Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089313 | Journal of Banking & Finance | 2013 | 9 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Arnold Polanski, Evarist Stoja, Ren Zhang,