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Results for “Barro” · papers 2 · wiki 1
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2021
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 process of modeling of the VaR of a portfolio based on the ARMA-APARCH-EVT-HAC model was discussed. The empirical analysis conducted with data from international stock market indices clearly illustrates the performance and accuracy of modeli…
Dodo Natatou Moutari, Hassane Abba Mallam, Diakarya Barro, Bisso Saley
arXiv · arXiv q-fin · 2021
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 associeted options. Specifically, the marginal distribution of assets returns is modeled by a mixture of two gaussiens distributions. Moreover, we model the joint dependence structure of the returns using an extremal copula which is suitable for o…
Hassane Abba Mallam, Diakarya Barro, Yameogo WendKouni, Bisso Saley
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