Estimating conditional VaR based on Copula method
Wuyi Ye · 2006
The definition of intraday price amplitude was proposed.The dependence structure between return and intraday price amplitude was analyzed based on Copula technique,and the tail-dependence coefficient was obtained.Also the joint and conditional distributions could be estimated by Copula,and the conditional VaR was thus estimated.Finally,an empirical analysis on Chinese stock market data was performed with satisfactory results.