Results 151 to 160 of about 38,888 (250)

The impacts of outliers on different estimators for GARCH processes: an empirical study [PDF]

The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient.
Ardelean, Vlad
core  

Nasal Epithelial Immune Signatures Are Associated With Age‐Dependent Asthma Trajectories in Early Life

Allergy, EarlyView.
Nasal epithelial transcriptomics identified three cytokine‐associated epithelial immune programs linked to childhood asthma phenotypes. Age‐associated epithelial polarization shifted from IFN/type‐17‐associated toward type‐2‐associated programs after 3 years of age.
Constanze A. Jakwerth, Sabina Illi, Helen Charles, Madlen Oelsner, Amr A. Gabr, Ulrich M. Zissler, Anna Erb, Martin Feuerherd, Felix Drost, Maren Büttner, Benjamin Schubert, Nicole Maison, Jimmy Omony, Markus Weckmann, Ruth Grychtol, Anna‐Maria Dittrich, Svenja Foth, Chrysanthi Skevaki, Tobias Trojan, Silke van Koningsbruggen‐Rietschel, Gesine Hansen, Thomas Bahmer, Klaus F. Rabe, Folke Brinkmann, Matthias Volkmar Kopp, Ulrike Protzer, Adam M. Chaker, Bianca Schaub, Erika von Mutius, Carsten B. Schmidt‐Weber, the ALLIANCE Study Group as part of the German Center for Lung Research (DZL), Mira Bürk, Sybille Contento, Markus Ege, Kristina Gottschau, Silvia Gschwendtner, Alexander Hose, Lena Lagally, Michael Schloter, Lena Ullemeyer, Esther Zeitlmann, Mustafa Abdo, Heike Biller, Karoline I. Gaede, Clara Haug, Nikolas Jacobs, Anne‐Marie Kirsten, Inke R. König, Lea Kronziel, Gyde Nissen, Frauke Pedersen, Loana Pennerd, Isabell Ricklefs, Vera Veith, Henrik Watz, Marie Bickes, Mifflin‐Rae Calvero, David S. DeLuca, Svenja Gaedcke, Anika Habener, Christine Happle, Adan Chari Jirmo, Bin Liu, Lennart Riemann, Nicolaus Schwerk, Inga Jerrentrup, Harald Renz, Stefanie Weber, Miguel A. Alejandre Alcazar, Samira Blau, Ernst Rietschel, Jan‐Christoph Thomassen   +71 more
wiley   +1 more source

Outliers in Garch models and the estimation of risk measures [PDF]

In this paper we focus on the impact of additive level outliers on the calculation of risk measures, such as minimum capital risk requirements, and compare four alternatives of reducing these measures' estimation biases. The first three proposals proceed
Aurea Grané, Helena Veiga
core  

Pathogenicity of NUSAP1 Variants Is Defined by NMD‐Escape: Evidence From Two Novel Cases and Systematic Population‐Based Variant Analysis

Clinical Genetics, EarlyView.
Heterozygous de novo nonsense variants in the penultimate and last exons of NUSAP1 were identified in two unrelated individuals, predicted to escape NMD. In population data, nonsense variants were observed in exons 1–9 (of 11) in NUSAP1 but were absent from its 3′‐terminal region.
Maureen Jacob, Susann Badmann, Stefania Bigoni, Maria Iascone, Ilaria Vivaldi, Katharina Mayerhanser, Robert Kopajtich, Holger Prokisch, Cristina Forest, Sebastian Eck, Michael Zech, Elisabeth Graf, Matias Wagner, Juliane Winkelmann, Theresa Brunet, Melanie Brugger   +15 more
wiley   +1 more source

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

Constrictions and shear stress are key determinants of amyloidogenic light chain (AL) amyloidosis

The FEBS Journal, EarlyView.
In this study, we investigate how flow constrictions and shear stress trigger cardiac antibody light chain (AL) fibril formation and deposition. We mimic the mechanical forces exerted by the heart and the microvasculature network using a mini‐peristaltic pump setup and a grid‐type microchannel network, respectively.
Yuji Goto, Keiichi Yamaguchi, Kichitaro Nakajima, Ikuko Yumen, Ruiming He, Hirokazu Matsuda, Tetsuichi Wazawa, Takeharu Nagai, Nobuhiro Tsukada, Suguru Yamamoto, Johannes Buchner, Hirotsugu Ogi   +11 more
wiley   +1 more source

Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik, Marc S. Paolella, Christoph Hartz   +2 more
core  

Volatility ≠ Risk: When Timing Alpha in Crypto Markets Reflects Mispricing

Financial Review, EarlyView.
ABSTRACT Volatility timing in cryptocurrency markets generates significant alpha, but only during periods of loose monetary policy and high uncertainty. Analyzing S&P crypto indices (2017–2023) dominated by large‐cap assets, we show realized volatility can reflect noise‐driven speculative flows, not risk compensation. This effect is strongest for small‐
Arben Kita, Yue Zhang
wiley   +1 more source

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

The expected inflation risk premium in the U.S. stock market

Journal of Financial Research, EarlyView.
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau, Gabriel J. Power, Garrett C. C. Smith   +2 more
wiley   +1 more source