---
_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: '11733'
abstract:
- lang: eng
text: Current navigation systems like GPS (Global Positioning System) and its Russian
counterpart GLONASS (Global Navigation Satellite System) only evaluate the direct
signal path. The receivers treat the reflected paths also reaching the receiver
antenna as disturbance which has to be suppressed. Multipath affects the tracking
accuracy by resulting in a degeneration of the S-curve of the DLL (delay locked
loop). Nowadays the future European systems GALILEO and GPSIIF/III with two new
signals are on the way to the market and it is time to think about new receiver
structures. Therefore we investigated if it is possible to use multipath for navigation
constructively.
author:
- first_name: Renke
full_name: Bischoff, Renke
last_name: Bischoff
- first_name: Reinhold
full_name: Haeb-Umbach, Reinhold
id: '242'
last_name: Haeb-Umbach
- first_name: Wolfgang
full_name: Schulz, Wolfgang
last_name: Schulz
- first_name: Guenther
full_name: Heinrichs, Guenther
last_name: Heinrichs
citation:
ama: 'Bischoff R, Haeb-Umbach R, Schulz W, Heinrichs G. Employment of a multipath
receiver structure in a combined GALILEO/UMTS receiver. In: IEEE 55th Vehicular
Technology Conference (VTC 2002 Spring). Vol 4. ; 2002:1844-1848 vol.4. doi:10.1109/VTC.2002.1002940'
apa: Bischoff, R., Haeb-Umbach, R., Schulz, W., & Heinrichs, G. (2002). Employment
of a multipath receiver structure in a combined GALILEO/UMTS receiver. In IEEE
55th Vehicular Technology Conference (VTC 2002 Spring) (Vol. 4, pp. 1844–1848
vol.4). https://doi.org/10.1109/VTC.2002.1002940
bibtex: '@inproceedings{Bischoff_Haeb-Umbach_Schulz_Heinrichs_2002, title={Employment
of a multipath receiver structure in a combined GALILEO/UMTS receiver}, volume={4},
DOI={10.1109/VTC.2002.1002940},
booktitle={IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)}, author={Bischoff,
Renke and Haeb-Umbach, Reinhold and Schulz, Wolfgang and Heinrichs, Guenther},
year={2002}, pages={1844–1848 vol.4} }'
chicago: Bischoff, Renke, Reinhold Haeb-Umbach, Wolfgang Schulz, and Guenther Heinrichs.
“Employment of a Multipath Receiver Structure in a Combined GALILEO/UMTS Receiver.”
In IEEE 55th Vehicular Technology Conference (VTC 2002 Spring), 4:1844–48
vol.4, 2002. https://doi.org/10.1109/VTC.2002.1002940.
ieee: R. Bischoff, R. Haeb-Umbach, W. Schulz, and G. Heinrichs, “Employment of a
multipath receiver structure in a combined GALILEO/UMTS receiver,” in IEEE
55th Vehicular Technology Conference (VTC 2002 Spring), 2002, vol. 4, pp.
1844–1848 vol.4.
mla: Bischoff, Renke, et al. “Employment of a Multipath Receiver Structure in a
Combined GALILEO/UMTS Receiver.” IEEE 55th Vehicular Technology Conference
(VTC 2002 Spring), vol. 4, 2002, pp. 1844–48 vol.4, doi:10.1109/VTC.2002.1002940.
short: 'R. Bischoff, R. Haeb-Umbach, W. Schulz, G. Heinrichs, in: IEEE 55th Vehicular
Technology Conference (VTC 2002 Spring), 2002, pp. 1844–1848 vol.4.'
date_created: 2019-07-12T05:27:12Z
date_updated: 2022-01-06T06:51:08Z
department:
- _id: '54'
doi: 10.1109/VTC.2002.1002940
intvolume: ' 4'
keyword:
- combined GALILEO/UMTS receiver
- delay locked loop
- delay lock loops
- DLL
- Global Positioning System
- GLONASS
- GPS
- GPSIIF/III
- mobile satellite communication
- multipath channels
- multipath receiver structure
- radio receivers
- RAKE receiver
- S-curve
language:
- iso: eng
main_file_link:
- open_access: '1'
url: https://groups.uni-paderborn.de/nt/pubs/2002/BiHaScHe02.pdf
oa: '1'
page: 1844-1848 vol.4
publication: IEEE 55th Vehicular Technology Conference (VTC 2002 Spring)
status: public
title: Employment of a multipath receiver structure in a combined GALILEO/UMTS receiver
type: conference
user_id: '44006'
volume: 4
year: '2002'
...