and in this paper , we propose a new methodology
that our result is useful to understand the dependencies across three different aspects of financial risk ,
Tensors are objects that naturally represent multilayer networks and in this paper , we propose a new methodology based on Tucker tensor autoregression in order to build a multilayer network directly from data .
We argue that our result is useful to understand the dependencies across three different aspects of financial risk , namely market risk , liquidity risk , and volatility risk .