Results 151 to 160 of about 6,316,556 (202)
Normal Tail Suppression for Low-False-Positive RGB-3D Industrial Anomaly Localization. [PDF]
J ImagingZhu G, Ji Z, Wu Z, Dai J, Chen W, Liu H.
europepmc +1 more source
A city-year dataset of residual-based tail physical climate risk for Chinese cities, 1973 to 2024. [PDF]
Data BriefGuo Z, Sun H, Kang HG, Zhang X.
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Intraprocedural tail-first pulmonary artery migration of a leadless pacemaker: a protective sleeve-assisted helix-side retrieval strategy-a case report. [PDF]
Eur Heart J Case RepYasuoka R +4 more
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Oil Tail Risk and the Tail Risk of the US Dollar Exchange Rates
Energy Economics, 2022This study tests both the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk (CAViaR) of the Engle and Manganelli (2004) is used to estimate the tail risks under 1% and 5% VaRs.
Afees A Salisu, Jean Paul Tchankam
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Journal of Economic Behavior & Organization, 2020
<p>This paper examines how beliefs of tail risk events influence macroeconomic expectations in a Bayesian learning model with noisy signals. Relative to a Gaussian model, we show theoretically and quantitatively that the misperception of tail risk results in overreaction to first and second-moment shocks.
Yeow Hwee Chua, Zu Yao Hong
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<p>This paper examines how beliefs of tail risk events influence macroeconomic expectations in a Bayesian learning model with noisy signals. Relative to a Gaussian model, we show theoretically and quantitatively that the misperception of tail risk results in overreaction to first and second-moment shocks.
Yeow Hwee Chua, Zu Yao Hong
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2023
We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual ...
Victor Chow, Jiahao Gu, Zhan Wang
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We develop a utility and asset pricing theory that features a novel measure of tail risk. Our model determines investor demand for both left and right-tail risk premia from an indifference curve incorporating tolerance for variance and tail risk. We show that the systematic tail risk factors determined by market co-tail-variabilities on individual ...
Victor Chow, Jiahao Gu, Zhan Wang
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2004
This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
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This paper discusses the notion of tail risk, and the ability of a tail risk measure to reflect this kind of risk. In particular, Yamai and Yoshiba's (2001, 2002) notion of strict risk measure tail risk is discussed and linked with a different notion of tail risk, the pK-tail risk, which is the risk associated with the probability measure conditional ...
Carlos Pedro dos Santos Gonçalves +1 more
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A Theory for Measures of Tail Risk
Mathematics of Operations Research, 2016The notion of “tail risk” has been a crucial consideration in modern risk management and financial regulation, as very well documented in the recent regulatory documents. To achieve a comprehensive understanding of the tail risk, we carry out an axiomatic study for risk measures that quantify the tail risk, that is, the behaviour of a risk beyond a ...
Fangda Liu, Ruodu Wang
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