{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,6]],"date-time":"2025-10-06T06:07:39Z","timestamp":1759730859322,"version":"3.40.3"},"publisher-location":"Cham","reference-count":17,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783319754284"},{"type":"electronic","value":"9783319754291"}],"license":[{"start":{"date-parts":[[2018,1,1]],"date-time":"2018-01-01T00:00:00Z","timestamp":1514764800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2018]]},"DOI":"10.1007\/978-3-319-75429-1_37","type":"book-chapter","created":{"date-parts":[[2018,2,3]],"date-time":"2018-02-03T10:33:11Z","timestamp":1517653991000},"page":"445-456","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Volatility Jump Detection in Thailand Stock Market"],"prefix":"10.1007","author":[{"given":"Saowaluk","family":"Duangin","sequence":"first","affiliation":[]},{"given":"Woraphon","family":"Yamaka","sequence":"additional","affiliation":[]},{"given":"Jirakom","family":"Sirisrisakulchai","sequence":"additional","affiliation":[]},{"given":"Songsak","family":"Sriboonchitta","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2018,2,4]]},"reference":[{"issue":"5","key":"37_CR1","doi-asserted-by":"publisher","first-page":"1263","DOI":"10.1016\/j.jbankfin.2010.10.009","volume":"35","author":"JG Rangel","year":"2011","unstructured":"Rangel, J.G.: Macroeconomic news, announcements, and stock market jump intensity dynamics. J. Bank. Financ. 35(5), 1263\u20131276 (2011)","journal-title":"J. Bank. Financ."},{"issue":"3","key":"37_CR2","doi-asserted-by":"publisher","first-page":"752","DOI":"10.1016\/j.jbankfin.2010.09.002","volume":"35","author":"SM Hussain","year":"2011","unstructured":"Hussain, S.M.: Simultaneous monetary policy announcements and international stock markets response: an intraday analysis. J. Bank. Financ. 35(3), 752\u2013764 (2011)","journal-title":"J. Bank. Financ."},{"issue":"1","key":"37_CR3","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/jjfinec\/nbi022","volume":"4","author":"OE Barndorff-Nielsen","year":"2006","unstructured":"Barndorff-Nielsen, O.E., Shephard, N.: Econometrics of testing for jumps in financial economics using bipower variation. J. Financ. Econom. 4(1), 1\u201330 (2006)","journal-title":"J. Financ. Econom."},{"issue":"2","key":"37_CR4","doi-asserted-by":"publisher","first-page":"251","DOI":"10.1016\/j.jinteco.2007.02.004","volume":"73","author":"TG Andersen","year":"2007","unstructured":"Andersen, T.G., Bollerslev, T., Diebold, F.X., Vega, C.: Real-time price discovery in global stock, bond and foreign exchange markets. J. Int. Econ. 73(2), 251\u2013277 (2007)","journal-title":"J. Int. Econ."},{"key":"37_CR5","doi-asserted-by":"publisher","first-page":"2535","DOI":"10.1093\/rfs\/hhm056","volume":"21","author":"SS Lee","year":"2008","unstructured":"Lee, S.S., Mykland, P.A.: Jumps in financial markets: a new nonparametric test and jump dynamics. Rev. Financ. Stud. 21, 2535\u20132563 (2008)","journal-title":"Rev. Financ. Stud."},{"key":"37_CR6","doi-asserted-by":"crossref","unstructured":"Huang, X.: Macroeconomic news announcements, systemic risk, financial market volatility and jumps (2015)","DOI":"10.17016\/FEDS.2015.097"},{"issue":"8","key":"37_CR7","doi-asserted-by":"publisher","first-page":"2198","DOI":"10.1287\/mnsc.2015.2234","volume":"62","author":"P Bajgrowicz","year":"2015","unstructured":"Bajgrowicz, P., Scaillet, O., Treccani, A.: Jumps in high-frequency data: spurious detections, dynamics, and news. Manag. Sci. 62(8), 2198\u20132217 (2015)","journal-title":"Manag. Sci."},{"key":"37_CR8","doi-asserted-by":"publisher","first-page":"383","DOI":"10.1016\/j.csda.2014.05.015","volume":"100","author":"S Laurent","year":"2016","unstructured":"Laurent, S., Lecourt, C., Palm, F.C.: Testing for jumps in conditionally Gaussian ARMA\u2013GARCH models, a robust approach. Comput. Stat. Data Anal. 100, 383\u2013400 (2016)","journal-title":"Comput. Stat. Data Anal."},{"key":"37_CR9","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/S0169-2070(98)00053-3","volume":"15","author":"P Franses","year":"1999","unstructured":"Franses, P., Ghijsels, H.: Additive outliers, GARCH and forecasting volatility. Int. J. Forecast. 15, 1\u20139 (1999)","journal-title":"Int. J. Forecast."},{"key":"37_CR10","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 conditional heteroskedasticity. J. Econom. 31, 307\u2013327 (1986)","journal-title":"J. Econom."