Results 191 to 200 of about 665,207 (240)
Machine learning prioritization of antibiotic residues in aquatic foods reveals exposure-driven genotoxic risk mediated by BCL2. [PDF]
Food Chem XZhu H +7 more
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Postoperative recurrence patterns and anatomy-stratified clinical target volume delineation in pancreatic cancer. [PDF]
Radiat OncolGe Y +5 more
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Postoperative Outcomes and Strategic Refinement in Intraductal Papillary Mucinous Neoplasm Management: A Single Academic Cancer Center Experience. [PDF]
Cancer Diagn PrognNanashima A +9 more
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Research on aging-friendly design risk assessment model based on non-parametric estimation. [PDF]
Sci RepLi H, Mao M, Yin YQ.
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SSRN Electronic Journal, 2021
In this study we comprehensively investigate the usefulness of the tail risk measures proposed in the literature, evaluating the tail risk measures on the basis of their statistical and economic validity. Our main conclusion is that the option-implied measure of Bollerslev and Todorov (2011b) outperforms all others.
Maik Dierkes +3 more
openaire +1 more source
In this study we comprehensively investigate the usefulness of the tail risk measures proposed in the literature, evaluating the tail risk measures on the basis of their statistical and economic validity. Our main conclusion is that the option-implied measure of Bollerslev and Todorov (2011b) outperforms all others.
Maik Dierkes +3 more
openaire +1 more source
Journal of Futures Markets, 2022
AbstractIn this study, we investigate the cross‐section of option‐implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity‐specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that
Manuel Ammann +3 more
openaire +1 more source
AbstractIn this study, we investigate the cross‐section of option‐implied tail risks in commodity markets. In contrast to findings from equity markets, left and right tail risks implied by option markets are both large. Commodity‐specific variables exert the largest influence on tail risk, while there is no evidence of systematic commodity factors that
Manuel Ammann +3 more
openaire +1 more source
SSRN Electronic Journal, 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
openaire +1 more source
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
openaire +1 more source
Stock market tail risk, tail risk premia, and return predictability
Journal of Futures Markets, 2021AbstractIn this study, we use the S&P 500 options prices to derive various tail risk indexes. We then decompose the option‐implied tail risk indexes into the conditional tail risk of stock returns and equity tail risk premia. We examine the predictive power of the conditional tail risks and equity tail risk premia for various stock portfolio ...
Sangwon Suh +2 more
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2020
La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
openaire +2 more sources
La plupart des modèles de prévisions macroéconomiques ne tiennent pas compte du risque de crise, soit le risque d’une baisse marquée et soudaine du produit intérieur brut (PIB). Pourtant, les décideurs se préoccupent de ce type de risque extrême étant donné les coûts socioéconomiques substantiels qui en découleraient.
Duprey, Thibaut, Ueberfeldt, Alexander
openaire +2 more sources