Search Results (71)

As investment portfolios become increasingly diversified and financial asset risks grow more complex, accurately forecasting the risk of multiple asset classes through mathematical modeling and identifying their heterogeneity has emerged as a critical topic in financial research. This study examines the volatility and tail risk of gold, crude oil, Bitcoin, and selected stock markets. Methodologically, we propose two improved Value at Risk (VaR) forecasting models that combine the autoregressive (AR) model, Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, Extreme Value Theory (EVT), skewed heavy-tailed distributions, and a rolling window estimation approach. The model’s performance is evaluated using the Kupiec test and the Christoffersen test, both of which indicate that traditional VaR models have become inadequate under current complex risk conditions. The proposed models demonstrate superior accuracy in predicting VaR and are applicable to a wide range of financial assets. Empirical results reveal that Bitcoin and the Chinese stock market exhibit no leverage effect, indicating distinct risk profiles. Among the assets analyzed, Bitcoin and crude oil are associated with the highest levels of risk, gold with the lowest, and stock markets occupy an intermediate position. The findings offer practical implications for asset allocation and policy design. Full article

Carbonaceous–siliceous–argillaceous rock-type uranium deposits, a major uranium resource in China, pose significant environmental risks due to heavy metal contamination. Geochemical investigations in the former Zoige uranium mine revealed elevated As, Cd, Cr, Cu, Ni, U, and Zn concentrations in soils and sediments, particularly at river confluences and downstream regions, attributed to leachate migration from ore bodies and tailings ponds. Surface samples exhibited high Cd bioavailability. The integrated BCR and mineral analysis reveals that Acid-soluble and reducible fractions of Ni, Cu, Zn, As, and Pb are governed by carbonate dissolution and Fe-Mn oxide dynamics via silicate weathering, while residual and oxidizable fractions show weak mineral-phase dependencies. Positive Matrix Factorization identified natural lithogenic, anthropogenic–natural composite, mining-related sources. Pollution assessments using geo-accumulation index and contamination factor demonstrated severe contamination disparities: soils showed extreme Cd pollution, moderate U, As, Zn contamination, and no Cr, Pb pollution (overall moderate risk); sediments exhibited extreme Cd pollution, moderate Ni, Zn, U levels, and negligible Cr, Pb impacts (overall extreme risk). USEPA health risk models indicated notable non-carcinogenic (higher in adults) and carcinogenic risks (higher in children) for both age groups. Ecological risk assessments categorized As, Cr, Cu, Ni, Pb, and Zn as low risk, contrasting with Cd (extremely high risk) and sediment-bound U (high risk). These findings underscore mining legacy as a critical environmental stressor and highlight the necessity for multi-source pollution mitigation strategies. Full article

Competing risk models are essential in survival analysis for studying systems with multiple mutually exclusive failure events. This study investigates the application of competing risk models in the presence of progressively Type-II censored data for the Dagum distribution, a flexible distribution suited for modeling data with heavy tails and varying skewness and kurtosis. The methodology includes maximum likelihood estimation of the unknown parameters, with a focus on the special case of a common shape parameter, which allows for a closed-form expression of the relative risks. A hypothesis test is developed to assess the validity of this assumption, and both asymptotic and bootstrap confidence intervals are constructed. The performance of the proposed methods is evaluated through Monte Carlo simulations, and their applicability is demonstrated with a real-world example. Full article

We propose the financial generative adversarial network–bidirectional long short-term memory (FINGAN-BiLSTM) model to accurately reproduce the complex statistical properties and stylized facts, namely, heavy-tailed behavior, volatility clustering, and leverage effects observed in the log returns of the foreign exchange (FX) market. The proposed model integrates a bidirectional LSTM (BiLSTM) into the conventional FINGAN framework so that the generator, discriminator, and predictor networks simultaneously incorporate both past and future information, thereby overcoming the information loss inherent in unidirectional LSTM architectures. Experimental results, assessed using metrics such as the Kolmogorov–Smirnov statistic, demonstrate that FINGAN-BiLSTM effectively mimics the distributional and dynamic patterns of actual FX data. In particular, the model significantly reduces the maximum cumulative distribution discrepancy in assets with high standard deviations and extreme values, such as the Canadian dollar (CAD) and the Mexican Peso (MXN), while precisely replicating dynamic features like volatility clustering and leverage effects, thereby outperforming conventional models. The findings suggest that the proposed deep learning–based forecasting model holds significant promise for practical applications in financial risk assessment, derivative pricing, and portfolio optimization, and they highlight the need for further research to enhance its generalization capabilities through the integration of exogenous economic variables. Full article

