{"id":"https://openalex.org/W4405124863","doi":"https://doi.org/10.1080/03610918.2024.2433495","title":"Trivariate-ARMA\u2013GARCH type\u2013Vine Copula model for time series forecasting","display_name":"Trivariate-ARMA\u2013GARCH type\u2013Vine Copula model for time series forecasting","publication_year":2024,"publication_date":"2024-12-05","ids":{"openalex":"https://openalex.org/W4405124863","doi":"https://doi.org/10.1080/03610918.2024.2433495"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2024.2433495","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2433495","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":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5072123507","display_name":"B. Manjunatha","orcid":"https://orcid.org/0000-0003-1307-8053"},"institutions":[{"id":"https://openalex.org/I45509622","display_name":"Indian Agricultural Research Institute","ror":"https://ror.org/01bzgdw81","country_code":"IN","type":"facility","lineage":["https://openalex.org/I179420787","https://openalex.org/I45509622"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"B. Manjunatha","raw_affiliation_strings":["The Graduate School, Indian Agricultural Research Institute","The Graduate School, Indian Agricultural Research Institute, Pusa, New Delhi, India"],"affiliations":[{"raw_affiliation_string":"The Graduate School, Indian Agricultural Research Institute","institution_ids":[]},{"raw_affiliation_string":"The Graduate School, Indian Agricultural Research Institute, Pusa, New Delhi, India","institution_ids":["https://openalex.org/I45509622"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010993606","display_name":"Ranjit Kumar Paul","orcid":"https://orcid.org/0000-0002-1045-8504"},"institutions":[{"id":"https://openalex.org/I1141210","display_name":"Indian Agricultural Statistics Research Institute","ror":"https://ror.org/03kkevc75","country_code":"IN","type":"facility","lineage":["https://openalex.org/I1141210","https://openalex.org/I179420787"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Ranjit Kumar Paul","raw_affiliation_strings":["ICAR-Indian Agricultural Statistics Research Institute","ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India"],"affiliations":[{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute","institution_ids":[]},{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India","institution_ids":["https://openalex.org/I1141210"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5101749461","display_name":"V. Ramasubramanian","orcid":null},"institutions":[{"id":"https://openalex.org/I174979866","display_name":"National Academy of Agricultural Research Management","ror":"https://ror.org/02rx19412","country_code":"IN","type":"facility","lineage":["https://openalex.org/I174979866","https://openalex.org/I179420787"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"V. Ramasubramanian","raw_affiliation_strings":["ICAR-National Academy of Agricultural Research Management","ICAR-National Academy of Agricultural Research Management, Hyderabad, Telangana, India"],"affiliations":[{"raw_affiliation_string":"ICAR-National Academy of Agricultural Research Management","institution_ids":[]},{"raw_affiliation_string":"ICAR-National Academy of Agricultural Research Management, Hyderabad, Telangana, India","institution_ids":["https://openalex.org/I174979866"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5020626571","display_name":"G. Avinash","orcid":null},"institutions":[{"id":"https://openalex.org/I4210105310","display_name":"National Institute of Occupational Health","ror":"https://ror.org/01praqa56","country_code":"IN","type":"facility","lineage":["https://openalex.org/I37048141","https://openalex.org/I4210105310"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"G. Avinash","raw_affiliation_strings":["ICMR-National Institute of Occupational Health","ICMR-National Institute of Occupational Health, Ahmedabad, Gujarat, India"],"affiliations":[{"raw_affiliation_string":"ICMR-National Institute of Occupational Health","institution_ids":[]},{"raw_affiliation_string":"ICMR-National Institute of Occupational Health, Ahmedabad, Gujarat, India","institution_ids":["https://openalex.org/I4210105310"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110319036","display_name":"A. K. Paul","orcid":"https://orcid.org/0000-0001-9388-9571"},"institutions":[{"id":"https://openalex.org/I1141210","display_name":"Indian Agricultural Statistics Research Institute","ror":"https://ror.org/03kkevc75","country_code":"IN","type":"facility","lineage":["https://openalex.org/I1141210","https://openalex.org/I179420787"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"A. K. Paul","raw_affiliation_strings":["ICAR-Indian Agricultural Statistics Research