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Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR
Halbert White,Tae-Hwan Kim,Simone Manganelli 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2008 No.2
Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to permit joint modeling of multiple quantiles, Multi-Quantile (MQ) CAViaR. We apply our new methods to estimate measures of conditional skewness and kurtosis de…ned in terms of conditional quantiles, analogous to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily returns.
Eric Chung,Sun Yang,Louise White,Simon Wood,David Nicol 대한비뇨의학회 2015 Investigative and Clinical Urology Vol.56 No.2
Purpose: To report on lessons learnt in the management of primary invasive penile cancer in a major tertiary hospital in Australia. Materials and Methods: Medical records for all patients who underwent surgery for primary invasive penile cancer betweenJanuary 2000 and January 2011 were obtained. Patient demographics, clinical status of inguinal node, cancer stage and clinicaloutcomes were reviewed. All patients were followed up for a minimum of 48 months postoperative unless patient deceased withinthe first 48 months from the time of penile cancer surgery. Results: Over the 11-year period, a total of 23 cases of invasive penile cancer were identified. Partial penectomy was the mostcommon form of organ preserving surgery and the majority of patients have pT1b disease. Of the 9 patients with clinically palpableinguinal nodes, 7 patients were diagnosed with pN3 disease following inguinal lymphadenectomy. The Kaplan-Meier cancerspecificsurvival at 72 months showed decreasing survival based on tumour stage (83% in pT1, 79% in pT2, and 64% in pT3 disease)and nodal disease (100% in node negative, 50% in superficial inguinal lymphadenopathy, and 38% in patients with deep inguinaland/or pelvic lymphadenopathy) (p=0.082). The Kaplan-Meier cancer-specific survival revealed statistically significant difference insurvival outcome in patients with local recurrence vs. systemic metastasis disease (33% vs. 17%, p=0.008). Conclusions: The presence of high risk features such as tumour stage, lymph node involvement and distant metastasis carries asignificant higher risk of death and tumour recurrence in patients with penile cancer and inguinal lymph node metastasis.