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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.