Results 121 to 130 of about 510,642 (302)
On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall [PDF]
Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems.
Yamai, Yasuhiro, Yoshiba, Toshinao
core
Parametric Forecasting of Value at Risk Using Heavy Tailed Distribution [PDF]
, 2006 This paper deals with modeling volatility of returns of Pliva stocks on Zagreb Stock Exchange for Value at Risk forecasting. Volatility reaction and volatility persistence are measured using asymmetric GARCH process. Croatian capital market characteristic is absence of intensive reaction on "good" information.
Arnerić, Josip +2 more
openaire +1 more source
Arthritis Care &Research, EarlyView.Objective We aimed to test the efficacy of personalized treatment of older veterans with chronic low back pain (CLBP) delivered by Aging Back Clinics (ABCs) as compared with usual care (UC). Methods Two hundred ninety‐nine veterans aged 65 to 89 with CLBP from three Veterans Affairs (VA) medical centers underwent baseline testing, randomization to ABC ...
Debra K. Weiner +9 more
wiley +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
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Arthritis Care &Research, EarlyView.Objective Body mass index (BMI), glomerular filtration rate (GFR), and pretreatment urate levels have been reported to influence the urate‐lowering response to allopurinol. We investigated whether the fractional excretion of uric acid (FEUA) also modulates this response and relates to oxypurinol concentrations.
Pascal Richette +13 more
wiley +1 more source
Financial InnovationThe main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncertainty can predict tail risk interconnectedness.
Aktham Maghyereh, Salem Adel Ziadat
doaj +1 more source
Mathematical and Computational ApplicationsIn this article, a new extension of the standard Laplace distribution is introduced for house price modeling. Certain important properties of the new distribution are deducted throughout this study.
Jondeep Das +5 more
doaj +1 more source
Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications [PDF]
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the ...
Alexander Szimayer +2 more
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Arthritis Care &Research, Accepted Article.Objective Mycophenolate Mofetil (MMF) use in limited cutaneous systemic sclerosis (lcSSc) is relatively uncommon due to the lower fibrotic burden and the predominance of the vascular complications. In vitro observations and clinical data from transplanted patients suggest a protective effect of MMF on endothelial function.
Enrico De Lorenzis +77 more
wiley +1 more source
Mathematical and Computational ApplicationsThis paper introduces a new extension of exponentiated standard logistic distribution. Some important statistical properties of the novel family of distributions are discussed. A simulation study is also conducted to observe the behavior of the estimated
Piotr Sulewski +6 more
doaj +1 more source