[{"file":[{"date_created":"2026-07-13T09:21:45Z","creator":"dhanke","content_type":"application/pdf","file_id":"66450","access_level":"open_access","file_size":1830858,"file_name":"TAF_WP_105_HankeUhdeFeng2026.pdf","date_updated":"2026-07-13T09:21:45Z","relation":"main_file"}],"date_created":"2026-07-13T09:21:49Z","type":"working_paper","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"],"department":[{"_id":"200"},{"_id":"186"}],"oa":"1","file_date_updated":"2026-07-13T09:21:45Z","citation":{"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.","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.","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.","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} }"},"abstract":[{"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.","lang":"eng"}],"_id":"66449","language":[{"iso":"eng"}],"user_id":"63677","ddc":["330"],"year":"2026","status":"public","title":"Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III","jel":["C22","C4","C5","C6","B26"],"author":[{"id":"63677","full_name":"Hanke, Dominik Christian","first_name":"Dominik Christian","last_name":"Hanke"},{"last_name":"Uhde","first_name":"André","full_name":"Uhde, André","id":"36049"},{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"}],"date_updated":"2026-07-16T09:07:19Z","has_accepted_license":"1"},{"publication":"Canadian Journal of Mathematics","issue":"1","date_created":"2022-12-22T09:16:48Z","keyword":["extension of differentiable maps"],"type":"journal_article","department":[{"_id":"93"}],"year":"2023","title":"A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus","author":[{"first_name":"Maximilian","last_name":"Hanusch","full_name":"Hanusch, Maximilian","id":"30905"}],"publication_identifier":{"issn":["0008-414X","1496-4279"]},"date_updated":"2023-02-22T11:38:32Z","publication_status":"published","intvolume":"        75","article_type":"original","language":[{"iso":"eng"}],"doi":"10.4153/s0008414x21000596","citation":{"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>.","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>","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} }","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>","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>.","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>.","short":"M. Hanusch, Canadian Journal of Mathematics 75 (2023) 170–201."},"project":[{"name":"RegLie: Regularität von Lie-Gruppen und Lie's Dritter Satz (RegLie)","_id":"161"}],"status":"public","page":"170-201","publisher":"Canadian Mathematical Society","_id":"34814","user_id":"30905","volume":75},{"citation":{"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} }","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>","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>.","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>.","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>.","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>"},"quality_controlled":"1","_id":"34786","page":"164-214","volume":570,"user_id":"178","status":"public","date_created":"2022-12-21T18:43:08Z","department":[{"_id":"10"},{"_id":"87"},{"_id":"93"}],"keyword":["Contraction group","Torsion group","Extension","Cocycle","Section","Equivariant cohomology","Abelian group","Nilpotent group","Isomorphism types"],"type":"journal_article","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"}],"language":[{"iso":"eng"}],"doi":"https://doi.org/10.1016/j.jalgebra.2020.11.007","publication_identifier":{"issn":["0021-8693"]},"author":[{"id":"178","last_name":"Glöckner","first_name":"Helge","full_name":"Glöckner, Helge"},{"full_name":"Willis, George A.","last_name":"Willis","first_name":"George A."}],"title":"Decompositions of locally compact contraction groups, series and extensions","year":"2021","intvolume":"       570","article_type":"original","date_updated":"2022-12-21T18:58:44Z"}]