Results 71 to 80 of about 6,316,556 (202)
Characteristics of biter and victim piglets apparent before a tail biting outbreak [PDF]
, 2011 Little is known about the characteristics of biters and victims before the appearance of a tail-biting outbreak in groups of pigs. This study aimed to characterise biters and victims (according to gender and performance) and to quantify their behavioural
Kemp, B. +5 more
core +1 more source
Tail Connectedness in European Equity Markets: Regime Persistence and the Role of Geopolitical Risk
International Journal of Financial StudiesFinancial networks are typically summarised by a single average-regime connectedness estimate that treats transmission as symmetric across calm and turbulent markets.
Fayçal Djebari +2 more
doaj +1 more source
An M-estimator of multivariate tail dependence. [PDF]
AN M-ESTIMATOR OF TAIL DEPENDENCE. Extreme value theory is the part of probability and statistics that provides the theoretical background for modeling events that almost never happen.
Krajina, A.
core
Beyond Risk-Adjusted Returns: Tail Risk and Portfolio Implications in Global REITs
RisksThis study compares the performance of major global REIT markets with REITs classified by their geographic operating market and returns measured in the corresponding local currency. The analysis evaluates risk-adjusted performance, dependence structures,
Davinder Malhotra, Raymond Poteau
doaj +1 more source
Distributed Inference for Tail Risks
Statistica SinicaFor 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
Left-Tail Risk and UK Stock Return Predictability: Underreaction, Overreaction, and Arbitrage Difficulties [PDF]
Recent studies challenge the standard model risk-return trade-off by showing inverse predictive power of firm-specific left-tail risk for future returns (i.e., left-tail momentum).
Khasawneh, Maher +2 more
core +1 more source
Tail risk of hedge funds: an extreme value application [PDF]
, 2007 1.1 Problem description Investors seek to maximise returns and to minimise risk. As risk is man- ageable but returns are not, these objectives can best be achieved through risk measurement/management techniques.
Gawron, Gregor Aleksander
core +1 more source
Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan [PDF]
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for
Nawaz, Faisal, Qayyum, Abdul
core
Downside Risk for European Equity Markets [PDF]
This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect investor wealth opportunities for
Cotter, John
core
Tail Risk and the Cross-Section of Mutual Fund Expected Returns [PDF]
, 2018 We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum.
Karagiannis, N +5 more
core +1 more source