{"id":"https://openalex.org/W2803625166","doi":"https://doi.org/10.1016/j.cam.2018.05.036","title":"Nonlinear autoregressive model with stochastic volatility innovations: Semiparametric and Bayesian approach","display_name":"Nonlinear autoregressive model with stochastic volatility innovations: Semiparametric and Bayesian approach","publication_year":2018,"publication_date":"2018-05-25","ids":{"openalex":"https://openalex.org/W2803625166","doi":"https://doi.org/10.1016/j.cam.2018.05.036","mag":"2803625166"},"language":"en","primary_location":{"id":"doi:10.1016/j.cam.2018.05.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2018.05.036","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"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":"Journal of Computational and Applied Mathematics","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/A5034135861","display_name":"Arezo Hajrajabi","orcid":null},"institutions":[{"id":"https://openalex.org/I69425150","display_name":"Imam Khomeini International University","ror":"https://ror.org/02jeykk09","country_code":"IR","type":"education","lineage":["https://openalex.org/I69425150"]}],"countries":["IR"],"is_corresponding":true,"raw_author_name":"A. Hajrajabi","raw_affiliation_strings":["Department of Statistics, Faculty of Basic Sciences, Imam Khomeini International University, Qazvin, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, Faculty of Basic Sciences, Imam Khomeini International University, Qazvin, Iran","institution_ids":["https://openalex.org/I69425150"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5031674297","display_name":"A. R. Yazdanian","orcid":"https://orcid.org/0000-0002-5041-2463"},"institutions":[{"id":"https://openalex.org/I928334797","display_name":"Semnan University","ror":"https://ror.org/029gksw03","country_code":"IR","type":"education","lineage":["https://openalex.org/I928334797"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"A.R. Yazdanian","raw_affiliation_strings":["Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Mathematics, Statistics and Computer Science, Semnan University, Semnan, Iran","institution_ids":["https://openalex.org/I928334797"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069521295","display_name":"Rahman Farnoosh","orcid":"https://orcid.org/0000-0002-9058-2491"},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"R. Farnoosh","raw_affiliation_strings":["School of Mathematics, Iran University of Science & Technology, Tehran, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics, Iran University of Science & Technology, Tehran, Iran","institution_ids":["https://openalex.org/I67009956"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5034135861"],"corresponding_institution_ids":["https://openalex.org/I69425150"],"apc_list":{"value":3250,"currency":"USD","value_usd":3250},"apc_paid":null,"fwci":0.5541,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.69778586,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"344","issue":null,"first_page":"37","last_page":"46"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.996999979019165,"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":0.996999979019165,"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/T11901","display_name":"Bayesian Methods and Mixture Models","score":0.9921000003814697,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.8534735441207886},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.8202238082885742},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7104988694190979},{"id":"https://openalex.org/keywords/particle-filter","display_name":"Particle filter","score":0.5643728375434875},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5453006029129028},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5348016023635864},{"id":"https://openalex.org/keywords/nonlinear-system","display_name":"Nonlinear system","score":0.5083505511283875},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.5082599520683289},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.49909234046936035},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.4913412630558014},{"id":"https://openalex.org/keywords/star-model","display_name":"STAR model","score":0.4890025854110718},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.4743845760822296},{"id":"https://openalex.org/keywords/semiparametric-model","display_name":"Semiparametric model","score":0.45073074102401733},{"id":"https://openalex.org/keywords/marginal-likelihood","display_name":"Marginal likelihood","score":0.4503638744354248},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.26996326446533203},{"id":"https://openalex.org/keywords/autoregressive-integrated-moving-average","display_name":"Autoregressive integrated moving average","score":0.2170403003692627},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.19291889667510986},{"id":"https://openalex.org/keywords/time-series","display_name":"Time series","score":0.18700578808784485},{"id":"https://openalex.org/keywords/nonparametric-statistics","display_name":"Nonparametric statistics","score":0.08310991525650024}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.8534735441207886},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.8202238082885742},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7104988694190979},{"id":"https://openalex.org/C52421305","wikidata":"https://www.wikidata.org/wiki/Q1151499","display_name":"Particle filter","level":3,"score":0.5643728375434875},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5453006029129028},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5348016023635864},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5083505511283875},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.5082599520683289},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.49909234046936035},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.4913412630558014},{"id":"https://openalex.org/C194657046","wikidata":"https://www.wikidata.org/wiki/Q7394685","display_name":"STAR model","level":4,"score":0.4890025854110718},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.4743845760822296},{"id":"https://openalex.org/C78297888","wikidata":"https://www.wikidata.org/wiki/Q7449607","display_name":"Semiparametric model","level":3,"score":0.45073074102401733},{"id":"https://openalex.org/C95923904","wikidata":"https://www.wikidata.org/wiki/Q6760420","display_name":"Marginal likelihood","level":3,"score":0.4503638744354248},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.26996326446533203},{"id":"https://openalex.org/C24338571","wikidata":"https://www.wikidata.org/wiki/Q2566298","display_name":"Autoregressive integrated moving average","level":3,"score":0.2170403003692627},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.19291889667510986},{"id":"https://openalex.org/C151406439","wikidata":"https://www.wikidata.org/wiki/Q186588","display_name":"Time series","level":2,"score":0.18700578808784485},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.08310991525650024},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.cam.2018.05.036","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2018.05.036","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"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":"Journal of Computational and Applied Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","score":0.4000000059604645,"display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W576574031","https://openalex.org/W1497303808","https://openalex.org/W1501586228","https://openalex.org/W1544274373","https://openalex.org/W1545129310","https://openalex.org/W1609127433","https://openalex.org/W1968697886","https://openalex.org/W1972677429","https://openalex.org/W1976774897","https://openalex.org/W1979575715","https://openalex.org/W1985500221","https://openalex.org/W1999996900","https://openalex.org/W2007998685","https://openalex.org/W2009070440","https://openalex.org/W2029728579","https://openalex.org/W2056536708","https://openalex.org/W2065761639","https://openalex.org/W2068941272","https://openalex.org/W2069739265","https://openalex.org/W2075503097","https://openalex.org/W2077611006","https://openalex.org/W2089657469","https://openalex.org/W2091860746","https://openalex.org/W2095409338","https://openalex.org/W2105934661","https://openalex.org/W2122507907","https://openalex.org/W2123487311","https://openalex.org/W2124202837","https://openalex.org/W2126736494","https://openalex.org/W2134752891","https://openalex.org/W2146332636","https://openalex.org/W2149048172","https://openalex.org/W2150976467","https://openalex.org/W2160337655","https://openalex.org/W2486563685","https://openalex.org/W3100622648"],"related_works":["https://openalex.org/W3124002547","https://openalex.org/W3122918993","https://openalex.org/W3124845449","https://openalex.org/W4311256445","https://openalex.org/W1999523778","https://openalex.org/W2112993481","https://openalex.org/W3153657063","https://openalex.org/W2128266748","https://openalex.org/W2068941272","https://openalex.org/W4323287957"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2019,"cited_by_count":2}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}