Letmathe, Sebastian, Feng, Yuanhua, Uhde, André (2022): Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall, TAF Working Paper Nr. 72.
Letmathe, Sebastian, Feng, Yuanhua, Uhde, André (2022): Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall, TAF Working Paper Nr. 72.