An analytical and numerical study of the suppression of the transverse head-tail instability by modulating the chromaticity over a synchrotron period is presented. We find that a threshold can be developed, and it can be increased to a value larger than the strong head-tail instability threshold. The stability criterion derived agrees very well with the simulations. The underlying physical mech...

This paper considers the M/G/1 queue with regularly varying service requirement distribution. It studies the effect of the service discipline on the tail behavior of the waitingor sojourn time distribution, demonstrating that different disciplines may lead to quite different tail behavior. The orientation of the paper is methodological: We outline three different methods of determining tail beh...

In this paper, we investigate the asymmetry in the tail dependence between US equity portfolios and the aggregate US market. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence often have poor finite-sample properties. We therefore develop a parametric model for measuring and testing asymmetry in tail dependence, usi...

A Pareto distribution has the property that any tail of the distribution has the same shape as the original distribution. The exponential distribution and the uniform distribution have the tail property too. The tail property characterizes the univariate generalized Pareto distributions. There are three classes of univariate GPDs: Pareto distributions, power laws, and the exponential distributi...

Theory suggests that the risk of infrequent yet extreme events has a large impact on asset prices. Testing models of this hypothesis remains a challenge due to the difficulty of measuring tail risk fluctuations over time. I propose a new measure of time-varying tail risk that is motivated by asset pricing theory and is directly estimable from the cross section of returns. My procedure applies H...

Theory suggests that the risk of infrequent yet extreme events has a large impact on asset prices. Testing models of this hypothesis remains a challenge due to the difficulty of measuring tail risk fluctuations over time. I propose a new measure of time-varying tail risk that is motivated by asset pricing theory and is directly estimable from the cross section of returns. My procedure applies H...

In the literature, retrial queues with batch arrivals and heavy-tailed service times have been studied so-called equivalence theorem has established under condition that time is heavier than size. The provides distribution (or tail) between total number of customers in system for queue corresponding standard (non-retrial) queue. this paper, assumption regularly varying tails, we eliminate by al...

Article history: Received 31 August 2012 Received in revised form 22 April 2013 Accepted 19 May 2013 Available online 25 May 2013 This paper investigates the dynamic dependence between crude oil prices and stock markets in ten countries across the Asia-Pacific region during the period from January 4, 2000 to March 30, 2012 by using unconditional and conditional copula models. The model is imple...