Results 41 to 50 of about 220,018 (159)

A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting

Mathematics
This study proposes a hybrid EGARCH-Informer framework for forecasting volatility and calibrating tail risk in financial time series. The econometric layer (EGARCH) captures asymmetric and persistent volatility dynamics, while the attention layer ...
Ming Che Lee
doaj   +1 more source

Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)

International Journal for Re-Views in Empirical Economics, 2019
This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in ...
Jiahua Xu
doaj   +1 more source

On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation

Entropy
We introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE).
Pingyun Li, Chuancun Yin
doaj   +1 more source

Modeling Time-Varying Volatility via Multi-Scale Structures and Dynamic Attention Networks: Evidence from High-Frequency Data

Mathematics
Accurate tail risk forecasting in emerging markets is frequently compromised by the nonlinear dynamics and time-varying long memory of high-frequency volatility.
Kaidi Zhang, Shaobing Wu, Dong Zhu
doaj   +1 more source

Tail-Risk Spillovers in Strategic Commodity and Carbon Markets: Evidence for Natural Resource Risk Management

Resources
Commodity and carbon markets are central to natural resource allocation, energy security, and the effectiveness of carbon-pricing policies, yet their risk linkages can intensify sharply during crises.
Nader Naifar
doaj   +1 more source

Regime- and Tail-Dependent Performance of CVaR-Based Portfolio Strategies in Cryptocurrencies

International Journal of Financial Studies
Cryptocurrency markets are characterized by extreme volatility, fat-tailed return distributions, and frequent regime shifts, challenging traditional mean–variance portfolio optimization. In such environments, downside risk management becomes central, and
Tsolmon Sodnomdavaa
doaj   +1 more source

The effect of docking length on the risk of tail biting, tail-directed behaviour, aggression and activity level of growing pigs kept under commercial conditions

Animal, 2018
Tail biting in domestic pigs relates to a range of risk factors, primarily in the pigs’ environment. Preventive tail docking is widely used, and various experimental approaches suggest that docking reduces the risk of tail biting.
K. Thodberg, M.S. Herskin, T. Jensen, K.H. Jensen   +3 more
doaj   +1 more source

Learning Rare Events: Deep Learning Approaches to Extreme Price Prediction

Forecasting
Price spikes are rare but economically significant events observed across electricity, financial, commodity, and cryptocurrency markets. Their abrupt magnitude, heavy-tailed distributions, and severe class imbalance make them difficult to forecast using ...
Mark Sinclair, Andrew J. Shepley, Farshid Hajati   +2 more
doaj   +1 more source

Tail dependence, tail asymmetry and credit portfolio risk

Journal of the Japan Statistical Society, Japanese Issue, 2021
Summary: In the risk management of the credit portfolio of a bank, Normal copula is standard for modelling dependencies between each credit in the portfolio. The Normal copula modelling is criticized by the tendency of underestimation of the risk due to its asymptotic independence. This paper analyses the effect of dependence between each extreme value
openaire   +1 more source

Tail Risks Across Investment Funds

Finanse i Prawo Finansowe
The purpose of the article. Managed portfolios are subject to tail risks, which can be either index level (systematic) or fund-specific. Examples of fund-specific extreme events include those due to big bets or fraud.
Jerchern Lin
doaj   +1 more source