Moutari, Natatou Dodo; Hassane, Abba Mallam; Diakarya, Barro
(European Journal of Pure and Applied Science, 2021-11-10)
Multivariate modeling of dependence and its impact on risk assessment remains a major concern for financial institutions. Thus, the copula model, in particular Archimedean hierarchical copulas (HAC) appears as a promising ...