5 papers
Stochastic modeling using Adomian method and fractionnal differential equations
Komla Elom Adedje, Diakarya Barro
In this paper, we propose a fractional differential equation of order one-half, to model the evolution through time of the dynamics of accumulation and elimination of the contamina…
Sampling spatial structures in geostatistical framework
Ouoba Fabrice, Diakarya Barro, Hay Yoba Talkibing
Extreme values geostatistics make it possible to model the asymptotic behaviors of random phenomena which depends on space or time parameters. In this paper, we propose new models…
Pricing multivariate european equity option using gaussian mixture distributions and evt-based copulas
Hassane Abba Mallam, Diakarya Barro, Yameogo WendKouni +1
In this article, we present an approach which allows to take into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associe…
Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs
Dodo Natatou Moutari, Hassane Abba Mallam, Diakarya Barro +1
This study aims to widen the sphere of pratical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory. A sequential p…
Modeling space-time trends and dependence in extreme precipitations of Burkina Faso by the approach of the Peaks-Over-Threshold
Béwentaoré Sawadogo, Diakarya Barro
Modeling extremes of climate variables in the framework of climate change is a particularly difficult task, since it implies taking into account spatio-temporal nonstationarities.…