{"data":{"id":"10.6084/m9.figshare.1588824","type":"dois","attributes":{"doi":"10.6084/m9.figshare.1588824","prefix":"10.6084","suffix":"m9.figshare.1588824","identifiers":[],"alternateIdentifiers":[],"creators":[{"name":"Fedya Telmoudi","affiliation":[],"nameIdentifiers":[]},{"name":"Ghourabi, Mohamed EL","nameType":"Personal","givenName":"Mohamed EL","familyName":"Ghourabi","affiliation":[],"nameIdentifiers":[]},{"name":"Limam, Mohamed","nameType":"Personal","givenName":"Mohamed","familyName":"Limam","affiliation":[],"nameIdentifiers":[]}],"titles":[{"title":"On conditional risk estimation considering model risk"}],"publisher":"Taylor \u0026 Francis","container":{},"publicationYear":2015,"subjects":[{"subject":"Medicine"},{"subject":"Biotechnology"},{"subject":"Sociology"},{"subject":"FOS: Sociology","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Sociology","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"69999 Biological Sciences not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Biological sciences","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Biological sciences","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"19999 Mathematical Sciences not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Mathematics","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Mathematics","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Cancer"},{"subject":"Science Policy"}],"contributors":[],"dates":[{"date":"2015-10-29","dateType":"Created"},{"date":"2016-04-11","dateType":"Updated"},{"date":"2015","dateType":"Issued"}],"language":null,"types":{"ris":"DATA","bibtex":"misc","citeproc":"dataset","schemaOrg":"Dataset","resourceType":"Dataset","resourceTypeGeneral":"Dataset"},"relatedIdentifiers":[{"relationType":"IsSupplementTo","relatedIdentifier":"10.1080/02664763.2015.1100595","relatedIdentifierType":"DOI"}],"relatedItems":[],"sizes":["131360 Bytes"],"formats":[],"version":null,"rightsList":[{"rights":"Creative Commons Attribution 4.0 International","rightsUri":"https://creativecommons.org/licenses/by/4.0/legalcode","schemeUri":"https://spdx.org/licenses/","rightsIdentifier":"cc-by-4.0","rightsIdentifierScheme":"SPDX"}],"descriptions":[{"description":"Usually, parametric procedures used for conditional variance modelling are associated with model risk. Model risk may affect the volatility and conditional value at risk estimation process either due to estimation or misspecification risks. Hence, non-parametric artificial intelligence models can be considered as alternative models given that they do not rely on an explicit form of the volatility. In this paper, we consider the least-squares support vector regression (LS-SVR), weighted LS-SVR and Fixed size LS-SVR models in order to handle the problem of conditional risk estimation taking into account issues of model risk. A simulation study and a real application show the performance of proposed volatility and VaR models.","descriptionType":"Abstract"}],"geoLocations":[],"fundingReferences":[],"xml":"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","url":"https://tandf.figshare.com/articles/dataset/On_conditional_risk_estimation_considering_model_risk/1588824/1","contentUrl":null,"metadataVersion":4,"schemaVersion":"http://datacite.org/schema/kernel-4","source":"mds","isActive":true,"state":"findable","reason":null,"viewCount":0,"viewsOverTime":[],"downloadCount":0,"downloadsOverTime":[],"referenceCount":0,"citationCount":0,"citationsOverTime":[],"partCount":0,"partOfCount":0,"versionCount":0,"versionOfCount":0,"created":"2015-10-29T22:40:55.000Z","registered":"2015-10-29T22:40:57.000Z","published":"2015","updated":"2020-09-04T14:45:26.000Z"},"relationships":{"client":{"data":{"id":"figshare.ars","type":"clients"}},"provider":{"data":{"id":"otjm","type":"providers"}},"media":{"data":{"id":"10.6084/m9.figshare.1588824","type":"media"}},"references":{"data":[]},"citations":{"data":[]},"parts":{"data":[]},"partOf":{"data":[]},"versions":{"data":[]},"versionOf":{"data":[]}}}}