{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T22:00:25Z","timestamp":1740175225690,"version":"3.37.3"},"reference-count":27,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2017,3,3]],"date-time":"2017-03-03T00:00:00Z","timestamp":1488499200000},"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":["Int. J. Fuzzy Syst."],"published-print":{"date-parts":[[2018,1]]},"DOI":"10.1007\/s40815-017-0298-x","type":"journal-article","created":{"date-parts":[[2017,3,2]],"date-time":"2017-03-02T22:38:25Z","timestamp":1488494305000},"page":"116-127","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["A Novel Multivariate Volatility Modeling for Risk Management in Stock Markets"],"prefix":"10.1007","volume":"20","author":[{"given":"Zi-Kai","family":"Wei","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7523-4069","authenticated-orcid":false,"given":"Ka-Fai Cedric","family":"Yiu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Heung","family":"Wong","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kit-Yan","family":"Chan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,3,3]]},"reference":[{"key":"298_CR1","doi-asserted-by":"crossref","first-page":"12","DOI":"10.1162\/003465300558597","volume":"82","author":"PF Christoffersen","year":"2000","unstructured":"Christoffersen, P.F., Diebold, F.X.: How relevant is volatility forecasting for financial risk management? Rev. Econ. Stat. 82, 12\u201323 (2000)","journal-title":"Rev. Econ. Stat."},{"issue":"7","key":"298_CR2","doi-asserted-by":"crossref","first-page":"1317","DOI":"10.1016\/S0165-1889(03)00116-7","volume":"28","author":"KFC Yiu","year":"2004","unstructured":"Yiu, K.F.C.: Optimal portfolios under a value-at-risk constraint. J. Econ. Dyn. Control 28(7), 1317\u20131334 (2004)","journal-title":"J. Econ. Dyn. Control"},{"key":"298_CR3","volume-title":"Value at Risk: The New Benchmark for Managing Financial Risk","author":"P Jorion","year":"2006","unstructured":"Jorion, P.: Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edn. McGraw Hill Professional, New York (2006)","edition":"3"},{"issue":"6","key":"298_CR4","doi-asserted-by":"crossref","first-page":"979","DOI":"10.1016\/j.automatica.2010.02.027","volume":"46","author":"KFC Yiu","year":"2010","unstructured":"Yiu, K.F.C., Liu, J.Z., Siu, T.K., Ching, W.K.: Optimal portfolios with regime switching and value-at-risk constraint. Automatica 46(6), 979\u2013989 (2010)","journal-title":"Automatica"},{"issue":"4","key":"298_CR5","doi-asserted-by":"crossref","first-page":"263","DOI":"10.1080\/03461238.2011.602477","volume":"2013","author":"JZ Liu","year":"2013","unstructured":"Liu, J.Z., Yiu, K.F.C., Siu, T.K., Ching, W.K.: Optimal investment\u2013reinsurance with dynamic risk constraint and regime switching. Scand. Actuar. J. 2013(4), 263\u2013285 (2013)","journal-title":"Scand. Actuar. J."},{"issue":"2","key":"298_CR6","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1007\/s13385-014-0100-5","volume":"4","author":"K Broek van den","year":"2014","unstructured":"van den Broek, K.: Long-term insurance products and volatility under the Solvency II framework. Eur. Actuar. J. 4(2), 315\u2013334 (2014)","journal-title":"Eur. Actuar. J."},{"issue":"1","key":"298_CR7","doi-asserted-by":"crossref","first-page":"81","DOI":"10.3934\/jimo.2008.4.81","volume":"4","author":"KFC Yiu","year":"2008","unstructured":"Yiu, K.F.C., Wang, S.Y., Mak, K.L.: Optimal portfolios under a value-at-risk constraint with applications to inventory control in supply chains. J. Ind. Manag. Optim. 