{"id":"https://openalex.org/W4416776518","doi":"https://doi.org/10.1007/s41060-025-00908-7","title":"Learning volatility structures in emerging markets: a data-driven network approach using stochastic volatility models","display_name":"Learning volatility structures in emerging markets: a data-driven network approach using stochastic volatility models","publication_year":2025,"publication_date":"2025-11-28","ids":{"openalex":"https://openalex.org/W4416776518","doi":"https://doi.org/10.1007/s41060-025-00908-7"},"language":"en","primary_location":{"id":"doi:10.1007/s41060-025-00908-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s41060-025-00908-7","pdf_url":null,"source":{"id":"https://openalex.org/S4210195017","display_name":"International Journal of Data Science and Analytics","issn_l":"2364-415X","issn":["2364-415X","2364-4168"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Data Science and Analytics","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/A5108150084","display_name":"Jo\u00e3o Pedro Malim Franco","orcid":"https://orcid.org/0000-0003-3985-8090"},"institutions":[{"id":"https://openalex.org/I1331278255","display_name":"Universidade de Ribeir\u00e3o Preto","ror":"https://ror.org/00ey54k21","country_code":"BR","type":"education","lineage":["https://openalex.org/I1331278255"]},{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Jo\u00e3o Pedro M. Franco","raw_affiliation_strings":["Department of Economics, FEARP - University of S\u00e3o Paulo (USP), Ribeir\u00e3o Preto, SP, Brazil"],"affiliations":[{"raw_affiliation_string":"Department of Economics, FEARP - University of S\u00e3o Paulo (USP), Ribeir\u00e3o Preto, SP, Brazil","institution_ids":["https://openalex.org/I1331278255","https://openalex.org/I17974374"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5061173580","display_name":"M\u00e1rcio Poletti Laurini","orcid":"https://orcid.org/0000-0001-5733-2231"},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]},{"id":"https://openalex.org/I1331278255","display_name":"Universidade de Ribeir\u00e3o Preto","ror":"https://ror.org/00ey54k21","country_code":"BR","type":"education","lineage":["https://openalex.org/I1331278255"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"M\u00e1rcio P. Laurini","raw_affiliation_strings":["Department of Economics, FEARP - University of S\u00e3o Paulo (USP), Ribeir\u00e3o Preto, SP, Brazil"],"affiliations":[{"raw_affiliation_string":"Department of Economics, FEARP - University of S\u00e3o Paulo (USP), Ribeir\u00e3o Preto, SP, Brazil","institution_ids":["https://openalex.org/I1331278255","https://openalex.org/I17974374"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5108150084"],"corresponding_institution_ids":["https://openalex.org/I1331278255","https://openalex.org/I17974374"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.44559545,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"21","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.5008000135421753,"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":0.5008000135421753,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.14470000565052032,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.09470000118017197,"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/volatility","display_name":"Volatility (finance)","score":0.6904000043869019},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6553000211715698},{"id":"https://openalex.org/keywords/bayesian-inference","display_name":"Bayesian inference","score":0.4805999994277954},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.4790000021457672},{"id":"https://openalex.org/keywords/inference","display_name":"Inference","score":0.4690000116825104},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.4490000009536743},{"id":"https://openalex.org/keywords/interdependence","display_name":"Interdependence","score":0.40220001339912415},{"id":"https://openalex.org/keywords/volatility-swap","display_name":"Volatility swap","score":0.399399995803833},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.3921000063419342}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7143999934196472},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6904000043869019},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6553000211715698},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4982999861240387},{"id":"https://openalex.org/C160234255","wikidata":"https://www.wikidata.org/wiki/Q812535","display_name":"Bayesian inference","level":3,"score":0.4805999994277954},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.4790000021457672},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.4690000116825104},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4490000009536743},{"id":"https://openalex.org/C185874996","wikidata":"https://www.wikidata.org/wiki/Q269699","display_name":"Interdependence","level":2,"score":0.40220001339912415},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.399399995803833},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.3921000063419342},{"id":"https://openalex.org/C33724603","wikidata":"https://www.wikidata.org/wiki/Q812540","display_name":"Bayesian