Publication Information

{'id': 'https://openalex.org/W2571806067', 'doi': 'https://doi.org/10.1002/asmb.2352', 'title': 'A combined filtering approach to high‐frequency volatility estimation with mixed‐type microstructure noises', 'display_name': 'A combined filtering approach to high‐frequency volatility estimation with mixed‐type microstructure noises', 'publication_year': 2018, 'publication_date': '2018-07-20', 'ids': {'openalex': 'https://openalex.org/W2571806067', 'doi': 'https://doi.org/10.1002/asmb.2352', 'mag': '2571806067'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://doi.org/10.1002/asmb.2352', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S178929932', 'display_name': 'Applied Stochastic Models in Business and Industry', 'issn_l': '1524-1904', 'issn': ['1524-1904', '1526-4025'], 'is_oa': False, 'is_in_doaj': False, 'is_core': True, 'host_organization': 'https://openalex.org/P4310320595', 'host_organization_name': 'Wiley', 'host_organization_lineage': ['https://openalex.org/P4310320595'], 'host_organization_lineage_names': ['Wiley'], 'type': 'journal'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}, 'type': 'article', 'type_crossref': 'journal-article', 'indexed_in': ['crossref'], 'open_access': {'is_oa': False, 'oa_status': 'closed', 'oa_url': None, 'any_repository_has_fulltext': False}, 'authorships': [{'author_position': 'first', 'author': {'id': 'https://openalex.org/A5044180109', 'display_name': 'Yinfen Tang', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I181679659', 'display_name': 'Shanghai University of Finance and Economics', 'ror': 'https://ror.org/00wtvfq62', 'country_code': 'CN', 'type': 'education', 'lineage': ['https://openalex.org/I181679659']}], 'countries': ['CN'], 'is_corresponding': False, 'raw_author_name': 'Yinfen Tang', 'raw_affiliation_strings': ['School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China'], 'affiliations': [{'raw_affiliation_string': 'School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China', 'institution_ids': ['https://openalex.org/I181679659']}]}, {'author_position': 'last', 'author': {'id': 'https://openalex.org/A5100403335', 'display_name': 'Zhiyuan Zhang', 'orcid': 'https://orcid.org/0000-0001-8261-4820'}, 'institutions': [{'id': 'https://openalex.org/I181679659', 'display_name': 'Shanghai University of Finance and Economics', 'ror': 'https://ror.org/00wtvfq62', 'country_code': 'CN', 'type': 'education', 'lineage': ['https://openalex.org/I181679659']}], 'countries': ['CN'], 'is_corresponding': True, 'raw_author_name': 'Zhiyuan Zhang', 'raw_affiliation_strings': ['School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China', 'Zhiyuan Zhang, School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China.'], 'affiliations': [{'raw_affiliation_string': 'School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China', 'institution_ids': ['https://openalex.org/I181679659']}, {'raw_affiliation_string': 'Zhiyuan Zhang, School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai 200433, China.', 'institution_ids': ['https://openalex.org/I181679659']}]}], 'institution_assertions': [], 'countries_distinct_count': 1, 'institutions_distinct_count': 1, 'corresponding_author_ids': ['https://openalex.org/A5100403335'], 'corresponding_institution_ids': ['https://openalex.org/I181679659'], 'apc_list': {'value': 3450, 'currency': 'USD', 'value_usd': 3450, 'provenance': 'doaj'}, 'apc_paid': None, 'fwci': 0.274, 'has_fulltext': True, 'fulltext_origin': 'ngrams', 'cited_by_count': 4, 'citation_normalized_percentile': {'value': 0.733527, 'is_in_top_1_percent': False, 'is_in_top_10_percent': False}, 'cited_by_percentile_year': {'min': 77, 'max': 79}, 