Results 101 to 110 of about 665,207 (240)

Change-Point Testing and Estimation for Risk Measures in Time Series

, 2018
We investigate methods of change-point testing and confidence interval construction for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series.
Fan, Lin, Glynn, Peter W., Pelger, Markus   +2 more
core  

Business Cycles and Portfolio Tail Risk Forecasting

, 2022
Qing Zhou, Jiao Lei, Robert W. Faff, Yin Liao   +3 more
openalex   +1 more source

Commonality in Tail Risk Premia around the World [PDF]

, 2023
Kuan‐Hui Lee, Shu‐Feng Wang
openalex   +1 more source

Estimating Tail Risk in Ultra-High-Frequency Cryptocurrency Data

International Journal of Financial Studies
Understanding the density of possible prices in one-minute intervals provides traders, investors, and financial institutions with the data necessary for making informed decisions, managing risk, optimizing trading strategies, and enhancing the overall ...
Kostas Giannopoulos, Ramzi Nekhili, Christos Christodoulou-Volos   +2 more
doaj   +1 more source

The Predictive Power of Past Left Tail Risk in the Estimation of Left Tail Risk in Future [PDF]

, 2022
Mahshid Shahrzadi, Daruosh Foroghi
openalex   +1 more source

Distributed Inference for Tail Risks

Statistica Sinica
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more observations for conducting extreme value analysis.
Chen, Liujun, Li, D (Deyuan), Zhou, Chen
openaire   +3 more sources

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, Salman ANM, Ashari Y, Syuhada K.   +3 more
europepmc   +1 more source

Extreme Value Theory for Tail-Related Risk Measures [PDF]

Many fields of modern science and engineering have to deal with events which are rare but have significant consequences. Extreme value theory is considered to provide the basis for the statistical modeling of such extremes. The potential of extreme value
Evis Këllezi, Manfred Gilli
core  

Global Fund Flows and Emerging Market Tail Risk

, 2022
Anusha Chari, Karlye Dilts Stedman, Christian Lundblad   +2 more
openalex   +1 more source

Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes

Financial Innovation
The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncertainty can predict tail risk interconnectedness.
Aktham Maghyereh, Salem Adel Ziadat
doaj   +1 more source