Results 41 to 50 of about 5,003,510 (291)
Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data [PDF]
Arab Journal of Mathematical SciencesPurpose – The purpose of this paper is to propose a semiparametric estimator for the tail index of Pareto-type random truncated data that improves the existing ones in terms of mean square error.
Saida Mancer +2 more
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Statistics of geomagnetic storms: Global simulations perspective
Frontiers in Astronomy and Space Sciences, 2022 We present results of 131 geomagnetic storm simulations using the University of Michigan Space Weather Modeling Framework Geospace configuration. We compare the geomagnetic indices derived from the simulation with those observed, and use 2D cuts in the ...
Tuija I. Pulkkinen +4 more
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Tail estimation of the stable index α
Applied Mathematics Letters, 1996 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Mittnik, S., Rachev, S.T.
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Kernel estimation of the tail index of a right-truncated Pareto-type distribution [PDF]
, 2015 In this paper, we define a kernel estimator for the tail index of a Pareto-type distribution under random right-truncation and establish its asymptotic normality.
S. Benchaira, D. Meraghni, A. Necir
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Kernel Estimates of the Tail Index of a Distribution
The Annals of Statistics, 1985 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Csorgo, Sandor +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Background An internal tandem duplication in the gene encoding Fms‐like tyrosine kinase 3 (FLT3‐ITD) is associated with high relapse risk and poor prognosis in acute myeloid leukemia (AML) and plays a crucial role in treatment decisions. Measurable residual disease (MRD) analysis of FLT3‐ITD during and after treatment has shown prognostic ...
Sofie Johansson Alm +11 more
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An Estimation of Risk Measures: Analysis of a Method
Computer Sciences & Mathematics ForumExtreme value theory comprises a set of techniques for inference at the tail of distributions, where data are scarce or non-existent. The tail index is the main parameter, with risk measures such as value at risk or expected shortfall depending on it. In
Marta Ferreira, Liliana Monteiro
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Estimation Pareto tail index based on sample means
Revstat Statistical Journal, 2004 We propose an estimator of the Pareto tail index m of a distribution, that competes well with the Hill, Pickands and moment estimators. Unlike the above estimators, that are based only on the extreme observations, the proposed estimator uses all ...
Alena Fialová +2 more
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Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model
Mathematics, 2023 Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
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