'biblio': {'volume': '35', 'issue': '3', 'first_page': '603', 'last_page': '623'}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T10282', 'display_name': 'Financial Risk and Volatility Modeling', 'score': 0.9997, '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': 0.9997, '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': 0.9956, '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': 0.9955, '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': [], 'concepts': [{'id': 'https://openalex.org/C91602232', 'wikidata': 'https://www.wikidata.org/wiki/Q756115', 'display_name': 'Volatility (finance)', 'level': 2, 'score': 0.748609}, {'id': 'https://openalex.org/C157286648', 'wikidata': 'https://www.wikidata.org/wiki/Q846780', 'display_name': 'Kalman filter', 'level': 2, 'score': 0.7209916}, {'id': 'https://openalex.org/C149782125', 'wikidata': 'https://www.wikidata.org/wiki/Q160039', 'display_name': 'Econometrics', 'level': 1, 'score': 0.6833805}, {'id': 'https://openalex.org/C52421305', 'wikidata': 'https://www.wikidata.org/wiki/Q1151499', 'display_name': 'Particle filter', 'level': 3, 'score': 0.62331504}, {'id': 'https://openalex.org/C51926234', 'wikidata': 'https://www.wikidata.org/wiki/Q3312426', 'display_name': 'Market microstructure', 'level': 3, 'score': 0.5697409}, {'id': 'https://openalex.org/C85393063', 'wikidata': 'https://www.wikidata.org/wiki/Q596307', 'display_name': 'Stochastic volatility', 'level': 3, 'score': 0.5396014}, {'id': 'https://openalex.org/C96250715', 'wikidata': 'https://www.wikidata.org/wiki/Q965330', 'display_name': 'Estimation', 'level': 2, 'score': 0.45991886}, {'id': 'https://openalex.org/C41008148', 'wikidata': 'https://www.wikidata.org/wiki/Q21198', 'display_name': 'Computer science', 'level': 0, 'score': 0.4321605}, {'id': 'https://openalex.org/C162324750', 'wikidata': 'https://www.wikidata.org/wiki/Q8134', 'display_name': 'Economics', 'level': 0, 'score': 0.38987702}, {'id': 'https://openalex.org/C33923547', 'wikidata': 'https://www.wikidata.org/wiki/Q395', 'display_name': 'Mathematics', 'level': 0, 'score': 0.33327413}, {'id': 'https://openalex.org/C154945302', 'wikidata': 'https://www.wikidata.org/wiki/Q11660', 'display_name': 'Artificial intelligence', 'level': 1, 'score': 0.1658558}, {'id': 'https://openalex.org/C10138342', 'wikidata': 'https://www.wikidata.org/wiki/Q43015', 'display_name': 'Finance', 'level': 1, 'score': 0.07888758}, {'id': 'https://openalex.org/C187736073', 'wikidata': 'https://www.wikidata.org/wiki/Q2920921', 'display_name': 'Management', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C182306322', 'wikidata': 'https://www.wikidata.org/wiki/Q1779371', 'display_name': 'Order (exchange)', 'level': 2, 'score': 0.0}], 'mesh': [], 'locations_count': 1, 'locations': [{'is_oa': False, 'landing_page_url': 'https://doi.org/10.1002/asmb.2352', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S178929932', 'display_name': 'Applied Stochastic Models in Business and Industry', 'issn_l': '1524-1904', 'issn': ['1524-1904', '1526-4025'], 'is_oa': False, 'is_in_doaj': False, 'is_core': True, 'host_organization': 'https://openalex.org/P4310320595', 'host_organization_name': 'Wiley', 'host_organization_lineage': ['https://openalex.org/P4310320595'], 'host_organization_lineage_names': ['Wiley'], 'type': 'journal'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}], 'best_oa_location': None, 'sustainable_development_goals': [], 'grants': [{'funder': 'https://openalex.org/F4320321001', 'funder_display_name': 'National Natural Science Foundation of China', 'award_id': '91546202'}, {'funder': 'https://openalex.org/F4320321001', 'funder_display_name': 'National Natural Science