{"id":"https://openalex.org/W2912204687","doi":"https://doi.org/10.1007/s11122-005-0026-2","title":"Tracking Volatility","display_name":"Tracking Volatility","publication_year":2005,"publication_date":"2005-07-01","ids":{"openalex":"https://openalex.org/W2912204687","doi":"https://doi.org/10.1007/s11122-005-0026-2","mag":"2912204687"},"language":"en","primary_location":{"id":"doi:10.1007/s11122-005-0026-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11122-005-0026-2","pdf_url":null,"source":{"id":"https://openalex.org/S172430362","display_name":"Problems of Information Transmission","issn_l":"0032-9460","issn":["0032-9460","1608-3253"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320267","host_organization_name":"Pleiades Publishing","host_organization_lineage":["https://openalex.org/P4310320267","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Pleiades Publishing","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Problems of Information Transmission","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/A5045644670","display_name":"L. Goldentayer","orcid":null},"institutions":[{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]}],"countries":["IL"],"is_corresponding":false,"raw_author_name":"L. Goldentayer","raw_affiliation_strings":["Electrical Engineering Systems, Tel Aviv University, Israel"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical Engineering Systems, Tel Aviv University, Israel","institution_ids":["https://openalex.org/I16391192"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024274776","display_name":"Fima C. Klebaner","orcid":"https://orcid.org/0000-0001-8044-9761"},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"F. Klebaner","raw_affiliation_strings":["School of Mathematical Sciences, Monash University, Clayton, Melbourne, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences, Monash University, Clayton, Melbourne, Australia","institution_ids":["https://openalex.org/I56590836"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052543866","display_name":"R. Liptser","orcid":null},"institutions":[{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]},{"id":"https://openalex.org/I4210107660","display_name":"Institute for Information Transmission Problems","ror":"https://ror.org/013w2d378","country_code":"RU","type":"facility","lineage":["https://openalex.org/I4210107660"]}],"countries":["IL","RU"],"is_corresponding":false,"raw_author_name":"R. Sh. Liptser","raw_affiliation_strings":["Electrical Engineering Systems, Tel Aviv University, Israel","Institute for Information Transmission Problems, RAS, Moscow, Russia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Electrical Engineering Systems, Tel Aviv University, Israel","institution_ids":["https://openalex.org/I16391192"]},{"raw_affiliation_string":"Institute for Information Transmission Problems, RAS, Moscow, Russia","institution_ids":["https://openalex.org/I4210107660"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.7032,"has_fulltext":false,"cited_by_count":19,"citation_normalized_percentile":{"value":0.9503233,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":96},"biblio":{"volume":"41","issue":"3","first_page":"212","last_page":"229"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9980000257492065,"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":0.9980000257492065,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9965000152587891,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9957000017166138,"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/mathematics","display_name":"Mathematics","score":0.7508825659751892},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.7029057741165161},{"id":"https://openalex.org/keywords/nonparametric-statistics","display_name":"Nonparametric statistics","score":0.6095086932182312},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.5718048810958862},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.5691890716552734},{"id":"https://openalex.org/keywords/differentiable-function","display_name":"Differentiable function","score":0.5422995090484619},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.4557967782020569},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4199197292327881},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3893877863883972},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.37726080417633057},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.37677448987960815},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.28288617730140686},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.09346169233322144},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.07993793487548828}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7508825659751892},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7029057741165161},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.6095086932182312},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.5718048810958862},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5691890716552734},{"id":"https://openalex.org/C202615002","wikidata":"https://www.wikidata.org/wiki/Q783507","display_name":"Differentiable function","level":2,"score":0.5422995090484619},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.4557967782020569},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4199197292327881},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3893877863883972},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.37726080417633057},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.37677448987960815},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.28288617730140686},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.09346169233322144},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.07993793487548828}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s11122-005-0026-2","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s11122-005-0026-2","pdf_url":null,"source":{"id":"https://openalex.org/S172430362","display_name":"Problems of Information Transmission","issn_l":"0032-9460","issn":["0032-9460","1608-3253"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320267","host_organization_name":"Pleiades Publishing","host_organization_lineage":["https://openalex.org/P4310320267","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Pleiades Publishing","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Problems of Information Transmission","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5099999904632568,"display_name":"Climate action","id":"https://metadata.un.org/sdg/13"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":16,"referenced_works":["https://openalex.org/W1576326745","https://openalex.org/W1966342924","https://openalex.org/W1972960493","https://openalex.org/W1979575715","https://openalex.org/W1999996900","https://openalex.org/W2025006397","https://openalex.org/W2038845890","https://openalex.org/W2050067494","https://openalex.org/W2073306623","https://openalex.org/W2077791698","https://openalex.org/W2094751754","https://openalex.org/W2119295014","https://openalex.org/W2166423879","https://openalex.org/W2314309667","https://openalex.org/W3146166473","https://openalex.org/W4241115065"],"related_works":["https://openalex.org/W4285277090","https://openalex.org/W4327738859","https://openalex.org/W4243114048","https://openalex.org/W4237896776","https://openalex.org/W2348722996","https://openalex.org/W4231665652","https://openalex.org/W2000242494","https://openalex.org/W4296826658","https://openalex.org/W1837630526","https://openalex.org/W1877031344"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":2},{"year":2018,"cited_by_count":1}],"updated_date":"2026-06-19T15:47:20.252518","created_date":"2025-10-10T00:00:00"}
