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Arnold Polanski

University of East Anglia

Senior Lecturer

Norwich, Norfolk NR4 7TJ

United Kingdom

http://https://www.uea.ac.uk/eco/people/All+People/Academic/Arnold+Polanski

  • University of East Anglia

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SCHOLARLY PAPERS

23

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2,932

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22

Scholarly Papers (23)

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1.

Incorporating Higher Moments into Value at Risk Estimation

Number of pages: 20 Posted: 12 Oct 2008
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 325 (231,171)

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Value-at-Risk (VaR) estimation, Time-varying variance, skewness, kurtosis, Gram-Charlier series expansion

2.

Entry Limiting Agreements for Pharmaceuticals: Pay-for-Delay and Authorized Generic Deals

Number of pages: 48 Posted: 04 Jul 2015 Last Revised: 21 Apr 2020
Farasat A. S. Bokhari, Franco Mariuzzo and Arnold Polanski
University of East Anglia (UEA) - School of Economic and Social Studies, University of East Anglia (UEA) - Centre for Competition Policy and University of East Anglia
Downloads 266 (286,114)
Citation 1

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pharmaceuticals, pay-for-delay, reverse payments, authorized generics, first mover advantage

3.

The Taxonomy of Tail Risk

Downloads 248 (310,057)

The Taxonomy of Tail Risk

Number of pages: 64 Posted: 29 Nov 2023
Evarist Stoja, Arnold Polanski and Linh Nguyen
University of Bristol, University of East Anglia and University of Exeter
Downloads 129 (566,977)

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Tail Dependence, Tail Risk Decomposition, Tail Risk Classification, Systematic Tail Risk, Idiosyncratic Tail Risk, Tail Risk Cushioning

The Taxonomy of Tail Risk

Journal of Financial Research, 0 [10.1111/jfir.12423]
Number of pages: 64 Posted: 12 Jul 2024
Evarist Stoja, Arnold Polanski and Linh Nguyen
University of Bristol, University of East Anglia and University of Exeter
Downloads 119 (607,238)

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Tail Dependence, Tail Risk Decomposition, Tail Risk Classification, Systematic Tail Risk, Idiosyncratic Tail Risk, Tail Risk Cushioning JEL: C14, G11, G12

4.

Does Systematic Tail Risk Matter?

Journal of International Financial Markets, Institutions and Money, volume 82, 2023 [10.1016/j.intfin.2022.101698]
Number of pages: 39 Posted: 12 Jul 2024
Evarist Stoja, Arnold Polanski and Linh Nguyen
University of Bristol, University of East Anglia and University of Exeter
Downloads 224 (340,701)
Citation 1

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Tail Dependence, Systematic Tail Risk, Tail Risk Beta, Risk Premium JEL: C14, G11, G12

5.

Telling Tales from the Tails: High-Dimensional Tail Interdependence

Downloads 184 (411,650)

Telling Tales from the Tails: High-Dimensional Tail Interdependence

Number of pages: 44 Posted: 30 Apr 2019
Arnold Polanski, Evarist Stoja and Frank Windmeijer
University of East Anglia, University of Bristol and University of Bristol - Department of Economics
Downloads 184 (410,184)

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Telling Tales from the Tails: High-Dimensional Tail Interdependence

Journal of Applied Econometrics, Forthcoming
Posted: 30 Apr 2019
Arnold Polanski, Evarist Stoja and Frank Windmeijer
University of East Anglia, University of Bristol and University of Bristol - Department of Economics

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co-exceedance, tail interdependence, high dimensions

6.

Extreme Risk Interdependence

Downloads 149 (497,070)
Citation 1

Extreme Risk Interdependence

Bank of England Working Paper No. 563
Number of pages: 39 Posted: 09 Nov 2015
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 109 (648,902)
Citation 1

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Co-exceedance, Kullback-Leibler divergence, multi-information, relative entropy

Extreme Risk Interdependence

ESRB: Working Paper Series No. 2016/12
Number of pages: 38 Posted: 05 Nov 2020
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 40 (1,210,354)

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co-exceedance, Kullback-Leibler divergence, multi-information, relative entropy, risk contribution, risk interdependence

7.

