the present paper we call such combinations ‘coupled risk measures' and develop a statistical inferential theory for them …Considerable literature has been devoted to developing statistical inferential results for risk measures, especially … a number of risk measures that are of the form of ratios, or even more complex combinations, of two L-functionals. In …

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …