Looking ahead in extension work in Otter Tail County
, 1958 75 pages; includes charts, illustrations, maps and photographThis archival publication may not reflect current scientific knowledge or recommendations.
Long Range Planning Committees +1 more
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Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets. [PDF]
PLoS One, 2022 Hakim A +3 more
europepmc +1 more source
Tail Risk in Weather Derivatives
CommoditiesWeather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng +2 more
doaj +1 more source
An M-Estimator for Tail Dependence in Arbitrary Dimensions [PDF]
Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model.
Krajina, A., Segers, J., Einmahl, J.H.J.
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Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms. [PDF]
Comput Econ, 2022 Zhang Z, Chen Y.
europepmc +1 more source
Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II [PDF]
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed.
Ralf Pauly, Jens Fricke
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The impact of COVID-19 on tail risk: Evidence from Nifty index options. [PDF]
Econ Lett, 2021 Agarwalla SK, Varma JR, Virmani V.
europepmc +1 more source
Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis. [PDF]
Res Int Bus Finance, 2022 Aloui R, Ben Jabeur S, Mefteh-Wali S.
europepmc +1 more source
Skewness in Energy Returns: Estimation, Testing and Implications for Tail Risk
In this paper we estimate the skewness of the unconditional distribution of energy returns and test its statistical significance. We compare the performance of traditional and robust tests for skewness with those based on the implied unconditional ...
Ñíguez, T.M. +2 more
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A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models [PDF]
An elliptical copula model is a distribution function whose copula is that of an elliptical distri- bution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation ...
Krajina, A.
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