4(1), 81 (2008)","journal-title":"J. Ind. Manag. Optim."},{"issue":"9","key":"298_CR8","doi-asserted-by":"crossref","first-page":"1595","DOI":"10.1016\/j.mcm.2012.03.009","volume":"58","author":"SY Wang","year":"2013","unstructured":"Wang, S.Y., Yiu, K.F.C., Mak, K.L.: Optimal inventory policy with fixed and proportional transaction costs under a risk constraint. Math. Comput. Model. 58(9), 1595\u20131614 (2013)","journal-title":"Math. Comput. Model."},{"issue":"3","key":"298_CR9","doi-asserted-by":"crossref","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(3), 307\u2013327 (1986)","journal-title":"J. Econom."},{"issue":"01","key":"298_CR10","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1017\/S0266466600009063","volume":"11","author":"R Engle","year":"1995","unstructured":"Engle, R., Kroner, K.F.: Multivariate simultaneous generalized ARCH. Econom. Theory 11(01), 122\u2013150 (1995)","journal-title":"Econom. Theory"},{"key":"298_CR11","doi-asserted-by":"crossref","unstructured":"Bollerslev, T.: Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Rev. Econ. Stat. 72(3), 498\u2013505 (1990)","DOI":"10.2307\/2109358"},{"key":"298_CR12","unstructured":"Alexander, C.O. (ed.): Orthogonal GARCH. In: Mastering Risk, vol. 2, pp. 21\u201338. Financial Times-Prentice Hall, London (2001)"},{"issue":"3","key":"298_CR13","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"R Engle","year":"2002","unstructured":"Engle, R.: Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econ. Stat. 20(3), 339\u2013350 (2002)","journal-title":"J. Bus. Econ. Stat."},{"issue":"4","key":"298_CR14","doi-asserted-by":"crossref","first-page":"537","DOI":"10.1093\/jjfinec\/nbl005","volume":"4","author":"L Cappiello","year":"2006","unstructured":"Cappiello, L., Engle, R.F., Sheppard, K.: Asymmetric dynamics in the correlations of global equity and bond returns. J. Financ. Econom. 4(4), 537\u2013572 (2006)","journal-title":"J. Financ. Econom."},{"issue":"2","key":"298_CR15","doi-asserted-by":"crossref","first-page":"280","DOI":"10.1016\/j.jempfin.2008.08.001","volume":"16","author":"MH Pesaran","year":"2009","unstructured":"Pesaran, M.H., Schleicher, C., Zaffaroni, P.: Model averaging in risk management with an application to futures markets. J. Empir. Finance 16(2), 280\u2013305 (2009)","journal-title":"J. Empir. Finance"},{"issue":"3","key":"298_CR16","doi-asserted-by":"crossref","first-page":"558","DOI":"10.1109\/TFUZZ.2010.2042721","volume":"18","author":"R Batuwita","year":"2010","unstructured":"Batuwita, R., Palade, V.: FSVM-CIL: fuzzy support vector machines for class imbalance learning. IEEE Trans. Fuzzy Syst. 18(3), 558\u2013571 (2010)","journal-title":"IEEE Trans. Fuzzy Syst."},{"issue":"3","key":"298_CR17","doi-asserted-by":"crossref","first-page":"425","DOI":"10.1142\/S021821301100022X","volume":"20","author":"R Batuwita","year":"2011","unstructured":"Batuwita, R., Palade, V., Bandara, D.C.: FSVM-CIL: fuzzy support vector machines for class imbalance learning. Int. J. Artif. Intell. Tools 20(3), 425\u2013455 (2011)","journal-title":"Int. J. Artif. Intell. Tools"},{"issue":"3","key":"298_CR18","doi-asserted-by":"crossref","first-page":"443","DOI":"10.1016\/S0165-0114(03)00166-0","volume":"142","author":"A Serguieva","year":"2004","unstructured":"Serguieva, A., Hunter, J.: Fuzzy interval methods in investment risk appraisal. Fuzzy Sets Syst. 142(3), 443\u2013466 (2004)","journal-title":"Fuzzy Sets Syst."