Results 11 to 20 of about 665,207 (240)
Risk factors for signs of tail biting in intact-tailed weaner pigs: A cross-sectional study [PDF]
Animal WelfareTail biting in growing pigs is both a sign and cause of impaired welfare. On one-day visits to ten Finnish farms, we assessed weaned pigs between approximately 4 to 10 weeks of age. On each farm, tail health was assessed at the pen level in 2–15 rooms (n
Camilla Munsterhjelm +5 more
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The effect of Size, Value and Idiosyncratic Risk Anomalies on the Relationship between Tail Risk and Stock Excess Returns [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2022 Capital market anomalies are caused by factors haven’t been considered in capital asset pricing models. The theories of extreme value are one of the arguments for explaining anomalies.
Mostafa Ramezani Sharif Abadi +2 more
doaj +1 more source
NPCC4: Tail risk, climate drivers of extreme heat, and new methods for extreme event projections. [PDF]
Ann N Y Acad SciOrtiz L +18 more
europepmc +3 more sources
Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network [PDF]
The North American Journal of Economics and Finance, 2020 Weiping Zhang +3 more
europepmc +3 more sources
The Journal of Finance and Data Science, 2022 Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk events (MPMR) that can occur over a length of time.
Kan Chen, Tuoyuan Cheng
openaire +3 more sources
Is tail risk priced in the cross-section of international stock index returns?
Modern Finance, 2023 This study examines the predictive power of tail risk measures in stock indices returns using a comprehensive dataset covering 50 countries from 1926 to 2021.
Aleksander Mercik
doaj +1 more source
Tail risk interdependence [PDF]
International Journal of Finance & Economics, 2019 AbstractWe present a framework focused on the interdependence of high‐dimensional tail events. This framework allows us to analyse and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the interdependence of a system.
Arnold Polanski +2 more
openaire +4 more sources
SSRN Electronic Journal, 2014 We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE.
Germán López-Espinosa +3 more
openaire +2 more sources
The Role of Left Tail Risk in Explaining the Idiosyncratic Volatility Puzzle [PDF]
مطالعات تجربی حسابداری مالی, 2022 The Aim of this study is to introduce the left tail risk as a driver for creating idiosyncratic volatility and explainer the negative returns due to high unsystematic volatility. In addition, the present study is trying to determine how the idiosyncratic
Mahshid Shahrzadi, Darioush Foroughi
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Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk
Risks, 2020 In traditional Reinforcement Learning (RL), agents learn to optimize actions in a dynamic context based on recursive estimation of expected values. We show that this form of machine learning fails when rewards (returns) are affected by tail risk, i.e ...
Peter Bossaerts +2 more
doaj +1 more source