{"id":"https://openalex.org/W4400226678","doi":"https://doi.org/10.1007/s00291-024-00771-1","title":"Recurrent double-conditional factor model","display_name":"Recurrent double-conditional factor model","publication_year":2024,"publication_date":"2024-07-02","ids":{"openalex":"https://openalex.org/W4400226678","doi":"https://doi.org/10.1007/s00291-024-00771-1"},"language":"en","primary_location":{"id":"doi:10.1007/s00291-024-00771-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-024-00771-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-024-00771-1.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00291-024-00771-1.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5044108899","display_name":"Christian Fieberg","orcid":"https://orcid.org/0000-0001-7148-2092"},"institutions":[{"id":"https://openalex.org/I166433441","display_name":"Hochschule Bremen","ror":"https://ror.org/04f7jc139","country_code":"DE","type":"education","lineage":["https://openalex.org/I166433441"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Christian Fieberg","raw_affiliation_strings":["HSB Hochschule Bremen - City University of Applied Sciences, Bremen, Germany"],"affiliations":[{"raw_affiliation_string":"HSB Hochschule Bremen - City University of Applied Sciences, Bremen, Germany","institution_ids":["https://openalex.org/I166433441"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5093214918","display_name":"Gerrit Liedtke","orcid":"https://orcid.org/0009-0008-5385-8963"},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Gerrit Liedtke","raw_affiliation_strings":["University of Bremen, Bremen, Germany"],"affiliations":[{"raw_affiliation_string":"University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5113706975","display_name":"Thorsten Poddig","orcid":null},"institutions":[{"id":"https://openalex.org/I180437899","display_name":"University of Bremen","ror":"https://ror.org/04ers2y35","country_code":"DE","type":"education","lineage":["https://openalex.org/I180437899"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Thorsten Poddig","raw_affiliation_strings":["University of Bremen, Bremen, Germany"],"affiliations":[{"raw_affiliation_string":"University of Bremen, Bremen, Germany","institution_ids":["https://openalex.org/I180437899"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5044108899"],"corresponding_institution_ids":["https://openalex.org/I166433441"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":{"value":2390,"currency":"EUR","value_usd":2990},"fwci":0.5005,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.66773668,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":95},"biblio":{"volume":"47","issue":"1","first_page":"205","last_page":"254"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9991999864578247,"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"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9991999864578247,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9987000226974487,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9975000023841858,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/parameterized-complexity","display_name":"Parameterized complexity","score":0.7539867162704468},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6151092648506165},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6146399974822998},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.546654462814331},{"id":"https://openalex.org/keywords/object","display_name":"Object (grammar)","score":0.5314791202545166},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.49752548336982727},{"id":"https://openalex.org/keywords/conditional-expectation","display_name":"Conditional expectation","score":0.4732961058616638},{"id":"https://openalex.org/keywords/factor-analysis","display_name":"Factor analysis","score":0.46773678064346313},{"id":"https://openalex.org/keywords/macroeconomic-model","display_name":"Macroeconomic model","score":0.4471186697483063},{"id":"https://openalex.org/keywords/economic-model","display_name":"Economic model","score":0.44541409611701965},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3296966552734375},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.24957531690597534},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.22596541047096252},{"id":"https://openalex.org/keywords/macroeconomics","display_name":"Macroeconomics","score":0.1938610076904297}],"concepts":[{"id":"https://openalex.org/C165464430","wikidata":"https://www.wikidata.org/wiki/Q1570441","display_name":"Parameterized