This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy … from Yahoo Finance. Bootstrap-based trapezoidal fuzzy numbers are used to estimate fuzzy tail dependence, VaR, and CoVaR … commodities, except for strong lower-tail dominance between crude oil and natural gas, indicating downside contagion within the …

grid maps simultaneously plot information criteria against risk measures, specifically the Value-at-Risk (VaR) and Tail … Value-at-Risk (TVaR) at 95% and 99% thresholds, to highlight critical-fit versus tail-risk trade-offs. It is observed that …

This research explores the application of extreme value theory in modelling and quantifying tail risks across different … Generalised Extreme Value Distribution (GEVD) and the Generalised Pareto Distribution (GPD) and to assess the associated tail risk … comparison between GEVD and GPD is conducted to estimate tail risk for each index, and it is observed that GPD consistently …

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence … joint "equity-down & volatility-up" tail events and that of the mirror state ("equity-up & volatility-down") within a …-adjusted metrics. Overall, the findings support CAI as a tail-aware overlay for equity-centric and balanced portfolios rather than a …

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme … model (i) has unit root-like, i.e., integrated autoregressive dynamics for the GPD tail shape, and (ii) re-scales POTs by … their thresholds to obtain a more parsimonious model with only one time-varying parameter to describe the entire tail. We …

central, and tail-sensitive measures such as Conditional Value-at-Risk (CVaR) are increasingly adopted. However, empirical … evidence remains mixed regarding whether CVaR-based strategies provide consistent protection across market regimes and tail … depths. This study conducts a comprehensive empirical evaluation of tail-risk-based portfolio strategies using cryptocurrency …