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Working Paper: Letmathe, Feng, Uhde: Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall, TAF Working Paper

 |  Professuren

Letmathe, Sebastian, Feng, Yuanhua, Uhde, André (2022): Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall, TAF Working Paper Nr. 72.