Extreme expectile estimation for short-tailed data, with an application to market risk assessment

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of expectiles. While the theory of expectile estimation at central levels is substantial, tail estima- tion at extreme levels has so far only been considered when the tail of the underlying distribution is heavy. This article is the first work to handle the short-tailed setting where the loss (e.g. negative log-returns) distribution of interest is bounded to the right and the corresponding extreme value index is negative. We derive an asymptotic expansion of tail expectiles in this challenging context under a general second-order extreme value condition, which allows to come up with two semiparametric estima- tors of extreme expectiles, and with their asymptotic properties in a general model of strictly stationary but weakly dependent observations. A simulation study and a real data analysis from a forecasting perspective are performed to verify and compare the proposed competing estimation procedures

CHEMICAL ANALYSIS, ANTIOXIDANT, ANTI-INFLAMMATORY AND ANTINOCICEPTIVE EFFECTS OF ACETONE EXTRACT OF ALGERIAN SOLENOSTEMMA ARGEL (DELILE) HAYNE LEAVES

Objective: To investigate the qualitative composition of the acetonic extract from leaves of S. argel (AESA) and their anti-inflammatory and analgesic properties in vivo. Methods: AESA profile was established by UHPLC/DAD/ESI-MS2. AESA was subjected to the acute oral toxicity study according to the OECD-420 method. Antioxydant activity of AESA was performed by DPPH radical scavenging assay. Anti-inflammatory effects of AESA were determined in two animal models: carrageenan-induced paw edema in rats and cotton pellet-induced granuloma formation in rats. Further, anti-nociceptives activities of AESA were assessed by hot plate test, acetic acid-induced abdominal writhing test and formalin test. Results: The in vivo AESA toxicity was low. AESA expresses a maximum radical scavenging activity with a IC50 value of 36,05 μg/ml. The AESA at 250 and 400 mg/kg significantly reduced carrageen an induced paw edema by 70.09% and 85.53% 6h after carrageenan injection, respectively. AESA produced significant dose-dependent anti-inflammatory effect against cotton pellets-induced granuloma formation in rats. In addition, AESA at 250 and 400 mg/kg significantly reduced acetic acid-induced writhing by 56.83 and 80.41%, respectively. Oral administration of 250 and 400 mg/kg of AESA caused a significant dose dependent anti-nociceptive effect in both neurogenic and inflammatory phases of formalin-induced licking. AESA also impacted the pain latency in the hot plat test. Conclusion: These data suggest that AESA possesses antioxidant, anti-inflammatory and anti-nociceptive effects. These results support the traditional use of S. argel to cure pain and inflammatory diseases in the Algerian Sahara

Robust nonparametric estimators of monotone boundaries

This paper revisits some asymptotic properties of the robust nonparametric estimators of order-in and order-alpha quantile frontiers and proposes isotonized version of these estimators. Previous convergence properties of the order-in frontier are extended (from weak uniform convergence to complete uniform convergence). Complete uniform convergence of the order-in (and of the quantile order-alpha) nonparametric estimators to the boundary is also established, for an appropriate choice of in (and of a, respectively) as a function of the sample size. The new isotonized estimators share the asymptotic Aa properties of the original ones and a simulated example shows, as expected, that these new versions are even more robust than the original estimators. The procedure is also illustrated through a real data set. (c) 2004 Elsevier Inc. All rights reserved

A Gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fields

The estimation of optimal support boundaries under the monotonicity constraint is relatively unexplored and still in full development. This article examines a new extreme-value based model which provides a valid alternative for completely envelopment frontier models that often suffer from lack of precision, and for purely stochastic ones that are known to be sensitive to model misspecication. We provide different motivating applications including the estimation of the minimal cost in production activity and the assessment of the reliability of nuclear reactors

A Γ-moment approach to monotonic boundaries estimation

The estimation of optimal support boundaries under the monotonicity constraint is relatively\ud unexplored and still in full development. This article examines a new extreme-value based model\ud which provides a valid alternative for completely envelopment frontier models that often super\ud from lack of precision, and for purely stochastic ones that are known to be sensitive to model\ud misspecification. We provide different motivating applications including the estimation of the\ud minimal cost in production activity and the assessment of the reliability of nuclear reactors