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4 Publications
2026 | Working Paper | LibreCat-ID: 66449 | 
Hanke, Dominik Christian, et al. Application of Novel Exponential (Semi-)Parametric Short and Long Memory GARCH Models under Regulatory Requirements of Basel III. 2026.
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2026 | Working Paper | LibreCat-ID: 66447 |
Hanke, Dominik Christian, et al. Comparing the Behaviors of Some Original Short and Long Memory Exponential Volatility Models. 2026.
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2022 | Journal Article | LibreCat-ID: 35992
Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal of Risk, vol. 25, no. 2.
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2022 | Journal Article | LibreCat-ID: 29317
Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal of Risk, doi:10.21314/JOR.2022.044.
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| DOI