Autoregressive conditional dynamic semivariance models with value-at-risk estimates (Q6924299)
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scientific article; zbMATH DE number 8098803
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| English | Autoregressive conditional dynamic semivariance models with value-at-risk estimates |
scientific article; zbMATH DE number 8098803 |
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Autoregressive conditional dynamic semivariance models with value-at-risk estimates (English)
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29 September 2025
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autoregressive conditional dynamic semivariance procsess (ARCDS)
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autoregressive conditional heteroscedastic process (ARCH)
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value-at-risk (VaR)
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peaks over the threshold (POT)
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