Results 91 to 100 of about 2,224,639 (290)

Hedge fund portfolio selection with modified expected shortfall [PDF]

Modified Value-at-Risk (VaR) and Expected Shortfall (ES) are recently introduced downside risk estimators based on the Cornish-Fisher expansion for assets such as hedge funds whose returns are non-normally distributed.
Peterson, Brian, Boudt, Kris, Carl, Peter   +2 more
core  

Semi-parametric Expected Shortfall Forecasting [PDF]

, 2014
Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation that can be semi ...
Chen, Cathy W.S., Gerlach, Richard
core  

Thalamo‐Lesional Connectivity Signatures of Bilateral Tonic–Clonic Seizures in Focal Cortical Dysplasia‐Related Epilepsy

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objectives Focal cortical dysplasia (FCD) is the most common etiology of drug‐resistant epilepsy in children. Focal to bilateral tonic–clonic seizures (FBTCS) mark a high risk of drug‐resistant epilepsy and involve thalamocortical circuitry in their generation and propagation.
Hua Xie, Xiaotong Li, Venkata Sita Priyanka Illapani, Leigh N. Sepeta, Jason Schroeder, Chima O. Oluigbo, Madison M. Berl, William D. Gaillard, Nathan T. Cohen   +8 more
wiley   +1 more source

Measuring value-at-risk and expected shortfall of newer cryptocurrencies: new insights

Cogent Business & Management
A significant amount of historical returns is needed for the generalized autoregressive conditional heteroscedasticity (GARCH) models to be calibrated.
Agoestina Mappadang, Bayu Adi Nugroho, Setyani Dwi Lestari, Elizabeth, Titi Kanti Lestari   +4 more
doaj   +1 more source

Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures [PDF]

Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES ...
Joanna Górka
core  

Characterizing Cutaneous α‐Synuclein Deposition and Seeding Activity in Parkinson's Disease Subtypes

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective Cutaneous phosphorylated α‐synuclein (p‐syn) and α‐synuclein seeding activity are promising biomarkers for Parkinson's disease (PD), but their clinical value remains uncertain due to disease heterogeneity. This study evaluates these two biomarkers in PD patients to inform phenotype‐specific diagnosis and disease severity assessment ...
Yuting Jin, Tianyuan Yang, Minglei Liu, Haiyang Luo, Jing Yuan, Ke Zhang, Xinsheng Han, Jing Yang, Yuming Xu   +8 more
wiley   +1 more source

Value-at-Risk and Expected Shortfall when there is long range dependence. [PDF]

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry.
Julius Mungo, Wolfgang Härdle
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Long‐Term Neurologic Exam Findings in People Diagnosed and Treated During Acute HIV Infection

Annals of Clinical and Translational Neurology, EarlyView.
ABSTRACT Objective Evaluate clinical and laboratory correlates of abnormal neurologic exam findings after acute HIV infection (AHI). Methods Participants from the RV254/SEARCH 010 cohort in Bangkok underwent standardized neurologic examinations at Weeks 0 (AHI), 12, 96, and 288 following antiretroviral therapy (ART).
Kathryn B. Holroyd, Tyler Hamby, Carlo Sacdalan, Somchai Sriplienchan, Pathariya Promensa, Luxenaree Poonpitak, Netsiri Dumrongpisutikul, Eugène Kroon, Sandhya Vasan, Robert Paul, Ferron O'Campo, Lydie Trautmann, Phillip Chan, Serena Spudich, on behalf of the RV254/SEARCH 010 Study Team, Julie Ake, Sandhya Vasan, Lydie Trautmann, Merlin Robb, Trevor Crowell, Donn Colby, Diane Bolton, Shelly Krebs, Leigh Ann Eller, Morgane Rolland, Rasmi Thomas, Dominic Paquin Proulx, Suteeraporn Pinyakorn, Tyler Hamby, Mark de Souza, Ellen Turk, Amber Moodley, Gerald Quarles, Jintanat Ananworanich, Denise Hsu, Victoria Polonis, Nelson Michael, Sheila Peel, COL Eric Garges, Alexandra Schuetz, Siriwat Akapirat, Bessara Nantapinit, Pornsuk Visudhiphan, Saowanit Getchalarat, Nampueng Churikanont, Sangsulee Thamakaison, Somchai Sriplienchan, Carlo Sacdalan, Pathariya Promsena, Luxe‐naree Poonpitak, Eugene Kroon, Nitiya Chomchey, Jintana Intasan, Varaporn Pothipala, Ferron Ocampo, Nittaya Phanuphak, Nipat Teeratakulpisan, Yuwaree Pichitchok, Anchalee Avihingsanon, Opass Putcharoen, Kiat Ruxrungtham, Thanyawee Puthanakit, Sopark Manasnayakorn, Phandee Watanaboonyongcharoen, Rungsun Rerknimitr, Irini Sereti, Daniel Douek, Eli Bortiz, Frank Maldarelli, Mary Kearney, Serena Spudich, Phillip Chan, Lishomwa Ndhlovu, Guinevere Li, Michael Corley, Victor Valcour, Peter Hunt, Jacob Estes, Afam Okoye, Jeff Lifson, Claire Deleage, Nicolas Chomont, Andres Finzi, Lyle McKinnon, Henrik Zetterberg, Robert Siliciano, Robert Paul, Julie Mannarino, Jonathan Li, John Mellors, Josh Cytkor, Dan Barouch, Michael Seaman, Boris Juelg, Alex Shalek, Timothy Schacker, Ashley Haase, Mario Stevenson, Wenjun Li, Arthur Kim, Sharon Lewin, Adam Carrico, Susana Valente, Fred Hutchinson, Josh Schiffer, Guido Ferrari, Beau Ances, Alberto Bosque, Katharine Bar, Killian Pohl, David Ho, Yaoxing Huang, Michael Busch, Mohamed Abdel‐Mohsen, Johanna Gostner, Brian Agan, Fatah Kashanchi, Greg Laird, Kathryn Holroyd   +118 more
wiley   +1 more source

Evaluating the Precision of Estimators of Quantile-Based Risk Measures [PDF]

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates ...
Kevin Dowd, John Cotter
core  

Nonparametric Estimation of Expected Shortfall [PDF]

, 2004
The paper evaluates the properties of nonparametric estimators of the expected shortfall, an increasingly popular risk measure in financial risk management.
Chen, Song
core