Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
A novel portfolio construction strategy based on the core- periphery profile of stocks. [PDF]
Sci RepAnsari I, Sharma C, Agrawal A, Sahni N.
europepmc +1 more source
A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
Eliciting initial programme theories for a health research capacity strengthening initiative targeting African universities: A realist synthesis. [PDF]
PLoS OneMutua MN +3 more
europepmc +1 more source
Optimal Crop Planning for Small-Scale Farmers using Portfolio Theory Considering Income Stability [PDF]
Andrés Mauricio Paredes Rodríguez +2 more
openalex +1 more source
A Facile Protocol for C(sp2)–C(sp3) Bond Formation Reactions Toward Functionalized E3 Ligase Ligands
ChemMedChem, EarlyView.A robust C(sp2)–C(sp3) decarboxylative coupling strategy enables access to new CRBN ligands and degraders with improved physicochemical properties. This synthetic approach is expanding the chemical space beyond C(sp2)–N linkages, fine‐tuning proteolysis‐targeting chimera activities and unlocking previously inaccessible degrader chemotypes.
Anita Maksutova +15 more
wiley +1 more source
Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]
PLoS OneHuynh TT, Khoa BT.
europepmc +1 more source