ARCH and GARCH models are substantially used for modelling volatility of time series data.
It is proven by many studies that if variables are significantly skewed, linear versions of …

Using two large hedge fund databases, this paper empirically tests the presence and significance
of a cross-sectional relation between hedge fund returns and value at risk (VaR). The …

… value and frequency of a manager’s losing months to his or her winning months. This statistic
makes no assumptions about a manager’s return distribution and is therefore particularly …

… indicates that major allocation shifts away from the benchmark portfolios, especially with
respect to the RSG weights, tend to have long-term negative consequences for a portfolio’s risk, …

… VAR is simply a specific percentile of a portfolio’s potential … ), S is the skewness, and K is
the excess kurtosis.Equation (7) … Note that, if the distribution is normal, S and K are equal to …

… S is the unobserved state variable S = l, if the markets are integrated, S = 2, if the markets
are segmented. the parameter ø,_ can be interpreted as the conditional probability of being in …

… First, their nutritional requirements are not well defined; because both lean body mass and
basal metabolic rate decline with age, an older person’s energy requirement per kilogram of …

Object recognition usually includes colour, shape and material types. This paper presents a
methodology for surface material recognition by a tool which is tapped on an object for …

Objective (s): Non-alcoholic steatohepatitis (NASH) is a chronic liver disease with unknown
etiology. The insulin resistance, immune mechanisms and oxidative stress are the main …

Many academic and practitioner studies claim that hedge funds offer a superior risk/return
profile when compared to traditional asset classes, while having low to moderate correlations …