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Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 28 (2012) 2, pp. 343-352
Persistent link: https://www.econbiz.de/10009581927
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Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold; Stoja, Evarist - In: International journal of forecasting 33 (2017) 4, pp. 958-969
Persistent link: https://www.econbiz.de/10011746932