Sebastian Letmathe

Paderborn University

Warburger Str. 100

Paderborn, 33098

Germany

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Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall

Journal of Risk
Number of pages: 35 Posted: 12 Apr 2021 Last Revised: 04 Aug 2022
Sebastian Letmathe, Yuanhua Feng and André Uhde
Paderborn University, University of Paderborn and University of Paderborn - Faculty of Business Administration and Economics - Department of Taxation, Accounting & Finance
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Abstract:

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semiparametric, long memory, GARCH models, forecasting, Value at Risk, Expected Shortfall, traffic light test, Basel Committee on Banking Supervision