{"entities":{"Q609720":{"pageid":611496,"ns":120,"title":"Item:Q609720","lastrevid":63146769,"modified":"2026-04-11T10:56:24Z","type":"item","id":"Q609720","labels":{"en":{"language":"en","value":"Local likelihood density estimation and value-at-risk"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5822170"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$F8AEF73F-BB7D-4D8F-9CE7-7423C2D24830","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"242cb8a7721fdc1b7384966b27b20855fcc8821e","datavalue":{"value":{"text":"Local likelihood density estimation and value-at-risk","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q609720$625439D3-2E8B-4FF9-960E-7177771F3B7A","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"7764a31bac7533e12f8c0d7c9efaa35909f12f06","datavalue":{"value":"1200.91303","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$0CDC8FD6-4767-45A4-AA50-E2C4D66FE328","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"a91180efcafa0a11cfb49afb7b069447db91a258","datavalue":{"value":"10.1155/2010/754851","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$3FC2A26B-907D-45A9-B5D3-6CD95B178722","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"291dfa4bea40517409b4ae31a6cee6f850f4be90","datavalue":{"value":{"entity-type":"item","numeric-id":117358,"id":"Q117358"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$B9F6AD28-15B5-41AE-8994-52341AA52250","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"2f7a6f873bf5c0d11b62fa3d4700ead7fb1e1f3b","datavalue":{"value":{"time":"+2010-12-01T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q609720$2E4A3066-5177-4F06-BFEA-0D3D864E6CEF","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"5a7fe7a4004c939e8d2c7a12d41d30fe0df864d4","datavalue":{"value":"https://eudml.org/doc/226799","type":"string"},"datatype":"url"},"type":"statement","id":"Q609720$80850BD0-EB64-4B24-8D27-F1F83564CBFD","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"660324d377c41bc703ce233057cc281a3d3af5f1","datavalue":{"value":"Summary: This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method is applied to intraday VaR estimation on portfolios of two stocks traded on the Toronto Stock Exchange. The performance of the new VaR computation method is compared to the historical simulation, variance-covariance, and J. P. Morgan methods.","type":"string"},"datatype":"string"},"type":"statement","id":"Q609720$634868C6-5E13-4423-8736-F1DF7BA316F0","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"5aebd1e2f37ac7804756da25eed3c017810ad161","datavalue":{"value":"91G70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$8C2CE371-706A-43C8-AA2C-0519220E0BDF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"58591a8ac1354bf12129571c1d7757e1ee3beef9","datavalue":{"value":"62G07","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$B3B4016C-8003-49CE-BCB3-63BB1FF9C72C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"e54dfc2ecddf296ea542bd5ed5f10672d6b15158","datavalue":{"value":"91B30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$83DF496A-FE1A-4EA5-8132-4C6EE73F7734","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$2BE6E1D5-B324-41BC-8386-F0D456F8EF97","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"0c4bb26f7bccb72e1b130736a53162cc3021e59e","datavalue":{"value":"5822170","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$9DB03DA9-5083-4BB8-BDA0-101D8916F41A","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"cb95062f85222c6b5854d17a865b55077b847a17","datavalue":{"value":"Q58652705","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$F9EE0685-EB02-4994-A5E1-1D964D31893B","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"4ae406dc165b5317e31e5346ff28815a09d72322","datavalue":{"value":{"entity-type":"item","numeric-id":193890,"id":"Q193890"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$8B625FE4-CB5C-4EC4-94AF-8DCE77CC9757","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"e512a49c126452f79ab699c68a4addc28b8cf16a","datavalue":{"value":{"entity-type":"item","numeric-id":1299536,"id":"Q1299536"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$C509C71D-5E2C-438A-9B83-44C91DD54C4A","rank":"normal"}],"P1463":[{"mainsnak":{"snaktype":"value","property":"P1463","hash":"a95f9a165a32b1c218102f77f7fbc6a2f2e1d8b7","datavalue":{"value":{"entity-type":"item","numeric-id":53239,"id":"Q53239"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$1AAED737-7C82-4EDA-8BF7-E74A25D3D26C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1463","hash":"9ad3eefbb5d60d181316be8b5e68d526674b3e66","datavalue":{"value":{"entity-type":"item","numeric-id":16600,"id":"Q16600"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$FE43E2C0-BE2B-4682-AB61-CCC560FEAA3E","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$FAF8A803-4FFA-4329-99D2-24DE3905DA4C","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"d4a44ce78cf88d05fef2bb4e423d4eb3fbf3e339","datavalue":{"value":"W2074917864","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q609720$57157BC3-F18C-48A4-BC1F-5A260D8A4F63","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"38051c8ae26d1c9b6e427ffdbe9842fd371bde0d","datavalue":{"value":{"entity-type":"item","numeric-id":299276,"id":"Q299276"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$5F3B09B2-1742-485A-8C70-A57E6CA6A29C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c6f09261acdba2a879792d196341050d1c650f49","datavalue":{"value":{"entity-type":"item","numeric-id":1354395,"id":"Q1354395"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$6DA4960B-A8F8-4CF7-9E57-68C8B4A9A2E3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d8c7158febc92817679273ccc255ecb4a923fb85","datavalue":{"value":{"entity-type":"item","numeric-id":1354391,"id":"Q1354391"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$CDDF5DBE-FFD2-497F-B4A0-4EA7873B1A2D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b696d3ebaeee46c3dae6dcdb7b30267728c9990a","datavalue":{"value":{"entity-type":"item","numeric-id":4727203,"id":"Q4727203"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$09EB824C-2494-420B-B4E7-804996FE04B3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b493903b3ec662b1efa4d575b8789624b4c44dfb","datavalue":{"value":{"entity-type":"item","numeric-id":5509408,"id":"Q5509408"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$5CC595D0-ED48-4D22-9549-F6ED19AC2053","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"942dd2bfcc67ed71ae79da7ef087c036c9cd1df6","datavalue":{"value":{"entity-type":"item","numeric-id":5510038,"id":"Q5510038"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$D1050762-CBB7-423C-BA05-7C7F53D97F8B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3ffc60b7d0fbb35919e4f6590ea640350af2ea18","datavalue":{"value":{"entity-type":"item","numeric-id":1360689,"id":"Q1360689"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$53F832A9-1164-49E6-A7DC-6299D16D42D6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3f0af9230b7ff74c3ce66624e8dc9e198046703d","datavalue":{"value":{"entity-type":"item","numeric-id":1111283,"id":"Q1111283"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$C38FE8A4-0552-43DF-BEA2-51C637C3FFD0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"10279e54eb1c138683245bef0d6e05ee9a3c9459","datavalue":{"value":{"entity-type":"item","numeric-id":808125,"id":"Q808125"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$ACF1ED4A-2085-4D53-A306-456CAF44C1D7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"32730066c905032083abd2d2d791372b8095e2ed","datavalue":{"value":{"entity-type":"item","numeric-id":4233494,"id":"Q4233494"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$6BB55132-22DE-4B4B-9C6B-E0E0D5AC0412","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"50441c2024b43128a6a8182d5a91e6e26d0c2d1d","datavalue":{"value":{"entity-type":"item","numeric-id":5588984,"id":"Q5588984"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$0F4459C1-DBAB-4BB4-86CE-1C90601828C9","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e31dbc4610d5fa71694c44d6eb9149aa1a846894","datavalue":{"value":{"entity-type":"item","numeric-id":5123417,"id":"Q5123417"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"1f0d5343fad9a5452669d56f7f298979cf4d35ac","datavalue":{"value":{"amount":"+0.8209090232849121","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q609720$2D7052DA-F60D-4300-92A7-54CA8F649185","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d4a428c7cf19b22de9726aba5fa1185ab59766ac","datavalue":{"value":{"entity-type":"item","numeric-id":299264,"id":"Q299264"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"9418343b151b295e216e2818ad293b63e6b38940","datavalue":{"value":{"amount":"+0.8032518029212952","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q609720$0149AEA1-E8D9-4A39-A96B-5491B7F02B7D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ead519eab69e2f85a9d54613b04438e482512f3f","datavalue":{"value":{"entity-type":"item","numeric-id":2442522,"id":"Q2442522"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6d830d535623d8ba1b2dc7cf6f6b1b480c00ef66","datavalue":{"value":{"amount":"+0.8005682826042175","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q609720$B6F71AC2-7131-40AB-99CA-10BF923A109B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"30248afe215d9a02678c49dda1b16c62678dfca6","datavalue":{"value":{"entity-type":"item","numeric-id":3549521,"id":"Q3549521"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8d486233519ef495c0a9018073d75a1a45a57d81","datavalue":{"value":{"amount":"+0.7975939512252808","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q609720$6FFD5BB5-2B53-438E-A832-694C0CE4430D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"76f2ce88a5b4d4ee6074d2a8d31129761a8a8fa4","datavalue":{"value":{"entity-type":"item","numeric-id":4709643,"id":"Q4709643"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"aea19dec68a15e2e92c118a6fe1548c567762c10","datavalue":{"value":{"amount":"+0.7973118424415588","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q609720$EDBC572D-F0D5-42BE-882F-14CD628A0D58","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q609720$18245B82-23FA-4B3E-B581-1F564F602DF0","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Local likelihood density estimation and value-at-risk","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Local_likelihood_density_estimation_and_value-at-risk"}}}}}