{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,27]],"date-time":"2025-03-27T09:58:43Z","timestamp":1743069523821,"version":"3.40.3"},"publisher-location":"Cham","reference-count":25,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783319033945"},{"type":"electronic","value":"9783319033952"}],"license":[{"start":{"date-parts":[[2014,1,1]],"date-time":"2014-01-01T00:00:00Z","timestamp":1388534400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2014,1,1]],"date-time":"2014-01-01T00:00:00Z","timestamp":1388534400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2014]]},"DOI":"10.1007\/978-3-319-03395-2_5","type":"book-chapter","created":{"date-parts":[[2013,11,16]],"date-time":"2013-11-16T14:08:58Z","timestamp":1384610938000},"page":"81-99","source":"Crossref","is-referenced-by-count":0,"title":["An Innovative Financial Time Series Model: The Geometric Process Model"],"prefix":"10.1007","author":[{"given":"Jennifer S. K.","family":"Chan","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Connie P. Y.","family":"Lam","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"S. T. Boris","family":"Choy","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","reference":[{"key":"5_CR1","doi-asserted-by":"publisher","first-page":"885","DOI":"10.2307\/2527343","volume":"39","author":"T. Andersen","year":"1998","unstructured":"Andersen, T., Bollerslev, T.: Answering the skeptics: yes, standard volatility models do provide accurate forecasts. International Economic Review\u00a039, 885\u2013905 (1998)","journal-title":"International Economic Review"},{"key":"5_CR2","doi-asserted-by":"publisher","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"T. Bollerslev","year":"1986","unstructured":"Bollerslev, T.: Generalized autoregressive conidtional heteroskedasticity. Journal of Econometrics\u00a031, 307\u2013327 (1986)","journal-title":"Journal of Econometrics"},{"key":"5_CR3","doi-asserted-by":"publisher","first-page":"470","DOI":"10.1198\/073500106000000206","volume":"24","author":"M.W. Brandt","year":"2006","unstructured":"Brandt, M.W., Jones, C.S.: Volatility forecasting with range-based EGARCH models. Journal of Business and Economic Statistics\u00a024, 470\u2013486 (2006)","journal-title":"Journal of Business and Economic Statistics"},{"key":"5_CR4","doi-asserted-by":"publisher","first-page":"565","DOI":"10.1016\/j.csda.2003.12.004","volume":"47","author":"J.S.K. Chan","year":"2004","unstructured":"Chan, J.S.K., Lam, Y., Leung, D.Y.P.: Statistical inference for geometric processes with gamma distributions. Computional Statistics and Data Analysis\u00a047, 565\u2013581 (2004)","journal-title":"Computional Statistics and Data Analysis"},{"key":"5_CR5","doi-asserted-by":"publisher","first-page":"1826","DOI":"10.1002\/sim.2376","volume":"25","author":"J.S.K. Chan","year":"2006","unstructured":"Chan, J.S.K., Yu, P.L.H., Lam, Y., Ho, A.P.K.: Modeling SARS data using threshold geometric process. Statistics in Medicine\u00a025, 1826\u20131839 (2006)","journal-title":"Statistics in Medicine"},{"key":"5_CR6","doi-asserted-by":"publisher","first-page":"505","DOI":"10.1007\/s00180-010-0190-8","volume":"25","author":"J.S.K. Chan","year":"2010","unstructured":"Chan, J.S.K., Leung, D.Y.P.: A new approach to the modelling longitudinal binary data with trend: the binary geometric process model. Computational Statistics\u00a025, 505\u2013536 (2010)","journal-title":"Computational Statistics"},{"key":"5_CR7","doi-asserted-by":"publisher","first-page":"3006","DOI":"10.1016\/j.csda.2011.01.006","volume":"56","author":"J.S.K. Chan","year":"2012","unstructured":"Chan, J.S.K., Lam, C.P.Y., Yu, P.L.H., Choy, S.T.B., Chen, C.W.S.: