Results 61 to 70 of about 220,018 (159)

Distributed Inference for Tail Risks

Statistica Sinica
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more observations for conducting extreme value analysis.
Chen, Liujun, Li, D (Deyuan), Zhou, Chen
openaire   +3 more sources

Cryptocurrency Market Maturation and Evolving Risk Profiles: A Comparative Analysis of Bitcoin and Ethereum Tail Risk Dynamics

FinTech
This paper examines the market maturation hypothesis in cryptocurrency markets through a three-stage analysis of the evolution of tail risk in Bitcoin (BTC) and Ethereum (ETH).
Oksana Liashenko, Bogdan Adamyk, Oksana Adamyk   +2 more
doaj   +1 more source

Tail Risk in Weather Derivatives

Commodities
Weather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng, Saikiran Reddy Poreddy, Kan Chen   +2 more
doaj   +1 more source

Producer Perceptions of the Prevention of Tail Biting on UK Farms: Association to Bedding Use and Tail Removal Proportion

Animals, 2019
Tail biting causes widespread problems both for animal welfare and in the form of economic losses in pig production. This study was performed to better understand the perceptions of farmers on how to best prevent tail biting, and if perceptions are ...
Anna Valros, Claire Barber
doaj   +1 more source

Threshold-Dependent Dominance in Tail Risk Approximation

Econometrics
Regulatory risk measurement under Basel III’s Fundamental Review of the Trading Book places Expected Shortfall (ES) at the center of market risk capital, yet the fourth-order Edgeworth expansion, still widely used for Value-at-Risk (VaR) and ES ...
Terence D. Agbeyegbe
doaj   +1 more source

Tail risk connectedness in clean energy and oil financial market. [PDF]

Ann Oper Res, 2022
Foglia M, Angelini E, Huynh TLD.
europepmc   +1 more source

Modifying (M)CoVaR and constructing tail risk networks through analytic higher-order moments: Evidence from the global forex markets. [PDF]

PLoS One, 2022
Hakim A, Salman ANM, Ashari Y, Syuhada K.   +3 more
europepmc   +1 more source

Tail Risk Early Warning System for Capital Markets Based on Machine Learning Algorithms. [PDF]

Comput Econ, 2022
Zhang Z, Chen Y.
europepmc   +1 more source

Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis. [PDF]

Res Int Bus Finance, 2022
Aloui R, Ben Jabeur S, Mefteh-Wali S.
europepmc   +1 more source

Estimating Tail Risk in Ultra-High-Frequency Cryptocurrency Data

International Journal of Financial Studies
Understanding the density of possible prices in one-minute intervals provides traders, investors, and financial institutions with the data necessary for making informed decisions, managing risk, optimizing trading strategies, and enhancing the overall ...
Kostas Giannopoulos, Ramzi Nekhili, Christos Christodoulou-Volos   +2 more
doaj   +1 more source