{"id":"https://openalex.org/W2083285201","doi":"https://doi.org/10.1007/s00180-009-0168-6","title":"Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models","display_name":"Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models","publication_year":2009,"publication_date":"2009-08-28","ids":{"openalex":"https://openalex.org/W2083285201","doi":"https://doi.org/10.1007/s00180-009-0168-6","mag":"2083285201"},"language":"en","primary_location":{"id":"doi:10.1007/s00180-009-0168-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00180-009-0168-6","pdf_url":null,"source":{"id":"https://openalex.org/S8500805","display_name":"Computational Statistics","issn_l":"0943-4062","issn":["0943-4062","1613-9658"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Statistics","raw_type":"journal-article"},"type":"article","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/A5050643735","display_name":"Agnieszka Jach","orcid":"https://orcid.org/0000-0001-6806-5685"},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Agnieszka Jach","raw_affiliation_strings":["Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe, Madrid, Spain","Universidad Carlos III de Madrid, Departamento de Estad\u00edstica, 28903, Getafe, Madrid, Spain#TAB#"],"affiliations":[{"raw_affiliation_string":"Departamento de Estad\u00edstica, Universidad Carlos III de Madrid, 28903, Getafe, Madrid, Spain","institution_ids":["https://openalex.org/I50357001"]},{"raw_affiliation_string":"Universidad Carlos III de Madrid, Departamento de Estad\u00edstica, 28903, Getafe, Madrid, Spain#TAB#","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038965808","display_name":"Piotr Kokoszka","orcid":"https://orcid.org/0000-0001-9979-6536"},"institutions":[{"id":"https://openalex.org/I121980950","display_name":"Utah State University","ror":"https://ror.org/00h6set76","country_code":"US","type":"education","lineage":["https://openalex.org/I121980950"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Piotr Kokoszka","raw_affiliation_strings":["Department of Mathematics and Statistics, Utah State University, Logan, UT, 84322, USA","Utah State University, Department of Mathematics and Statistics, 84322, Logan, UT, USA#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Statistics, Utah State University, Logan, UT, 84322, USA","institution_ids":["https://openalex.org/I121980950"]},{"raw_affiliation_string":"Utah State University, Department of Mathematics and Statistics, 84322, Logan, UT, USA#TAB#","institution_ids":["https://openalex.org/I121980950"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5050643735"],"corresponding_institution_ids":["https://openalex.org/I50357001"],"apc_list":{"value":2490,"currency":"EUR","value_usd":3090},"apc_paid":null,"fwci":0.7289,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.79779721,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"25","issue":"1","first_page":"163","last_page":"182"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"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":0.9994999766349792,"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":0.9980999827384949,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9980999827384949,"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/larch","display_name":"Larch","score":0.7638512253761292},{"id":"https://openalex.org/keywords/long-memory","display_name":"Long memory","score":0.7585617899894714},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.661015510559082},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5601255297660828},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5118364691734314},{"id":"https://openalex.org/keywords/wavelet","display_name":"Wavelet","score":0.469521701335907},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.4464711546897888},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.41450071334838867},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.20368418097496033},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19424688816070557},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.15130847692489624},{"id":"https://openalex.org/keywords/quantum-mechanics","display_name":"Quantum mechanics","score":0.07152032852172852},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.06830891966819763}],"concepts":[{"id":"https://openalex.org/C2778551664","wikidata":"https://www.wikidata.org/wiki/Q25618","display_name":"Larch","level":2,"score":0.7638512253761292},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.7585617899894714},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.661015510559082},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5601255297660828},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5118364691734314},{"id":"https://openalex.org/C47432892","wikidata":"https://www.wikidata.org/wiki/Q831390","display_name":"Wavelet","level":2,"score":0.469521701335907},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.4464711546897888},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.41450071334838867},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.20368418097496033},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19424688816070557},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.15130847692489624},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.07152032852172852},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.06830891966819763},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C59822182","wikidata":"https://www.wikidata.org/wiki/Q441","display_name":"Botany","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00180-009-0168-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00180-009-0168-6","pdf_url":null,"source":{"id":"https://openalex.org/S8500805","display_name":"Computational Statistics","issn_l":"0943-4062","issn":["0943-4062","1613-9658"],"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":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Statistics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:compst:v:25:y:2010:i:1:p:163-182","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s00180-009-0168-6","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":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W9033952","https://openalex.org/W44356613","https://openalex.org/W117134504","https://openalex.org/W357154381","https://openalex.org/W367858178","https://openalex.org/W595580781","https://openalex.org/W612781266","https://openalex.org/W640698742","https://openalex.org/W1498464051","https://openalex.org/W1509248257","https://openalex.org/W1515688483","https://openalex.org/W1530230620","https://openalex.org/W1582484699","https://openalex.org/W1594572042","https://openalex.org/W1967500060","https://openalex.org/W1969604147","https://openalex.org/W1969960895","https://openalex.org/W1972784294","https://openalex.org/W1973694910","https://openalex.org/W1981564624","https://openalex.org/W1987439820","https://openalex.org/W2010997253","https://openalex.org/W2022894179","https://openalex.org/W2026971950","https://openalex.org/W2033640179","https://openalex.org/W2035995445","https://openalex.org/W2045351867","https://openalex.org/W2048357953","https://openalex.org/W2059744362","https://openalex.org/W2065541420","https://openalex.org/W2077589171","https://openalex.org/W2077967166","https://openalex.org/W2082115726","https://openalex.org/W2098067027","https://openalex.org/W2122487392","https://openalex.org/W2129889116","https://openalex.org/W2131946120","https://openalex.org/W2151868504","https://openalex.org/W2159738063","https://openalex.org/W2163196507","https://openalex.org/W2163701744","https://openalex.org/W2181640556","https://openalex.org/W2497534953","https://openalex.org/W2502254989","https://openalex.org/W2798056406","https://openalex.org/W2951019790","https://openalex.org/W3100938107","https://openalex.org/W3103912515","https://openalex.org/W3122210341","https://openalex.org/W3140802387","https://openalex.org/W4246756383","https://openalex.org/W4298352105","https://openalex.org/W4300567850"],"related_works":["https://openalex.org/W2091479930","https://openalex.org/W2393783382","https://openalex.org/W186410268","https://openalex.org/W4285408060","https://openalex.org/W2523712895","https://openalex.org/W2309010245","https://openalex.org/W2026517769","https://openalex.org/W2378854023","https://openalex.org/W3109346322","https://openalex.org/W2039981721"],"abstract_inverted_index":null,"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
