Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better...

This article presents EVM (Expectation-Variance-Maximization) — an alternative algorithm to the EM algorithm that can reduce training times dramatically. The new approach belongs to the class of general Newton algorithms and is applicable in most situations where the EM algorithm is currently...

We present a methodology to estimate fixed cost parameters relevant to the decision to operate, mothballor retire an open-cycle gas turbine (OCGT) using a dynamic discrete choice model, based on fuel andelectricity prices, as well as technical data and the operational status of OCGTs in the PJM...