{"id":"https://openalex.org/W4383224798","doi":"https://doi.org/10.1007/s10479-023-05484-2","title":"Robustness and spurious long memory: evidence from the generalized autoregressive score models","display_name":"Robustness and spurious long memory: evidence from the generalized autoregressive score models","publication_year":2023,"publication_date":"2023-07-05","ids":{"openalex":"https://openalex.org/W4383224798","doi":"https://doi.org/10.1007/s10479-023-05484-2"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-023-05484-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05484-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","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/A5086168764","display_name":"Guangyuan Gao","orcid":"https://orcid.org/0000-0002-3287-375X"},"institutions":[{"id":"https://openalex.org/I78988378","display_name":"Renmin University of China","ror":"https://ror.org/041pakw92","country_code":"CN","type":"education","lineage":["https://openalex.org/I78988378"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Guangyuan Gao","raw_affiliation_strings":["Center for Applied Statistics and School of Statistics, Renmin University of China, Beijing, People\u2019s Republic of China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Applied Statistics and School of Statistics, Renmin University of China, Beijing, People\u2019s Republic of China","institution_ids":["https://openalex.org/I78988378"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026392511","display_name":"Yanlin Shi","orcid":"https://orcid.org/0000-0001-8049-5290"},"institutions":[{"id":"https://openalex.org/I99043593","display_name":"Macquarie University","ror":"https://ror.org/01sf06y89","country_code":"AU","type":"education","lineage":["https://openalex.org/I99043593"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Yanlin Shi","raw_affiliation_strings":["Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, NSW, 2109, Australia","Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia"],"raw_orcid":"https://orcid.org/0000-0001-8049-5290","affiliations":[{"raw_affiliation_string":"Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, NSW, 2109, Australia","institution_ids":["https://openalex.org/I99043593"]},{"raw_affiliation_string":"Department of Actuarial Studies and Business Analytics, Macquarie University, Sydney, Australia","institution_ids":["https://openalex.org/I99043593"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5026392511"],"corresponding_institution_ids":["https://openalex.org/I99043593"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":1.0853,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.87965325,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":95},"biblio":{"volume":"352","issue":"3","first_page":"653","last_page":"685"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9998999834060669,"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":0.9986000061035156,"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/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9955000281333923,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and 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/spurious-relationship","display_name":"Spurious relationship","score":0.8798786401748657},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.7403445243835449},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.6987676620483398},{"id":"https://openalex.org/keywords/long-memory","display_name":"Long memory","score":0.6567683219909668},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6508219242095947},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6465587019920349},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.6071450710296631},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5311284065246582},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.50901198387146},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5022294521331787},{"id":"https://openalex.org/keywords/structural-break","display_name":"Structural break","score":0.47950464487075806},{"id":"https://openalex.org/keywords/realized-variance","display_name":"Realized variance","score":0.44041404128074646},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.4358797073364258},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.27176401019096375},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.20570772886276245},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.20091038942337036},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.20030826330184937}],"concepts":[{"id":"https://openalex.org/C97256817","wikidata":"https://www.wikidata.org/wiki/Q1462316","display_name":"Spurious relationship","level":2,"score":0.8798786401748657},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.7403445243835449},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.6987676620483398},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.6567683219909668},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6508219242095947},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6465587019920349},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6071450710296631},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5311284065246582},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.50901198387146},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5022294521331787},{"id":"https://openalex.org/C186008389","wikidata":"https://www.wikidata.org/wiki/Q7625010","display_name":"Structural break","level":2,"score":0.47950464487075806},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.44041404128074646},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.4358797073364258},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.27176401019096375},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.20570772886276245},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.20091038942337036},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.20030826330184937},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10479-023-05484-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-023-05484-2","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"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":"Annals of Operations Research","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/4","display_name":"Quality Education","score":0.6899999976158142}],"awards":[{"id":"https://openalex.org/G7586795254","display_name":null,"funder_award_id":"71901207","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":51,"referenced_works":["https://openalex.org/W1561070090","https://openalex.org/W1705127892","https://openalex.org/W1723168584","https://openalex.org/W1963607300","https://openalex.org/W1969960895","https://openalex.org/W1999029409","https://openalex.org/W1999996900","https://openalex.org/W2001806364","https://openalex.org/W2003201741","https://openalex.org/W2007399864","https://openalex.org/W2011586511","https://openalex.org/W2012242451","https://openalex.org/W2024300228","https://openalex.org/W2054484691","https://openalex.org/W2055781590","https://openalex.org/W2057884190","https://openalex.org/W2067861904","https://openalex.org/W2068413413","https://openalex.org/W2074812030","https://openalex.org/W2101278979","https://openalex.org/W2112339981","https://openalex.org/W2126800696","https://openalex.org/W2133728064","https://openalex.org/W2139395482","https://openalex.org/W2145772020","https://openalex.org/W2154780983","https://openalex.org/W2164969987","https://openalex.org/W2165845795","https://openalex.org/W2169031796","https://openalex.org/W2272135037","https://openalex.org/W2474424159","https://openalex.org/W2497534953","https://openalex.org/W2576301137","https://openalex.org/W2791831159","https://openalex.org/W2800188947","https://openalex.org/W2915780587","https://openalex.org/W2964657723","https://openalex.org/W2986953012","https://openalex.org/W3003778769","https://openalex.org/W3095678762","https://openalex.org/W3121350611","https://openalex.org/W3122077449","https://openalex.org/W3124738382","https://openalex.org/W3124750543","https://openalex.org/W3124843425","https://openalex.org/W3124955081","https://openalex.org/W3150031378","https://openalex.org/W3163363740","https://openalex.org/W3187307018","https://openalex.org/W4242671632","https://openalex.org/W4292671038"],"related_works":["https://openalex.org/W3100662055","https://openalex.org/W3122593986","https://openalex.org/W3121778798","https://openalex.org/W3024006442","https://openalex.org/W2044558159","https://openalex.org/W2151526656","https://openalex.org/W2098391554","https://openalex.org/W3123442552","https://openalex.org/W1592963921","https://openalex.org/W2101606484"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1}],"updated_date":"2026-06-13T06:13:01.061226","created_date":"2025-10-10T00:00:00"}