Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Sebastian Letmathe, Yuanhua Feng and André Uhde
| Year of publication: |
2022
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|---|---|
| Authors: | Letmathe, Sebastian ; Feng, Yuanhua ; Uhde, André |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2022, 2, p. 75-105
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| Subject: | long memory | generalized autoregressive conditional heteroscedasticity (GARCH) models | value-at-risk (VaR) | expected shortfall (ES) | traffic-light test | backtesting | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Volatilität | Volatility | Statistischer Test | Statistical test | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2022.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342468