Tail Structure and the Ordering of the Standard Deviation and Gini Mean Difference
Fuente:
arXiv
Enregistré dans:
| Auteur principal: | Mohammed, Nawaf |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
Documents similaires
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
par: Mohammed, Nawaf
Publié: (2025)
par: Mohammed, Nawaf
Publié: (2025)
Joint Exclusivity
par: Mohammed, Nawaf
Publié: (2026)
par: Mohammed, Nawaf
Publié: (2026)
Tail-GAN: Learning to Simulate Tail Risk Scenarios
par: Cont, Rama, et autres
Publié: (2022)
par: Cont, Rama, et autres
Publié: (2022)
Risk Management with Tail Quasi-Linear Means
par: Bäuerle, Nicole, et autres
Publié: (2019)
par: Bäuerle, Nicole, et autres
Publié: (2019)
Tail copula representation of path-based maximal tail dependence
par: Koike, Takaaki, et autres
Publié: (2026)
par: Koike, Takaaki, et autres
Publié: (2026)
On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution
par: Cable, Travis, et autres
Publié: (2025)
par: Cable, Travis, et autres
Publié: (2025)
Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach
par: Lacava, Demetrio
Publié: (2026)
par: Lacava, Demetrio
Publié: (2026)
Taming Tail Risk in Financial Markets: Conformal Risk Control for Nonstationary Portfolio VaR
par: Schmitt, Marc
Publié: (2026)
par: Schmitt, Marc
Publié: (2026)
Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms
par: Ke, Zong, et autres
Publié: (2024)
par: Ke, Zong, et autres
Publié: (2024)
Measuring Tail Risks
par: Chen, Kan, et autres
Publié: (2022)
par: Chen, Kan, et autres
Publié: (2022)
Standard and stressed value at risk forecasting using dynamic Bayesian networks
par: Gross, Eden, et autres
Publié: (2025)
par: Gross, Eden, et autres
Publié: (2025)
Mean-field Libor market model and valuation of long term guarantees
par: Gach, Florian, et autres
Publié: (2023)
par: Gach, Florian, et autres
Publié: (2023)
Tail risk forecasting with semi-parametric regression models by incorporating overnight information
par: Chen, Cathy W. S., et autres
Publié: (2024)
par: Chen, Cathy W. S., et autres
Publié: (2024)
Generative Learning of Heterogeneous Tail Dependence
par: Sun, Xiangqian, et autres
Publié: (2020)
par: Sun, Xiangqian, et autres
Publié: (2020)
Mean-field approximations in insurance
par: Hornung, Philipp C.
Publié: (2025)
par: Hornung, Philipp C.
Publié: (2025)
Reliability-Aware ETF Tail-Risk Monitoring
par: Zhong, Tenghan, et autres
Publié: (2026)
par: Zhong, Tenghan, et autres
Publié: (2026)
Tail Risk Analysis for Financial Time Series
par: Kiriliouk, Anna, et autres
Publié: (2024)
par: Kiriliouk, Anna, et autres
Publié: (2024)
Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
par: Zeng, Keyi, et autres
Publié: (2025)
par: Zeng, Keyi, et autres
Publié: (2025)
An Exploration to the Correlation Structure and Clustering of Macroeconomic Variables
par: Arora, Garvit, et autres
Publié: (2024)
par: Arora, Garvit, et autres
Publié: (2024)
Behavioral Probability Weighting and Portfolio Optimization under Semi-Heavy Tails
par: Jha, Ayush, et autres
Publié: (2025)
par: Jha, Ayush, et autres
Publié: (2025)
Estimation of the Adjusted Standard-deviatile for Extreme Risks
par: Chen, Haoyu, et autres
Publié: (2024)
par: Chen, Haoyu, et autres
Publié: (2024)
Quantum Network of Assets (QNA): A Density-Operator Framework for Market Dependence and Structural Risk Diagnostics
par: Gong, Hui, et autres
Publié: (2025)
par: Gong, Hui, et autres
Publié: (2025)
Risk‐Aware Updating of Reliability Standards for Flood Defences
