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…