},{"key":"298_CR19","doi-asserted-by":"crossref","first-page":"4772","DOI":"10.1016\/j.ins.2010.08.026","volume":"180","author":"SM Chen","year":"2010","unstructured":"Chen, S.M., Chang, Y.C.: Multi-variable fuzzy forecasting based on fuzzy clustering and fuzzy rule interpolation techniques. Inf. Sci. 180, 4772\u20134783 (2010)","journal-title":"Inf. Sci."},{"issue":"2\u20133","key":"298_CR20","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1016\/0098-3004(84)90020-7","volume":"10","author":"JC Bezdek","year":"1984","unstructured":"Bezdek, J.C., Ehrlich, R., Full, W.: FCM: the fuzzy c-means clustering algorithm. Comput. Geosci. 10(2\u20133), 191\u2013203 (1984)","journal-title":"Comput. Geosci."},{"key":"298_CR21","doi-asserted-by":"crossref","unstructured":"Pathak, A., Pal, N.R.: Clustering of mixed data by integrating fuzzy, probabilistic, and collaborative clustering framework. Int. J. Fuzzy Syst. 18(3), 339\u2013348 (2016)","DOI":"10.1007\/s40815-016-0168-y"},{"issue":"4","key":"298_CR22","doi-asserted-by":"crossref","first-page":"609","DOI":"10.1007\/s40815-016-0206-9","volume":"18","author":"T Zhang","year":"2016","unstructured":"Zhang, T., Chen, L., Chen, C.P.: Clustering algorithm based on spatial shadowed fuzzy c-means and I-Ching operators. Int. J. Fuzzy Syst. 18(4), 609\u2013617 (2016)","journal-title":"Int. J. Fuzzy Syst."},{"key":"298_CR23","unstructured":"Dalman, H.: An interactive fuzzy goal programming algorithm to solve decentralized bi-level multiobjective fractional programming problem. arXiv preprint \n                        arXiv:1606.00927\n                        \n                     (2016)"},{"key":"298_CR24","doi-asserted-by":"crossref","unstructured":"Dalman, H., G\u00fczel, N., Sivri, M.: A fuzzy set-based approach to multi-objective multi-item solid transportation problem under uncertainty. Int. J. Fuzzy Syst. 18(4), 716\u2013729 (2015)","DOI":"10.1007\/s40815-015-0081-9"},{"key":"298_CR25","doi-asserted-by":"crossref","unstructured":"Dalman, H.: Uncertain programming model for multi-item solid transportation problem. Int. J. Mach. Learn. Cybern. 1\u20139 (2016)","DOI":"10.1007\/s13042-016-0538-7"},{"key":"298_CR26","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","volume":"61","author":"TG Andersen","year":"2001","unstructured":"Andersen, T.G., Bollerslev, T., Diebold, F.X., Ebends, H.: Fuzzy interval methods in investment risk appraisal. J. Financ. Econ. 61, 43\u201376 (2001)","journal-title":"J. Financ. Econ."},{"key":"298_CR27","unstructured":"Sheppard, K.: MFE matlab function reference. Financ. Econom. (Computer software manual) (2009)"}],"container-title":["International Journal of Fuzzy Systems"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s40815-017-0298-x\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s40815-017-0298-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s40815-017-0298-x.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2018,2,22]],"date-time":"2018-02-22T08:00:25Z","timestamp":1519286425000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s40815-017-0298-x"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,3,3]]},"references-count":27,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["298"],"URL":"https:\/\/doi.org\/10.1007\/s40815-017-0298-x","relation":{},"ISSN":["1562-2479","2199-3211"],"issn-type":[{"type":"print","value":"1562-2479"},{"type":"electronic","value":"2199-3211"}],"subject":[],"published":{"date-parts":[[2017,3,3]]}}}