{"id":"https://openalex.org/W4403129791","doi":"https://doi.org/10.1007/s10479-024-06205-z","title":"An intraday GARCH model for discrete price changes and irregularly spaced observations","display_name":"An intraday GARCH model for discrete price changes and irregularly spaced observations","publication_year":2024,"publication_date":"2024-10-04","ids":{"openalex":"https://openalex.org/W4403129791","doi":"https://doi.org/10.1007/s10479-024-06205-z"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-024-06205-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-024-06205-z","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/A5083355816","display_name":"Vladim\u00edr Hol\u00fd","orcid":"https://orcid.org/0000-0003-0416-0434"},"institutions":[{"id":"https://openalex.org/I35913352","display_name":"Prague University of Economics and Business","ror":"https://ror.org/029ecwj92","country_code":"CZ","type":"education","lineage":["https://openalex.org/I35913352"]}],"countries":["CZ"],"is_corresponding":true,"raw_author_name":"Vladim\u00edr Hol\u00fd","raw_affiliation_strings":["Department of Econometrics, Prague University of Economics and Business, Winston Churchill Square 4, Prague, 130 67, Czechia"],"raw_orcid":"https://orcid.org/0000-0003-0416-0434","affiliations":[{"raw_affiliation_string":"Department of Econometrics, Prague University of Economics and Business, Winston Churchill Square 4, Prague, 130 67, Czechia","institution_ids":["https://openalex.org/I35913352"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5083355816"],"corresponding_institution_ids":["https://openalex.org/I35913352"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":1.0381,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.78966884,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"357","issue":"1","first_page":"301","last_page":"345"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9973999857902527,"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":0.9973999857902527,"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":0.9965999722480774,"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"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9955000281333923,"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/theory-of-computation","display_name":"Theory of computation","score":0.6707955002784729},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.5742805004119873},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4865955114364624},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.39458775520324707},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3792504072189331},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.217350035905838},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.17447826266288757}],"concepts":[{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.6707955002784729},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5742805004119873},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4865955114364624},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.39458775520324707},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3792504072189331},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.217350035905838},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.17447826266288757}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s10479-024-06205-z","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-024-06205-z","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":[{"score":0.4699999988079071,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[{"id":"https://openalex.org/G5114023714","display_name":null,"funder_award_id":"23-06139\u00a0S","funder_id":"https://openalex.org/F4320321006","funder_display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky"}],"funders":[{"id":"https://openalex.org/F4320321006","display_name":"Grantov\u00e1 Agentura \u010cesk\u00e9 Republiky","ror":"https://ror.org/01pv73b02"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W1530498043","https://openalex.org/W1979575715","https://openalex.org/W1982671539","https://openalex.org/W1996240780","https://openalex.org/W1997260999","https://openalex.org/W1997833100","https://openalex.org/W1999029409","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2033096392","https://openalex.org/W2050238052","https://openalex.org/W2069720271","https://openalex.org/W2094006360","https://openalex.org/W2097454723","https://openalex.org/W2106261752","https://openalex.org/W2112339981","https://openalex.org/W2113883339","https://openalex.org/W2119634512","https://openalex.org/W2128569377","https://openalex.org/W2129325364","https://openalex.org/W2181860112","https://openalex.org/W2206149923","https://openalex.org/W2263719050","https://openalex.org/W2272135037","https://openalex.org/W2398810887","https://openalex.org/W2529383781","https://openalex.org/W2754826543","https://openalex.org/W2787894218","https://openalex.org/W2791730852","https://openalex.org/W2885718213","https://openalex.org/W2946936832","https://openalex.org/W2949392193","https://openalex.org/W3009944960","https://openalex.org/W3121218068","https://openalex.org/W3121532596","https://openalex.org/W3121960989","https://openalex.org/W3122281927","https://openalex.org/W3123224097","https://openalex.org/W3123351111","https://openalex.org/W3124049959","https://openalex.org/W3124506232","https://openalex.org/W3125722587","https://openalex.org/W3132099852","https://openalex.org/W3132635290","https://openalex.org/W3156786306","https://openalex.org/W3185976637","https://openalex.org/W3206300520","https://openalex.org/W6945164306"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2209232670","https://openalex.org/W1594573861","https://openalex.org/W2820935738","https://openalex.org/W3140312610","https://openalex.org/W3189124972","https://openalex.org/W1510270556","https://openalex.org/W2580771375","https://openalex.org/W2126434678","https://openalex.org/W2084097819"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1}],"updated_date":"2026-02-01T03:34:12.195049","created_date":"2025-10-10T00:00:00"}
