Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework
DOI:
https://doi.org/10.29020/nybg.ejpam.v12i1.3347Keywords:
Copulas, Euclidian space, Scalar product, VaR, geometric yieldAbstract
This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on the geometric yieldDownloads
Published
2019-01-31
Issue
Section
Econometrics and Statistics
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How to Cite
Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework. (2019). European Journal of Pure and Applied Mathematics, 12(1), 194-207. https://doi.org/10.29020/nybg.ejpam.v12i1.3347