par: Frank den Heijer, et autres
Publié: (2025)
par: Frank den Heijer, et autres
Publié: (2025)
Deriving the term-structure of loan write-off risk under IFRS 9 by using survival analysis: A benchmark study
par: Botha, Arno, et autres
Publié: (2026)
par: Botha, Arno, et autres
Publié: (2026)
Marking-Aware Sequential VaR Recalibration for Standardized Option Books
par: Zhong, Tenghan, et autres
Publié: (2026)
par: Zhong, Tenghan, et autres
Publié: (2026)
The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
par: Thormann, Marah-Lisanne, et autres
Publié: (2024)
par: Thormann, Marah-Lisanne, et autres
Publié: (2024)
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
par: Alexander, Nolan, et autres
Publié: (2026)
par: Alexander, Nolan, et autres
Publié: (2026)
Analysing Flash Flood Hydrographs From Different Rainfall Temporal Profiles
par: Alexandra Seawell, et autres
Publié: (2025)
par: Alexandra Seawell, et autres
Publié: (2025)
EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals
par: Deo, Anand
Publié: (2025)
par: Deo, Anand
Publié: (2025)
Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications
par: Taleb, Nassim Nicholas
Publié: (2020)
par: Taleb, Nassim Nicholas
Publié: (2020)
A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
par: Laudagé, Christian, et autres
Publié: (2023)
par: Laudagé, Christian, et autres
Publié: (2023)
On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
par: Li, Chi-Lin, et autres
Publié: (2023)
par: Li, Chi-Lin, et autres
Publié: (2023)
Assessment of Rainfall Forecasts and Flood Risk in a Coastal Urban Catchment Considering Different Urban Canopy Scenarios
par: Mousumi Ghosh, et autres
Publié: (2025)
par: Mousumi Ghosh, et autres
Publié: (2025)
Quantifying the Impacts of Land Use and Land Cover Change on Watershed Hydrology Using Spatial Cloud Computing
par: Anwarelsadat Eltayeb Elmahal, et autres
Publié: (2025)
par: Anwarelsadat Eltayeb Elmahal, et autres
Publié: (2025)
Rainstorm Flood Risk Assessment in the China–Pakistan Economic Corridor Under Different Shared Socioeconomic Pathways of the 21st Century
par: Mengting Liu, et autres
Publié: (2026)
par: Mengting Liu, et autres
Publié: (2026)
Perfectly Fitting CDO Prices Across Tranches: A Theoretical Framework with Efficient Algorithms
par: Bu, Lan, et autres
Publié: (2026)
par: Bu, Lan, et autres
Publié: (2026)
On the modeling assumptions of Historical Simulation for Value-at-Risk
par: Grelsson, Björn Löfdahl
Publié: (2026)
par: Grelsson, Björn Löfdahl
Publié: (2026)
Systemic Risk in DeFi: A Network-Based Fragility Analysis of TVL Dynamics
par: Zhang, Shiyu, et autres
Publié: (2026)
par: Zhang, Shiyu, et autres
Publié: (2026)
Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges
par: Sepper, Otar
Publié: (2026)
par: Sepper, Otar
Publié: (2026)
Weighted Generalized Risk Measure and Risk Quadrangle: Characterization, Optimization and Application
par: Liu, Yang, et autres
Publié: (2026)
par: Liu, Yang, et autres
Publié: (2026)
Documents similaires
-
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
par: Mohammed, Nawaf
Publié: (2025) -
Joint Exclusivity
par: Mohammed, Nawaf
Publié: (2026) -
Tail-GAN: Learning to Simulate Tail Risk Scenarios
par: Cont, Rama, et autres
Publié: (2022) -
Risk Management with Tail Quasi-Linear Means
par: Bäuerle, Nicole, et autres
Publié: (2019) -
Tail copula representation of path-based maximal tail dependence
par: Koike, Takaaki, et autres
Publié: (2026)