{"id":"https://openalex.org/W3095239337","doi":"https://doi.org/10.2478/amns.2020.2.00040","title":"A Research Based On POT-CAViaR Model of Extreme Risk Measure","display_name":"A Research Based On POT-CAViaR Model of Extreme Risk Measure","publication_year":2020,"publication_date":"2020-07-01","ids":{"openalex":"https://openalex.org/W3095239337","doi":"https://doi.org/10.2478/amns.2020.2.00040","mag":"3095239337"},"language":"en","primary_location":{"id":"doi:10.2478/amns.2020.2.00040","doi":"https://doi.org/10.2478/amns.2020.2.00040","is_oa":true,"landing_page_url":"https://doi.org/10.2478/amns.2020.2.00040","pdf_url":"https://www.sciendo.com/pdf/10.2478/amns.2020.2.00040","source":{"id":"https://openalex.org/S4210209777","display_name":"Applied Mathematics and Nonlinear Sciences","issn_l":"2444-8656","issn":["2444-8656"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-1"],"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Mathematics and Nonlinear Sciences","raw_type":"journal-article"},"parent_works":[],"lineage":["https://openalex.org/W3095239337"],"child_works_count":0,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.sciendo.com/pdf/10.2478/amns.2020.2.00040","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5042075878","display_name":"Baoshuai Zhang","orcid":"https://orcid.org/0000-0002-4870-5056","observed_orcids":["https://orcid.org/0000-0002-4870-5056","https://orcid.org/0000-0002-5580-9961","https://orcid.org/0009-0009-8893-6180"]},"institutions":[{"id":"https://openalex.org/I126924076","display_name":"Chongqing Normal University","ror":"https://ror.org/01dcw5w74","country_code":"CN","type":"education","lineage":["https://openalex.org/I126924076"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Baoshuai Zhang","raw_affiliation_strings":["School of Economics and Management , Chongqing Normal University , Chongqing China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management , Chongqing Normal University , Chongqing China","institution_ids":["https://openalex.org/I126924076"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049815220","display_name":"Jun Duan","orcid":"https://orcid.org/0000-0002-5823-2440","observed_orcids":["https://orcid.org/0000-0002-5823-2440"]},"institutions":[{"id":"https://openalex.org/I126924076","display_name":"Chongqing Normal University","ror":"https://ror.org/01dcw5w74","country_code":"CN","type":"education","lineage":["https://openalex.org/I126924076"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Jun Duan","raw_affiliation_strings":["School of Economics and Management , Chongqing Normal University , Chongqing China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management , Chongqing Normal University , Chongqing China","institution_ids":["https://openalex.org/I126924076"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5049815220"],"corresponding_institution_ids":["https://openalex.org/I126924076"],"apc_list":{"value":1500,"currency":"USD","value_usd":1500},"apc_paid":{"value":1500,"currency":"USD","value_usd":1500},"fwci":0.7161,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.73038441,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":95},"biblio":{"volume":"5","issue":"2","first_page":"461","last_page":"472"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.989300012588501,"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"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.989300012588501,"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/T11720","display_name":"Probability and Risk Models","score":0.0034000000450760126,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.0020000000949949026,"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/peak-over-threshold-method","display_name":"peak over threshold method","score":0.7260000109672546},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7670000195503235},{"id":"https://openalex.org/keywords/hang-seng-index","display_name":"Hang Seng Index","score":0.8489999771118164},{"id":"https://openalex.org/keywords/stock-market-risk","display_name":"stock market risk","score":0.5320000052452087},{"id":"https://openalex.org/keywords/underestimation-of-risk","display_name":"risk underestimation","score":0.5490000247955322}],"concepts":[{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.746627688407898},{"id":"https://openalex.org/C44249647","wikidata":"https://www.wikidata.org/wiki/Q208498","display_name":"Confidence interval","level":2,"score":0.6399738192558289},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.5325841903686523},{"id":"https://openalex.org/C2986432223","wikidata":"https://www.wikidata.org/wiki/Q5449740","display_name":"Risk