{"id":"https://openalex.org/W2037730387","doi":"https://doi.org/10.1007/s00500-014-1447-x","title":"Robust Kalman filter based on a fuzzy GARCH model to forecast volatility using particle swarm optimization","display_name":"Robust Kalman filter based on a fuzzy GARCH model to forecast volatility using particle swarm optimization","publication_year":2014,"publication_date":"2014-09-05","ids":{"openalex":"https://openalex.org/W2037730387","doi":"https://doi.org/10.1007/s00500-014-1447-x","mag":"2037730387"},"language":"en","primary_location":{"id":"doi:10.1007/s00500-014-1447-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-014-1447-x","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"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":"Soft Computing","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/A5062827516","display_name":"Jui\u2010Chung Hung","orcid":"https://orcid.org/0000-0001-9311-5007"},"institutions":[{"id":"https://openalex.org/I22442739","display_name":"University of Taipei","ror":"https://ror.org/039e7bg24","country_code":"TW","type":"education","lineage":["https://openalex.org/I22442739"]}],"countries":["TW"],"is_corresponding":true,"raw_author_name":"Jui-Chung Hung","raw_affiliation_strings":["Department of Computer Science, University of Taipei, Taipei, 100, Taiwan","Department of Computer Science, University of Taipei, Taipei, Taiwan 100#TAB#"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Taipei, Taipei, 100, Taiwan","institution_ids":["https://openalex.org/I22442739"]},{"raw_affiliation_string":"Department of Computer Science, University of Taipei, Taipei, Taiwan 100#TAB#","institution_ids":["https://openalex.org/I22442739"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5062827516"],"corresponding_institution_ids":["https://openalex.org/I22442739"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":6.8114,"has_fulltext":false,"cited_by_count":13,"citation_normalized_percentile":{"value":0.96516687,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"19","issue":"10","first_page":"2861","last_page":"2869"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.998199999332428,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.998199999332428,"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":0.9975000023841858,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9916999936103821,"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/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.7659419775009155},{"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":0.7203340530395508},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6041051745414734},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.5632038712501526},{"id":"https://openalex.org/keywords/stock-market-index","display_name":"Stock market index","score":0.5553452968597412},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5531847476959229},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"Volatility clustering","score":0.5127161741256714},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.4968624413013458},{"id":"https://openalex.org/keywords/particle-swarm-optimization","display_name":"Particle swarm optimization","score":0.4895528256893158},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.4380970001220703},{"id":"https://openalex.org/keywords/state-space-representation","display_name":"State-space representation","score":0.42975515127182007},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41347622871398926},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.33174020051956177},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.3275721073150635},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.2926914691925049},{"id":"https://openalex.org/keywords/forward-volatility","display_name":"Forward volatility","score":0.2069527506828308},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.13451632857322693},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.12719672918319702},{"id":"https://openalex.org/keywords/geography","display_name":"Geography","score":0.07400211691856384}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.7659419775009155},{"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":0.7203340530395508},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6041051745414734},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.5632038712501526},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.5553452968597412},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5531847476959229},{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.5127161741256714},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.4968624413013458},{"id":"https://openalex.org/C85617194","wikidata":"https://www.wikidata.org/wiki/Q2072794","display_name":"Particle swarm optimization","level":2,"score":0.4895528256893158},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.4380970001220703},{"id":"https://openalex.org/C52918065","wikidata":"https://www.wikidata.org/wiki/Q230945","display_name":"State-space representation","level":2,"score":0.42975515127182007},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41347622871398926},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.33174020051956177},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.3275721073150635},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.2926914691925049},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.2069527506828308},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.13451632857322693},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.12719672918319702},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.07400211691856384},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00500-014-1447-x","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-014-1447-x","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"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":"Soft Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W322952782","https://openalex.org/W1978775764","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2003701397","https://openalex.org/W2003815806","https://openalex.org/W2008743043","https://openalex.org/W2010681209","https://openalex.org/W2013109882","https://openalex.org/W2014341469","https://openalex.org/W2017715655","https://openalex.org/W2021347076","https://openalex.org/W2030528076","https://openalex.org/W2042506099","https://openalex.org/W2049995592","https://openalex.org/W2052345845","https://openalex.org/W2057367767","https://openalex.org/W2061160212","https://openalex.org/W2062355752","https://openalex.org/W2063784014","https://openalex.org/W2088866250","https://openalex.org/W2097333415","https://openalex.org/W2107843077","https://openalex.org/W2111393363","https://openalex.org/W2126800696","https://openalex.org/W2134752891","https://openalex.org/W2152195021","https://openalex.org/W2161108110","https://openalex.org/W2162635690","https://openalex.org/W3121451334","https://openalex.org/W4211007335","https://openalex.org/W4254482628","https://openalex.org/W4300336601"],"related_works":["https://openalex.org/W1503451224","https://openalex.org/W1485524183","https://openalex.org/W981471095","https://openalex.org/W2244904256","https://openalex.org/W1773928257","https://openalex.org/W3151400401","https://openalex.org/W2051679974","https://openalex.org/W2184182475","https://openalex.org/W1894632198","https://openalex.org/W2535500848"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":4},{"year":2014,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