This study presented a comprehensive physical–statistical analysis of atmospheric particulate matter (PM₁₀ and PM_2.5) and trace gases (SO₂ and O₃) over Faial Island in the Azores archipelago during 2024. We collected real-time data at the Espalhafatos rural background station, covering 35,137 observations per pollutant, with 15 min intervals. Descriptive statistics, probability distribution fitting (Normal, Lognormal, Weibull, Gamma), and correlation analyses were employed to characterize pollutant dynamics and identify extreme pollution episodes. The results revealed that PM_2.5 (fine particles) concentrations are best modeled by a Lognormal distribution, while PM₁₀ concentrations fit a Gamma distribution, highlighting the presence of heavy-tailed, positively skewed behavior in both cases. Seasonal and episodic variability was significant, with multiple Saharan dust transport events contributing to PM exceedances, particularly during winter and spring months. These events, confirmed by CAMS and SKIRON dust dispersion models, affected not only southern Europe but also the Northeast Atlantic, including the Azores region. Weak to moderate correlations were observed between PM concentrations and meteorological variables, indicating complex interactions influenced by atmospheric stability and long-range transport processes. Linear regression analyses between SO₂ and O₃, and between SO₂ and PM_2.5, showed statistically significant but low-explanatory relationships, suggesting that other meteorological and chemical factors play a dominant role. This result highlights the importance of developing air quality policies that address both local emissions and long-range transport phenomena. They support the implementation of early warning systems and health risk assessments based on probabilistic modeling of particulate matter concentrations, even in remote Atlantic locations such as the Azores. Full article

This article describes a robust Gaussian Prior process state space modeling (GPSSM) approach to assess the impact of an intervention in a time series. Numerous applications can benefit from this approach. Examples include: (1) time series could be the stock price of a company and the intervention could be the acquisition of another company; (2) the time series under concern could be the noise coming out of an engine, and the intervention could be a corrective step taken to reduce the noise; (3) the time series could be the number of visits to a web service, and the intervention is changes done to the user interface; and so on. The approach we describe in this article applies to any times series and intervention combination. It is well known that Gaussian process (GP) prior models provide flexibility by placing a non-parametric prior on the functional form of the model. While GPSSMs enable us to model a time series in a state space framework by placing a Gaussian Process (GP) prior over the state transition function, probabilistic recurrent state space models (PRSSM) employ variational approximations for handling complicated posterior distributions in GPSSMs. The robust PRSSMs (R-PRSSMs) discussed in this article assume a scale mixture of normal distributions instead of the usually proposed normal distribution. This assumption will accommodate heavy-tailed behavior or anomalous observations in the time series. On any exogenous intervention, we use R-PRSSM for Bayesian fitting and forecasting of the IoT time series. By comparing forecasts with the future internal temperature observations, we can assess with a high level of confidence the impact of an intervention. The techniques presented in this paper are very generic and apply to any time series and intervention combination. To illustrate our techniques clearly, we employ a concrete example. The time series of interest will be an Internet of Things (IoT) stream of internal temperatures measured by an insurance firm to address the risk of pipe-freeze hazard in a building. We treat the pipe-freeze hazard alert as an exogenous intervention. A comparison of forecasts and the future observed temperatures will be utilized to assess whether an alerted customer took preventive action to prevent pipe-freeze loss. Full article

Solid waste treatment and resourceization critically depend on waste characterization. Heavy metals and critical raw materials are found as trace elements in solid waste dumps, and their reliable quantification plays a critical role for decision risk regarding effective waste management. The reliable quantification of trace elements is a very challenging issue. Hence, in this study, a new conservative approach for data analysis in screening for trace elements in waste dumps is presented. We propose a theoretical model for statistical data interpretation to overcome the drawbacks of conventional approaches based on unproven hypotheses, such as binomial, Poisson, or Gaussian distributions of the particles carrying the analyte. Our model addresses concentration values close to the limit of quantification (LOQ) of an analytical method. This model fills the gap of data analysis when a set of analytical results are uniformly distributed. Our approach deals with results reported as being lower than the LOQ. The model was applied on XRFS results from studies carried out on tailings to emphasize the differences among classic, robust, and conservative data analyses. Classical analyses overestimate the concentration values and underestimate the associated uncertainties increasing the decision risk. This study demonstrates that a conservative approach is mandatory when screening for trace elements if the concentration values are uniformly distributed. The proposed model can be applied to any solid waste dump, regardless of the analytical method used for trace element screening. Full article

In this paper, we study an extension of the classical compound Poisson risk model with a dependence structure among the inter-claim time and the subsequent claim size. Under a flexible dependence structure and assuming that the claim amounts are heavy tail distributed, we derive asymptotic tail moments for the aggregate claims. Numerical examples and simulation studies are provided to validate the results. Full article

