Results 91 to 100 of about 49,612,787 (213)
The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing [PDF]
Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the Dot-Com bubble have radically changed the view that extreme events in financial markets have negligible probability.
Sheri Markose, Amadeo Alentorn
core
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective The prognosis of glioblastoma (GBM) remains highly unfavorable, largely due to high tumor heterogeneity and an immunosuppressive microenvironment. However, the functional role of PANoptosis in this context is poorly understood. Methods Patients were stratified via K‐means clustering. A risk score model was constructed using prognosis‐
Langfei Tian +6 more
wiley +1 more source
Future Business JournalThe study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains.
Boubekeur Baba
doaj +1 more source
An Estimation of Risk Measures: Analysis of a Method
Computer Sciences & Mathematics ForumExtreme value theory comprises a set of techniques for inference at the tail of distributions, where data are scarce or non-existent. The tail index is the main parameter, with risk measures such as value at risk or expected shortfall depending on it. In
Marta Ferreira, Liliana Monteiro
doaj +1 more source
Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II [PDF]
We analyze around 200 different financial time series, i.e. components of Dow Jones, Nasdaq, FTSE and Nikkei with seven different VaR approaches. We differentiate our analysis according to characteristics that can be observed.
Ralf Pauly, Jens Fricke
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White Matter and Perivascular Imaging Changes in Alzheimer's Disease and Cerebral Amyloid Angiopathy
Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective Peak‐width of skeletonized mean diffusivity (PSMD) and diffusion tensor imaging–analysis along the perivascular space (DTI‐ALPS), reflecting white matter integrity and glymphatic function, are altered in Alzheimer's disease (AD).
Debina Laishram +3 more
wiley +1 more source
MathematicsFinancial tail-risk observations are non-exchangeable: serial dependence and regime shifts make their joint law depend on the time ordering, invalidating the exchangeability that standard conformal guarantees assume, and expected shortfall is not ...
Yuxin Ye +3 more
doaj +1 more source
Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology [PDF]
Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses.
Cayton, Peter Julian A., Mapa, Dennis S.
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Annals of Clinical and Translational Neurology, EarlyView.ABSTRACT Objective Progressive brain atrophy has now been widely observed in the chronic stages of moderate–severe traumatic brain injury (msTBI), but there is only coarse information regarding its prevalence and magnitude, and whether rate of atrophy accelerates or attenuates across time. We examined these questions in a Canadian inception cohort from
Robin E. A. Green +6 more
wiley +1 more source
Assessing financial risk with extreme value theory: US financial indemnity loss data analysis
Alexandria Engineering JournalIn this paper, we presented a financial analysis of the values of financial losses for real data in light of a set of indicators for measuring financial risks.
Abdussalam Aljadani
doaj +1 more source