Results 51 to 60 of about 665,207 (240)

Tail risk of electricity futures

Energy Economics, 2020
This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the NordPool, French, German, and Spanish markets in 2008-2017. As measures of tail risk, we use the one-day-ahead Value-at-Risk (VaR) and the Expected Shortfall (ES).
Peña, Juan Ignacio, Rodríguez, Rosa, Mayoral, Silvia   +2 more
openaire   +3 more sources

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

Cost-Effectiveness Analysis of Seven Measures to Reduce Tail Biting Lesions in Fattening Pigs

Frontiers in Veterinary Science, 2021
Tail biting is an important animal welfare issue in the pig sector. Studies have identified various risk factors which can lead to biting incidents and proposed mitigation measures.
Jarkko K. Niemi, Sandra A. Edwards, Dimitris K. Papanastasiou, Deborah Piette, Anna H. Stygar, Anna Wallenbeck, Anna Valros   +6 more
doaj   +1 more source

Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint [PDF]

, 2023
Hui Mi, Zuo Quan Xu, Dongfang Yang
openalex   +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

An Optimal Tail Selection in Risk Measurement

Risks, 2021
The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task.
Małgorzata Just, Krzysztof Echaust
doaj   +1 more source

Risk premia: asymmetric tail risks and excess returns [PDF]

Quantitative Finance, 2014
25 pages, 9 Figures, 8 Tables.
Y. Lemp\'eri\`ere, C. Deremble, T. T. Nguyen, P. Seager, M. Potters, J. P. Bouchaud   +5 more
openaire   +3 more sources

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 behavior of sums and differences of log-normal random variables

, 2016
We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector.
Gulisashvili, Archil, Tankov, Peter
core   +1 more source