{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,1]],"date-time":"2026-04-01T03:02:45Z","timestamp":1775012565816,"version":"3.50.1"},"reference-count":18,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2005,7,1]],"date-time":"2005-07-01T00:00:00Z","timestamp":1120176000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2005,7,1]],"date-time":"2005-07-01T00:00:00Z","timestamp":1120176000000},"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":["Probl Inf Transm"],"published-print":{"date-parts":[[2005,7]]},"DOI":"10.1007\/s11122-005-0026-2","type":"journal-article","created":{"date-parts":[[2005,10,19]],"date-time":"2005-10-19T12:39:02Z","timestamp":1129725542000},"page":"212-229","source":"Crossref","is-referenced-by-count":4,"title":["Tracking Volatility"],"prefix":"10.1007","volume":"41","author":[{"given":"L.","family":"Goldentayer","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"F.","family":"Klebaner","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"R. Sh.","family":"Liptser","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","reference":[{"key":"26_CR1","doi-asserted-by":"crossref","first-page":"159","DOI":"10.17578\/4-3\/4-2","volume":"4","author":"T. Andersen","year":"2000","unstructured":"Andersen, T., Bollerslev, T., Diebold, F.X., and Labys, P., Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian, Multinational Finance J., 2000, vol. 4, pp. 159\u2013179.","journal-title":"Multinational Finance J."},{"key":"26_CR2","doi-asserted-by":"publisher","first-page":"91","DOI":"10.1016\/0304-4076(92)90066-Z","volume":"52","author":"R.T. Baillie","year":"1992","unstructured":"Baillie, R.T. and Bollerslev, T., Prediction in Dynamic Models with Time-Dependent Conditional Variances, J. Econometrics, 1992, vol. 52, pp. 91\u2013113.","journal-title":"J. Econometrics"},{"key":"26_CR3","doi-asserted-by":"publisher","first-page":"167","DOI":"10.1016\/0304-405X(76)90024-6","volume":"9","author":"F. Black","year":"1976","unstructured":"Black, F., The Pricing of Commodity Contracts, J. Financial Economics, 1976, vol. 9, pp. 167\u2013179.","journal-title":"J. Financial Economics"},{"key":"26_CR4","doi-asserted-by":"publisher","first-page":"637","DOI":"10.1086\/260062","volume":"81","author":"F. Black","year":"1973","unstructured":"Black, F. and Scholes, M., The Pricing of Options and Corporate Liabilities, J. Political Economics, 1973, vol. 81, pp. 637\u2013659.","journal-title":"J. Political Economics"},{"key":"26_CR5","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. Econometrics, 1986, vol. 31, pp. 307\u2013327.","journal-title":"J. Econometrics"},{"key":"26_CR6","doi-asserted-by":"crossref","first-page":"33","DOI":"10.3905\/jod.1993.407876","volume":"1","author":"T.E. Day","year":"1993","unstructured":"Day, T.E. and Lewis, C.M., Forecasting Futures Market Volatility, J. Derivatives, 1993, vol. 1, pp. 33\u201350.","journal-title":"J. Derivatives"},{"issue":"1","key":"26_CR7","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1111\/j.1467-9965.1995.tb00099.x","volume":"5","author":"J.C. Duan","year":"1995","unstructured":"Duan, J.C., The GARCH Option Pricing Model, Math. Finance, 1995, vol. 5, no.1, pp. 13\u201332.","journal-title":"Math. Finance"},{"key":"26_CR8","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"J.D. Hamilton","year":"1994","unstructured":"Hamilton, J.D., Time Series Analysis, Princeton: Princeton Univ. Press, 1994."