Financial assets often exhibit explosive price surges followed by abrupt collapses, alongside persistent volatility clustering. Motivated by these features, we introduce a mixed causal–noncausal invertible–noninvertible autoregressive moving average generalized autoregressive conditional heteroskedasticity (MARMA–GARCH) model. Unlike standard ARMA processes, our model admits roots inside the unit disk, capturing bubble-like episodes and speculative feedback, while the GARCH component explains time-varying volatility. We propose two estimation approaches: (i) Whittle-based frequency-domain methods, which are asymptotically equivalent to Gaussian likelihood under stationarity and finite variance, and (ii) time-domain maximum likelihood, which proves to be more robust to heavy tails and skewness—common in financial returns. To identify causal vs. noncausal structures, we develop a higher-order diagnostics procedure using spectral densities and residual-based tests. Simulation results reveal that overlooking noncausality biases GARCH parameters, downplaying short-run volatility reactions to news ($\alpha$) while overstating volatility persistence ($\beta$). Our empirical application to Bitcoin and Ethereum enhances these insights: we find significant noncausal dynamics in the mean, paired with pronounced GARCH effects in the variance. Imposing a purely causal ARMA specification leads to systematically misspecified volatility estimates, potentially underestimating market risks. Our results emphasize the importance of relaxing the usual causality and invertibility assumption for assets prone to extreme price movements, ultimately improving risk metrics and expanding our understanding of financial market dynamics. Full article

The rapid growth of aluminum and graphite industries has generated substantial stockpiles of red mud and graphite tailings, which pose environmental risks due to their high heavy metal content and potential for soil and water contamination. This study investigated the leaching behavior of heavy metals from these materials post-stabilization using cement and a sulfonated oil-based ion curing agent, thereby evaluating their suitability for safe reuse. Semi-dynamic leaching experiments were employed to measure heavy metal release, supplemented by kinetic modeling to discern key leaching mechanisms. The findings indicated that the heavy metal concentrations in leachates were consistently below regulatory standards, with leaching dynamics influenced by dual mechanisms: the diffusion of ions and surface chemical reactions. A diffusion coefficient-based analysis further suggested low leachability indices for all metals, confirming effective immobilization. These results suggest that cement and curing agent-stabilized red mud–graphite tailing composites reduce environmental risks and possess characteristics favorable for resource recovery, thus supporting their sustainable use in industrial applications. Full article

The waste generated during metal mining activities contains mixtures of heavy metals (HM) that are not biodegradable and can accumulate in the surrounding biota, increasing risk to human and environmental health. Plant species with the capacity to grow and develop on mine tailings can be used as a model system in phytoremediation studies. Dodonaea viscosa (L.) Jacq. is a shrub with wide geographical distribution and the ability to establish itself in mine tailings. The Sierra de Huautla Biosphere Reserve in Mexico contains a metallurgic district where mining activities have generated 780 million kg of waste with large concentrations of toxic heavy metals, mainly cadmium and lead. The present study evaluated the phytoremediation potential of D. viscosa in in situ conditions on soils contaminated with HMs (exposed) and reference sites (non-exposed) for one year. Also, the effects of cadmium (Cd) and lead (Pb) exposure in D. viscosa were analyzed via DNA damage (comet assay) morphological and physiological characters in exposed vs non-exposed individuals. The concentration of Cd and Pb was measured through atomic absorption spectrophotometry in the roots and leaves of plants. In total, 120 D. viscosa individuals were established, 60 growing in exposed and 60 in non-exposed soils. Exposed individuals of D. viscosa hyperaccumulated Cd and Pb in roots and leaves. At the end of the experiment, eight out of twelve characters under evaluation decreased significantly in HM-exposed plants in relation to individuals growing in non-exposed soils, except for stomatal index, stomatal coverage, and fresh leaf biomass. The micro-morphological and physiological traits of D. viscosa were not influenced by Cd and Pb bioaccumulation. In contrast, the bioaccumulation of Cd and Pb significantly influenced the macro-morphological characters and genetic damage; this last biomarker was 3.2 times higher in plants growing in exposed sites. The bioconcentration factor (BCF) of Cd and Pb in root and leaf tissue increased significantly over time. The mean BCF in root and leaf tissue was higher for Pb (877.58 and 798.77) than for Cd (50.86 and 23.02). After 12 months of exposure, D. viscosa individuals growing on mine tailing substrate showed that the total HM phytoextraction capacity was 7.56 kg∙ha⁻¹ for Pb and 0.307 kg∙ha⁻¹ for Cd. D. viscosa shows potential for phytoremediation of soils contaminated with Cd and Pb, given its capacity for establishing and developing naturally in contaminated soils with HM. Along with its bioaccumulation, biomass production, abundance, and high levels of bioconcentration factors, but without affecting plant development and not registering associated herbivores, it may incorporate HM into the trophic chain. Full article