model","level":2,"score":0.49058809876441956},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.48043346405029297},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4613504409790039},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.4184042513370514},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.33506056666374207},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.31081104278564453},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.16867268085479736},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2478/amns.2020.2.00040","doi":"https://doi.org/10.2478/amns.2020.2.00040","is_oa":true,"landing_page_url":"https://doi.org/10.2478/amns.2020.2.00040","pdf_url":"https://www.sciendo.com/pdf/10.2478/amns.2020.2.00040","source":{"id":"https://openalex.org/S4210209777","display_name":"Applied Mathematics and Nonlinear Sciences","issn_l":"2444-8656","issn":["2444-8656"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-1"],"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Mathematics and Nonlinear Sciences","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2478/amns.2020.2.00040","doi":"https://doi.org/10.2478/amns.2020.2.00040","is_oa":true,"landing_page_url":"https://doi.org/10.2478/amns.2020.2.00040","pdf_url":"https://www.sciendo.com/pdf/10.2478/amns.2020.2.00040","source":{"id":"https://openalex.org/S4210209777","display_name":"Applied Mathematics and Nonlinear Sciences","issn_l":"2444-8656","issn":["2444-8656"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","poland-20","russia-white-list-1"],"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Mathematics and Nonlinear Sciences","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G4207649836","display_name":null,"funder_award_id":"18BJY093","funder_id":"https://openalex.org/F4320327557","funder_display_name":"National Office for Philosophy and Social Sciences"},{"id":"https://openalex.org/G8934557665","display_name":null,"funder_award_id":"19BJY077","funder_id":"https://openalex.org/F4320327557","funder_display_name":"National Office for Philosophy and Social Sciences"}],"funders":[{"id":"https://openalex.org/F4320311970","display_name":"Chongqing Normal University","ror":"https://ror.org/01dcw5w74"},{"id":"https://openalex.org/F4320327557","display_name":"National Office for Philosophy and Social Sciences","ror":"https://ror.org/04m0ms912"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W3095239337.pdf","grobid_xml":"https://content.openalex.org/works/W3095239337.grobid-xml"},"referenced_works_count":18,"referenced_works":["https://openalex.org/W280750972","https://openalex.org/W1594603170","https://openalex.org/W1960156807","https://openalex.org/W1989529822","https://openalex.org/W1999996900","https://openalex.org/W2019291268","https://openalex.org/W2036983007","https://openalex.org/W2061960194","https://openalex.org/W2063871438","https://openalex.org/W2100406142","https://openalex.org/W2109528417","https://openalex.org/W2135177937","https://openalex.org/W2150747312","https://openalex.org/W2351217334","https://openalex.org/W2367802607","https://openalex.org/W2391583821","https://openalex.org/W2891277411","https://openalex.org/W4241653265"],"related_works":["https://openalex.org/W2351586291","https://openalex.org/W2622072293","https://openalex.org/W4405583264","https://openalex.org/W2381715581","https://openalex.org/W7097667911","https://openalex.org/W4410279535","https://openalex.org/W1527299370","https://openalex.org/W2974264503","https://openalex.org/W7101381714","https://openalex.org/W2299719972"],"abstract_inverted_index":{"Abstract":[0],"In":[1,52],"this":[2,56,58],"paper,":[3],"the":[4,11,28,33,39,43,48,61,69,79,83,89,96],"CAViaR":[5,22,44,65],"model":[6,23,45,63,66,73,77,85,97],"was":[7,24],"used":[8],"to":[9,26,54,67],"measure":[10,27,72],"HS300,":[12],"HSI":[13],"and":[14,18,64,78,95],"N225":[15],"risk":[16,30,50,71,93],"levels":[17],"result":[19],"showed":[20],"that":[21,82],"able":[25],"sample":[29,49],"value":[31],"at":[32,38],"5%":[34],"confidence":[35,41],"level.":[36],"However,":[37],"1%":[40],"level,":[42],"severely":[46],"underestimated":[47],"value.":[51],"order":[53],"solve":[55],"question,":[57],"paper":[59],"introduces":[60],"POT":[62],"construct":[68],"extreme":[70,92],"based":[74],"on":[75],"POT-CAViaR":[76],"test":[80],"shows":[81],"improved":[84],"can":[86],"effectively":[87],"improve":[88],"accuracy":[90],"of":[91],"prediction":[94],"validity":[98],"is":[99],"strengthened.":[100]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":2}],"updated_date":"2026-11-13T13:42:25.865203","created_date":"2020-11-09T00:00:00"}
