2 citations · 2 across the 7 of their papers we have counts for
7 papers
Nonlinear and Heavy-Tailed Predictability in Transition-Energy Financial Markets
Kpante Emmanuel Gnandi, Fredy Pokou, Jules Sadefo Kamdem
Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, co…
Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysis
Fredy Pokou, Jules Sadefo Kamdem, Kpante Emmanuel Gnandi
This paper investigates whether structural econometric models can rival machine learning in forecasting energy--macro dynamics while retaining causal interpretability. Using monthl…
Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models
Fredy Pokou, Jules Sadefo Kamdem, François Benhmad
In an environment of increasingly volatile financial markets, the accurate estimation of risk remains a major challenge. Traditional econometric models, such as GARCH and its varia…
VaR and ES for linear portfolios with mixture of elliptic distributed Risk Factors
Jules Sadefo Kamdem
In this paper, we generalize the parametric Delta-VaR methods from portfolios with elliptic distributed risk factors to portfolios with mixture of elliptically distributed ones. We…
Value-at-Risk and Expected Shortfall for Quadratic portfolio of securities with mixture of elliptic Distributed Risk Factors
Jules Sadefo Kamdem
Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contains deriva…
Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options
Jules Sadefo Kamdem, Alan Genz
We consider an application involving a financial quadratic portfolio of options, when the joint underlying log-returns changes with multivariate elliptic distribution. This motivat…