Homophily and Influence: The Weakness of Weak Ties

Number of pages: 48 Posted: 24 Mar 2017
Arnold Polanski, Fernando Vega-Redondo, Fernando Vega-Redondo and Fernando Vega-Redondo
University of East Anglia and Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute
Downloads 138 (530,816)

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social learning, homophily, influence, information, integration

8.

Communication Networks, Externalities and the Price of Information

Number of pages: 42 Posted: 30 Jan 2018
Arnold Polanski
University of East Anglia
Downloads 136 (537,489)

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Networks, Information, Externalities

9.

Multidimensional Risk and Risk Dependence

Downloads 127 (569,079)

Multidimensional Risk and Risk Dependence

Number of pages: 39 Posted: 05 Feb 2014
Arnold Polanski, Evarist Stoja and Ren Zhang
University of East Anglia, University of Bristol and University of East Anglia (UEA)
Downloads 127 (570,740)

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Multiple Sources of Risk, Multidimensional Value at Risk, Risk Distribution, Dependence in Risk, Systemic Risk

Multidimensional Risk and Risk Dependence

Journal of Banking and Finance, Vol. 37, No. 8, pp.3286–3294, 2013
Posted: 05 Feb 2014
Arnold Polanski, Evarist Stoja and Ren Zhang
University of East Anglia, University of Bristol and University of East Anglia (UEA)

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Multiple Sources of Risk, Multidimensional Value at Risk, Risk Distribution, Dependence in Risk, Systemic Risk

10.

Markets, Bargaining, and Networks with Heterogeneous Agents

Number of pages: 35 Posted: 16 Feb 2013
Arnold Polanski, Fernando Vega-Redondo, Fernando Vega-Redondo and Fernando Vega-Redondo
University of East Anglia and Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute
Downloads 121 (592,433)
Citation 13

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bargaining, networks, markets, Pairwise Stability, arbitrage, competition, matching

11.

Dynamic Density Forecasts for Multivariate Asset Returns

Downloads 114 (621,896)
Citation 1

Dynamic Density Forecasts for Multivariate Asset Returns

Number of pages: 26 Posted: 09 Aug 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 114 (625,060)
Citation 1

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Time-Varying Higher Co-Moments, Joint Density Forecasting, Method of Moments, Multivariate Value-at-Risk

Dynamic Density Forecasts for Multivariate Asset Returns

Journal of Forecasting, Vol. 30, pp. 523-540, 2011
Posted: 09 Aug 2010 Last Revised: 22 Aug 2012
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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12.

Coalition Bargaining in Repeated Games

Number of pages: 22 Posted: 04 Sep 2015 Last Revised: 23 Jan 2018
Arnold Polanski, Fernando Vega-Redondo, Fernando Vega-Redondo and Fernando Vega-Redondo
University of East Anglia and Bocconi UniversityUniversidad de Alicante - Department of Economic AnalysisEuropean University Institute
Downloads 109 (645,052)

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repeated multi-coalitional games; coalition formation; network games

13.

What Can We Learn from Applying Machine Learning to Bargaining?

Number of pages: 40 Posted: 27 Dec 2022
Arnold Polanski and Jaroslaw Sikora
University of East Anglia and affiliation not provided to SSRN
Downloads 107 (654,668)

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Bargaining Experiment, Machine Learning, Electronic Negotiation

14.

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Downloads 101 (684,672)

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

Number of pages: 32 Posted: 08 Sep 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 101 (689,735)

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Multivariate Density Forecast Evaluation, Probability Integral Transformation, Multidimensional Value at Risk, Monte Carlo Simulations

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with an Application to Risk Management

International Journal of Forecasting, Vol. 28, pp. 343–352, 2012
Posted: 09 Oct 2010 Last Revised: 22 Aug 2012
Evarist Stoja and Arnold Polanski
University of Bristol and University of East Anglia

Abstract:

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15.

