Results 121 to 130 of about 141,342 (308)

Multivariate extremes at work for portfolio risk measurement [PDF]

, 2002
This paper proposes a methodology to provide risk measures for portfolios during extreme events. The approach is based on splitting the multivariate extreme value distribution of the assets of the portfolio into two parts: the distributions of each ...
Bouyé, Eric
core  

Exploring an Alternative to mRNA Vaccine Cold Chain Storage: MRNA‐Lipid Nanoparticle Stability When Dried in a Polymer Matrix

Advanced Functional Materials, EarlyView.
The nanostructure, size, and function of mRNA‐loaded lipid nanoparticles are evaluated before drying, within polymer microneedles, and after rehydration. The results reveal the polymer and LNP loadings required to recover nanostructure and preserve the delivery performance in dry‐state formulations.
Brendan P. Dyett, Shahad K. Alsaiari, John L. Daristotle, Timothy A. Forster, Alicia Lau, Dhruv Varshney, Rania Afaneh, Andrew R. Hanna, Charles Sloane, David Mankus, Haitao Yu, Jiali Zhai, DongSoo Yun, Lisa H. Tostanoski, Abigail Lytton‐Jean, Dan H. Barouch, Charlotte E. Conn, Robert Langer, Ana Jaklenec, Calum J. Drummond   +19 more
wiley   +1 more source

Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes

Financial Innovation
The 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

Economic Peaks and Value-at-Risk Analysis: A Novel Approach Using the Laplace Distribution for House Prices

Mathematical and Computational Applications
In 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, Partha Jyoti Hazarika, Morad Alizadeh, Javier E. Contreras-Reyes, Hebatallah H. Mohammad, Haitham M. Yousof   +5 more
doaj   +1 more source

Value at Risk Computation in a Non-Stationary Setting [PDF]

This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series.
Dominique Guegan
core  

Mechanoluminescent HOF Nanotransducers Enabled Sono‐Optogenetics in Parkinsonian Rats

Advanced Functional Materials, EarlyView.
We present a mechanoluminescent system utilizing porous hydrogen‐bonded organic frameworks (HOFs) as a toolkit for focused ultrasound‐triggered, non‐invasive light delivery to the deep brain in rats. This approach enables the specific activation of PV‐GPe neurons in dopamine‐depleted Parkinson's disease rat models, resulting in a comparable alleviation
Wenliang Wang, Ilya Pyatnitskiy, Yanshu Shi, Kai Wing Kevin Tang, Yi Xie, Sihan Yu, Thomas Wynn, Xiangping Liu, Ju‐Chun Hsieh, Jinmo Jeong, Weilong He, Brinkley Artman, Anakaren Romero Lozano, Xi Shi, Arjun Sangani, Lief E Fenno, Samantha Santacruz, Banglin Chen, Huiliang Wang   +18 more
wiley   +1 more source

Microfabricated Anisotropic Myobundles for the Scalable Production of Cardiac Tissue Grafts

Advanced Functional Materials, EarlyView.
Controlling the anisotropy of cardiac tissue remains an outstanding challenge in the field of cardiac tissue engineering. Here, we introduce an approach to generate anisotropic cardiac myobundles using cell‐adhesive, synthetic, electrospun fibers and stem cell‐derived cardiac fibroblasts.
Maggie E. Jewett, Javiera Jilberto, Margaret E. Stanley, David O. Ntim, Siddhi M. Bhirud, Avianna T. Schroeder, Gonzola X. Anyosa Galvez, Jingyi Xia, Samuel J. DePalma, Emmanouil Agrafiotis, Susan S. Xi, Amanda S. Bluem, Courtney M. Lestock, Adam S. Helms, David A. Nordsletten, Brendon M. Baker   +15 more
wiley   +1 more source

A New Logistic Distribution and Its Properties, Applications and PORT-VaR Analysis for Extreme Financial Claims

Mathematical and Computational Applications
This 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, Morad Alizadeh, Jondeep Das, Gholamhossein G. Hamedani, Partha Jyoti Hazarika, Javier E. Contreras-Reyes, Haitham M. Yousof   +6 more
doaj   +1 more source

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

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.
core  

Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model [PDF]

A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model.
Stefan Mittnik, Marc S. Paolella, Christoph Hartz   +2 more
core