},{"issue":"5","key":"37_CR11","doi-asserted-by":"publisher","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","volume":"48","author":"LR Glosten","year":"1993","unstructured":"Glosten, L.R., Jagannathan, R., Runkle, D.E.: On the relation between the expected value and the volatility of the nominal excess return on stocks. J. Financ. 48(5), 1779\u20131801 (1993)","journal-title":"J. Financ."},{"key":"37_CR12","doi-asserted-by":"publisher","first-page":"347","DOI":"10.2307\/2938260","volume":"59","author":"DB Nelson","year":"1991","unstructured":"Nelson, D.B.: Conditional heteroskedasticity in asset returns: a new approach. Econom.: J. Econom. Soc. 59, 347\u2013370 (1991)","journal-title":"Econom.: J. Econom. Soc."},{"key":"37_CR13","doi-asserted-by":"crossref","unstructured":"Engle, R.F., Lee, G.: A long-run and short-run component model of stock return volatility. In: Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger, pp. 475\u2013497 (1999)","DOI":"10.1093\/oso\/9780198296836.003.0020"},{"issue":"1","key":"37_CR14","doi-asserted-by":"publisher","first-page":"75","DOI":"10.1016\/j.jeconom.2012.01.011","volume":"169","author":"TG Andersen","year":"2012","unstructured":"Andersen, T.G., Dobrev, D., Schaumburg, E.: Jump-robust volatility estimation using nearest neighbor truncation. J. Econom. 169(1), 75\u201393 (2012)","journal-title":"J. Econom."},{"issue":"4","key":"37_CR15","doi-asserted-by":"publisher","first-page":"523","DOI":"10.2307\/2676223","volume":"36","author":"P Balduzzi","year":"2001","unstructured":"Balduzzi, P., Elton, E.J., Green, T.C.: Economic news and bond prices: evidence from the US Treasury market. J. Financ. Quant. Anal. 36(4), 523\u2013543 (2001)","journal-title":"J. Financ. Quant. Anal."},{"key":"37_CR16","doi-asserted-by":"publisher","first-page":"453","DOI":"10.3982\/ECTA5771","volume":"79","author":"P Hansen","year":"2011","unstructured":"Hansen, P., Lunde, A., Nason, J.: Model confidence sets. Econometrica 79, 453\u2013497 (2011)","journal-title":"Econometrica"},{"issue":"2","key":"37_CR17","doi-asserted-by":"publisher","first-page":"242","DOI":"10.1080\/07350015.2012.663250","volume":"30","author":"AM Dumitru","year":"2012","unstructured":"Dumitru, A.M., Urga, G.: Identifying jumps in financial assets: a comparison between nonparametric jump tests. J. Bus. Econ. Stat. 30(2), 242\u2013255 (2012)","journal-title":"J. Bus. Econ. Stat."}],"container-title":["Lecture Notes in Computer Science","Integrated Uncertainty in Knowledge Modelling and Decision Making"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-75429-1_37","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,7]],"date-time":"2024-03-07T15:59:57Z","timestamp":1709827197000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-319-75429-1_37"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018]]},"ISBN":["9783319754284","9783319754291"],"references-count":17,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-75429-1_37","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"type":"print","value":"0302-9743"},{"type":"electronic","value":"1611-3349"}],"subject":[],"published":{"date-parts":[[2018]]},"assertion":[{"value":"4 February 2018","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}},{"value":"IUKM","order":1,"name":"conference_acronym","label":"Conference Acronym","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making","order":2,"name":"conference_name","label":"Conference Name","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Hanoi","order":3,"name":"conference_city","label":"Conference City","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"Vietnam","order":4,"name":"conference_country","label":"Conference Country","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"2018","order":5,"name":"conference_year","label":"Conference Year","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"15 March 2018","order":7,"name":"conference_start_date","label":"Conference Start Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"17 March 2018","order":8,"name":"conference_end_date","label":"Conference End Date","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"6","order":9,"name":"conference_number","label":"Conference Number","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"iukm2018","order":10,"name":"conference_id","label":"Conference ID","group":{"name":"ConferenceInfo","label":"Conference Information"}},{"value":"http:\/\/www.jaist.ac.jp\/IUKM\/IUKM2018\/","order":11,"name":"conference_url","label":"Conference URL","group":{"name":"ConferenceInfo","label":"Conference Information"}}]}}