complexity","level":2,"score":0.7539867162704468},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6151092648506165},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6146399974822998},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.546654462814331},{"id":"https://openalex.org/C2781238097","wikidata":"https://www.wikidata.org/wiki/Q175026","display_name":"Object (grammar)","level":2,"score":0.5314791202545166},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.49752548336982727},{"id":"https://openalex.org/C186215838","wikidata":"https://www.wikidata.org/wiki/Q772232","display_name":"Conditional expectation","level":2,"score":0.4732961058616638},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.46773678064346313},{"id":"https://openalex.org/C55986821","wikidata":"https://www.wikidata.org/wiki/Q1188791","display_name":"Macroeconomic model","level":2,"score":0.4471186697483063},{"id":"https://openalex.org/C119693030","wikidata":"https://www.wikidata.org/wiki/Q2180497","display_name":"Economic model","level":2,"score":0.44541409611701965},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3296966552734375},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.24957531690597534},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.22596541047096252},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.1938610076904297},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","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":3,"locations":[{"id":"doi:10.1007/s00291-024-00771-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-024-00771-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-024-00771-1.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},{"id":"pmh:oai:econstor.eu:10419/323263","is_oa":true,"landing_page_url":"https://hdl.handle.net/10419/323263","pdf_url":"https://www.econstor.eu/bitstream/10419/323263/1/00291_2024_Article_771.pdf","source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"doc-type:article"},{"id":"pmh:oai:RePEc:spr:orspec:v:47:y:2025:i:1:d:10.1007_s00291-024-00771-1","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00291-024-00771-1","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":{"id":"doi:10.1007/s00291-024-00771-1","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00291-024-00771-1","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00291-024-00771-1.pdf","source":{"id":"https://openalex.org/S2502551423","display_name":"OR Spectrum","issn_l":"0171-6468","issn":["0171-6468","1436-6304"],"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":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"OR Spectrum","raw_type":"journal-article"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","score":0.47999998927116394,"display_name":"Decent work and economic growth"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320324729","display_name":"Universit\u00e4t Bremen","ror":"https://ror.org/04ers2y35"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4400226678.pdf"},"referenced_works_count":92,"referenced_works":["https://openalex.org/W789466271","https://openalex.org/W1498436455","https://openalex.org/W1593306094","https://openalex.org/W1607114662","https://openalex.org/W1969610664","https://openalex.org/W1971129545","https://openalex.org/W1975734870","https://openalex.org/W1980989683","https://openalex.org/W1985201787","https://openalex.org/W1985336195","https://openalex.org/W1985719308","https://openalex.org/W1989317706","https://openalex.org/W1995834279","https://openalex.org/W2005136695","https://openalex.org/W2006808353","https://openalex.org/W2010681793","https://openalex.org/W2018048851","https://openalex.org/W2019459021","https://openalex.org/W2038210983","https://openalex.org/W2047485150","https://openalex.org/W2058791552","https://openalex.org/W2078409719","https://openalex.org/W2093281401","https://openalex.org/W2097343436","https://openalex.org/W2099686863","https://openalex.org/W2101755808","https://openalex.org/W2103111465","https://openalex.org/W2110485445","https://openalex.org/W2116347131","https://openalex.org/W2117178635","https://openalex.org/W2122298188","https://openalex.org/W2122825543","https://openalex.org/W2125482524","https://openalex.org/W2125520394","https