Publication Information

{'id': 'https://openalex.org/W2973143259', 'doi': None, 'title': 'Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model', 'display_name': 'Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model', 'publication_year': 2019, 'publication_date': '2019-01-01', 'ids': {'openalex': 'https://openalex.org/W2973143259', 'mag': '2973143259'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://econpapers.repec.org/RePEc:ulp:sbbeta:2019-24', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I77793887', 'host_organization_name': 'Federal Reserve Bank of St. Louis', 'host_organization_lineage': ['https://openalex.org/I77793887'], 'host_organization_lineage_names': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}, 'type': 'preprint', 'type_crossref': 'posted-content', 'indexed_in': [], '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/A5055838063', 'display_name': 'Mohamed Chikhi', 'orcid': 'https://orcid.org/0000-0003-4955-9545'}, 'institutions': [], 'countries': [], 'is_corresponding': False, 'raw_author_name': 'Mohamed Chikhi', 'raw_affiliation_strings': [], 'affiliations': []}, {'author_position': 'middle', 'author': {'id': 'https://openalex.org/A5109991702', 'display_name': 'Claude Diebolt', 'orcid': None}, 'institutions': [], 'countries': [], 'is_corresponding': False, 'raw_author_name': 'Claude Diebolt', 'raw_affiliation_strings': [], 'affiliations': []}, {'author_position': 'last', 'author': {'id': 'https://openalex.org/A5025111251', 'display_name': 'Tapas Mishra', 'orcid': 'https://orcid.org/0000-0002-6902-2326'}, 'institutions': [], 'countries': [], 'is_corresponding': False, 'raw_author_name': 'Tapas Mishra', 'raw_affiliation_strings': [], 'affiliations': []}], 'institution_assertions': [], 'countries_distinct_count': 0, 'institutions_distinct_count': 0, 'corresponding_author_ids': [], 'corresponding_institution_ids': [], 'apc_list': None, 'apc_paid': None, 'fwci': None, 'has_fulltext': False, 'cited_by_count': 0, 'citation_normalized_percentile': {'value': 0.0, 'is_in_top_1_percent': False, 'is_in_top_10_percent': False}, 'cited_by_percentile_year': {'min': 0, 'max': 61}, 'biblio': {'volume': None, 'issue': None, 'first_page': None, 'last_page': None}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T11326', 'display_name': 'Stock Market Forecasting Methods', 'score': 0.9973, 'subfield': {'id': 'https://openalex.org/subfields/1803', 'display_name': 'Management Science and Operations Research'}, 'field': {'id': 'https://openalex.org/fields/18', 'display_name': 'Decision Sciences'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, 'topics': [{'id': 'https://openalex.org/T11326', 'display_name': 'Stock Market Forecasting Methods', 'score': 0.9973, 'subfield': {'id': 'https://openalex.org/subfields/1803', 'display_name': 'Management Science and Operations Research'}, 'field': {'id': 'https://openalex.org/fields/18', 'display_name': 'Decision Sciences'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}, {'id': 'https://openalex.org/T10047', 'display_name': 'Financial Markets and Investment Strategies', 'score': 0.9942, '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/T11918', 'display_name': 'Forecasting Techniques and Applications', 'score': 0.9887, 'subfield': {'id': 'https://openalex.org/subfields/1803', 'display_name': 'Management Science and Operations Research'}, 'field': {'id': 'https://openalex.org/fields/18', 'display_name': 'Decision Sciences'}, 'domain': {'id': 'https://openalex.org/domains/2', 'display_name': 'Social Sciences'}}], 'keywords': [{'id': 'https://openalex.org/keywords/volatility-clustering', 'display_name': 'Volatility clustering', 'score': 0.59937614}, {'id': 'https://openalex.org/keywords/stock', 'display_name': 'Stock (firearms)', 'score': 0.57628816}, {'id': 'https://openalex.org/keywords/leverage', 'display_name': 'Leverage (statistics)', 'score': 0.4569422}, {'id': 'https://openalex.org/keywords/random-walk-hypothesis', 'display_name': 'Random walk hypothesis', 'score': 0.42475823}], 'concepts': [{'id': 'https://openalex.org/C149782125', 'wikidata': 'https://www.wikidata.org/wiki/Q160039', 'display_name': 'Econometrics', 'level': 1, 'score': 0.75717854}, {'id': 'https://openalex.org/C162324750', 