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~subject:"Prognoseverfahren"
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Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
Letmathe, Sebastian
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Feng, Yuanhua
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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
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Beran, Jan
;
Letmathe, Sebastian
;
Ghosh, …
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2020
Persistent link: https://www.econbiz.de/10012508904
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