3 papers
q-fin.PR2021
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…
q-fin.ST2021
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…
stat.ME2021
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.…