Results 11 to 20 of about 6,316,556 (202)
Multi-Scale Entropy-Gated Deep Quantile Learning via EntropyFusion-VaR: Tail-Risk Forecasting for U.S. Energy-Sector Equities [PDF]
EntropyForecasting extreme-tail risk in energy equities involves temporal-memory mismatch, quantile crossing, and scarce extreme observations. This study proposes a multi-scale entropy-gated deep quantile learning model, EntropyFusion-VaR.
Adila Osman, Yangxin Wang, Yuanyuan Wang
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Tail Risk Spillover Between Global Stock Markets Based on Effective Rényi Transfer Entropy and Wavelet Analysis [PDF]
EntropyTo examine the spillover of tail-risk information across global stock markets, we select nine major stock markets for the period spanning from June 2014 to May 2024 as the sample data. First, we employ effective Rényi transfer entropy to measure the tail-
Jingjing Jia
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Will a boom be followed by crash? A new systemic risk measure based on right-tail risk [PDF]
Frontiers in Psychology, 2023 In this study, we demonstrate that high short-term gains on the A-share market may lead to significant losses in the future and potentially cause a market catastrophe.
Qing Liu, Mengxia Xu, Jinwu Xiong
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Tail-Risk-Aware Model Predictive Control for Hypoglycemia Mitigation in Automated Insulin Delivery [PDF]
MetabolitesBackground: Automated insulin delivery must maintain glycemic control despite partial observability, physiological heterogeneity, and sensing and actuation errors.
Kaiyuan Zhang +7 more
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Tail risk connectedness between US industries [PDF]
, 2020 We use the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression technique to construct and analyse the complete tail risk connectedness network of the whole US industry system. We also investigate the empirical relationship between
Nguyen, LH, Tan, L, Nguyen, LXD
core +5 more sources
Pensamiento Crítico, 2018 En el presente trabajo se realizará la simulación el efecto de la interdependencia y el contagio en las decisiones de compra y venta de los inversionistasen un mercado financiero de tipo Black-Schole,donde existen dos activos financieros: acciones ...
Jesús Barrantes Limahuaya +2 more
doaj +1 more source
Capital Regulation and Tail Risk [PDF]
IMF Working Papers, 2011 The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk asserts. We show that this undermines the traditional result that high capital reduces excess risk-taking driven by limited liability. Moreover, higher capital may have an unintended effect of enabling banks to take more tail risk without
Enrico C. Perotti +2 more
openaire +8 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
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Journal of Financial and Quantitative Analysis, 2013 We test for the presence of a systematic tail risk premium in the cross-section of expected returns by applying a measure on the sensitivity of assets to extreme market downturns, the tail beta. Empirically, historical tail betas help to predict the future performance of stocks under extreme market downturns.
Maarten R.C. van Oordt, Chen Zhou
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Tails, Fears, and Risk Premia [PDF]
The Journal of Finance, 2009 ABSTRACTWe show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time‐varying compensation for fears of disasters.
Tim Bollerslev, Viktor Todorov
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