[{"language":[{"iso":"eng"}],"_id":"66449","ddc":["330"],"user_id":"63677","author":[{"id":"63677","full_name":"Hanke, Dominik Christian","last_name":"Hanke","first_name":"Dominik Christian"},{"id":"36049","full_name":"Uhde, André","last_name":"Uhde","first_name":"André"},{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"}],"jel":["C22","C4","C5","C6","B26"],"title":"Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III","status":"public","year":"2026","has_accepted_license":"1","date_updated":"2026-07-16T09:07:19Z","date_created":"2026-07-13T09:21:49Z","file":[{"date_created":"2026-07-13T09:21:45Z","creator":"dhanke","file_id":"66450","content_type":"application/pdf","file_name":"TAF_WP_105_HankeUhdeFeng2026.pdf","file_size":1830858,"access_level":"open_access","relation":"main_file","date_updated":"2026-07-13T09:21:45Z"}],"oa":"1","department":[{"_id":"200"},{"_id":"186"}],"keyword":["semiparametric GARCH extension","data-driven local polynomial smoother","long  memory","GARCH models","Value at Risk","Expected Shortfall","traffic light test","backtesting","Basel  III","market risk"],"type":"working_paper","citation":{"mla":"Hanke, Dominik Christian, et al. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","ama":"Hanke DC, Uhde A, Feng Y. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.; 2026.","bibtex":"@book{Hanke_Uhde_Feng_2026, title={Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III}, author={Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}, year={2026} }","apa":"Hanke, D. C., Uhde, A., &#38; Feng, Y. (2026). <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.","ieee":"D. C. Hanke, A. Uhde, and Y. Feng, <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","chicago":"Hanke, Dominik Christian, André Uhde, and Yuanhua Feng. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>, 2026.","short":"D.C. Hanke, A. Uhde, Y. Feng, Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III, 2026."},"file_date_updated":"2026-07-13T09:21:45Z","abstract":[{"lang":"eng","text":"This paper evaluates the forecasting performance of an expanded class of (semi-)parametric \r\nGARCH models belonging to the EGARCH family (EGF), including recently introduced long  \r\nand short memory specifications and their semiparametric extensions. The semiparametric \r\nvariants employ a multiplicative volatility decomposition into conditional and slowly varying \r\nunconditional components, where the latter is estimated via a data-driven local polynomial \r\nsmoother to accommodate non-stationarities commonly observed in financial time series. Based \r\non the revised Basel Committee framework for market-risk assessment, all models are capable \r\nof producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall \r\n(ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting \r\naccuracy is examined using the regulatory traffic light tests for VaR and the recently developed \r\nES-specific traffic light procedure, complemented by the regulatory loss function. In addition, \r\nmodel selection incorporates both a recently proposed corrected firm-oriented loss function that \r\naccounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The \r\nempirical comparison demonstrates that (semiparametric) long memory GARCH models - \r\nparticularly those combining fractional dynamics with nonparametric scale adjustments - can \r\nserve as valuable alternatives to traditional parametric short memory models, offering more \r\nstable volatility estimates and improved tail-risk forecasts for practical risk management \r\napplications."}]},{"language":[{"iso":"eng"}],"doi":"10.4153/s0008414x21000596","author":[{"last_name":"Hanusch","first_name":"Maximilian","full_name":"Hanusch, Maximilian","id":"30905"}],"publication_identifier":{"issn":["0008-414X","1496-4279"]},"title":"A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus","year":"2023","article_type":"original","intvolume":"        75","publication_status":"published","date_updated":"2023-02-22T11:38:32Z","date_created":"2022-12-22T09:16:48Z","department":[{"_id":"93"}],"type":"journal_article","keyword":["extension of differentiable maps"],"issue":"1","publication":"Canadian Journal of Mathematics","_id":"34814","publisher":"Canadian Mathematical Society","page":"170-201","volume":75,"user_id":"30905","status":"public","citation":{"short":"M. Hanusch, Canadian Journal of Mathematics 75 (2023) 170–201.","chicago":"Hanusch, Maximilian. “A $C^k$-Seeley-Extension-Theorem for Bastiani’s Differential Calculus.” <i>Canadian Journal of Mathematics</i> 75, no. 1 (2023): 170–201. <a href=\"https://doi.org/10.4153/s0008414x21000596\">https://doi.org/10.4153/s0008414x21000596</a>.","ieee":"M. Hanusch, “A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus,” <i>Canadian Journal of Mathematics</i>, vol. 75, no. 1, pp. 170–201, 2023, doi: <a href=\"https://doi.org/10.4153/s0008414x21000596\">10.4153/s0008414x21000596</a>.","apa":"Hanusch, M. (2023). A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus. <i>Canadian Journal of Mathematics</i>, <i>75</i>(1), 170–201. <a href=\"https://doi.org/10.4153/s0008414x21000596\">https://doi.org/10.4153/s0008414x21000596</a>","bibtex":"@article{Hanusch_2023, title={A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus}, volume={75}, DOI={<a href=\"https://doi.org/10.4153/s0008414x21000596\">10.4153/s0008414x21000596</a>}, number={1}, journal={Canadian Journal of Mathematics}, publisher={Canadian Mathematical Society}, author={Hanusch, Maximilian}, year={2023}, pages={170–201} }","ama":"Hanusch M. A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus. <i>Canadian Journal of Mathematics</i>. 2023;75(1):170-201. doi:<a href=\"https://doi.org/10.4153/s0008414x21000596\">10.4153/s0008414x21000596</a>","mla":"Hanusch, Maximilian. “A $C^k$-Seeley-Extension-Theorem for Bastiani’s Differential Calculus.” <i>Canadian Journal of Mathematics</i>, vol. 75, no. 1, Canadian Mathematical Society, 2023, pp. 170–201, doi:<a href=\"https://doi.org/10.4153/s0008414x21000596\">10.4153/s0008414x21000596</a>."},"project":[{"_id":"161","name":"RegLie: Regularität von Lie-Gruppen und Lie's Dritter Satz (RegLie)"}]},{"status":"public","page":"164-214","_id":"34786","user_id":"178","volume":570,"citation":{"short":"H. Glöckner, G.A. Willis, Journal of Algebra 570 (2021) 164–214.","chicago":"Glöckner, Helge, and George A. Willis. “Decompositions of Locally Compact Contraction Groups, Series and Extensions.” <i>Journal of Algebra</i> 570 (2021): 164–214. <a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>.","apa":"Glöckner, H., &#38; Willis, G. A. (2021). Decompositions of locally compact contraction groups, series and extensions. <i>Journal of Algebra</i>, <i>570</i>, 164–214. <a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>","ieee":"H. Glöckner and G. A. Willis, “Decompositions of locally compact contraction groups, series and extensions,” <i>Journal of Algebra</i>, vol. 570, pp. 164–214, 2021, doi: <a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>.","ama":"Glöckner H, Willis GA. Decompositions of locally compact contraction groups, series and extensions. <i>Journal of Algebra</i>. 2021;570:164-214. doi:<a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>","bibtex":"@article{Glöckner_Willis_2021, title={Decompositions of locally compact contraction groups, series and extensions}, volume={570}, DOI={<a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>}, journal={Journal of Algebra}, author={Glöckner, Helge and Willis, George A.}, year={2021}, pages={164–214} }","mla":"Glöckner, Helge, and George A. Willis. “Decompositions of Locally Compact Contraction Groups, Series and Extensions.” <i>Journal of Algebra</i>, vol. 570, 2021, pp. 164–214, doi:<a href=\"https://doi.org/10.1016/j.jalgebra.2020.11.007\">https://doi.org/10.1016/j.jalgebra.2020.11.007</a>."},"quality_controlled":"1","title":"Decompositions of locally compact contraction groups, series and extensions","year":"2021","author":[{"id":"178","full_name":"Glöckner, Helge","first_name":"Helge","last_name":"Glöckner"},{"last_name":"Willis","first_name":"George A.","full_name":"Willis, George A."}],"publication_identifier":{"issn":["0021-8693"]},"date_updated":"2022-12-21T18:58:44Z","article_type":"original","intvolume":"       570","language":[{"iso":"eng"}],"doi":"https://doi.org/10.1016/j.jalgebra.2020.11.007","publication":"Journal of Algebra","abstract":[{"text":"A locally compact contraction group is a pair (G,α), where G is a locally compact group and α:G→G an automorphism such that αn(x)→e pointwise as n→∞. We show that every surjective, continuous, equivariant homomorphism between locally compact contraction groups admits an equivariant continuous global section. As a consequence, extensions of locally compact contraction groups with abelian kernel can be described by continuous equivariant cohomology. For each prime number p, we use 2-cocycles to construct uncountably many pairwise non-isomorphic totally disconnected, locally compact contraction groups (G,α) which are central extensions0→Fp((t))→G→Fp((t))→0 of the additive group of the field of formal Laurent series over Fp=Z/pZ by itself. By contrast, there are only countably many locally compact contraction groups (up to isomorphism) which are torsion groups and abelian, as follows from a classification of the abelian locally compact contraction groups.","lang":"eng"}],"date_created":"2022-12-21T18:43:08Z","type":"journal_article","keyword":["Contraction group","Torsion group","Extension","Cocycle","Section","Equivariant cohomology","Abelian group","Nilpotent group","Isomorphism types"],"department":[{"_id":"10"},{"_id":"87"},{"_id":"93"}]}]