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~isPartOf:"CIE working paper series"
~subject:"Korrelation"
~subject:"Risk measure"
~type_genre:"Arbeitspapier"
~type_genre:"Collection of articles written by one author"
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Korrelation
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Basel Committee on Banking Supervision
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covariance structure
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double-conditional smoothing
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dual long memory
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finite fourth moments
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forecasting
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high-frequency returns
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rolling forecasting VaR and ES
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Feng, Yuanhua
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Letmathe, Sebastian
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Semiparametric
GARCH
models with long memory applied to value at risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
-
2021
Persistent link: https://www.econbiz.de/10012508951
Saved in:
2
Value at risk and expected shortfall under general semi-parametric
GARCH
models
Zhang, Xuehai
-
2019
Persistent link: https://www.econbiz.de/10012115804
Saved in:
3
Value at risk and expected shortfall under general semi-parametric
GARCH
models
Zhang, Xuehai
-
2019
Persistent link: https://www.econbiz.de/10012508157
Saved in:
4
Fractionally integrated Log-
GARCH
with application to value at risk and expected shortfall
Feng, Yuanhua
;
Beran, Jan
;
Letmathe, Sebastian
;
Ghosh, …
-
2020
Persistent link: https://www.econbiz.de/10012508904
Saved in:
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