Publications (20)
COMMUNICATION
Estimation Stochastique de la moyenne d'échantillonnage du COVID-19 au Burkina Faso
https://acc-ouaga.org/wp-content/uploads/2020/10/Programme-scientifique-du-colloque-interdisciplinaire-sur-la-Covid19.pdf
Notre objectif dans l'élaboration de ce document, était d'établir une estimation de la moyenne de différentes variables notamment, le cas de contamination quotidienne de covid-19, le cas de guérison et enfin le cas de létalité de COVID-19 au Burkina à donner une idée du taux réel de contamination au Burkina Faso. Pour atteindre cet objectif, n(...)
COVID-19, Échantillonnage, Estimation, intervalle de confiance, moyenne
ARTICLE
SPATIAL CHARACTERIZATION OF STOCHASTIC DEPENDENCE USING COPULAS
Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Diakarya Barro
This paper aims to propose some approaches for modeling stochastic processes through the underlying copula in a spatial context. Specifically, we provide a spatial characterization of distribution of statistics order. Moreover, we propose a Poisson point process with intensity in a spatial framework.
spatial copulas, diagonal section of spatial copulas, spatial dependence, max-stable processes
ARTICLE
Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula
Vini Yves Bernadin Loyara; Remi Guillaume Bagré; Diakarya Barro
The aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and conditional copula is used for the modeling of the VaR(...)
Copules, Estimation, Taylor-Young, VaR
ARTICLE
Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework
Vini Yves Bernadin Loyara, Diakarya Barro
This paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and norms. It is then established a new expression on t(...)
Copulas, Euclidean space, Scalar product, VaR
ARTICLE
MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS
Yves Bernadin Vini Loyara, Remi Guillaume Bagré and Diakarya Barro
This paper investigates some properties of derivative measures of the Value at Risk (VaR) of random variables modeling the stochastic behavior of a portfolio asset. Specifically, coherentness and convex properties of the conditional, the tail VaR and the standard deviation are established. Moreover, a new version of high risk scenario is chara(...)
risk management, Value at Risk, copulas, extreme values distribution, Pareto distributions