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~isPartOf:"CIE working paper series"
~subject:"Prognoseverfahren"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
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2021
Persistent link: https://www.econbiz.de/10012508951
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Fractionally integrated Log-GARCH with application to value at risk and expected shortfall
Feng, Yuanhua
;
Beran, Jan
;
Letmathe, Sebastian
;
Ghosh, …
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2020
Persistent link: https://www.econbiz.de/10012508904
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