Results 61 to 70 of about 46,518,871 (255)

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology [PDF]

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses.
Cayton, Peter Julian A., Mapa, Dennis S.
core  

CVaR in Measuring Sector's Risk on the Croatian Stock Exchange

Business Systems Research, 2018
Background: In this paper the well-known risk measurement method Conditional Value-at-Risk (CVaR) is applied to the Croatian stock market to estimate the risk for 8 sectors in Croatia.
Aljinović Zdravka, Trgo Andrea
doaj   +1 more source

Effect Modification of Cigarette Smoking on the Relationship Between Posttraumatic Stress Disorder, Other Mental Health Conditions, and Rheumatoid Arthritis Risk: A Large Case‐Control Study in US Veterans

Arthritis Care &Research, EarlyView.
Objective We examined associations of posttraumatic stress disorder (PTSD) and other mental health disorders (OMH) with rheumatoid arthritis (RA), accounting for effects of smoking. Methods We conducted a matched case‐control study, identifying incident RA cases and controls using national Veterans Health Administration data (2006–2019).
Kelsey Coziahr, Harlan Sayles, Tate M. Johnson, Joshua F. Baker, Punyasha Roul, Grant W. Cannon, Gary A. Kunkel, Katherine D. Wysham, Gail S. Kerr, Amir A. Razmjou, Isaac Smith, Jennifer L. Barton, Maria I. Danila, Jonathan S. Richards, Bryant R. England, Ted R. Mikuls   +15 more
wiley   +1 more source

Extreme Value at Risk and Expected Shortfall during Financial Crisis [PDF]

This paper investigates Value at Risk and Expected Shortfall for CAC 40, S&P 500, Wheat and Crude Oil indexes during the 2008 financial crisis. We show an underestimation of the risk of loss for the unconditional VaR models as compared with the ...
D. Dupre, O. Taramasco, L. Kourouma, G. Sanfilippo   +3 more
core  

Optimizing NiMo Electrocatalyst Coatings for Hydrogen Evolution in Alkaline Electrolysis With The Machine Learning‐Guided Autonomous Platform CatBot

Advanced Functional Materials, EarlyView.
This work presents a closed‐loop optimization workflow integrating CatBot, an automated synthesis and testing system, to discover NiMo hydrogen‐evolution catalysts. CatBot synthesised and evaluated 228 unique samples, identifying the best performing catalysts for transfer to nickel‐foam electrodes. The best candidate is highly active, reaching 1 Acm−2${
Paolo Vincenzo Freiesleben de Blasio, Jonas Elsborg, Elif Coşkun, Andreas Burger, Pradipkumar Manubhai Leuaa, Thu Pham Anh Phan, Jin Hyun Chang, Christodoulos Chatzichristodoulou   +7 more
wiley   +1 more source

PERHITUNGAN VALUE AT RISK DENGAN PENDEKATAN THRESHOLD AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY-GENERALIZED EXTREME VALUE

Media Statistika, 2019
Stock is the most popular type of financial asset investment. Before buying a stock, an investor must estimate the risks which will be received. Value at Risk (VaR) is one of the methods that can be used to measure the level of risk.
Mutik Dian Prabaning Tyas, Di Asih I Maruddani, Rita Rahmawati   +2 more
doaj   +1 more source

Material Coupling in Hybrid Neuromorphic Devices: From Fundamentals to System‐Level Applications

Advanced Functional Materials, EarlyView.
Hybrid neuromorphic devices utilize heterointerfaces between emerging semiconductors, where charge transfer and trapping, ion or defect modulation, and photogating are translated into synaptic functions. This paper discusses coupling strategies that tailor interfacial electronic and ionic properties in organic semiconductors, metal oxides, two ...
Minsu So, Sunwoo Jeong, Youngmin Han, Fabrizio Torricelli, Hocheon Yoo, Junhwan Choi   +5 more
wiley   +1 more source

Risk management of precious metals [PDF]

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside
Hammoudeh, S.M., Malik, F., McAleer, M.J.   +2 more
core   +4 more sources

Do Nonparametric Measures of Extreme Equity Risk Change the Parametric Ordinal Ranking? Evidence from Asia

Risks, 2018
There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities.
Robert J. Powell, Duc H. Vo, Thach N. Pham   +2 more
doaj   +1 more source

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. [PDF]

Comput Manag Sci, 2023
Staino A, Russo E, Costabile M, Leccadito A.   +3 more
europepmc   +1 more source