{"id":"https://openalex.org/W2079527968","doi":"https://doi.org/10.1080/03610910802395653","title":"Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation","display_name":"Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation","publication_year":2008,"publication_date":"2008-11-02","ids":{"openalex":"https://openalex.org/W2079527968","doi":"https://doi.org/10.1080/03610910802395653","mag":"2079527968"},"language":"en","primary_location":{"id":"doi:10.1080/03610910802395653","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802395653","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-00514333","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5018916675","display_name":"Fabio Bellini","orcid":"https://orcid.org/0000-0002-3597-808X"},"institutions":[{"id":"https://openalex.org/I66752286","display_name":"University of Milano-Bicocca","ror":"https://ror.org/01ynf4891","country_code":"IT","type":"education","lineage":["https://openalex.org/I66752286"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Fabio Bellini","raw_affiliation_strings":["\n Department of Quantitative Methods, University of Milano-Bicocca, Milano, Italy","Department of Quantitative Methods , University of Milano-Bicocca , Milano, Italy"],"affiliations":[{"raw_affiliation_string":"\n Department of Quantitative Methods, University of Milano-Bicocca, Milano, Italy","institution_ids":["https://openalex.org/I66752286"]},{"raw_affiliation_string":"Department of Quantitative Methods , University of Milano-Bicocca , Milano, Italy","institution_ids":["https://openalex.org/I66752286"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5016094222","display_name":"Leonardo Bottolo","orcid":"https://orcid.org/0000-0002-6381-2327"},"institutions":[{"id":"https://openalex.org/I4210123447","display_name":"London Institute for Mathematical Sciences","ror":"https://ror.org/0390mzx53","country_code":"GB","type":"education","lineage":["https://openalex.org/I4210123447"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Leonardo Bottolo","raw_affiliation_strings":["\n Institute for Mathematical Sciences, Imperial College London, London, United Kingdom","Institute for Mathematical Sciences, Imperial College London, London, United Kingdom"],"affiliations":[{"raw_affiliation_string":"\n Institute for Mathematical Sciences, Imperial College London, London, United Kingdom","institution_ids":["https://openalex.org/I4210123447"]},{"raw_affiliation_string":"Institute for Mathematical Sciences, Imperial College London, London, United Kingdom","institution_ids":["https://openalex.org/I4210123447","https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5016094222"],"corresponding_institution_ids":["https://openalex.org/I4210123447","https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":0.7854,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.80301129,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"38","issue":"1","first_page":"31","last_page":"45"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9995999932289124,"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":0.9995999932289124,"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":0.9987999796867371,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9872000217437744,"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/spurious-relationship","display_name":"Spurious relationship","score":0.8184120655059814},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.7594176530838013},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.6088933944702148},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5061277747154236},{"id":"https://openalex.org/keywords/toolbox","display_name":"Toolbox","score":0.4777902066707611},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.4748808741569519},{"id":"https://openalex.org/keywords/parameter-space","display_name":"Parameter space","score":0.45189785957336426},{"id":"https://openalex.org/keywords/point","display_name":"Point (geometry)","score":0.42216354608535767},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.41009005904197693},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3576847314834595},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2783181071281433},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.19298601150512695},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.15754058957099915}],"concepts":[{"id":"https://openalex.org/C97256817","wikidata":"https://www.wikidata.org/wiki/Q1462316","display_name":"Spurious relationship","level":2,"score":0.8184120655059814},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7594176530838013},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6088933944702148},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5061277747154236},{"id":"https://openalex.org/C2777655017","wikidata":"https://www.wikidata.org/wiki/Q1501161","display_name":"Toolbox","level":2,"score":0.4777902066707611},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.4748808741569519},{"id":"https://openalex.org/C73586568","wikidata":"https://www.wikidata.org/wiki/Q2600211","display_name":"Parameter