{"id":"https://openalex.org/W4289262407","doi":"https://doi.org/10.1007/s00180-022-01266-9","title":"Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models","display_name":"Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models","publication_year":2022,"publication_date":"2022-08-01","ids":{"openalex":"https://openalex.org/W4289262407","doi":"https://doi.org/10.1007/s00180-022-01266-9"},"language":"en","primary_location":{"id":"doi:10.1007/s00180-022-01266-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00180-022-01266-9","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/A5082435861","display_name":"Guanyu Hu","orcid":"https://orcid.org/0000-0003-1410-1665"},"institutions":[{"id":"https://openalex.org/I76835614","display_name":"University of Missouri","ror":"https://ror.org/02ymw8z06","country_code":"US","type":"education","lineage":["https://openalex.org/I76835614"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Guanyu Hu","raw_affiliation_strings":["University of Missouri, Columbia, USA"],"raw_orcid":"https://orcid.org/0000-0003-1410-1665","affiliations":[{"raw_affiliation_string":"University of Missouri, Columbia, USA","institution_ids":["https://openalex.org/I76835614"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100678189","display_name":"Ming\u2010Hui Chen","orcid":"https://orcid.org/0000-0003-1935-2447"},"institutions":[{"id":"https://openalex.org/I140172145","display_name":"University of Connecticut","ror":"https://ror.org/02der9h97","country_code":"US","type":"education","lineage":["https://openalex.org/I140172145"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ming-Hui Chen","raw_affiliation_strings":["University of Connecticut, Storrs, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Connecticut, Storrs, USA","institution_ids":["https://openalex.org/I140172145"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5065854596","display_name":"\u041d\u0430\u043b\u0438\u043d\u0438 \u0420\u0430\u0432\u0438\u0448\u0430\u043d\u043a\u0435\u0440","orcid":"https://orcid.org/0000-0002-2028-4771"},"institutions":[{"id":"https://openalex.org/I140172145","display_name":"University of Connecticut","ror":"https://ror.org/02der9h97","country_code":"US","type":"education","lineage":["https://openalex.org/I140172145"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Nalini Ravishanker","raw_affiliation_strings":["University of Connecticut, Storrs, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Connecticut, Storrs, USA","institution_ids":["https://openalex.org/I140172145"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5082435861"],"corresponding_institution_ids":["https://openalex.org/I76835614"],"apc_list":{"value":2490,"currency":"EUR","value_usd":3090},"apc_paid":null,"fwci":0.8473,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.74599716,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"38","issue":"2","first_page":"845","last_page":"869"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9966999888420105,"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":0.9966999888420105,"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/T10770","display_name":"Soil Geostatistics and Mapping","score":0.9470000267028809,"subfield":{"id":"https://openalex.org/subfields/2305","display_name":"Environmental Engineering"},"field":{"id":"https://openalex.org/fields/23","display_name":"Environmental Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11901","display_name":"Bayesian Methods and Mixture Models","score":0.9352999925613403,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cholesky-decomposition","display_name":"Cholesky decomposition","score":0.9517377614974976},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.7694494128227234},{"id":"https://openalex.org/keywords/parameterized-complexity","display_name":"Parameterized complexity","score":0.7427644729614258},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6289970874786377},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.561424970626831},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5032514929771423},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4719963073730469},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.46087247133255005},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.44233396649360657},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4413948059082031},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.4120647609233856},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.38725483417510986},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.34386223554611206},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3082146644592285},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.20483338832855225},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.177587628364563},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.15728673338890076},{"id":"https://openalex.org/keywords/eigenvalues-and-eigenvectors","display_name":"Eigenvalues and eigenvectors","score":0.14552471041679382}],"concepts":[{"id":"https://openalex.org/C34727166","wikidata":"https://www.wikidata.org/wiki/Q515375","display_name":"Cholesky decomposition","level":3,"score":0.9517377614974976},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.7694494128227234},{"id":"https://openalex.org/C165464430","wikidata":"https://www.wikidata.org/wiki/Q1570441","display_name":"Parameterized complexity","level":2,"score":0.7427644729614258},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6289970874786377},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.561424970626831},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5032514929771423},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4719963073730469},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46087247133255005},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.44233396649360657},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4413948059082031},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.4120647609233856},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38725483417510986},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.34386223554611206},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3082146644592285},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.20483338832855225},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.177587628364563},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.15728673338890076},{"id":"https://openalex.org/C158693339","wikidata":"https://www.wikidata.org/wiki/Q190524","display_name":"Eigenvalues and eigenvectors","level":2,"score":0.14552471041679382},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","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},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00180-022-01266-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00180-022-01266-9","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:38:y:2023:i:2:d:10.1007_s00180-022-01266-9","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00180-022-01266-9","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":[{"score":0.550000011920929,"id":"https://metadata.un.org/sdg/7","display_name":"Affordable and clean energy"}],"awards":[{"id":"https://openalex.org/G5553083886","display_name":null,"funder_award_id":"GM70335","funder_id":"https://openalex.org/F4320332161","funder_display_name":"National Institutes of Health"},{"id":"https://openalex.org/G8651216667","display_name":null,"funder_award_id":"P01CA142538","funder_id":"https://openalex.org/F4320332161","funder_display_name":"National Institutes of Health"}],"funders":[{"id":"https://openalex.org/F4320332161","display_name":"National Institutes of Health","ror":"https://ror.org/01cwqze88"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1812949503","https://openalex.org/W1968353801","https://openalex.org/W1972790352","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2035295288","https://openalex.org/W2043988807","https://openalex.org/W2059381682","https://openalex.org/W2064553712","https://openalex.org/W2079672223","https://openalex.org/W2083157007","https://openalex.org/W2084568079","https://openalex.org/W2098056745","https://openalex.org/W2107335183","https://openalex.org/W2153155589","https://openalex.org/W2155684712","https://openalex.org/W2160306985","https://openalex.org/W2263574617","https://openalex.org/W2273597220","https://openalex.org/W2286696181","https://openalex.org/W2471967545","https://openalex.org/W2489540272","https://openalex.org/W2889010295","https://openalex.org/W2897714701","https://openalex.org/W3098040842","https://openalex.org/W3099609308","https://openalex.org/W3104104764","https://openalex.org/W3122966166"],"related_works":["https://openalex.org/W2039282896","https://openalex.org/W1984480628","https://openalex.org/W3124016299","https://openalex.org/W3125733047","https://openalex.org/W4311043654","https://openalex.org/W1487804950","https://openalex.org/W2476516598","https://openalex.org/W4289262407","https://openalex.org/W4207070341","https://openalex.org/W1967300466"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2022,"cited_by_count":1}],"updated_date":"2026-05-29T09:21:14.243279","created_date":"2025-10-10T00:00:00"}