{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2015:ZE34D6257ONSHATUXPE2WF5C6B","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"e2e00c3f5fecfd537c9a222d180823ab721e58847cabf80847b85d0e0a0b2f72","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.CO","submitted_at":"2015-02-16T09:20:26Z","title_canon_sha256":"f2aabdd94fbcda5fb3eb3acac7fcdd1886c66885110de634169e0f9c5b1e0f90"},"schema_version":"1.0","source":{"id":"1502.04472","kind":"arxiv","version":1}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1502.04472","created_at":"2026-05-18T02:26:59Z"},{"alias_kind":"arxiv_version","alias_value":"1502.04472v1","created_at":"2026-05-18T02:26:59Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1502.04472","created_at":"2026-05-18T02:26:59Z"},{"alias_kind":"pith_short_12","alias_value":"ZE34D6257ONS","created_at":"2026-05-18T12:29:52Z"},{"alias_kind":"pith_short_16","alias_value":"ZE34D6257ONSHATU","created_at":"2026-05-18T12:29:52Z"},{"alias_kind":"pith_short_8","alias_value":"ZE34D625","created_at":"2026-05-18T12:29:52Z"}],"graph_snapshots":[{"event_id":"sha256:89d02e53cad3d945531b76654e7e6f4983c2bb4378f53297d4c2f785384b8e30","target":"graph","created_at":"2026-05-18T02:26:59Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"This paper compares the Value--at--Risk (VaR) forecasts delivered by alternative model specifications using the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The direct VaR estimate provided by the Conditional Autoregressive Value--at--Risk (CAViaR) models of Eengle and Manganelli (2004) are compared to those obtained by the popular Autoregressive Conditional Heteroskedasticity (ARCH) models of Engle (1982) and to the recently introduced Generalised Autoregressive Score (GAS) models of Creal et al. (2013) and Harvey (2013). The Hansen's procedure consists on ","authors_text":"Leopoldo Catania, Mauro Bernardi","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.CO","submitted_at":"2015-02-16T09:20:26Z","title":"Comparison of Value-at-Risk models: the MCS package"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1502.04472","kind":"arxiv","version":1},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:da94b24c4b3ed31ed5caac6363f6e699ba34da8b6635711d16a6f0a048e20410","target":"record","created_at":"2026-05-18T02:26:59Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"e2e00c3f5fecfd537c9a222d180823ab721e58847cabf80847b85d0e0a0b2f72","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"stat.CO","submitted_at":"2015-02-16T09:20:26Z","title_canon_sha256":"f2aabdd94fbcda5fb3eb3acac7fcdd1886c66885110de634169e0f9c5b1e0f90"},"schema_version":"1.0","source":{"id":"1502.04472","kind":"arxiv","version":1}},"canonical_sha256":"c937c1fb5dfb9b238274bbc9ab17a2f052283017057e0986ea3e68d453434c5c","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"c937c1fb5dfb9b238274bbc9ab17a2f052283017057e0986ea3e68d453434c5c","first_computed_at":"2026-05-18T02:26:59.725498Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T02:26:59.725498Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"V9G/qSqIOPGn+9G02VzoFQhCIf6KD519OvctrpGECO39HDmDKJ8swItZMI5WWU6HLwzKG8SAX2Ij1YSo3WS2Dw==","signature_status":"signed_v1","signed_at":"2026-05-18T02:26:59.725927Z","signed_message":"canonical_sha256_bytes"},"source_id":"1502.04472","source_kind":"arxiv","source_version":1}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:da94b24c4b3ed31ed5caac6363f6e699ba34da8b6635711d16a6f0a048e20410","sha256:89d02e53cad3d945531b76654e7e6f4983c2bb4378f53297d4c2f785384b8e30"],"state_sha256":"e76b239d7bfaa3bda88a9d20bee9f24c28a415afffb0a6974ccad23e276c4e65"}