Multidimensional risk and risk dependence |
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Authors: | Arnold Polanski Evarist Stoja Ren Zhang |
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Institution: | 1. University of East Anglia, Norwich Research Park, Norwich NR4 7TJ, UK;2. School of Economics, Finance and Management, University of Bristol, 8 Woodland Road, Bristol BS8 1TN, UK |
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Abstract: | Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In practice this evaluation remains challenging. We propose a simple non-parametric framework with several economic and statistical applications. In an empirical study, we illustrate the flexibility of our technique by applying it to the evaluation of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk. |
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Keywords: | C52 C53 |
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