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Increasing interdependence of multivariate distributions

Meyer, Margaret A.; Strulovici, Bruno - 2011

Orderings of interdependence among random variables are useful in many economic contexts, for example, in assessing ex post inequality under uncertainty; in comparing multidimensional inequality; in valuing portfolios of assets or insurance policies; and in assessing systemic risk. We explore...

Persistent link: https://www.econbiz.de/10008933416

Increasing interdependence of multivariate distributions

Meyer, Margaret A.; Strulovici, Bruno - In: Journal of economic theory 147 (2012) 4, pp. 1460-1489

Persistent link: https://www.econbiz.de/10009680945

Multivariate differences ordering

Savaglio, Ernesto - 2004

Persistent link: https://www.econbiz.de/10002176366

Testing for the cointegration rank when some cointegrating directions are changing

Andrade, Philippe; Bruneau, Catherine; Grégoir, Stéphane - In: Journal of econometrics 124 (2005) 2, pp. 269-310

Persistent link: https://www.econbiz.de/10002515549

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien - 2012

framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability …. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the … unobservable volatility matrix and this substitution may severely affect the ranking. We address this issue by investigating the …

Persistent link: https://www.econbiz.de/10013116642