Institute","ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India"],"affiliations":[{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute","institution_ids":[]},{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India","institution_ids":["https://openalex.org/I1141210"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5037173360","display_name":"Md Yeasin","orcid":"https://orcid.org/0000-0002-8713-8189"},"institutions":[{"id":"https://openalex.org/I1141210","display_name":"Indian Agricultural Statistics Research Institute","ror":"https://ror.org/03kkevc75","country_code":"IN","type":"facility","lineage":["https://openalex.org/I1141210","https://openalex.org/I179420787"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Md. Yeasin","raw_affiliation_strings":["ICAR-Indian Agricultural Statistics Research Institute","ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India"],"affiliations":[{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute","institution_ids":[]},{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India","institution_ids":["https://openalex.org/I1141210"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069687786","display_name":"Mrinmoy Ray","orcid":"https://orcid.org/0000-0002-1337-0348"},"institutions":[{"id":"https://openalex.org/I1141210","display_name":"Indian Agricultural Statistics Research Institute","ror":"https://ror.org/03kkevc75","country_code":"IN","type":"facility","lineage":["https://openalex.org/I1141210","https://openalex.org/I179420787"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Mrinmoy Ray","raw_affiliation_strings":["ICAR-Indian Agricultural Statistics Research Institute","ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India"],"affiliations":[{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute","institution_ids":[]},{"raw_affiliation_string":"ICAR-Indian Agricultural Statistics Research Institute, New Delhi, India","institution_ids":["https://openalex.org/I1141210"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":7,"corresponding_author_ids":["https://openalex.org/A5010993606"],"corresponding_institution_ids":["https://openalex.org/I1141210"],"apc_list":null,"apc_paid":null,"fwci":1.1339,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.89521392,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":96,"max":99},"biblio":{"volume":"55","issue":"4","first_page":"1216","last_page":"1246"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9983999729156494,"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"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9983999729156494,"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/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9977999925613403,"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":0.9918000102043152,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.871640682220459},{"id":"https://openalex.org/keywords/autoregressive\u2013moving-average-model","display_name":"Autoregressive\u2013moving-average model","score":0.6555274724960327},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6502256989479065},{"id":"https://openalex.org/keywords/vine-copula","display_name":"Vine copula","score":0.5954849720001221},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.5923861265182495},{"id":"https://openalex.org/keywords/autoregressive-integrated-moving-average","display_name":"Autoregressive integrated moving average","score":0.577155590057373},{"id":"https://openalex.org/keywords/mean-squared-error","display_name":"Mean squared error","score":0.5733509063720703},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.5435436367988586},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5375975966453552},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.5227675437927246},{"id":"https://openalex.org/keywords/moving-average","display_name":"Moving average","score":0.5127814412117004},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5106738209724426},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5053423047065735},{"id":"https://openalex.org/keywords/univariate","display_name":"Univariate","score":0.49253639578819275},{"id":"https://openalex.org/keywords/mean-absolute-percentage-error","display_name":"Mean absolute percentage error","score":0.4886243939399719},{"id":"https://openalex.org/keywords/mean-absolute-error","display_name":"Mean absolute error","score":0.4839754104614258},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.43501392006874084},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.31055164337158203}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.871640682220459},{"id":"https://openalex.org/C74883015","wikidata":"https://www.wikidata.org/wiki/Q290467","display_name":"Autoregressive\u2013moving-average model","level":3,"score":0.6555274724960327},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6502256989479065},{"id":"https://openalex.org/C2779676228","wikidata":"https://www.wikidata.org/wiki/Q25303905","display_name":"Vine