Results 41 to 50 of about 6,316,556 (202)

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

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

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

Tail Behaviour of the Euro [PDF]

, 2004
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this.
Cotter, John
core   +2 more sources

Talking tails : quantifying the development of tail biting in pigs [PDF]

, 2010
Tail biting is an adverse behaviour characterised by manipulation of a pig’s tail by another pig resulting in tail damage and a possible tail biting outbreak. Tail biting is a common problem in the pig husbandry causing economic losses and reduced animal
Zonderland, J.J.
core  

Explosive Price and Tail Risk in Asean-5 Islamic Equity Markets

Ekonomi Syariah
This study examines whether explosive prices are associated with extreme tail risk in Islamic equity markets across five ASEAN countries. Using the GSADF framework to identify explosive episodes and a GARCH–EVT approach to measure tail risk, it ...
Arie Sukma
doaj   +1 more source

Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model

Mathematics, 2023
Connecting derivative pricing with tail risk management has become urgent for financial practice and academia. This paper proposes a novel option pricing model based on the exponential generalized beta of the second kind (EGB2) distribution.
Hang Lin, Lixin Liu, Zhengjun Zhang
doaj   +1 more source

Estimation of tail thickness parameters from GJR-GARCH models [PDF]

, 2009
We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Iglesias, Emma M., Linton, Oliver, Iglesias Vázquez, Emma   +2 more
core   +1 more source

Explainable Cost Contingency Allocation Under Tail Risk in Road Projects Using CVaR–Shapley

Buildings
Cost contingency estimation in road projects requires not only quantifying the reserve needed under uncertainty but also identifying the risk sources that justify it, particularly under extreme cost scenarios. This study proposes an explainable framework
Víctor Ariza Flores, Claudia Sernaque Montalvo, Gerber Zavala Ascaño, Widmar Balbin Lazo, Samir Augusto Arévalo Vidal   +4 more
doaj   +1 more source

The impact of heavy tails and comovements in downside-risk diversification [PDF]

, 2007
This paper uncovers the factors influencing optimal asset allocation for downside-risk averse investors. These are comovements between assets, the product of marginal tail probabilities, and the tail index of the optimal portfolio.
Gonzalo, Jesús, Olmo, José, Olmo, J., Gonzalo, J.   +3 more
core   +2 more sources