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Arnold Polanski
Information about the author Arnold Polanski will soon be added to the site.
Found
3 papers
in total
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Efficient evaluation of multidimensional time‐varying density forecasts, with applications to risk management
2012
We propose two simple evaluation methods for time‐varying density forecasts of...
Dynamic density forecasts for multivariate asset returns
2011
We propose a simple and flexible framework for forecasting the joint density of asset...
Incorporating higher moments into value‐at‐risk forecasting
2010
Value‐at‐risk (VaR) forecasting generally relies on a...
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