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

SCHOLARLY PAPERS

19

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SSRN CITATIONS
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7

CROSSREF CITATIONS

11

Scholarly Papers (19)

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 256 (124,367)

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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: 43 Posted: 04 Jul 2015 Last Revised: 10 Aug 2017
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 116 (248,445)
Citation 1

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pharmaceuticals, pay-to-delay, reverse payments, authorized generics, Nash bargaining

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 77 (327,480)

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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

4.

Communication Networks, Externalities and the Price of Information

Number of pages: 42 Posted: 30 Jan 2018
Arnold Polanski
University of East Anglia
Downloads 76 (326,629)

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Networks, Information, Externalities

5.

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 73 (334,203)

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

6.
Downloads 57 (379,946)
Citation 1

Coalition Bargaining in Repeated Games

Number of pages: 22 Posted: 04 Sep 2015 Last Revised: 23 Jan 2018
Arnold Polanski and Fernando Vega-Redondo
University of East Anglia and Bocconi University
Downloads 57 (385,710)

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repeated multi-coalitional games; coalition formation; network games

Coalition Bargaining in Repeated Games

International Economic Review, Vol. 59, Issue 4, pp. 1949-1967, 2018
Number of pages: 19 Posted: 14 Nov 2018
Arnold Polanski and Fernando Vega‐Redondo
University of East Anglia and Bocconi University
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Citation 1
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7.

Markets, Bargaining, and Networks with Heterogeneous Agents

Number of pages: 35 Posted: 16 Feb 2013
Arnold Polanski and Fernando Vega-Redondo
University of East Anglia and European University Institute
Downloads 57 (379,946)
Citation 11

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

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 54 (395,981)
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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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 53 (399,424)

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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

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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 41 (445,971)

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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

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

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 37 (463,757)

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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

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 33 (482,848)
Citation 1

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

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

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 4, pp. 589-604, 2014
Number of pages: 16 Posted: 03 Jul 2014
Duncan McVicar and Arnold Polanski
Queen's University Belfast and University of East Anglia
Downloads 1 (709,021)
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13.

Tail Risk Interdependence

Bank of England Working Paper No. 815, August 2019
Number of pages: 28 Posted: 06 Aug 2019
Arnold Polanski, Evarist Stoja and Ching-Wai (Jeremy) Chiu
University of East Anglia, University of Bristol and Bank of England
Downloads 33 (471,089)

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

14.

Homophily and Influence: The Weakness of Weak Ties

Number of pages: 48 Posted: 24 Mar 2017
Arnold Polanski and Fernando Vega-Redondo
University of East Anglia and Bocconi University
Downloads 32 (475,739)

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social learning, homophily, influence, information, integration

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 29 (490,494)

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local pollution, negative externalities, networks

16.

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 20 (541,995)
Citation 1

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Multilateral Bargaining, Dynamic Markets, Labor Markets

17.

Is the General Public License a Rational Choice?

Journal of Industrial Economics, Vol. 55, Issue 4, pp. 691-714, December 2007
Number of pages: 24 Posted: 12 Dec 2007
Arnold Polanski
University of East Anglia
Downloads 14 (579,205)
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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 12 (616,537)

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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

19.

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