{"id":"https://openalex.org/W4392465045","doi":"https://doi.org/10.1007/s00521-024-09574-5","title":"On the empirical performance of different covariance-matrix forecasting methods","display_name":"On the empirical performance of different covariance-matrix forecasting methods","publication_year":2024,"publication_date":"2024-03-05","ids":{"openalex":"https://openalex.org/W4392465045","doi":"https://doi.org/10.1007/s00521-024-09574-5"},"language":"en","primary_location":{"id":"doi:10.1007/s00521-024-09574-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-024-09574-5","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"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":"Neural Computing and Applications","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/A5101513580","display_name":"Rafael Torres","orcid":"https://orcid.org/0009-0008-4141-4783"},"institutions":[{"id":"https://openalex.org/I21067949","display_name":"Adolfo Ib\u00e1\u00f1ez University","ror":"https://ror.org/0326knt82","country_code":"CL","type":"education","lineage":["https://openalex.org/I21067949"]}],"countries":["CL"],"is_corresponding":false,"raw_author_name":"Rafael Torres","raw_affiliation_strings":["Universidad Adolfo Iba\u00f1ez, Santiago, Chile"],"raw_orcid":"https://orcid.org/0009-0008-4141-4783","affiliations":[{"raw_affiliation_string":"Universidad Adolfo Iba\u00f1ez, Santiago, Chile","institution_ids":["https://openalex.org/I21067949"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5064965943","display_name":"Marcelo Villena","orcid":"https://orcid.org/0000-0002-4654-0315"},"institutions":[{"id":"https://openalex.org/I75778554","display_name":"Federico Santa Mar\u00eda Technical University","ror":"https://ror.org/05510vn56","country_code":"CL","type":"education","lineage":["https://openalex.org/I75778554"]}],"countries":["CL"],"is_corresponding":true,"raw_author_name":"Marcelo Villena","raw_affiliation_strings":["Universidad T\u00e9cnica Federico Santa Mar\u00eda, Santiago, Chile"],"raw_orcid":"https://orcid.org/0000-0002-4654-0315","affiliations":[{"raw_affiliation_string":"Universidad T\u00e9cnica Federico Santa Mar\u00eda, Santiago, Chile","institution_ids":["https://openalex.org/I75778554"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5064965943"],"corresponding_institution_ids":["https://openalex.org/I75778554"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":3.2452,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.92921404,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":99},"biblio":{"volume":"36","issue":"16","first_page":"9503","last_page":"9524"},"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":0.9988999962806702,"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":0.9988999962806702,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9927999973297119,"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/T11918","display_name":"Forecasting Techniques and Applications","score":0.9760000109672546,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/computational-science-and-engineering","display_name":"Computational Science and Engineering","score":0.8071717619895935},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.6603032946586609},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5901343822479248},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.5120652318000793},{"id":"https://openalex.org/keywords/empirical-research","display_name":"Empirical research","score":0.4959884583950043},{"id":"https://openalex.org/keywords/cma-es","display_name":"CMA-ES","score":0.4378455877304077},{"id":"https://openalex.org/keywords/matrix","display_name":"Matrix (chemical analysis)","score":0.42889949679374695},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.40904027223587036},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3910348117351532},{"id":"https://openalex.org/keywords/covariance-function","display_name":"Covariance function","score":0.34395676851272583},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.317862868309021},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.2815456688404083},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.24634987115859985},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.16638657450675964}],"concepts":[{"id":"https://openalex.org/C68597687","wikidata":"https://www.wikidata.org/wiki/Q362601","display_name":"Computational Science and Engineering","level":2,"score":0.8071717619895935},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.6603032946586609},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5901343822479248},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.5120652318000793},{"id":"https://openalex.org/C120936955","wikidata":"https://www.wikidata.org/wiki/Q2155640","display_name":"Empirical research","level":2,"score":0.4959884583950043},{"id":"https://openalex.org/C205555498","wikidata":"https://www.wikidata.org/wiki/Q505588","display_name":"CMA-ES","level":4,"score":0.4378455877304077},{"id":"https://openalex.org/C106487976","wikidata":"https://www.wikidata.org/wiki/Q685816","display_name":"Matrix (chemical analysis)","level":2,"score":0.42889949679374695},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40904027223587036},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3910348117351532},{"id":"https://openalex.org/C137250428","wikidata":"https://www.wikidata.org/wiki/Q5178897","display_name":"Covariance function","level":3,"score":0.34395676851272583},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.317862868309021},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.2815456688404083},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.24634987115859985},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.16638657450675964},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s00521-024-09574-5","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00521-024-09574-5","pdf_url":null,"source":{"id":"https://openalex.org/S147897268","display_name":"Neural Computing and Applications","issn_l":"0941-0643","issn":["0941-0643","1433-3058"],"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":"Neural Computing and Applications","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":47,"referenced_works":["https://openalex.org/W1586537758","https://openalex.org/W1588598992","https://openalex.org/W1727659491","https://openalex.org/W1782363935","https://openalex.org/W1967734602","https://openalex.org/W1979575715","https://openalex.org/W1987236645","https://openalex.org/W1989519449","https://openalex.org/W1989576509","https://openalex.org/W1996084872","https://openalex.org/W1999996900","https://openalex.org/W2004596285","https://openalex.org/W2024503854","https://openalex.org/W2027374262","https://openalex.org/W2067361139","https://openalex.org/W2071989361","https://openalex.org/W2078985570","https://openalex.org/W2081082758","https://openalex.org/W2092205176","https://openalex.org/W2093432936","https://openalex.org/W2100011707","https://openalex.org/W2115380581","https://openalex.org/W2135282243","https://openalex.org/W2138144286","https://openalex.org/W2145344497","https://openalex.org/W2147675445","https://openalex.org/W2162397513","https://openalex.org/W2337816287","https://openalex.org/W2537156869","https://openalex.org/W2611011638","https://openalex.org/W2612301578","https://openalex.org/W2639241327","https://openalex.org/W2726794702","https://openalex.org/W2833425706","https://openalex.org/W2911964244","https://openalex.org/W3003465369","https://openalex.org/W3102375613","https://openalex.org/W3124158341","https://openalex.org/W3124627269","https://openalex.org/W3132304208","https://openalex.org/W4205505376","https://openalex.org/W4212791338","https://openalex.org/W4212932565","https://openalex.org/W4230674625","https://openalex.org/W4231147531","https://openalex.org/W4290038691","https://openalex.org/W4292483811"],"related_works":["https://openalex.org/W2386803684","https://openalex.org/W1971337326","https://openalex.org/W3178402891","https://openalex.org/W651058035","https://openalex.org/W143964308","https://openalex.org/W2051502961","https://openalex.org/W4309794518","https://openalex.org/W4311761947","https://openalex.org/W1626396758","https://openalex.org/W2554071524"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1}],"updated_date":"2026-01-20T23:28:44.954186","created_date":"2025-10-10T00:00:00"}