Results 91 to 100 of about 6,316,556 (202)

COVID-19: Tail risk and predictive regressions. [PDF]

PLoS One, 2022
Distaso W, Ibragimov R, Semenov A, Skrobotov A.   +3 more
europepmc   +1 more source

Cryptocurrency Market Maturation and Evolving Risk Profiles: A Comparative Analysis of Bitcoin and Ethereum Tail Risk Dynamics

FinTech
This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko, Bogdan Adamyk, Oksana Adamyk   +2 more
doaj   +1 more source

A Break-Regime Score-Driven Model for Tail-Risk Forecasting in China’s Carbon Market Under Policy Shifts

Mathematics
Accurate tail-risk measurement in carbon markets is challenging because carbon allowance prices are shaped not only by heavy-tailed return dynamics, but also by policy changes that can alter the underlying risk dynamics.
Xinshu Gong, Bin Zheng
doaj   +1 more source

Finite-Sample Conformal Risk Bounds for Joint Value-at-Risk and Expected-Shortfall Forecasting Under Non-Exchangeable Financial Time Series

Mathematics
Financial tail-risk observations are non-exchangeable: serial dependence and regime shifts make their joint law depend on the time ordering, invalidating the exchangeability that standard conformal guarantees assume, and expected shortfall is not ...
Yuxin Ye, Xuhua Qiu, Kunjie Zhu, Miltos Ladikas   +3 more
doaj   +1 more source

Gold Price Transmission and Tail Risk in a Frontier Commodity Market: Evidence from Vietnam

Risks
Vietnam’s domestic gold price has persistently exceeded the world price by a wide margin, even as recent reforms have begun to relax the state’s historical monopoly over gold-bar production and imports.
Huong Thu Nguyen, Dung Quang Nguyen
doaj   +1 more source

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core  

Tail risk connectedness in clean energy and oil financial market. [PDF]

Ann Oper Res, 2022
Foglia M, Angelini E, Huynh TLD.
europepmc   +1 more source

Seleksi Saham Papan Utama Berbasis Rasio Keuangan dan Expected Shortfall Menggunakan Promethee Serta Evaluasi Sharpe Ratio

Jurnal Kajian Akuntansi
Perkembangan pasar modal Indonesia menuntut metode seleksi saham yang mampu mengintegrasikan informasi laporan keuangan dan risiko pasar secara komprehensif.
Di Asih I Maruddani, Rita Rahmawati
doaj   +1 more source

Environmental Constraints in Cryptocurrency Portfolio Optimization: A Mean-CVaR Analysis

Risks
Sustainable investing raises an important question: do environmental restrictions affect the risk–return characteristics of cryptocurrency portfolios?
Sawssen Araichi, Ons Belhedi, Heni Boubaker, Gadir Alomair   +3 more
doaj   +1 more source

ASSESSING TUBERCULOSIS DIAGNOSTIC DELAY IN INDIA USING DISTRIBUTIONAL AND TAIL-BASED APPROACHES: A CROSS-SECTIONAL STUDY

JPH RECODE (Journal of Public Health Research and Community Health Development)
Background: The delay in the diagnosis of tuberculosis is a key challenge in managing the disease, particularly in highly burdened areas. The mean and median do not provide insight into the extent to which patients' waiting periods vary, nor into their ...
Ruhiteswar Choudhury, Tanusree Deb Roy
doaj   +1 more source