author = { Letmathe, Sebastian AND Feng, Yuanhua AND Uhde, André },

title = { Semiparametric GARCH models with long memory applied to value at risk and expected shortfall },

publisher = {Universität Paderborn, Center for International Economics},

keywords = { Semiparametric , long memory , GARCH models , forecasting , Value at Risk , Expected Shortfall , traffic light test , Basel Committee on Banking Supervision , Graue Literatur },

year = {April 2021},

booktitle = {Center for International Economics working paper series ; no. 2021, 03},

address = { [Paderborn] },

url = { http://slubdd.de/katalog?TN_libero_mab2 }