2 papers
stat.ME2026
Explicit Expressions for Multidimensional Value-at-Risk under Archimedean Copulas
Dotamana Yéo, Saralees Nadarajah, Amadou Sawadogo
This paper studies multivariate Value-at-Risk (VaR) for financial portfolios with a focus on modeling dependence structures through Archimedean copulas. Using the generator represe…
math.ST2019
Relative variation indexes for multivariate continuous distributions on and extensions
Célestin C. Kokonendji, Aboubacar Y. Touré, Amadou Sawadogo
We introduce some new indexes to measure the departure of any multivariate continuous distribution on non-negative orthant from a given reference one such the uncorrelated exponent…