scholarly journals On the left tail asymptotics for the limit law of supercritical Galton–Watson processes in the Böttcher case

2009 ◽  
Vol 45 (1) ◽  
pp. 201-225 ◽  
Author(s):  
Klaus Fleischmann ◽  
Vitali Wachtel
Keyword(s):  
Tail Asymptotics ◽  
Left Tail ◽  
Böttcher Case

scholarly journals Tail Asymptotics for Monotone-Separable Networks

2007 ◽  
Vol 44 (02) ◽  
pp. 306-320
Author(s):  
Marc Lelarge
Keyword(s):  
Queueing Network ◽  
Network Models ◽  
Moment Generating Function ◽  
Stochastic Petri Nets ◽  
Arrival Process ◽  
Polling Systems ◽  
Tail Asymptotics ◽  
State Variables ◽  
Monotone Functions ◽  
Jackson Networks

A network belongs to the monotone separable class if its state variables are homogeneous and monotone functions of the epochs of the arrival process. This framework contains several classical queueing network models, including generalized Jackson networks, max-plus networks, polling systems, multiserver queues, and various classes of stochastic Petri nets. We use comparison relationships between networks of this class with independent and identically distributed driving sequences and the GI/GI/1/1 queue to obtain the tail asymptotics of the stationary maximal dater under light-tailed assumptions for service times. The exponential rate of decay is given as a function of a logarithmic moment generating function. We exemplify an explicit computation of this rate for the case of queues in tandem under various stochastic assumptions.

scholarly journals Investigating the Links between UK House Prices and Share Prices with Copulas

2021 ◽  
Author(s):  
Rakesh K. Bissoondeeal ◽  
Leonidas Tsiaras
Keyword(s):  
Stock Market ◽  
House Prices ◽  
National Level ◽  
Tail Dependence ◽  
Share Prices ◽  
Property Prices ◽  
Left Tail ◽  
The Uk ◽  
The Relationship ◽  
Shared Characteristic

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

scholarly journals Forecasting Large Price Declines of the Nikkei Using the S&P 500 Implied Volatility

2016 ◽  
Vol 8 (1) ◽  
pp. 58
Author(s):  
Chikashi Tsuji
Keyword(s):  
Quantile Regression ◽  
Regression Models ◽  
Implied Volatility ◽  
Predictive Power ◽  
Downside Risk ◽  
Price Changes ◽  
Empirical Results ◽  
Left Tail

This paper empirically examines the forecast power of the previous day’s US implied volatility for large declines of the Nikkei by using several versions of quantile regression models. All our empirical results suggest that the previous day’s US S&P 500 implied volatility has forecast power for large price drops of the Nikkei 225 in Japan. Since we repeatedly and carefully tested the several left tail risks in price changes of the Nikkei and we also tested by using some different versions of quantile regression models, our evidence of the predictive power of the S&P 500 implied volatility for downside risk of the Nikkei is very robust.

The Impact of Volatility Targeting

2018 ◽  
Keyword(s):  
Sharpe Ratio ◽  
Leverage Effect ◽  
Left Tail ◽  
Risk Parity ◽  
Asset Classes ◽  
Equity Portfolios ◽  
Sharpe Ratios ◽  
Tail Events ◽  
The Impact ◽  
Extreme Returns

Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a constant notional exposure. The authors show that this result only holds for risk assets, such as equity and credit, and they link this finding to the so-called leverage effect for those assets. In contrast, for bonds, currencies, and commodities, the impact of volatility targeting on the Sharpe ratio is negligible. However, the impact of volatility targeting goes beyond the Sharpe ratio: It reduces the likelihood of extreme returns across all asset classes. Particularly relevant for investors, left-tail events tend to be less severe because they typically occur at times of elevated volatility, when a target-volatility portfolio has a relatively small notional exposure. We also consider the popular 60–40 equity–bond balanced portfolio and an equity–bond–credit–commodity risk parity portfolio. Volatility scaling at both the asset and portfolio level improves Sharpe ratios and reduces the likelihood of tail events.

scholarly journals The Saddle Point Method for the Integral of the Absolute Value of the Brownian Motion

2003 ◽  
Vol DMTCS Proceedings vol. AC,... (Proceedings) ◽  
Author(s):  
Leonid Tolmatz
Keyword(s):  
Distribution Function ◽  
Brownian Motion ◽  
Saddle Point ◽  
Point Method ◽  
Saddle Point Method ◽  
Tail Asymptotics ◽  
Absolute Value ◽  
Exact Tail Asymptotics ◽  
International Audience ◽  
The Absolute

International audience The distribution function of the integral of the absolute value of the Brownian motion was expressed by L.Takács in the form of various series. In the present paper we determine the exact tail asymptotics of this distribution function. The proposed method is applicable to a variety of other Wiener functionals as well.

scholarly journals On the efficient simulation of the left-tail of the sum of correlated log-normal variates

2018 ◽  
Vol 24 (2) ◽  
pp. 101-115 ◽  
Author(s):  
Mohamed-Slim Alouini ◽  
Nadhir Ben Rached ◽  
Abla Kammoun ◽  
Raul Tempone
Keyword(s):  
Communication Systems ◽  
Variance Reduction ◽  
Gaussian Copula ◽  
Small Probability ◽  
Control Variate ◽  
Reduction Techniques ◽  
Left Tail ◽  
Mild Assumption ◽  
Log Normal ◽  
The Right

Abstract The sum of log-normal variates is encountered in many challenging applications such as performance analysis of wireless communication systems and financial engineering. Several approximation methods have been reported in the literature. However, these methods are not accurate in the tail regions. These regions are of primordial interest as small probability values have to be evaluated with high precision. Variance reduction techniques are known to yield accurate, yet efficient, estimates of small probability values. Most of the existing approaches have focused on estimating the right-tail of the sum of log-normal random variables (RVs). Here, we instead consider the left-tail of the sum of correlated log-normal variates with Gaussian copula, under a mild assumption on the covariance matrix. We propose an estimator combining an existing mean-shifting importance sampling approach with a control variate technique. This estimator has an asymptotically vanishing relative error, which represents a major finding in the context of the left-tail simulation of the sum of log-normal RVs. Finally, we perform simulations to evaluate the performances of the proposed estimator in comparison with existing ones.

Sign in / Sign up

Export Citation Format

Share Document