Value-at-risk modeling with conditional copulas in Euclidean space framework (Q4632758)
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scientific article; zbMATH DE number 7049461
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| English | Value-at-risk modeling with conditional copulas in Euclidean space framework |
scientific article; zbMATH DE number 7049461 |
Statements
30 April 2019
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copulas
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Euclidian space
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scalar product
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VaR
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geometric yield
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0.7920162677764893
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0.7883924245834351
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0.7815379500389099
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0.7765583992004395
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0.7753680944442749
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