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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
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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
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Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression
Feng, Yuanhua; Härdle, Wolfgang - 2021
Persistent link: https://www.econbiz.de/10012625953
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FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series
Feng, Yuanhua; Gries, Thomas; Letmathe, Sebastian - 2023
Persistent link: https://www.econbiz.de/10014282334