scholarly journals A Generalized Error Distribution Copula-based method for portfolios risk assessment

2019 ◽  
Vol 524 ◽  
pp. 687-695 ◽  
Author(s):  
Roy Cerqueti ◽  
Massimiliano Giacalone ◽  
Demetrio Panarello
Keyword(s):  
Risk Assessment ◽  
Error Distribution ◽  
Generalized Error Distribution

scholarly journals TRIPLE PROBABILITY DENSITY DISTRIBUTION MODEL IN THE TASK OF AVIATION RISK ASSESSMENT

Aviation ◽  
2020 ◽  
Vol 24 (2) ◽  
pp. 57-65
Author(s):  
Ivan Ostroumov ◽  
Karen Marais ◽  
Nataliia Kuzmenko ◽  
Nicoletta Fala
Keyword(s):  
Risk Assessment ◽  
Density Distribution ◽  
Probability Density ◽  
Error Distribution ◽  
Distribution Functions ◽  
Likelihood Method ◽  
Distribution Model ◽  
Probability Density Distribution ◽  
Generalized Error Distribution ◽  
Aviation Risk

The probability of an airplane deviation from pre-planned trajectory is a core of aviation safety analysis. We propose to use a mixture of three probability density distribution functions it the task of aviation risk assessment. Proposed model takes into account the effect of navigation system error, flight technical error, and occurrence of rare events. Univariate Generalized Error Distribution is used as a basic component of distribution functions, that configures the error distribution model from the normal error distribution to double exponential distribution function. Statistical fitting of training sample by proposed Triple Univariate Generalized Error Distribution (TUGED) is supported by Maximum Likelihood Method. Optimal set of parameters is estimated by sequential approximation method with defined level of accuracy. The developed density model has been used in risk assessment of airplane lateral deviation from runway centreline during take-off and landing phases of flight. The efficiency of the developed model is approved by Chi-square, Akaike’s, and Bayes information criteria. The results of TUGED fitting indicate better performance in comparison with double probability density distribution model. The risk of airplane veering off the runway is considered as the probability of a rare event occurrence and is estimated as an area under the TUGED.

scholarly journals Modeling and Estimating Volatility of Day-Ahead Electricity Prices

Mathematics ◽  
2021 ◽  
Vol 9 (7) ◽  
pp. 750
Author(s):  
Sherzod N. Tashpulatov
Keyword(s):  
Heavy Tails ◽  
Price Level ◽  
Power Market ◽  
Error Distribution ◽  
Electricity Prices ◽  
Volatility Model ◽  
Generalized Error Distribution ◽  
Student’S T ◽  
The Uk ◽  
The Impact

We model day-ahead electricity prices of the UK power market using skew generalized error distribution. This distribution allows us to take into account the features of asymmetry, heavy tails, and a peak higher than in normal or Student’s t distributions. The adequacy of the estimated volatility model is verified using various tests and criteria. A correctly specified volatility model can be used for analyzing the impact of reforms or other events. We find that, after the start of the COVID-19 pandemic, price level and volatility increased.

Longitudinal Collision Risk Assessment of Paired Departure to Closed Spaced Parallel Runways

2014 ◽  
Vol 1030-1032 ◽  
pp. 2028-2033
Author(s):  
Zhao Ning Zhang ◽  
Hui Qiao ◽  
Ting Ting Lu
Keyword(s):  
Risk Assessment ◽  
Traffic Control ◽  
Air Traffic Control ◽  
Safety Assessment ◽  
Error Distribution ◽  
Air Traffic ◽  
Assessment Model ◽  
Collision Risk ◽  
Safety Operation ◽  
Calculation Models

Paired departure to closed spaced parallel runways can effectively improve capacity of terminal, and also can solve congestion of busy airport, but it also increases the complexity of air traffic control .For ensuring safety operation of paired departure, the longitudinal collision risk of paired departure to closed spaced parallel runways was studied. Based on the acceleration error distribution and requirements on wake avoidance during paired departure, a longitudinal collision risk safety assessment model of closed spaced parallel runways paired departure was built. The parameters in this model were determined by providing the calculation models. In the end, an example was calculated to verify the model, and it turns out that this model is feasible.

Is China the price taker in soybean futures?

2015 ◽  
Vol 7 (3) ◽  
pp. 389-404 ◽  
Author(s):  
Bruce Jianhe Liu ◽  
Yubin Wang ◽  
Jingjing Wang ◽  
Xin Wu ◽  
Shu Zhang
Keyword(s):  
Genetically Modified ◽  
Spillover Effects ◽  
Futures Market ◽  
Error Distribution ◽  
Conditional Heteroskedasticity ◽  
Subprime Crisis ◽  
Genetically Modified Soybean ◽  
Content Type ◽  
Generalized Error Distribution ◽  
Futures Price

Purpose – The purpose of this paper is to examine whether China is still a passive price taker from the US soybean futures, or instead domestic futures market has developed certain degrees of pricing power through time. The finding helps to identify the importance of China soybean futures in the perspective of portfolio selection for international futures traders. If China soybean futures market is no longer a price taker after the subprime crisis, traders need to include it as a separate category in their portfolio. Design/methodology/approach – This paper uses exponential generalized autoregressive conditional heteroskedasticity-generalized error distribution (EGARCH-GED) and generalized autoregressive conditional heteroskedasticity-generalized error distribution (GARCH-GED) models to test spillover effects between Dalian Commodity Exchange (DCE) and Chicago Board of Trade (CBOT) soybean futures. The authors divide daily samples into three subperiods based on the subprime crisis. Three research questions – whether China is still the price taker, the importance of Chinese soybean futures in international futures portfolio selection, and the influences of subprime crisis on soybean futures volatility relationship – are examined by comparing estimation results through time and different contracts. Findings – The spillover effect from CBOT soybean futures to DCE No. 1 soybean futures becomes weaker through time. China is no longer a soybean futures price taker after the subprime crisis. The authors also find the shocks of bearish news on DCE soybeans are greater than those of bullish news. Potential volatility of DCE in long positions is bigger than that in short positions. Practical implications – China is the largest soybean importer. DCE is a very important futures market for non-genetically modified soybeans. It is necessary for both international and domestic futures traders to understand the changes in international soybean futures price relationship and take corresponding strategies. It is also important for market to realize that DCE soybean futures are to a less degree price taker after the subprime crisis. Originality/value – The paper applies EGARCH-GED and GARCH-GED models to identify changes in spillover effects before, during, and after the subprime crisis. Different from other studies, this paper finds after the subprime crisis, China is no longer the soybean futures price taker. This paper also compares the spillover effects of non-genetically modified soybean futures (No. 1 soybean futures) with genetically modified soybean futures (No. 2 soybean futures).

Sign in / Sign up

Export Citation Format

Share Document