},{"key":"26_CR9","doi-asserted-by":"publisher","first-page":"5","DOI":"10.1016\/0304-4076(92)90064-X","volume":"52","author":"T. Bollerslev","year":"1992","unstructured":"Bollerslev, T., Chou, R.Y., and Kroner, K.F., ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence, J. Econometrics, 1992, vol. 52, pp. 5\u201359.","journal-title":"J. Econometrics"},{"key":"26_CR10","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"R. Engle","year":"1982","unstructured":"Engle, R., Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 1982, vol. 50, pp. 987\u20131007.","journal-title":"Econometrica"},{"issue":"3","key":"26_CR11","doi-asserted-by":"crossref","first-page":"567","DOI":"10.4213\/tvp3696","volume":"47","author":"R. Liptser","year":"2002","unstructured":"Liptser, R. and Khasminskii, R., On-line Estimation of a Smooth Regression Function, Teor. Veroyatn. Primen., 2002, vol. 47, no.3, pp. 567\u2013594.","journal-title":"Teor. Veroyatn. Primen."},{"key":"26_CR12","unstructured":"Goldentayer, L. and Liptser, R., On-line Tracking of a Smooth Regression Function, Stat. Inference Stoch. Process., to appear."},{"key":"26_CR13","unstructured":"Mercurio, D. and Spokoiny, V., Statistical Inference for Time-Inhomogeneous Volatility Models, Preprint of Weierstrass Inst. for Applied Analysis and Stochastics, 2000, no. 583. Avaiable at www.wias-berlin.de\/publications\/preprints\/index-2000.html."},{"issue":"4","key":"26_CR14","first-page":"780","volume":"252","author":"I. Ibragimov","year":"1980","unstructured":"Ibragimov, I. and Khasminskii, R., On Nonparametric Estimation of Regression, Doklady Akad. Nauk SSSR, 1980, vol. 252, no.4, pp. 780\u2013784 [Soviet Math. Dokl. (Engl. Transl.), 1980, vol. 21, pp. 810\u2013814].","journal-title":"Doklady Akad. Nauk SSSR"},{"key":"26_CR15","volume-title":"Asimptoticheskaya teoriya otsenivaniya","author":"I.A. Ibragimov","year":"1979","unstructured":"Ibragimov, I.A. and Khas'minskii, R.Z., Asimptoticheskaya teoriya otsenivaniya, Moscow: Nauka, 1979. Translated under the title Statistical Estimation. Asymptotic Theory, New York: Springer, 1981."},{"key":"26_CR16","doi-asserted-by":"crossref","first-page":"1040","DOI":"10.1214\/aos\/1176345969","volume":"10","author":"C. Stone","year":"1982","unstructured":"Stone, C., Optimal Global Rates of Convergence for Nonparametric Regression, Ann. Statist., 1982, vol. 10, pp. 1040\u20131053.","journal-title":"Ann. Statist."},{"issue":"3","key":"26_CR17","doi-asserted-by":"publisher","first-page":"873","DOI":"10.1109\/18.568698","volume":"43","author":"A. Goldenshluger","year":"1997","unstructured":"Goldenshluger, A. and Nemirovski, A., Adaptive De-noising of Signals Satisfying Differential Inequalities, IEEE Trans. Inform. Theory, 1997, vol. 43, no.3, pp. 873\u2013889.","journal-title":"IEEE Trans. Inform. Theory"},{"issue":"2","key":"26_CR18","doi-asserted-by":"publisher","first-page":"259","DOI":"10.1016\/S0304-4149(97)00046-X","volume":"69","author":"P.L. Chow","year":"1997","unstructured":"Chow, P.L., Khasminskii, R., and Liptser, R., Tracking of Signal and Its Derivatives in the Gaussian White Noise, Stochastic Process. Appl., 1997, vol. 69, no.2, pp. 259\u2013273.","journal-title":"Stochastic Process. Appl."}],"container-title":["Problems of Information Transmission"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s11122-005-0026-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s11122-005-0026-2","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11122-005-0026-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s11122-005-0026-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,4,1]],"date-time":"2026-04-01T02:00:08Z","timestamp":1775008808000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s11122-005-0026-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005,7]]},"references-count":18,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2005,7]]}},"alternative-id":["26"],"URL":"https:\/\/doi.org\/10.1007\/s11122-005-0026-2","relation":{},"ISSN":["0032-9460","1608-3253"],"issn-type":[{"value":"0032-9460","type":"print"},{"value":"1608-3253","type":"electronic"}],"subject":[],"published":{"date-parts":[[2005,7]]}}}