{"id":"https://openalex.org/W2899429664","doi":"https://doi.org/10.1145/3274250.3274254","title":"Exponential Autoregressive Conditional Duration Approach to Testing VaR","display_name":"Exponential Autoregressive Conditional Duration Approach to Testing VaR","publication_year":2018,"publication_date":"2018-07-15","ids":{"openalex":"https://openalex.org/W2899429664","doi":"https://doi.org/10.1145/3274250.3274254","mag":"2899429664"},"language":"en","primary_location":{"id":"doi:10.1145/3274250.3274254","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3274250.3274254","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2018 1st International Conference on Mathematics and Statistics","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5084990940","display_name":"Marta Ma\u0142ecka","orcid":"https://orcid.org/0000-0003-4465-9811"},"institutions":[{"id":"https://openalex.org/I34250744","display_name":"University of \u0141\u00f3d\u017a","ror":"https://ror.org/05cq64r17","country_code":"PL","type":"education","lineage":["https://openalex.org/I34250744"]}],"countries":["PL"],"is_corresponding":true,"raw_author_name":"Marta Ma\u0142ecka","raw_affiliation_strings":["Department of Statistical Methods, University of L\u00f3dz, \u0141\u00f3dz, Poland"],"affiliations":[{"raw_affiliation_string":"Department of Statistical Methods, University of L\u00f3dz, \u0141\u00f3dz, Poland","institution_ids":["https://openalex.org/I34250744"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5084990940"],"corresponding_institution_ids":["https://openalex.org/I34250744"],"apc_list":null,"apc_paid":null,"fwci":0.2991,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.64841117,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":93},"biblio":{"volume":null,"issue":null,"first_page":"6","last_page":"10"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9998000264167786,"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":0.9998000264167786,"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/T10136","display_name":"Statistical Methods and Inference","score":0.996399998664856,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11186","display_name":"Hydrology and Drought Analysis","score":0.9915000200271606,"subfield":{"id":"https://openalex.org/subfields/2306","display_name":"Global and Planetary Change"},"field":{"id":"https://openalex.org/fields/23","display_name":"Environmental Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.6285465955734253},{"id":"https://openalex.org/keywords/basel-ii","display_name":"Basel II","score":0.6023048758506775},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.6017661094665527},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5750846862792969},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4943990707397461},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.43789204955101013},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.43251579999923706},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.42784327268600464},{"id":"https://openalex.org/keywords/vector-autoregression","display_name":"Vector autoregression","score":0.4114440977573395},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.40177398920059204},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.37681257724761963},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3265452980995178},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.18342474102973938},{"id":"https://openalex.org/keywords/capital-requirement","display_name":"Capital requirement","score":0.15137112140655518},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.13852322101593018},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13344234228134155},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.07146596908569336}],"concepts":[{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.6285465955734253},{"id":"https://openalex.org/C2780759654","wikidata":"https://www.wikidata.org/wiki/Q809934","display_name":"Basel II","level":4,"score":0.6023048758506775},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.6017661094665527},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5750846862792969},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4943990707397461},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.43789204955101013},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.43251579999923706},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.42784327268600464},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.4114440977573395},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.40177398920059204},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.37681257724761963},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3265452980995178},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.18342474102973938},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.15137112140655518},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.13852322101593018},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13344234228134155},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.07146596908569336},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3274250.3274254","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3274250.3274254","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2018 1st International Conference on Mathematics and Statistics","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Partnerships for the goals","score":0.41999998688697815,"id":"https://metadata.un.org/sdg/17"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W758034074","https://openalex.org/W1977970167","https://openalex.org/W2046076301","https://openalex.org/W2050238052","https://openalex.org/W2147317922","https://openalex.org/W2149862193","https://openalex.org/W2995627059","https://openalex.org/W3022145223","https://openalex.org/W3122046970","https://openalex.org/W3123979795","https://openalex.org/W3124842399","https://openalex.org/W6681588303"],"related_works":["https://openalex.org/W2171218219","https://openalex.org/W3196086590","https://openalex.org/W2493141183","https://openalex.org/W833134276","https://openalex.org/W2987197761","https://openalex.org/W2504706250","https://openalex.org/W2589544327","https://openalex.org/W2311823621","https://openalex.org/W3122834102","https://openalex.org/W1502836618"],"abstract_inverted_index":{"As":[0],"laid":[1],"out":[2],"by":[3],"the":[4,10,21,40,43,46,49,57,65,77,84,87,100,103,106,126],"current":[5],"Basel":[6,11],"III":[7],"accord":[8],"and":[9,118],"IV":[12],"agreements,":[13],"financial":[14],"risk":[15,134],"model":[16,55],"evaluation":[17],"remains":[18],"based":[19],"on":[20],"VaR":[22,26],"measure.":[23],"However,":[24],"existing":[25],"backtesting":[27,60],"methods":[28],"are":[29],"repeatedly":[30],"criticized":[31],"due":[32],"to":[33,39,128],"unsatisfactory":[34],"power":[35],"properties.":[36],"Our":[37],"contribution":[38],"debate":[41],"is":[42,80,115],"exploration":[44],"of":[45,48,59,86,102,105,131],"properties":[47],"exponential":[50],"autoregressive":[51],"conditional":[52],"duration":[53],"(EACD)":[54],"in":[56],"context":[58],"VaR.":[61],"We":[62,110,121],"show":[63,122],"that":[64,114,123],"EACD":[66],"test,":[67],"although":[68],"exhibiting":[69],"strong":[70],"power,":[71],"suffers":[72],"from":[73],"size":[74],"distortions":[75],"when":[76],"true":[78],"parameter":[79,88],"near":[81],"or":[82],"at":[83],"boundary":[85],"space.":[89],"To":[90],"remedy":[91],"this":[92],"problem":[93],"we":[94],"suggest":[95],"asymptotic":[96],"p-value":[97],"computation":[98],"with":[99],"use":[101],"mixture":[104],"chi":[107],"square":[108],"distributions.":[109],"obtain":[111],"a":[112],"procedure":[113],"both":[116],"accurate":[117],"computationally":[119],"effective.":[120],"it":[124],"has":[125],"potential":[127],"improve":[129],"effectiveness":[130],"detecting":[132],"incorrect":[133],"models.":[135]},"counts_by_year":[{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
