---
_id: '66449'
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."
author:
- first_name: Dominik Christian
full_name: Hanke, Dominik Christian
id: '63677'
last_name: Hanke
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
- first_name: Yuanhua
full_name: Feng, Yuanhua
id: '20760'
last_name: Feng
citation:
ama: Hanke DC, Uhde A, Feng Y. Application of Novel Exponential (Semi-)Parametric
Short and Long Memory GARCH Models under Regulatory Requirements of Basel III.;
2026.
apa: Hanke, D. C., Uhde, A., & Feng, Y. (2026). Application of Novel Exponential
(Semi-)Parametric Short and Long Memory GARCH Models under Regulatory Requirements
of Basel III.
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}
}'
chicago: Hanke, Dominik Christian, André Uhde, and Yuanhua Feng. Application
of Novel Exponential (Semi-)Parametric Short and Long Memory GARCH Models under
Regulatory Requirements of Basel III, 2026.
ieee: D. C. Hanke, A. Uhde, and Y. Feng, Application of Novel Exponential (Semi-)Parametric
Short and Long Memory GARCH Models under Regulatory Requirements of Basel III.
2026.
mla: Hanke, Dominik Christian, et al. Application of Novel Exponential (Semi-)Parametric
Short and Long Memory GARCH Models under Regulatory Requirements of Basel III.
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.
date_created: 2026-07-13T09:21:49Z
date_updated: 2026-07-16T09:07:19Z
ddc:
- '330'
department:
- _id: '200'
- _id: '186'
file:
- access_level: open_access
content_type: application/pdf
creator: dhanke
date_created: 2026-07-13T09:21:45Z
date_updated: 2026-07-13T09:21:45Z
file_id: '66450'
file_name: TAF_WP_105_HankeUhdeFeng2026.pdf
file_size: 1830858
relation: main_file
file_date_updated: 2026-07-13T09:21:45Z
has_accepted_license: '1'
jel:
- C22
- C4
- C5
- C6
- B26
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
language:
- iso: eng
oa: '1'
status: public
title: Application of Novel Exponential (Semi-)Parametric Short and Long Memory GARCH
Models under Regulatory Requirements of Basel III
type: working_paper
user_id: '63677'
year: '2026'
...
---
_id: '34814'
article_type: original
author:
- first_name: Maximilian
full_name: Hanusch, Maximilian
id: '30905'
last_name: Hanusch
citation:
ama: Hanusch M. A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus.
Canadian Journal of Mathematics. 2023;75(1):170-201. doi:10.4153/s0008414x21000596
apa: Hanusch, M. (2023). A $C^k$-seeley-extension-theorem for Bastiani’s differential
calculus. Canadian Journal of Mathematics, 75(1), 170–201. https://doi.org/10.4153/s0008414x21000596
bibtex: '@article{Hanusch_2023, title={A $C^k$-seeley-extension-theorem for Bastiani’s
differential calculus}, volume={75}, DOI={10.4153/s0008414x21000596},
number={1}, journal={Canadian Journal of Mathematics}, publisher={Canadian Mathematical
Society}, author={Hanusch, Maximilian}, year={2023}, pages={170–201} }'
chicago: 'Hanusch, Maximilian. “A $C^k$-Seeley-Extension-Theorem for Bastiani’s
Differential Calculus.” Canadian Journal of Mathematics 75, no. 1 (2023):
170–201. https://doi.org/10.4153/s0008414x21000596.'
ieee: 'M. Hanusch, “A $C^k$-seeley-extension-theorem for Bastiani’s differential
calculus,” Canadian Journal of Mathematics, vol. 75, no. 1, pp. 170–201,
2023, doi: 10.4153/s0008414x21000596.'
mla: Hanusch, Maximilian. “A $C^k$-Seeley-Extension-Theorem for Bastiani’s Differential
Calculus.” Canadian Journal of Mathematics, vol. 75, no. 1, Canadian Mathematical
Society, 2023, pp. 170–201, doi:10.4153/s0008414x21000596.
short: M. Hanusch, Canadian Journal of Mathematics 75 (2023) 170–201.
date_created: 2022-12-22T09:16:48Z
date_updated: 2023-02-22T11:38:32Z
department:
- _id: '93'
doi: 10.4153/s0008414x21000596
intvolume: ' 75'
issue: '1'
keyword:
- extension of differentiable maps
language:
- iso: eng
page: 170-201
project:
- _id: '161'
name: 'RegLie: Regularität von Lie-Gruppen und Lie''s Dritter Satz (RegLie)'
publication: Canadian Journal of Mathematics
publication_identifier:
issn:
- 0008-414X
- 1496-4279
publication_status: published
publisher: Canadian Mathematical Society
status: public
title: A $C^k$-seeley-extension-theorem for Bastiani’s differential calculus
type: journal_article
user_id: '30905'
volume: 75
year: '2023'
...
---
_id: '34786'
abstract:
- lang: eng
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.
article_type: original
author:
- first_name: Helge
full_name: Glöckner, Helge
id: '178'
last_name: Glöckner
- first_name: George A.
full_name: Willis, George A.
last_name: Willis
citation:
ama: Glöckner H, Willis GA. Decompositions of locally compact contraction groups,
series and extensions. Journal of Algebra. 2021;570:164-214. doi:https://doi.org/10.1016/j.jalgebra.2020.11.007
apa: Glöckner, H., & Willis, G. A. (2021). Decompositions of locally compact
contraction groups, series and extensions. Journal of Algebra, 570,
164–214. https://doi.org/10.1016/j.jalgebra.2020.11.007
bibtex: '@article{Glöckner_Willis_2021, title={Decompositions of locally compact
contraction groups, series and extensions}, volume={570}, DOI={https://doi.org/10.1016/j.jalgebra.2020.11.007},
journal={Journal of Algebra}, author={Glöckner, Helge and Willis, George A.},
year={2021}, pages={164–214} }'
chicago: 'Glöckner, Helge, and George A. Willis. “Decompositions of Locally Compact
Contraction Groups, Series and Extensions.” Journal of Algebra 570 (2021):
164–214. https://doi.org/10.1016/j.jalgebra.2020.11.007.'
ieee: 'H. Glöckner and G. A. Willis, “Decompositions of locally compact contraction
groups, series and extensions,” Journal of Algebra, vol. 570, pp. 164–214,
2021, doi: https://doi.org/10.1016/j.jalgebra.2020.11.007.'
mla: Glöckner, Helge, and George A. Willis. “Decompositions of Locally Compact Contraction
Groups, Series and Extensions.” Journal of Algebra, vol. 570, 2021, pp.
164–214, doi:https://doi.org/10.1016/j.jalgebra.2020.11.007.
short: H. Glöckner, G.A. Willis, Journal of Algebra 570 (2021) 164–214.
date_created: 2022-12-21T18:43:08Z
date_updated: 2022-12-21T18:58:44Z
department:
- _id: '10'
- _id: '87'
- _id: '93'
doi: https://doi.org/10.1016/j.jalgebra.2020.11.007
intvolume: ' 570'
keyword:
- Contraction group
- Torsion group
- Extension
- Cocycle
- Section
- Equivariant cohomology
- Abelian group
- Nilpotent group
- Isomorphism types
language:
- iso: eng
page: 164-214
publication: Journal of Algebra
publication_identifier:
issn:
- 0021-8693
quality_controlled: '1'
status: public
title: Decompositions of locally compact contraction groups, series and extensions
type: journal_article
user_id: '178'
volume: 570
year: '2021'
...