Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework

Authors

  • Vini Yves Bernadin Loyara ESPK, Kaya
  • Diakarya Barro Université Ouaga 2

DOI:

https://doi.org/10.29020/nybg.ejpam.v12i1.3347

Keywords:

Copulas, Euclidian space, Scalar product, VaR, geometric yield

Abstract

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 yield

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Published

2019-01-31

Issue

Section

Econometrics and Statistics

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

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