Warburger Str. 100
Paderborn, D-33098
Germany
University of Paderborn
semiparametric, long memory, GARCH models, forecasting, Value at Risk, Expected Shortfall, traffic light test, Basel Committee on Banking Supervision
P-spline smoother, smoothing parameter selection, P-Spline-GARCH, strong mixing, value at risk, expected shortfall
Optimal rate of convergence, non‐parametric regression, long memory, antipersistence