Nach­rich­ten (Lis­ten-Va­ri­a­n­te)

Wor­king Pa­per: Let­ma­the, Feng, Uh­de: Se­mi­pa­ra­me­tric GA­RCH mo­dels with long me­mo­ry ap­p­lied to Va­lue at Risk and Ex­pec­ted Short­fall, TAF Wor­king Pa­per

 |  Professuren

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.