A Bayesian conditional autoregressive geometric process model for range data. Computational Statistics and Data Analysis\u00a056, 3006\u20133019 (2012)","journal-title":"Computational Statistics and Data Analysis"},{"key":"5_CR8","doi-asserted-by":"publisher","first-page":"2990","DOI":"10.1016\/j.csda.2007.08.002","volume":"52","author":"C.W.S. Chen","year":"2008","unstructured":"Chen, C.W.S., Gerlach, R.H., Lin, E.M.H.: Forecast volatility from threshold heteroskedastic range models. Computational Statistics and Data Analysis, on Statistical & Computational Methods in Finance\u00a052, 2990\u20133010 (2008)","journal-title":"Computational Statistics and Data Analysis, on Statistical & Computational Methods in Finance"},{"key":"5_CR9","doi-asserted-by":"publisher","first-page":"561","DOI":"10.1353\/mcb.2005.0027","volume":"37","author":"R. Chou","year":"2005","unstructured":"Chou, R.: Forecasting Financial Volatilities With Extreme Values: The Conditional Autoregressive Range (CARR) Model. Journal of Money Credit and Banking\u00a037, 561\u2013582 (2005)","journal-title":"Journal of Money Credit and Banking"},{"key":"5_CR10","doi-asserted-by":"publisher","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"R.F. Engle","year":"1982","unstructured":"Engle, R.F.: Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica\u00a050, 987\u20131008 (1982)","journal-title":"Econometrica"},{"key":"5_CR11","doi-asserted-by":"publisher","first-page":"98","DOI":"10.1090\/S0002-9947-1949-0032114-7","volume":"67","author":"W. Feller","year":"1949","unstructured":"Feller, W.: Fluctuation theory of recurrent events. Transactions of the American Mathematical Society\u00a067, 98\u2013119 (1949)","journal-title":"Transactions of the American Mathematical Society"},{"key":"5_CR12","doi-asserted-by":"publisher","first-page":"67","DOI":"10.1086\/296072","volume":"53","author":"M.B. Garman","year":"1980","unstructured":"Garman, M.B., Klass, M.J.: On the estimation of price volatility from historical data. Journal of Business\u00a053, 67\u201378 (1980)","journal-title":"Journal of Business"},{"key":"5_CR13","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-4485-6","volume-title":"Markov Chain Monte Carlo in Practice","author":"W.R. Gilks","year":"1996","unstructured":"Gilks, W.R., Richardson, S., Spiegelhalter, D.J.: Markov Chain Monte Carlo in Practice. Chapman and Hall, UK (1996)"},{"key":"5_CR14","doi-asserted-by":"publisher","first-page":"327","DOI":"10.1093\/rfs\/6.2.327","volume":"6","author":"S.L. Heston","year":"1993","unstructured":"Heston, S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies\u00a06, 327\u2013343 (1993)","journal-title":"Review of Financial Studies"},{"key":"5_CR15","first-page":"29","volume":"3","author":"J.C. Hull","year":"1988","unstructured":"Hull, J.C., White, A.: An analysis of the bias in option pricing caused by by a stochastic volatility. Advances in Futures and Options Research\u00a03, 29\u201361 (1988)","journal-title":"Advances in Futures and Options Research"},{"key":"5_CR16","doi-asserted-by":"publisher","first-page":"366","DOI":"10.1007\/BF02007241","volume":"4","author":"Y. Lam","year":"1988","unstructured":"Lam, Y.: Geometric process and replacement problem. Acta Mathematicae Applicatae Sinica\u00a04, 366\u2013377 (1988)","journal-title":"Acta Mathematicae Applicatae Sinica"},{"key":"5_CR17","doi-asserted-by":"publisher","first-page":"2083","DOI":"10.1080\/03610929208830899","volume":"21","author":"Y. Lam","year":"1992","unstructured":"Lam, Y.: Nonparametric inference for geometric processes. Commun. Statist. Theory Meth.