'wikidata': 'https://www.wikidata.org/wiki/Q8134', 'display_name': 'Economics', 'level': 0, 'score': 0.6688148}, {'id': 'https://openalex.org/C91602232', 'wikidata': 'https://www.wikidata.org/wiki/Q756115', 'display_name': 'Volatility (finance)', 'level': 2, 'score': 0.6089556}, {'id': 'https://openalex.org/C159877910', 'wikidata': 'https://www.wikidata.org/wiki/Q2202883', 'display_name': 'Autoregressive model', 'level': 2, 'score': 0.6025984}, {'id': 'https://openalex.org/C2776142675', 'wikidata': 'https://www.wikidata.org/wiki/Q7939999', 'display_name': 'Volatility clustering', 'level': 4, 'score': 0.59937614}, {'id': 'https://openalex.org/C122342681', 'wikidata': 'https://www.wikidata.org/wiki/Q330828', 'display_name': 'Skewness', 'level': 2, 'score': 0.5852993}, {'id': 'https://openalex.org/C204036174', 'wikidata': 'https://www.wikidata.org/wiki/Q909380', 'display_name': 'Stock (firearms)', 'level': 2, 'score': 0.57628816}, {'id': 'https://openalex.org/C121194460', 'wikidata': 'https://www.wikidata.org/wiki/Q856741', 'display_name': 'Random walk', 'level': 2, 'score': 0.47840866}, {'id': 'https://openalex.org/C153083717', 'wikidata': 'https://www.wikidata.org/wiki/Q6535263', 'display_name': 'Leverage (statistics)', 'level': 2, 'score': 0.4569422}, {'id': 'https://openalex.org/C94128290', 'wikidata': 'https://www.wikidata.org/wiki/Q963287', 'display_name': 'Value at risk', 'level': 3, 'score': 0.449017}, {'id': 'https://openalex.org/C2780299701', 'wikidata': 'https://www.wikidata.org/wiki/Q475000', 'display_name': 'Stock market', 'level': 3, 'score': 0.44357076}, {'id': 'https://openalex.org/C46461501', 'wikidata': 'https://www.wikidata.org/wiki/Q1935853', 'display_name': 'Random walk hypothesis', 'level': 4, 'score': 0.42475823}, {'id': 'https://openalex.org/C101104100', 'wikidata': 'https://www.wikidata.org/wiki/Q1063540', 'display_name': 'Heteroscedasticity', 'level': 2, 'score': 0.41234943}, {'id': 'https://openalex.org/C23922673', 'wikidata': 'https://www.wikidata.org/wiki/Q180752', 'display_name': 'Autoregressive conditional heteroskedasticity', 'level': 3, 'score': 0.27043903}, {'id': 'https://openalex.org/C33923547', 'wikidata': 'https://www.wikidata.org/wiki/Q395', 'display_name': 'Mathematics', 'level': 0, 'score': 0.18415907}, {'id': 'https://openalex.org/C105795698', 'wikidata': 'https://www.wikidata.org/wiki/Q12483', 'display_name': 'Statistics', 'level': 1, 'score': 0.18182659}, {'id': 'https://openalex.org/C32896092', 'wikidata': 'https://www.wikidata.org/wiki/Q189447', 'display_name': 'Risk management', 'level': 2, 'score': 0.14240348}, {'id': 'https://openalex.org/C10138342', 'wikidata': 'https://www.wikidata.org/wiki/Q43015', 'display_name': 'Finance', 'level': 1, 'score': 0.10016346}, {'id': 'https://openalex.org/C78519656', 'wikidata': 'https://www.wikidata.org/wiki/Q101333', 'display_name': 'Mechanical engineering', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C151730666', 'wikidata': 'https://www.wikidata.org/wiki/Q7205', 'display_name': 'Paleontology', 'level': 1, 'score': 0.0}, {'id': 'https://openalex.org/C2780762169', 'wikidata': 'https://www.wikidata.org/wiki/Q5905368', 'display_name': 'Horse', 'level': 2, 'score': 0.0}, {'id': 'https://openalex.org/C127413603', 'wikidata': 'https://www.wikidata.org/wiki/Q11023', 'display_name': 'Engineering', 'level': 0, 'score': 0.0}, {'id': 'https://openalex.org/C86803240', 'wikidata': 'https://www.wikidata.org/wiki/Q420', 'display_name': 'Biology', 'level': 0, 'score': 0.0}], 'mesh': [], 'locations_count': 1, 'locations': [{'is_oa': False, 'landing_page_url': 'https://econpapers.repec.org/RePEc:ulp:sbbeta:2019-24', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S4306401271', 'display_name': 'RePEc: Research Papers in Economics', 'issn_l': None, 'issn': None, 'is_oa': True, 'is_in_doaj': False, 'is_core': False, 'host_organization': 'https://openalex.org/I77793887', 'host_organization_name': 'Federal Reserve Bank of St. Louis', 'host_organization_lineage': ['https://openalex.org/I77793887'], 'host_organization_lineage_names': ['Federal Reserve Bank of St. Louis'], 'type': 'repository'}, 'license': None, 'license_id': None, 'version': 'submittedVersion', 'is_accepted': False, 