Results 41 to 50 of about 2,212,997 (349)
Portfolio selection with heavy tails [PDF]
Journal of Empirical Finance, 2004 Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner solutions in the sense of a bonds only portfolio. This is
Namwon Hyung, Casper G. de Vries
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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations
Econometrics, 2013 This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the ...
Yongning Wang, Ruey S. Tsay
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Heavy tail phenomenon and convergence to stable laws for iterated Lipschitz maps [PDF]
, 2009 We consider the Markov chain $${\{X_n^x\}_{n=0}^\infty}$$ on $${\mathbb{R}^d}$$ defined by the stochastic recursion $${X_{n}^{x}= \psi_{\theta_{n}} (X_{n-1}^{x})}$$, starting at $${x\in\mathbb{R}^d}$$, where θ1, θ2, . . . are i.i.d.
Mariusz Mirek
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Probability of ruin in discrete insurance risk model with dependent Pareto claims
Dependence Modeling, 2019 We present basic properties and discuss potential insurance applications of a new class of probability distributions on positive integers with power law tails.
Constantinescu Corina D. +2 more
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Parametric Inference for Index Functionals
Econometrics, 2018 In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices.
Stéphane Guerrier +2 more
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Measuring Risk When Expected Losses Are Unbounded
Risks, 2014 This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions.
Alejandro Balbás +2 more
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Novel scheme for synergistic purification of copper mine tailings and orthophosphate
Water Science and Technology, 2022 Copper tailings (CTs) and orthophosphate are major environmental pollutants. CTs cause severe heavy metal pollution, and orthophosphate is one of the primary causes of water body eutrophication.
Runjuan Zhou, Ming Zhang
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Tail behavior of negatively associated heavy-tailed sums [PDF]
Journal of Applied Probability, 2006 Consider a sequence {Xk, k ≥ 1} of random variables on (−∞, ∞). Results on the asymptotic tail probabilities of the quantities , and S(n) = max0 ≤ k ≤ nSk, with X0 = 0 and n ≥ 1, are well known in the case where the random variables are independent with a heavy-tailed (subexponential) distribution.
Geluk, J, Ng, KW
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Youqicang pingjia yu kaifa, 2020 In Tahe ultra-heavy oil block, the rod pump cannot meet the requirements of heavy oil pumping. Through the application of deep pumping electric pump for heavy oil and its coordination with tail pipe suspension, the development of ultra-heavy oil has ...
WANG Leilei +4 more
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Heavy operators and hydrodynamic tails [PDF]
SciPost Physics, 2020 The late time physics of interacting QFTs at finite temperature is controlled by hydrodynamics. For CFTs this implies that heavy operators – which are generically expected to create thermal states – can be studied semiclassically. We show that hydrodynamics universally fixes the OPE coefficients
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