\u00a021, 2083\u20132105 (1992)","journal-title":"Commun. Statist. Theory Meth."},{"key":"5_CR18","doi-asserted-by":"publisher","first-page":"99","DOI":"10.1016\/S0167-9473(97)00046-7","volume":"27","author":"Y. Lam","year":"1998","unstructured":"Lam, Y., Chan, J.S.K.: Statistical inference for geometric processes with lognormal distribution. Computional Statistics and Data Analysis\u00a027, 99\u2013112 (1998)","journal-title":"Computional Statistics and Data Analysis"},{"key":"5_CR19","unstructured":"Lam, Y.: The Geometric Process and it\u2019s applications. World Scientific Publishing Co. Pte. Ltd. (2007)"},{"key":"5_CR20","doi-asserted-by":"publisher","first-page":"61","DOI":"10.1086\/296071","volume":"53","author":"M. Parkinson","year":"1980","unstructured":"Parkinson, M.: The extreme value method for estimating the variance of the rate of return. Journal of Business\u00a053, 61\u201365 (1980)","journal-title":"Journal of Business"},{"key":"5_CR21","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1111\/j.2517-6161.1993.tb01466.x","volume":"55","author":"A.F.M. Smith","year":"1993","unstructured":"Smith, A.F.M., Roberts, G.O.: Bayesian Computation via the Gibbs Sampler and Related Markov Chain Monte Carlo Methods. Journal of the Royal Statistical Society B\u00a055, 3\u201323 (1993)","journal-title":"Journal of the Royal Statistical Society B"},{"key":"5_CR22","unstructured":"Spiegelhalter, D., Thomas, A., Best, N.: Bayesian inference using Gibbs sampling for Window version (2000), The website for WinBUGS is http:\/\/www.mrc-bsu.cam.ac\/bugs"},{"key":"5_CR23","doi-asserted-by":"publisher","first-page":"583","DOI":"10.1111\/1467-9868.00353","volume":"64","author":"D. Spiegelhalter","year":"2002","unstructured":"Spiegelhalter, D., Best, N.G., Carlin, B.P., Van der Linde, A.: Bayesian Measures of Model Complexity and Fit (with Discussion). Journal of the Royal Statistical Society B\u00a064, 583\u2013616 (2002)","journal-title":"Journal of the Royal Statistical Society B"},{"key":"5_CR24","doi-asserted-by":"publisher","first-page":"556","DOI":"10.1002\/bimj.200800162","volume":"51","author":"W.Y. Wan","year":"2009","unstructured":"Wan, W.Y., Chan, J.S.K.: A new approach for handling longitudinal count data with zero inflation and overdispersion: Poisson Geometric Process model. Biometrical Journal\u00a051, 556\u2013570 (2009)","journal-title":"Biometrical Journal"},{"key":"5_CR25","doi-asserted-by":"publisher","first-page":"687","DOI":"10.1016\/j.csda.2010.06.011","volume":"55","author":"W.Y. Wan","year":"2011","unstructured":"Wan, W.Y., Chan, J.S.K.: Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions. Computational Statistics and Data Analysis\u00a055, 687\u2013702 (2011)","journal-title":"Computational Statistics and Data Analysis"}],"container-title":["Advances in Intelligent Systems and Computing","Modeling Dependence in Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-03395-2_5","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,5,19]],"date-time":"2024-05-19T13:59:59Z","timestamp":1716127199000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-319-03395-2_5"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014]]},"ISBN":["9783319033945","9783319033952"],"references-count":25,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-03395-2_5","relation":{},"ISSN":["2194-5357","2194-5365"],"issn-type":[{"type":"print","value":"2194-5357"},{"type":"electronic","value":"2194-5365"}],"subject":[],"published":{"date-parts":[[2014]]}}}