network","level":2,"score":0.3831000030040741},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3659999966621399},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.3601999878883362},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.35120001435279846},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.3402999937534332},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.335099995136261},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.3343000113964081},{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.3255999982357025},{"id":"https://openalex.org/C22243797","wikidata":"https://www.wikidata.org/wiki/Q2058297","display_name":"Laplace's method","level":3,"score":0.29420000314712524},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.2849999964237213},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.2833000123500824},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.27390000224113464},{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.2728999853134155},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.2671999931335449},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.26269999146461487},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.26269999146461487},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.26190000772476196},{"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":0.2526000142097473},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.25220000743865967}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/s41060-025-00908-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s41060-025-00908-7","pdf_url":null,"source":{"id":"https://openalex.org/S4210195017","display_name":"International Journal of Data Science and Analytics","issn_l":"2364-415X","issn":["2364-415X","2364-4168"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Data Science and Analytics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7256545418","display_name":null,"funder_award_id":"(310646/2021-9)","funder_id":"https://openalex.org/F4320322025","funder_display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico"},{"id":"https://openalex.org/G7479161901","display_name":null,"funder_award_id":"2023/02538-0","funder_id":"https://openalex.org/F4320320997","funder_display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo"}],"funders":[{"id":"https://openalex.org/F4320320997","display_name":"Funda\u00e7\u00e3o de Amparo \u00e0 Pesquisa do Estado de S\u00e3o Paulo","ror":"https://ror.org/02ddkpn78"},{"id":"https://openalex.org/F4320321091","display_name":"Coordena\u00e7\u00e3o de Aperfei\u00e7oamento de Pessoal de N\u00edvel Superior","ror":"https://ror.org/00x0ma614"},{"id":"https://openalex.org/F4320322025","display_name":"Conselho Nacional de Desenvolvimento Cient\u00edfico e Tecnol\u00f3gico","ror":"https://ror.org/03swz6y49"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W143236119","https://openalex.org/W305781248","https://openalex.org/W1487139063","https://openalex.org/W1669551046","https://openalex.org/W1900421358","https://openalex.org/W1970694313","https://openalex.org/W1979575715","https://openalex.org/W1989727964","https://openalex.org/W1991135386","https://openalex.org/W1999996900","https://openalex.org/W2001616494","https://openalex.org/W2030677701","https://openalex.org/W2039734130","https://openalex.org/W2073681337","https://openalex.org/W2144898279","https://openalex.org/W2149903831","https://openalex.org/W2155187653","https://openalex.org/W2772843634","https://openalex.org/W2783366043","https://openalex.org/W2784047049","https://openalex.org/W2797925168","https://openalex.org/W2954455617","https://openalex.org/W3020982786","https://openalex.org/W3022446978","https://openalex.org/W3028794438","https://openalex.org/W3049314015","https://openalex.org/W3121195099","https://openalex.org/W3122175640","https://openalex.org/W3122186884","https://openalex.org/W3122281927","https://openalex.org/W3122390558","https://openalex.org/W3124194226","https://openalex.org/W3125094242","https://openalex.org/W3155474825","https://openalex.org/W3157578279","https://openalex.org/W3163095954","https://openalex.org/W3197095767","https://openalex.org/W3205070830","https://openalex.org/W4250856143","https://openalex.org/W4295300959","https://openalex.org/W4323307226","https://openalex.org/W4375861195","https://openalex.org/W4385610889","https://openalex.org/W4386741340","https://openalex.org/W4390693006","https://openalex.org/W4391982757","https://openalex.org/W4401278137","https://openalex.org/W4404759088","https://openalex.org/W4405738095","https://openalex.org/W4407024158","https://openalex.org/W4407358118","https://openalex.org/W4407602877","https://openalex.org/W4411276171"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-04-14T08:04:32.555800","created_date":"2025-11-28T00:00:00"}