Results 101 to 110 of about 48,841,878 (206)
Mixed-frequency quantile regressions to forecast value-at-risk and expected shortfall. [PDF]
Ann Oper Res, 2023 Candila V, Gallo GM, Petrella L.
europepmc +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
Predictive value of risk factors for prognosis of patients with sepsis in intensive care unit. [PDF]
Medicine (Baltimore), 2023 Chen C +8 more
europepmc +1 more source
Estimation of Value at Risk and Conditional Value at Risk
Estimation of Value at Risk and Conditional Value at Risk【学位授与の要件】中央大学学位規則第4条第1項 【論文審査委員主査】石村 直之(中央大学商学部教授) 【論文審査委員副査】斎藤 正武(中央大学商学部教授),髙岡 浩一郎(中央大学商学部教授) application ...
openaire +1 more source
Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 Müller FM, Righi MB, Righi MB.
europepmc +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.
core
Does papillary muscle free strain has predictive value in risk stratification of patients with hypertrophic cardiomyopathy? [PDF]
PLoS One, 2023 Koyuncu A +7 more
europepmc +1 more source
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and ...
Galichon, Alfred
core
Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT) [PDF]
The Bangko Sentral ng Pilipinas (BSP) has the primary responsibility of maintaining stable prices conducive to a balanced and sustainable economic growth. The year 2008 posed a challenge to the BSP’s monetary policy making as inflation hit an official 17-
Santos, Edward P. +2 more
core