scholarly journals CONDITIONAL EXTREME VALUES THEORY AND TAIL-RELATED RISK MEASURES: EVIDENCE FROM LATIN AMERICAN STOCK MARKETS

2019 ◽  
Vol 9 (3) ◽  
pp. 127-141
Author(s):  
Raúl de Jesús-Gutiérrez ◽  
Roberto J. Santillán-Salgado
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Extreme Values ◽  
Risk Measures ◽  
Related Risk ◽  
Extreme Values Theory

POWER LAW AND STRETCHED EXPONENTIAL EFFECTS OF EXTREME EVENTS IN CHINESE STOCK MARKETS

2010 ◽  
Vol 09 (02) ◽  
pp. 203-217 ◽  
Author(s):  
XIAOJUN ZHAO ◽  
PENGJIAN SHANG ◽  
YULEI PANG
Keyword(s):  
Correlation Analysis ◽  
Power Law ◽  
Extreme Events ◽  
Stock Markets ◽  
Cross Correlation ◽  
Extreme Values ◽  
Cumulative Distribution ◽  
Stretched Exponential ◽  
Cross Correlation Analysis ◽  
Chinese Stock Markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

Ethnic Differences in the Smoking-Related Risk of Inflammatory Bowel Disease: A Systematic Review and Meta-Analysis

2021 ◽  
Author(s):  
Daniele Piovani ◽  
Claudia Pansieri ◽  
Soumya R R Kotha ◽  
Amanda C Piazza ◽  
Celia-Louise Comberg ◽  
...  
Keyword(s):  
Inflammatory Bowel Disease ◽  
Latin American ◽  
Bowel Disease ◽  
Meta Analysis ◽  
Study Data ◽  
Future Research ◽  
Related Risk ◽  
Increased Risk ◽  
Inflammatory Bowel

Abstract Background and aims The association between smoking and inflammatory bowel disease (IBD) relies on old meta-analyses including exclusively non-Jewish White populations. Uncertainty persists regarding the role of smoking in other ethnicities. Methods We systematically searched Medline/PubMed, Embase and Scopus for studies examining tobacco smoking and the risk of developing IBD, i.e., Crohn’s disease (CD) or ulcerative colitis (UC). Two authors independently extracted study data and assessed each study’s risk-of-bias. We examined heterogeneity and small-study effect, and calculated summary estimates using random-effects models. Stratified analyses and meta-regression were employed to study the association between study-level characteristics and effect estimates. The strength of epidemiological evidence was assessed through prespecified criteria. Results We synthesized 57 studies examining the smoking-related risk of developing CD and UC. Non-Jewish White smokers were at increased risk of CD (29 studies; RR: 1.95, 95% CI: 1.69‒2.24; moderate evidence). No association was observed in Asian, Jewish and Latin-American populations (11 studies; RR: 0.97; 95% CI: 0.83–1.13), with no evidence of heterogeneity across these ethnicities. Smokers were at reduced risk of UC (51 studies; RR: 0.55, 95% CI: 0.48–0.64; weak evidence) irrespectively of ethnicity; however, cohort studies, large studies and those recently published showed attenuated associations. Conclusions This meta-analysis did not identify any increased risk of CD in smokers in ethnicities other than non-Jewish Whites, and confirmed the protective effect of smoking on UC occurrence. Future research should characterize the genetic background of CD patients across different ethnicities to improve our understanding on the role of smoking in CD pathogenesis.

Risk Measurement Using Extreme Values Theory

2017 ◽  
Author(s):  
Sebastian Maio ◽  
pablo macri ◽  
Manuel Maurette
Keyword(s):  
Extreme Values ◽  
Risk Measurement ◽  
Extreme Values Theory

An Analysis of “Sell in May and Go Away” Strategy in Latin American Stock Markets

2021 ◽  
pp. 1-26
Author(s):  
Juliano Ribeiro de Almeida ◽  
Daniel Reed Bergmann ◽  
José Roberto Ferreira Savoia ◽  
Guilherme Ribeiro de Almeida ◽  
Marina Arantes Braga
Keyword(s):  
Latin American ◽  
Stock Markets

scholarly journals Do psychological barriers exist in Latin American stock markets?

2020 ◽  
Vol 35 (2) ◽  
pp. 29-56
Author(s):  
Júlio Lobão ◽  
Natércia Fortuna ◽  
Franklin Silva
Keyword(s):  
Latin American ◽  
Stock Markets ◽  
Psychological Barriers

scholarly journals Evaluación del efecto tamaño de empresa en los mercados bursátiles de América Latina

2013 ◽  
Vol 17 (37) ◽  
pp. 5-28
Author(s):  
Juan Benjamín Duarte Duarte ◽  
Zulay Yesenia Ramírez León ◽  
Katherine Julieth Sierra Suárez
Keyword(s):  
Latin America ◽  
Size Effect ◽  
Cross Section ◽  
Latin American ◽  
Stock Markets ◽  
The Cross ◽  
America Latina

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

scholarly journals A study of co-movements between U.S. and Latin American stock markets: A cross-bicorrelations perspective

DYNA ◽  
2016 ◽  
Vol 83 (196) ◽  
pp. 143-148 ◽  
Author(s):  
Semei Coronado-Ramirez ◽  
Omar Rojas-Altamirano ◽  
Rafael Romero-Meza ◽  
Francisco Venegas-Martínez
Keyword(s):  
Stock Market ◽  
Latin American ◽  
Stock Markets ◽  
Nonlinear Dependence ◽  
Standard And Poor's ◽  
Non Linear ◽  
Market Indexes

<p>This work applies a test that detects dependence between pairs of variables. The kind of dependence is a non-linear one, and the test is known as cross-bicorrelation, which is associated with Brooks and Hinich [1]. We study dependence periods between U.S. Standard and Poor's 500 (SP500), used as a benchmark, and six Latin American stock market indexes: Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Colombia (COLCAP), Peru (IGBVL) and Argentina (MERVAL). We have found windows of nonlinear dependence and comovement between the SP500 and the Latin American stock markets, some of which coincide with periods of crisis, leading to an interpretation of a possible contagion or interdependence.</p>

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