Autoregressive conditional dynamic semivariance models with value-at-risk estimates

DOI10.1007/S10479-024-05925-6MaRDI QIDQ6924299zbMATH OpenFDO

Authors Sree Vinutha Venkataraman

Publication date 29 September 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-05925-6

zbMATH Keywords

value-at-risk (VaR)autoregressive conditional dynamic semivariance procsess (ARCDS)autoregressive conditional heteroscedastic process (ARCH)peaks over the threshold (POT)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32)

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