Dirty Neighbors: Pollution in an Interlinked World

Number of pages: 26 Posted: 20 Aug 2018
Miguel Meléndez-Jiménez and Arnold Polanski
University of Malaga and University of East Anglia
Downloads 91 (736,406)

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local pollution, negative externalities, networks

16.

Tail Risk Interdependence

Downloads 86 (765,566)

Tail Risk Interdependence

Bank of England Working Paper No. 815, August 2019
Number of pages: 28 Posted: 06 Aug 2019 Last Revised: 12 Jul 2023
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England
Downloads 86 (773,441)

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co-exceedance, systemic distress, risk contribution, extreme risk interdependence

Tail Risk Interdependence

Forthcoming in International Journal of Finance and Economics, https://doi.org/10.1002/ijfe.2077
Posted: 05 Sep 2020
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England

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co-exceedance, systemic distress, risk contribution, extreme risk interdependence, relative entropy

17.

Co-Dependence of Extreme Events in High Frequency FX Returns

Downloads 81 (796,622)
Citation 2

Co-Dependence of Extreme Events in High Frequency FX Returns

Number of pages: 39 Posted: 05 Feb 2014
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 81 (805,635)
Citation 2

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High Frequency Returns, Distributional Characteristics, Multidimensional Risk, Dependence in Risk, Extreme Risk Assessment, Multidimensional Value at Risk

Co-Dependence of Extreme Events in High Frequency FX Returns

Journal of International Money and Finance, Forthcoming
Posted: 05 Feb 2014
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

Abstract:

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High Frequency Returns, Distributional Characteristics, Multidimensional Risk, Dependence in Risk, Extreme Risk Assessment, Multidimensional Value at Risk

18.

Close-Knit Neighborhoods: Stability of Cooperation in Networks

Number of pages: 29 Posted: 04 Sep 2020
Arnold Polanski
University of East Anglia
Downloads 80 (803,225)

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Public Goods, Networks, Consistent Sets, Farsightedly Stable Sets, Graph Cores

19.

Forecasting Multidimensional Tail Risk at Short and Long Horizons

Downloads 77 (823,616)
Citation 1

Forecasting Multidimensional Tail Risk at Short and Long Horizons

Bank of England Working Paper No. 660
Number of pages: 37 Posted: 12 Jun 2017
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Downloads 77 (833,655)
Citation 1

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Multidimensional risk, multidimensional Value at Risk, two-factor decomposition, lonh-horizon forecasting

Forecasting Multidimensional Tail Risk at Short and Long Horizons

International Journal of Forecasting, Vol. 33, No. 4, 2017
Posted: 30 Apr 2019
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

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Multidimensional risk, Multidimensional value at risk, Two-factor decomposition, Long horizon forecasting

20.

Peer Effects in UK Adolescent Substance Use: Never Mind the Classmates?

Melbourne Institute Working Paper No. 8/12
Number of pages: 25 Posted: 17 Mar 2012
Duncan McVicar and Arnold Polanski
Queen's University Belfast and University of East Anglia
Downloads 64 (924,743)
Citation 1

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Peer effects, reference groups, smoking, alcohol, cannabis, adolescents, friends

21.

Dynamic Multilateral Markets

FEEM Working Paper No. 44.2011
Number of pages: 31 Posted: 24 Jun 2011 Last Revised: 15 Nov 2012
Arnold Polanski and Emiliya A. Lazarova
University of East Anglia and Queen's University Belfast
Downloads 57 (989,921)
Citation 1

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Multilateral Bargaining, Dynamic Markets, Labor Markets

22.

The Battle of Opinion: Dynamic Information Revelation by Ideological Senders

Number of pages: 17 Posted: 04 Sep 2020
Arnold Polanski
University of East Anglia
Downloads 47 (1,097,529)

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Information, Externalities, Communication, Polarization

23.

Incorporating Higher Moments Into Value-at-Risk Forecasting

Journal of Forecasting, Vol. 29, No. 6, pp. 523-535, September 2010
Posted: 09 Aug 2010 Last Revised: 29 Aug 2010
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol

Abstract:

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Value-at-Risk (VaR) Forecasting, Time-Varying Variance, Skewness, Kurtosis, Gram-Charlier Series Expansion