematics and Systems Science","ror":"https://ror.org/02jkmyk67","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Baimin Yu","raw_affiliation_strings":["Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China","Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100080,China)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China","institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"raw_affiliation_string":"Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100080,China)","institution_ids":["https://openalex.org/I19820366"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5058109866","display_name":"Lean Yu","orcid":"https://orcid.org/0000-0002-8035-4938"},"institutions":[{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210120485","display_name":"Academy of Mathematics and Systems Science","ror":"https://ror.org/02jkmyk67","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Lean Yu","raw_affiliation_strings":["Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China","Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100080,China)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100080, China","institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]},{"raw_affiliation_string":"Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100080,China)","institution_ids":["https://openalex.org/I19820366"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5055304783","display_name":"Frank J. Fabozzi","orcid":"https://orcid.org/0000-0002-2827-1465"},"institutions":[{"id":"https://openalex.org/I32971472","display_name":"Yale University","ror":"https://ror.org/03v76x132","country_code":"US","type":"education","lineage":["https://openalex.org/I32971472"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Frank J. Fabozzi","raw_affiliation_strings":["School of Management, Yale University, New Haven, CT06520, USA","School of Management, Yale University, New Haven CT06520, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Management, Yale University, New Haven, CT06520, USA","institution_ids":["https://openalex.org/I32971472"]},{"raw_affiliation_string":"School of Management, Yale University, New Haven CT06520, USA","institution_ids":["https://openalex.org/I32971472"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5058813836","display_name":"Masao Fukushima","orcid":"https://orcid.org/0000-0002-4372-6376"},"institutions":[{"id":"https://openalex.org/I22299242","display_name":"Kyoto University","ror":"https://ror.org/02kpeqv85","country_code":"JP","type":"education","lineage":["https://openalex.org/I22299242"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masao Fukushima","raw_affiliation_strings":["Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan","Department of Applied Mathematics and Physics, Graduate School of Informatics , Kyoto University , Kyoto, 606-8501, Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan","institution_ids":["https://openalex.org/I22299242"]},{"raw_affiliation_string":"Department of Applied Mathematics and Physics, Graduate School of Informatics , Kyoto University , Kyoto, 606-8501, Japan","institution_ids":["https://openalex.org/I22299242"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":5000,"currency":"EUR","value_usd":5392},"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.0902699,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"937","last_page":"944"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9994000196456909,"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":0.9994000196456909,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9912999868392944,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9835000038146973,"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/value-at-risk","display_name":"Value at risk","score":0.6638085842132568},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6119593381881714},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5610374808311462},{"id":"https://openalex.org/keywords/benchmark","display_name":"Benchmark (surveying)","score":0.5286388993263245},{"id":"https://openalex.org/keywords/currency","display_name":"Currency","score":0.5278130769729614},{"id":"https://openalex.org/keywords/oil-price","display_name":"Oil price","score":0.4968703091144562},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.49377331137657166},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4656572937965393},{"id":"https://openalex.org/keywords/market-risk","display_name":"Market risk","score":0.45550820231437683},{"id":"https://openalex.org/keywords/regression","display_name":"Regression","score":0.4274800419807434},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2921868860721588},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.2634633779525757},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.15922823548316956},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.15000945329666138},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.14444780349731445},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.13101813197135925},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1247902512550354},{"id":"https://openalex.org/keywords/monetary-economics","display_name":"Monetary economics","score":0.12369552254676819}],"concepts":[{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6638085842132568},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6119593381881714},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5610374808311462},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.5286388993263245},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.5278130769729614},{"id":"https://openalex.org/C2984556133","wikidata":"https://www.wikidata.org/wiki/Q297279","display_name":"Oil price","level":2,"score":0.4968703091144562},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.49377331137657166},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4656572937965393},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.45550820231437683},{"id":"https://openalex.org/C83546350","wikidata":"https://www.wikidata.org/wiki/Q1139051","display_name":"Regression","level":2,"score":0.4274800419807434},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2921868860721588},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2634633779525757},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15922823548316956},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.15000945329666138},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.14444780349731445},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.13101813197135925},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1247902512550354},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.12369552254676819},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-540-72588-6_150","is_oa":true,"landing_page_url":"https://doi.org/10.1007/978-3-540-72588-6_150","pdf_url":"https://link.springer.com/content/pdf/10.1007%2F978-3-540-72588-6_150.pdf","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":{"id":"doi:10.1007/978-3-540-72588-6_150","is_oa":true,"landing_page_url":"https://doi.org/10.1007/978-3-540-72588-6_150","pdf_url":"https://link.springer.com/content/pdf/10.1007%2F978-3-540-72588-6_150.pdf","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"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321133","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35"},{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W1602756955.pdf","grobid_xml":"https://content.openalex.org/works/W1602756955.grobid-xml"},"referenced_works_count":10,"referenced_works":["https://openalex.org/W923169617","https://openalex.org/W1513232892","https://openalex.org/W1572130091","https://openalex.org/W1971967963","https://openalex.org/W2003120458","https://openalex.org/W2112858958","https://openalex.org/W2150747312","https://openalex.org/W2161884163","https://openalex.org/W2164316284","https://openalex.org/W3141934167"],"related_works":["https://openalex.org/W2236116287","https://openalex.org/W10697541","https://openalex.org/W2344277020","https://openalex.org/W2012750392","https://openalex.org/W2519776684","https://openalex.org/W3125497576","https://openalex.org/W1942326863","https://openalex.org/W1967146724","https://openalex.org/W1521593927","https://openalex.org/W2579974939"],"abstract_inverted_index":null,"counts_by_year":[{"year":2014,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}