'is_published': False}], 'best_oa_location': None, 'sustainable_development_goals': [], 'grants': [], 'datasets': [], 'versions': [], 'referenced_works_count': 0, 'referenced_works': [], 'related_works': ['https://openalex.org/W76356933', 'https://openalex.org/W66296829', 'https://openalex.org/W3200890183', 'https://openalex.org/W316139073', 'https://openalex.org/W3137767246', 'https://openalex.org/W3124820561', 'https://openalex.org/W3122153541', 'https://openalex.org/W2996666610', 'https://openalex.org/W2491749597', 'https://openalex.org/W2289724554', 'https://openalex.org/W2278970466', 'https://openalex.org/W2264942019', 'https://openalex.org/W2257406730', 'https://openalex.org/W2212040838', 'https://openalex.org/W2154193020', 'https://openalex.org/W2106851297', 'https://openalex.org/W2090543014', 'https://openalex.org/W1976906381', 'https://openalex.org/W1771450022', 'https://openalex.org/W127393659'], 'abstract_inverted_index': {'Stock': [0], 'price': [1, 124, 137, 230], 'forecasting,': [2], 'a': [3, 34, 44, 66, 87, 122, 234], 'popular': [4], 'growth-enhancing': [5], 'exercise': [6], 'for': [7, 167, 171, 193, 216, 227], 'investors,': [8], 'is': [9, 98, 130, 165], 'inherently': [10], 'complex': [11], '–': [12], 'thanks': [13], 'to': [14, 48, 85], 'the': [15, 24, 29, 54, 61, 146, 154, 163, 208, 218], 'interplay': [16], 'of': [17, 26, 31, 56, 68, 95, 115, 119, 222], 'financial': [18, 223], 'economic': [19], 'drivers': [20], 'which': [21, 92, 116], 'determine': [22], 'both': [23, 41, 172, 194], 'magnitude': [25, 118], 'memory': [27, 120], 'and': [28, 52, 110, 132, 151, 162, 176], 'extent': [30], 'non-linearity': [32], 'within': [33, 43], 'system.': [35, 125], 'In': [36], 'this': [37, 96, 184], 'paper,': [38], 'we': [39], 'accommodate': [40], 'features': [42], 'single': [45], 'estimation': [46], 'framework': [47, 89], 'forecast': [49, 128], 'stock': [50, 123, 136, 229], 'prices': [51], 'identify': [53], 'nature': [55], 'market': [57], 'efficiency': [58, 220], 'commensurate': [59], 'with': [60, 77], 'proposed': [62], 'model.': [63, 211], 'We': [64, 141, 181], 'combine': [65], 'class': [67], 'semiparametric': [69], 'autoregressive': [70, 81], 'fractionally': [71], 'integrated': [72], 'moving': [73], 'average': [74], '(SEMIFARMA)': [75], 'model': [76, 97, 185, 205], 'asymmetric': [78], 'exponential': [79], 'generalized': [80], 'score': [82], '(AEGAS)': [83], 'errors': [84], 'design': [86], 'SEMIRFARMA-AEGAS': [88, 204], 'based': [90], 'on': [91, 160], 'predictive': [93, 188], 'performance': [94, 189], 'tested': [99], 'against': [100], 'competing': [101, 191], 'methods.': [102], 'Our': [103, 212], 'conditional': [104], 'variance': [105], 'includes': [106], 'leverage': [107], 'effects,': [108], 'jumps': [109], 'fat': [111], 'tail-skewness': [112], 'distribution,': [113], 'each': [114], 'affects': [117], 'in': [121], 'A': [126], 'true': [127], 'function': [129], 'built': [131], 'new': [133], 'insights': [134], 'into': [135], 'forecasting': [138], 'are': [139], 'presented.': [140], 'estimate': [142], 'several': [143], 'models': [144, 192], 'using': [145], 'Skewed': [147], 'Student-t': [148], 'maximum': [149], 'likelihood': [150], 'find': [152], 'that': [153, 183], 'informational': [155], 'shocks': [156], 'have': [157, 214], 'permanent': [158], 'effects': [159], 'returns': [161, 178, 231], 'SEMIFARMA-AEGAS': [164], 'appropriate': [166], 'capturing': [168], 'volatility': [169], 'clustering': [170], 'negative': [173], '(long': [174], 'Value-at-Risk)': [175], 'positive': [177], '(short': [179], 'Value-at-Risk).': [180], 'show': [182], 'has': [186], 'better': [187], 'over': [190, 233], 'long': [195, 235], 'and/or': [196], 'some': [197], 'short': [198], 'time': [199], 'horizons.': [200], 'The': [201], 'predictions': [202], 'from': [203], 'beats': [206], 'comfortably': [207], 'random': [209], 'walk': [210], 'results': [213], 'implications': [215], 'market-efficiency:': [217], 'weak': [219], 'assumption': [221], 'markets': [224], 'stands': [225], 'violated': [226], 'all': [228], 'studied': [232], 'period.': [236]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W2973143259', 'counts_by_year': [], 'updated_date': '2024-12-06T22:16:25.639156', 'created_date': '2019-09-19'}