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An Optimal Tail Selection in Risk Measurement [PDF]
Risks, 2021 The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task.
Małgorzata Just, Krzysztof Echaust
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Optimal heavy tail estimation – Part 1: Order selection [PDF]
Nonlinear Processes in Geophysics, 2017 The tail probability, P, of the distribution of a variable is important for risk analysis of extremes. Many variables in complex geophysical systems show heavy tails, where P decreases with the value, x, of a variable as a power law with a ...
M. Mudelsee, M. Mudelsee, M. A. Bermejo
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Value at Risk Estimation Using the GARCH-EVT Approach with Optimal Tail Selection [PDF]
Mathematics, 2020 A conditional Extreme Value Theory (GARCH-EVT) approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT).
Krzysztof Echaust, Małgorzata Just
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From phenotype to receptor: validating physiological clustering of Escherichia coli phages through comprehensive receptor analysis [PDF]
Journal of VirologyUnderstanding the relationship between bacteriophage (phage) classification and target receptors is crucial for phage ecology and applied research.
Tomoyoshi Kaneko +5 more
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AerospaceThe foldable tail of the box-type launch vehicle poses a risk of mechanical jamming during the launch process, which is not conducive to the smooth completion of the flight mission. The integrated nonfolding ducted tail proposed in this article can solve
Huayu Jia +3 more
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Bile Leak: Is There Optimal Timing for Endoscopy? [PDF]
MedicinaBackground and Objectives: Bile leak is a common complication after hepatopancreatobiliary surgery, requiring timely management to prevent life-threatening outcomes.
Theodoros A. Voulgaris +9 more
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Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
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Animals, 2022 Anatolian buffalo is an important breed reared for meat and milk in various regions of Türkiye. The present study was performed to estimate body weight (BW) from several body measurements, such as tail length (TL), shoulder height (SH), withers height ...
Oğuz Ağyar +5 more
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Is pre-freeze sperm preparation more advantageous than post-freeze?
Reproduction and Fertility, 2021 Human sperm cryopreservation is characterised to this day by sub-optimal success rates. Interestingly, a traditional approach to improving post-thaw outcome has been to integrate standard sperm preparation techniques into freezing protocols as a means of
Dimitra Apostolia Androni +3 more
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Fractal and Fractional, 2022 Risk management is very important for individual investors or companies. There are several ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to
Jinping Zhang, Keming Zhang
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