{"id":"https://openalex.org/W4400890649","doi":"https://doi.org/10.1080/03610918.2024.2376873","title":"Exponential stochastic volatility model with Laplace returns and its variants","display_name":"Exponential stochastic volatility model with Laplace returns and its variants","publication_year":2024,"publication_date":"2024-07-22","ids":{"openalex":"https://openalex.org/W4400890649","doi":"https://doi.org/10.1080/03610918.2024.2376873"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2024.2376873","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2376873","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/A5027967393","display_name":"S. D. Krishnarani","orcid":null},"institutions":[{"id":"https://openalex.org/I114176345","display_name":"University of Calicut","ror":"https://ror.org/05yeh3g67","country_code":"IN","type":"education","lineage":["https://openalex.org/I114176345"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"Krishnarani S. D.","raw_affiliation_strings":["Department of Statistics, University of Calicut","Department of Statistics, University of Calicut, Malappuram, Kerala, India"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Calicut","institution_ids":["https://openalex.org/I114176345"]},{"raw_affiliation_string":"Department of Statistics, University of Calicut, Malappuram, Kerala, India","institution_ids":["https://openalex.org/I114176345"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5093719514","display_name":"Fathima Jafna","orcid":"https://orcid.org/0000-0003-0353-9725"},"institutions":[{"id":"https://openalex.org/I114176345","display_name":"University of Calicut","ror":"https://ror.org/05yeh3g67","country_code":"IN","type":"education","lineage":["https://openalex.org/I114176345"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Fathima Jafna","raw_affiliation_strings":["Department of Statistics, University of Calicut","Department of Statistics, University of Calicut, Malappuram, Kerala, India"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Calicut","institution_ids":["https://openalex.org/I114176345"]},{"raw_affiliation_string":"Department of Statistics, University of Calicut, Malappuram, Kerala, India","institution_ids":["https://openalex.org/I114176345"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5093719514"],"corresponding_institution_ids":["https://openalex.org/I114176345"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.15850106,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"55","issue":"1","first_page":"23","last_page":"52"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994000196456909,"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":0.9994000196456909,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9965999722480774,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9961000084877014,"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/exponential-function","display_name":"Exponential function","score":0.6378925442695618},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.6345393061637878},{"id":"https://openalex.org/keywords/laplace-transform","display_name":"Laplace transform","score":0.5980339050292969},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5788143873214722},{"id":"https://openalex.org/keywords/laplace-distribution","display_name":"Laplace distribution","score":0.5485608577728271},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5307579040527344},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.504297137260437},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.4591708779335022},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4280288815498352},{"id":"https://openalex.org/keywords/double-exponential-function","display_name":"Double exponential function","score":0.4223484992980957},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.20264452695846558}],"concepts":[{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.6378925442695618},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.6345393061637878},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.5980339050292969},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5788143873214722},{"id":"https://openalex.org/C183057437","wikidata":"https://www.wikidata.org/wiki/Q671617","display_name":"Laplace distribution","level":3,"score":0.5485608577728271},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5307579040527344},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.504297137260437},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.4591708779335022},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4280288815498352},{"id":"https://openalex.org/C49016629","wikidata":"https://www.wikidata.org/wiki/Q3075235","display_name":"Double exponential function","level":3,"score":0.4223484992980957},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.20264452695846558}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2024.2376873","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2024.2376873","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":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W758034074","https://openalex.org/W1979575715","https://openalex.org/W1995008614","https://openalex.org/W1999996900","https://openalex.org/W2028995298","https://openalex.org/W2068022520","https://openalex.org/W2078763946","https://openalex.org/W2115724285","https://openalex.org/W2123446302","https://openalex.org/W2129179837","https://openalex.org/W2142995921","https://openalex.org/W2165343664","https://openalex.org/W2165644087","https://openalex.org/W2334189031","https://openalex.org/W2489540272","https://openalex.org/W2742375119","https://openalex.org/W2948259043","https://openalex.org/W2981151030","https://openalex.org/W3023598023","https://openalex.org/W4229793772","https://openalex.org/W4234033573","https://openalex.org/W4242441411","https://openalex.org/W6663961426"],"related_works":["https://openalex.org/W2485409820","https://openalex.org/W2094164772","https://openalex.org/W2286180210","https://openalex.org/W1992254807","https://openalex.org/W2046036316","https://openalex.org/W3039003513","https://openalex.org/W1984505799","https://openalex.org/W2485229344","https://openalex.org/W2340267985","https://openalex.org/W2063870893"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2025-12-30T23:08:21.542490","created_date":"2025-10-10T00:00:00"}