copula","level":3,"score":0.5954849720001221},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5923861265182495},{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.577155590057373},{"id":"https://openalex.org/C139945424","wikidata":"https://www.wikidata.org/wiki/Q1940696","display_name":"Mean squared error","level":2,"score":0.5733509063720703},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5435436367988586},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5375975966453552},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.5227675437927246},{"id":"https://openalex.org/C175706884","wikidata":"https://www.wikidata.org/wiki/Q1130194","display_name":"Moving average","level":2,"score":0.5127814412117004},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5106738209724426},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5053423047065735},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.49253639578819275},{"id":"https://openalex.org/C150217764","wikidata":"https://www.wikidata.org/wiki/Q6803607","display_name":"Mean absolute percentage error","level":3,"score":0.4886243939399719},{"id":"https://openalex.org/C188154048","wikidata":"https://www.wikidata.org/wiki/Q6803609","display_name":"Mean absolute error","level":3,"score":0.4839754104614258},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.43501392006874084},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.31055164337158203}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2024.2433495","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2433495","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"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":78,"referenced_works":["https://openalex.org/W55440527","https://openalex.org/W210661675","https://openalex.org/W1126748158","https://openalex.org/W1507259579","https://openalex.org/W1588163064","https://openalex.org/W1590831612","https://openalex.org/W1607114662","https://openalex.org/W1727659491","https://openalex.org/W1975994995","https://openalex.org/W1977480757","https://openalex.org/W1979575715","https://openalex.org/W1979860489","https://openalex.org/W1982420855","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2007200550","https://openalex.org/W2010030603","https://openalex.org/W2030338847","https://openalex.org/W2033490192","https://openalex.org/W2041282815","https://openalex.org/W2061160212","https://openalex.org/W2061725742","https://openalex.org/W2063593194","https://openalex.org/W2069508080","https://openalex.org/W2093230975","https://openalex.org/W2097580026","https://openalex.org/W2119403265","https://openalex.org/W2127923747","https://openalex.org/W2141852690","https://openalex.org/W2178225550","https://openalex.org/W2331820705","https://openalex.org/W2510933978","https://openalex.org/W2538313831","https://openalex.org/W2546812510","https://openalex.org/W2580954861","https://openalex.org/W2586303115","https://openalex.org/W2590492754","https://openalex.org/W2605078333","https://openalex.org/W2612995775","https://openalex.org/W2724703769","https://openalex.org/W2774610454","https://openalex.org/W2775056555","https://openalex.org/W2782662660","https://openalex.org/W2913662358","https://openalex.org/W2914985734","https://openalex.org/W2937070039","https://openalex.org/W2944915591","https://openalex.org/W2951191911","https://openalex.org/W2955788542","https://openalex.org/W2993879623","https://openalex.org/W3020183432","https://openalex.org/W3023699555","https://openalex.org/W3082309321","https://openalex.org/W3082938323","https://openalex.org/W3108788903","https://openalex.org/W3111115317","https://openalex.org/W3124798671","https://openalex.org/W3126076427","https://openalex.org/W3127282553","https://openalex.org/W3128601027","https://openalex.org/W3159372503","https://openalex.org/W3167765701","https://openalex.org/W3202558854","https://openalex.org/W4210727445","https://openalex.org/W4229977739","https://openalex.org/W4288689678","https://openalex.org/W4292671038","https://openalex.org/W4293250349","https://openalex.org/W4296699106","https://openalex.org/W4296707617","https://openalex.org/W4307475553","https://openalex.org/W4310747947","https://openalex.org/W4318346256","https://openalex.org/W4366545115","https://openalex.org/W4399026985","https://openalex.org/W4399917274","https://openalex.org/W4401896403"],"related_works":["https://openalex.org/W2036994430","https://openalex.org/W3121369812","https://openalex.org/W3178576217","https://openalex.org/W4316658904","https://openalex.org/W4304606463","https://openalex.org/W2933969434","https://openalex.org/W4200374151","https://openalex.org/W4247388746","https://openalex.org/W2527619628","https://openalex.org/W4293868562"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-03-25T13:04:00.132906","created_date":"2025-10-10T00:00:00"}