Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework,
Lien de l'article:
DOI: https://doi.org/10.29020/nybg.ejpam.v12i1.3347
Auteur(s):
Vini Yves Bernadin Loyara, Diakarya Barro
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
Résumé
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
Mots-clés
Copulas Euclidean space Scalar product VaR