Semiparametric GARCH models with long memory applied to value at risk and expected shortfall
Sebastian Letmathe, Yuanhua Feng and André Uhde
| Year of publication: |
April 2021
|
|---|---|
| Authors: | Letmathe, Sebastian ; Feng, Yuanhua ; Uhde, André |
| Publisher: |
[Paderborn] : Universität Paderborn, Center for International Economics |
| Subject: | Semiparametric | long memory | GARCH models | forecasting | Value at Risk | Expected Shortfall | traffic light test | Basel Committee on Banking Supervision | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Bankrisiko | Bank risk | Bankenaufsicht | Banking supervision | Statistischer Test | Statistical test |
| Extent: | 1 Online-Ressource (circa 54 Seiten) Illustrationen |
|---|---|
| Series: | CIE working paper series. - Paderborn : [Verlag nicht ermittelbar], ZDB-ID 2499430-3. - Vol. no. 2021, 03 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012508951