space","level":2,"score":0.45189785957336426},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.42216354608535767},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.41009005904197693},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3576847314834595},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2783181071281433},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.19298601150512695},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.15754058957099915},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1080/03610910802395653","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610910802395653","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-00514333v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00514333","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2008, 38 (01), pp.31-45. &#x27E8;10.1080/03610910802395653&#x27E9;","raw_type":"Journal articles"},{"id":"pmh:oai:boa.unimib.it:10281/3162","is_oa":true,"landing_page_url":"http://hdl.handle.net/10281/3162","pdf_url":null,"source":{"id":"https://openalex.org/S4306401259","display_name":"BOA (University of Milano-Bicocca)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I66752286","host_organization_name":"University of Milano-Bicocca","host_organization_lineage":["https://openalex.org/I66752286"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/other"},{"id":"pmh:oai:boa.unimib.it:10281/6252","is_oa":false,"landing_page_url":"http://hdl.handle.net/10281/6252","pdf_url":null,"source":{"id":"https://openalex.org/S4306401259","display_name":"BOA (University of Milano-Bicocca)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I66752286","host_organization_name":"University of Milano-Bicocca","host_organization_lineage":["https://openalex.org/I66752286"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:tara.tcd.ie:2262/46763","is_oa":false,"landing_page_url":"http://hdl.handle.net/2262/46763","pdf_url":null,"source":{"id":"https://openalex.org/S4306400387","display_name":"Trinity's Access to Research Output (TARA) (Trinity College Dublin)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205274468","host_organization_name":"Trinity College Dublin","host_organization_lineage":["https://openalex.org/I205274468"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":""}],"best_oa_location":{"id":"pmh:oai:HAL:hal-00514333v1","is_oa":true,"landing_page_url":"https://hal.science/hal-00514333","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Communications in Statistics - Simulation and Computation, 2008, 38 (01), pp.31-45. &#x27E8;10.1080/03610910802395653&#x27E9;","raw_type":"Journal articles"},"sustainable_development_goals":[{"display_name":"Industry, innovation and infrastructure","score":0.5699999928474426,"id":"https://metadata.un.org/sdg/9"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":32,"referenced_works":["https://openalex.org/W1521246899","https://openalex.org/W1576326745","https://openalex.org/W1705127892","https://openalex.org/W1966908276","https://openalex.org/W1974747673","https://openalex.org/W1980541697","https://openalex.org/W1991235063","https://openalex.org/W1994480579","https://openalex.org/W1999029409","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2011343908","https://openalex.org/W2040364631","https://openalex.org/W2044270162","https://openalex.org/W2054477007","https://openalex.org/W2055193196","https://openalex.org/W2077115352","https://openalex.org/W2078935796","https://openalex.org/W2086624954","https://openalex.org/W2089835599","https://openalex.org/W2102450618","https://openalex.org/W2116294798","https://openalex.org/W2120062331","https://openalex.org/W2129905273","https://openalex.org/W2143129852","https://openalex.org/W2986057930","https://openalex.org/W3005078958","https://openalex.org/W3122572058","https://openalex.org/W4233014035","https://openalex.org/W4249686724","https://openalex.org/W4254257728"],"related_works":["https://openalex.org/W2162899405","https://openalex.org/W3113091479","https://openalex.org/W941090075","https://openalex.org/W2044987316","https://openalex.org/W3134374554","https://openalex.org/W2237480245","https://openalex.org/W4205140848","https://openalex.org/W2519167559","https://openalex.org/W2075065631","https://openalex.org/W4288358396"],"abstract_inverted_index":{"Abstract\\n":[0],"In":[1],"this":[2,45],"work":[3],"we":[4],"investigate":[5],"the":[6,10,22,28,32],"impact":[7,56],"of":[8,21,27,57,72],"misspecification&#13;\\nof":[9],"innovations":[11,23,63],"in":[12],"fitting":[13],"Garch$(1,1)$":[14],"models.":[15],"We":[16,43,53],"show":[17],"that":[18],"an&#13;\\nincorrect":[19],"specification":[20],"together":[24],"with":[25,64],"the&#13;\\nreduction":[26],"parameter":[29],"space":[30],"to":[31,38,69],"weak":[33],"stationarity":[34],"region,&#13;\\ncan":[35],"give":[36],"rise":[37],"a":[39,70],"spurious":[40],"IGARCH":[41],"effect.":[42],"address":[44],"point&#13;\\nthrough":[46],"an":[47],"extensive":[48],"Monte":[49],"Carlo":[50],"simulation":[51],"study.":[52],"also":[54],"analyse&#13;\\nthe":[55],"misspecification":[58],"on":[59],"forecasted":[60],"volatilities,":[61],"showing&#13;\\nthat":[62],"light":[65],"tails":[66],"can":[67],"lead":[68],"remarkable&#13;\\noverestimate":[71],"volatilities.":[73]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-03-10T16:38:18.471706","created_date":"2016-06-24T00:00:00"}
