The ARMA-APARCH-EVT Models Based on HAC in Dependence Modeling and Risk Assessment of a Financial Portfolio

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dc.contributor.authorMoutari, Natatou Dodo
dc.contributor.authorHassane, Abba Mallam
dc.contributor.authorDiakarya, Barro
dc.date.accessioned2023-05-22T03:56:39Z
dc.date.available2023-05-22T03:56:39Z
dc.date.issued2021-11-10
dc.descriptionEuropean Journal of Pure and Applied Mathematics, 14(4), 1467–1489.en_US
dc.description.abstractMultivariate 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 alternative, capable to precisely capture the structure of dependence between financial variables. This study aims to widen the sphere of practical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory (EVT). A sequential process of modeling of the VaR of a portfolio based on the ARMA-APARCH-EVT-HAC model is discussed. The empirical analysis conducted with data from international stock market indices clearly illustrates the performance and accuracy of modeling based on HACs.en_US
dc.description.sponsorshipACE: Environment, CEA-CEFORGRISen_US
dc.identifier.citationMoutari, N. D., Hassane, A. M., Diakarya, B., & Bisso, S. (2021). The ARMA-APARCH-EVT Models Based on HAC in Dependence Modeling and Risk Assessment of a Financial Portfolio. European Journal of Pure and Applied Mathematics, 14(4), 1467–1489. https://doi.org/10.29020/nybg.ejpam.v14i4.4114en_US
dc.identifier.urihttps://doi.org/10.29020/nybg.ejpam.v14i4.4114
dc.identifier.urihttp://hdl.handle.net/123456789/1889
dc.language.isoenen_US
dc.publisherEuropean Journal of Pure and Applied Scienceen_US
dc.subjectHierarchical Archimedean copulasen_US
dc.subjectARMA-APARCH modelen_US
dc.subjectextreme values theoryen_US
dc.subjectVaRen_US
dc.subjectCVaRen_US
dc.subjectback-testingen_US
dc.subjectCEFORGRISen_US
dc.subjectBurkina Fasoen_US
dc.subjectJoseph Ki-Zerbo University and Ouaga II Universityen_US
dc.titleThe ARMA-APARCH-EVT Models Based on HAC in Dependence Modeling and Risk Assessment of a Financial Portfolioen_US
dc.typeArticleen_US
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