{"id":"https://openalex.org/W7124833242","doi":"https://doi.org/10.1016/j.ejor.2026.01.027","title":"Factor models and mutually exciting jump processes for financial systemic risk","display_name":"Factor models and mutually exciting jump processes for financial systemic risk","publication_year":2026,"publication_date":"2026-01-19","ids":{"openalex":"https://openalex.org/W7124833242","doi":"https://doi.org/10.1016/j.ejor.2026.01.027"},"language":"en","primary_location":{"id":"doi:10.1016/j.ejor.2026.01.027","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2026.01.027","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational 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/A5051547746","display_name":"Serge Nyawa","orcid":"https://orcid.org/0000-0001-6745-7417"},"institutions":[{"id":"https://openalex.org/I129162050","display_name":"TBS Education","ror":"https://ror.org/0349y2q65","country_code":"FR","type":"education","lineage":["https://openalex.org/I129162050","https://openalex.org/I4405258862"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Serge Nyawa","raw_affiliation_strings":["TBS Business School, 20 Boulevard Lascrosses, Toulouse, 31000, France"],"raw_orcid":"https://orcid.org/0000-0001-6745-7417","affiliations":[{"raw_affiliation_string":"TBS Business School, 20 Boulevard Lascrosses, Toulouse, 31000, France","institution_ids":["https://openalex.org/I129162050"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5051547746"],"corresponding_institution_ids":["https://openalex.org/I129162050"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.11373199,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"332","issue":"3","first_page":"1004","last_page":"1015"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.25690001249313354,"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/T10127","display_name":"Banking stability, regulation, efficiency","score":0.25690001249313354,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.21330000460147858,"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":0.10890000313520432,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-risk","display_name":"Systemic risk","score":0.767300009727478},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6499000191688538},{"id":"https://openalex.org/keywords/financial-networks","display_name":"Financial networks","score":0.6345999836921692},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.6119999885559082},{"id":"https://openalex.org/keywords/shock","display_name":"Shock (circulatory)","score":0.508400022983551},{"id":"https://openalex.org/keywords/construct","display_name":"Construct (python library)","score":0.45899999141693115},{"id":"https://openalex.org/keywords/financial-contagion","display_name":"Financial contagion","score":0.44589999318122864},{"id":"https://openalex.org/keywords/macro","display_name":"Macro","score":0.4438000023365021}],"concepts":[{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.767300009727478},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6499000191688538},{"id":"https://openalex.org/C2776760741","wikidata":"https://www.wikidata.org/wiki/Q25325235","display_name":"Financial networks","level":4,"score":0.6345999836921692},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.6119999885559082},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5978999733924866},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.59579998254776},{"id":"https://openalex.org/C2781300812","wikidata":"https://www.wikidata.org/wiki/Q178061","display_name":"Shock (circulatory)","level":2,"score":0.508400022983551},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.45899999141693115},{"id":"https://openalex.org/C2778890369","wikidata":"https://www.wikidata.org/wiki/Q499041","display_name":"Financial contagion","level":3,"score":0.44589999318122864},{"id":"https://openalex.org/C166955791","wikidata":"https://www.wikidata.org/wiki/Q629579","display_name":"Macro","level":2,"score":0.4438000023365021},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.36390000581741333},{"id":"https://openalex.org/C2778126366","wikidata":"https://www.wikidata.org/wiki/Q41171","display_name":"Unemployment","level":2,"score":0.32199999690055847},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.3093000054359436},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.30149999260902405},{"id":"https://openalex.org/C162748667","wikidata":"https://www.wikidata.org/wiki/Q683131","display_name":"Generalized method of moments","level":3,"score":0.30149999260902405},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.2985000014305115},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.2955999970436096},{"id":"https://openalex.org/C19768560","wikidata":"https://www.wikidata.org/wiki/Q320727","display_name":"Dependency (UML)","level":2,"score":0.26750001311302185},{"id":"https://openalex.org/C76073288","wikidata":"https://www.wikidata.org/wiki/Q1337875","display_name":"Financial risk","level":2,"score":0.2653999924659729},{"id":"https://openalex.org/C83873408","wikidata":"https://www.wikidata.org/wiki/Q192311","display_name":"Business cycle","level":2,"score":0.26010000705718994},{"id":"https://openalex.org/C2986840890","wikidata":"https://www.wikidata.org/wiki/Q837171","display_name":"Financial sector","level":2,"score":0.25760000944137573},{"id":"https://openalex.org/C67616677","wikidata":"https://www.wikidata.org/wiki/Q657107","display_name":"Financial econometrics","level":4,"score":0.251800000667572}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.ejor.2026.01.027","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2026.01.027","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Journal of Operational Research","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":37,"referenced_works":["https://openalex.org/W2007910409","https://openalex.org/W2038195874","https://openalex.org/W2039734130","https://openalex.org/W2069849731","https://openalex.org/W2087194317","https://openalex.org/W2125142831","https://openalex.org/W2128569377","https://openalex.org/W2133231666","https://openalex.org/W2136536070","https://openalex.org/W2157403008","https://openalex.org/W2166536772","https://openalex.org/W2201756657","https://openalex.org/W2329986772","https://openalex.org/W2560643158","https://openalex.org/W2625382516","https://openalex.org/W2918484905","https://openalex.org/W2947046676","https://openalex.org/W2949970007","https://openalex.org/W2995205596","https://openalex.org/W3020982786","https://openalex.org/W3022621242","https://openalex.org/W3121576499","https://openalex.org/W3122167020","https://openalex.org/W3122471459","https://openalex.org/W3123456618","https://openalex.org/W3123933399","https://openalex.org/W3123999895","https://openalex.org/W3125983488","https://openalex.org/W3177318821","https://openalex.org/W4230327943","https://openalex.org/W4241515853","https://openalex.org/W4246715751","https://openalex.org/W4253163276","https://openalex.org/W4283016901","https://openalex.org/W4366333911","https://openalex.org/W4388751788","https://openalex.org/W4402734996"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-04-02T13:48:15.688549","created_date":"2026-01-20T00:00:00"}