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Option-implied information and predictability of extreme returns : [Version 28 Januar 2013] [PDF]
, 2012 We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and ...
Vilkov, Grigory, Xiao, Yan
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A Renewal Shot Noise Process with Subexponential Shot Marks
Risks, 2019 We investigate a shot noise process with subexponential shot marks occurring at renewal epochs. Our main result is a precise asymptotic formula for its tail probability.
Yiqing Chen
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Physics Letters B, 2022 We report a novel prediction from single-field inflation that even a tiny step in the inflaton potential can change our perception of primordial non-Gaussianities of the curvature perturbation. Our analysis focuses on the tail of probability distribution
Yi-Fu Cai +4 more
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The probability density function tail of the Kardar-Parisi-Zhang equation in the strongly non-linear regime [PDF]
, 2016 An analytical derivation of the probability density function (PDF) tail describing the strongly correlated interface growth governed by the nonlinear Kardar-Parisi-Zhang equation is provided. The PDF tail exactly coincides with a Tracy-Widom distribution
Anderson J +9 more
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Journal of Water and Climate Change, 2021 Daily precipitation extremes are crucial in the hydrological design of major water control structures and are expected to show a changing tendency over time due to climate change.
Neha Gupta, Sagar Rohidas Chavan
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CARL and His POT: Measuring Risks in Commodity Markets
Risks, 2020 The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007−2017.
Bernardina Algieri, Arturo Leccadito
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Normal Inverse Gaussian Approximation for Arrival Time Difference in Flow-Induced Molecular Communications [PDF]
, 2018 In this paper, we consider molecular communications in one-dimensional flow-induced diffusion channels with a perfectly absorbing receiver. In such channels, the random propagation delay until the molecules are absorbed follows an inverse Gaussian (IG ...
Efrosinin, Dmitry +2 more
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On Tail Probabilities of Continuous Probability Distributions with Heavy Tails [PDF]
Korean Journal of Applied Statistics, 2013 Abstract The paper examines several classes of probability distributions with heavy tails. An (asymptotic) expressionfor tail probability needs to be known to understand which class a given probability distribution belongs to.It is usually not easy to get expressions for tail probabilities since most absolutely continuous probabilitydistributions are ...
openaire +1 more source
Estimation of Tail Probabilities by Repeated Augmented Reality [PDF]
Journal of Statistical Theory and Practice, 2021 Synthetic data, when properly used, can enhance patterns in real data and thus provide insights into different problems. Here, the estimation of tail probabilities of rare events from a moderately large number of observations is considered. The problem is approached by a large number of augmentations or fusions of the real data with computer-generated ...
Kedem, Benjamin, Pyne, Saumyadipta
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International Journal for Re-Views in Empirical Economics, 2019 This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
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