://openalex.org/W2126156767","https://openalex.org/W2132411542","https://openalex.org/W2135046866","https://openalex.org/W2135727590","https://openalex.org/W2136120210","https://openalex.org/W2143945764","https://openalex.org/W2150355110","https://openalex.org/W2161625377","https://openalex.org/W2167332641","https://openalex.org/W2173913116","https://openalex.org/W2178225550","https://openalex.org/W2235716330","https://openalex.org/W2320868325","https://openalex.org/W2776611433","https://openalex.org/W2777434904","https://openalex.org/W2795848635","https://openalex.org/W2799643291","https://openalex.org/W2911964244","https://openalex.org/W2914475829","https://openalex.org/W2967097864","https://openalex.org/W2981836045","https://openalex.org/W3121263884","https://openalex.org/W3122227240","https://openalex.org/W3122467370","https://openalex.org/W3122785968","https://openalex.org/W3123066889","https://openalex.org/W3123291496","https://openalex.org/W3123639445","https://openalex.org/W3124690764","https://openalex.org/W3125017017","https://openalex.org/W3125206904","https://openalex.org/W3125209152","https://openalex.org/W3125452688","https://openalex.org/W3125740459","https://openalex.org/W3125741498","https://openalex.org/W3125756421","https://openalex.org/W3136123179","https://openalex.org/W3154914545","https://openalex.org/W3183082635","https://openalex.org/W3183168748","https://openalex.org/W3201640276","https://openalex.org/W4205539948","https://openalex.org/W4210520168","https://openalex.org/W4211134865","https://openalex.org/W4230576380","https://openalex.org/W4232765873","https://openalex.org/W4237239309","https://openalex.org/W4239488419","https://openalex.org/W4251813311","https://openalex.org/W4284887612","https://openalex.org/W4285466868","https://openalex.org/W4291327732","https://openalex.org/W4296087141","https://openalex.org/W4297492116","https://openalex.org/W4300402905","https://openalex.org/W4308471586","https://openalex.org/W4385795614","https://openalex.org/W4387133651"],"related_works":["https://openalex.org/W3197360317","https://openalex.org/W1971216452","https://openalex.org/W2377629424","https://openalex.org/W627334494","https://openalex.org/W167265545","https://openalex.org/W2116718908","https://openalex.org/W2060040436","https://openalex.org/W3119328951","https://openalex.org/W104587993","https://openalex.org/W1557347920"],"abstract_inverted_index":{"Abstract":[0],"In":[1],"economic":[2],"applications,":[3],"the":[4,69,76,100,109,112,128,133,143,146,152,161],"behavior":[5],"of":[6,19,53,71,79,111,117,131,154],"objects":[7,31,46],"(e.g.,":[8],"individuals,":[9],"firms,":[10],"or":[11],"households)":[12],"is":[13],"often":[14],"modeled":[15],"as":[16],"a":[17,94],"function":[18],"microeconomic":[20,37,54],"and/or":[21],"macroeconomic":[22,25,56,120],"conditions.":[23],"While":[24],"conditions":[26,38,57,121],"are":[27,39,148],"common":[28],"to":[29,60,68,81,127],"all":[30],"and":[32,41,47,55,75,114,119,137,145],"change":[33],"only":[34],"over":[35],"time,":[36],"object-specific":[40],"thus":[42],"vary":[43],"both":[44],"among":[45],"through":[48],"time.":[49],"The":[50],"simultaneous":[51,113],"modeling":[52,110],"has":[58],"proven":[59],"be":[61],"extremely":[62],"difficult":[63],"for":[64,108],"these":[65],"applications":[66],"due":[67],"mismatch":[70],"dimensions,":[72],"potential":[73],"interactions,":[74],"high":[77],"number":[78],"parameters":[80],"estimate.":[82],"By":[83],"marrying":[84],"recurrent":[85,101],"neural":[86],"networks":[87],"with":[88],"conditional":[89],"factor":[90,103],"models,":[91],"we":[92],"propose":[93],"new":[95],"white-box":[96],"machine":[97],"learning":[98],"method,":[99],"double-conditional":[102],"model":[104],"(RDCFM),":[105],"which":[106],"allows":[107],"combined":[115],"influence":[116],"micro-":[118],"while":[122],"being":[123],"parsimoniously":[124],"parameterized.":[125],"Due":[126],"low":[129],"degree":[130],"parameterization,":[132],"RDCFM":[134],"generalizes":[135],"well":[136],"estimation":[138],"remains":[139],"feasible":[140],"even":[141],"if":[142],"time-series":[144],"cross-section":[147],"large.":[149],"We":[150],"demonstrate":[151],"suitability":[153],"our":[155],"method":[156],"using":[157],"an":[158],"application":[159],"from":[160],"financial":[162],"economics":[163],"literature.":[164]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