Foundation of China', 'award_id': '71331006'}], 'datasets': [], 'versions': [], 'referenced_works_count': 44, 'referenced_works': ['https://openalex.org/W1651676304', 'https://openalex.org/W1966795804', 'https://openalex.org/W1998856889', 'https://openalex.org/W2003413166', 'https://openalex.org/W2031817855', 'https://openalex.org/W2035298767', 'https://openalex.org/W2038421407', 'https://openalex.org/W2051235503', 'https://openalex.org/W2057823733', 'https://openalex.org/W2063887941', 'https://openalex.org/W2064978316', 'https://openalex.org/W2066296733', 'https://openalex.org/W2077791698', 'https://openalex.org/W2086828871', 'https://openalex.org/W2113706179', 'https://openalex.org/W2113883339', 'https://openalex.org/W2116103736', 'https://openalex.org/W2128569377', 'https://openalex.org/W2136215272', 'https://openalex.org/W2150053857', 'https://openalex.org/W2150274066', 'https://openalex.org/W2150861730', 'https://openalex.org/W2152954814', 'https://openalex.org/W2158120228', 'https://openalex.org/W2171287215', 'https://openalex.org/W2171943708', 'https://openalex.org/W2293533383', 'https://openalex.org/W2503478582', 'https://openalex.org/W2764013534', 'https://openalex.org/W2790374560', 'https://openalex.org/W3023292412', 'https://openalex.org/W3095114851', 'https://openalex.org/W3098170155', 'https://openalex.org/W3105648670', 'https://openalex.org/W3121487129', 'https://openalex.org/W3122154929', 'https://openalex.org/W3122281927', 'https://openalex.org/W3122720308', 'https://openalex.org/W3123161260', 'https://openalex.org/W3123379207', 'https://openalex.org/W3124399064', 'https://openalex.org/W3124959603', 'https://openalex.org/W3125412410', 'https://openalex.org/W4300567850'], 'related_works': ['https://openalex.org/W4253883008', 'https://openalex.org/W4252024964', 'https://openalex.org/W3148733694', 'https://openalex.org/W3123254333', 'https://openalex.org/W2556064263', 'https://openalex.org/W2286180210', 'https://openalex.org/W2015530857', 'https://openalex.org/W2010421687', 'https://openalex.org/W1991846142', 'https://openalex.org/W1583020711'], 'abstract_inverted_index': {'Abstract': [0], 'This': [1], 'paper': [2], 'introduces': [3], 'a': [4, 31], 'solution': [5], 'that': [6, 81], 'combines': [7], 'the': [8, 14, 25, 45, 67, 77], 'Kalman': [9], 'and': [10, 36, 63], 'particle': [11], 'filters': [12], 'to': [13, 52, 57], 'challenging': [15], 'problem': [16], 'of': [17, 33, 43], 'estimating': [18], 'integrated': [19], 'volatility': [20, 90], 'using': [21], 'high‐frequency': [22, 89], 'data': [23, 71], 'where': [24], 'underlying': [26], 'prices': [27], 'are': [28], 'perturbed': [29], 'by': [30], 'mixture': [32], 'random': [34], 'noise': [35], 'price': [37, 70], 'discreteness.': [38], 'An': [39], 'explanation': [40], 'is': [41, 50], 'presented': [42], 'how': [44], 'proposed': [46], 'combined': [47], 'filtering': [48], 'approach': [49], 'able': [51], 'correct': [53], 'for': [54, 72], 'bias': [55], 'due': [56], 'this': [58], 'mixed‐type': [59], 'microstructure': [60], 'effect.': [61], 'Simulation': [62], 'empirical': [64], 'studies': [65], 'on': [66], 'tick‐by‐tick': [68], 'trade': [69], 'four': [73], 'US': [74], 'stocks': [75], 'in': [76], 'year': [78], '2009': [79], 'show': [80], 'our': [82], 'method': [83], 'has': [84], 'clear': [85], 'advantages': [86], 'over': [87], 'existing': [88], 'estimation': [91], 'methods.': [92]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W2571806067', 'counts_by_year': [{'year': 2024, 'cited_by_count': 1}, {'year': 2022, 'cited_by_count': 1}, {'year': 2019, 'cited_by_count': 1}, {'year': 2014, 'cited_by_count': 1}], 'updated_date': '2024-12-16T10:09:31.216306', 'created_date': '2017-01-26'}