We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures the market expectations of future volatility, but traditional methods based on second-moment shocks and the time-varying volatility of the VIX often do not effectively to capture the non-Gaussian, heavy-tailed nature of asset returns. To address this, we constructed a revised VIX by fitting a double-subordinated Normal Inverse Gaussian Lévy process to S&P 500 log returns, to provide a more comprehensive measure of volatility that captures the extreme movements and heavy tails observed in financial data. Using an axiomatic framework, we developed a family of risk–reward ratios that, when computed with our revised VIX and fitted to a long-memory time series model, provide a more precise identification of uncertainty shocks in financial markets. Full article

Soil heavy metal pollution is one of the hottest topics in soil environmental research. There are a large number of small abandoned metal mines in China. Due to the lack of timely restoration and treatment, the heavy metal concentration in the soil within these mining areas often exceeds the local background levels, facilitating pollution spread to other natural factors such as precipitation, resulting in a wider extent of continuous contamination. This paper investigates the current status of heavy metal pollution in an abandoned small lead-zinc mine, particularly examining the concentrations of 10 specific heavy metals (V, Cr, Ni, Zn, As, Cd, Hg, Pb, Cu, Co) in soil samples. Additionally, it explores the extent of contamination caused by these heavy metals within the area. Besides, principal component analysis and positive matrix factorization model (PMF) were adopted to determine the sources of these heavy metals. The risk assessment of the pollution status was also carried out. The provision of a scientific basis for mining area management under similar conditions holds significant importance. The results indicate a significant positive correlation among the majority of these 10 heavy metals in soil. The presence of these heavy metals in the soil within the concentrator and tailings reservoir area primarily stems from mining operations, construction activities, and discharges from the power system. Hg, Pb, Zn, and As in the surrounding agricultural land mainly come from the heavy metal spillover from the mining area. Furthermore, the area is plagued by severe contamination from As and Pb. The Nemerow comprehensive index method has confirmed substantial pollution in both the concentrator and tailings reservoir. Additionally, there exists a substantial ecological risk ranging from moderate to high. Full article

Sustainable potable groundwater supply is crucial for human development and the preservation of natural habitats. The largest endorheic inland lake in Kazakhstan, Balkhash Lake, is the main water resource for the arid southeastern part of the country. Several ore enrichment plants that are located along its shore have heavy metal pollution potential. The study area is located around a plant that has an evident anthropogenic impact on the Balkhash Lake aquatic ecological system, with ten known heavy metal toxic hotspots endangering fragile habitats, including some indigenous human communities. This study assessed the risk of heavy metal contamination from tailing dump operations, storage ponds, and related facilities and suggested management practices for preventing this risk. The coastal zone risk assessment analysis used an innovative integrated groundwater numerical flow and transport model that predicted the spread of groundwater contamination from tailing dump operations under several mitigation strategies. Heavy metal pollution prevention models included a no-action scenario, a filtration barrier construction scenario, and two scenarios involving the drilling of drainage wells between the pollution sources and the lake. The scenario assessment indicates that drilling ten drainage wells down to the bedrock between the existing drainage channel and the lake is the optimal engineering solution for confining pollution. Under these conditions, pollution from tailings will not reach Lake Balkhash during the forecast period. The methods and tools used in this study to enable mining activity without environmental implications for the region can be applied to sites with similar anthropogenic influences worldwide. Full article

This paper proposes a novel censored autoregressive conditional Fréchet (CAcF) model with a flexible evolution scheme for the time-varying parameters, which allows deciphering tail risk dynamics constrained by price limits from the viewpoints of different risk preferences. The proposed model can well accommodate many important empirical characteristics of financial data, such as heavy-tailedness, volatility clustering, extreme event clustering, and price limits. We then investigate tail risk dynamics via the CAcF model in the price-limited stock markets, taking entropic value at risk (EVaR) as a risk measurement. Our findings suggest that tail risk will be seriously underestimated in price-limited stock markets when the censored property of limit prices is ignored. Additionally, the evidence from the Chinese Taiwan stock market shows that widening price limits would lead to a decrease in the incidence of extreme events (hitting limit-down) but a significant increase in tail risk. Moreover, we find that investors with different risk preferences may make opposing decisions about an extreme event. In summary, the empirical results reveal the effectiveness of our model in interpreting and predicting time-varying tail behaviors in price-limited stock markets, providing a new tool for financial risk management. Full article