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Letmathe, Sebastian [Author]

New developments of parametric and semiparametric volatility models with application to quantitative risk management

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Paderborn: Universitätsbibliothek, 2023
Letmathe, Sebastian [Author]

Data-driven P-Splines under short-range dependence

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[Paderborn]: Universität Paderborn, Center for international Economics, September 2022

Published in: Center for International Economics: CIE working paper series ; 2022,5
Letmathe, Sebastian [Author]

Data-driven P-Splines under Short-Range Dependence

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[S.l.]: SSRN, 2022

Published in: Working papers CIE (Center for International Economics), Paderborn University
Feng, Yuanhua [Author]; Gries, Thomas [Author]; Letmathe, Sebastian [Author]

FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series

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[Paderborn]: Universität Paderborn, Center for international Economics, May 2023

Published in: Center for International Economics: CIE working paper series ; 2023,3
Letmathe, Sebastian [Author]; Beran, Jan [Author]; Feng, Yuanhua [Author]

An extended exponential SEMIFAR model with application in R

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[Paderborn]: Universität Paderborn, Center for international Economics, September 2021

Published in: Center for International Economics: CIE working paper series ; 2021,7
Letmathe, Sebastian [Author]; Feng, Yuanhua [Author]; Uhde, André [Author]

Semiparametric GARCH models with long memory applied to value at risk and expected shortfall

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[Paderborn]: Universität Paderborn, Center for International Economics, April 2021

Published in: Center for International Economics: CIE working paper series ; 2021,3
Letmathe, Sebastian [Author]; Feng, Yuanhua [Author]; Uhde, André [Author]

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

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[S.l.]: SSRN, [2021]
Feng, Yuanhua [Author]; Beran, Jan [Author]; Letmathe, Sebastian [Author]; Ghosh, Sucharita [Author]

Fractionally integrated Log-GARCH with application to value at risk and expected shortfall

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[Paderborn]: Universität Paderborn, Center for International Economics, November 2020

Published in: Center for International Economics: CIE working paper series ; 2020,9
Letmathe, Sebastian [Author]

New developments of parametric and semiparametric volatility models with application to quantitative risk management

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Paderborn: Universitätsbibliothek, 2023
Letmathe, Sebastian

Data-driven P-Splines under Short-Range Dependence

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Elsevier BV, 2022

Published in: SSRN Electronic Journal (2022)
Letmathe, Sebastian; Feng, Yuanhua

An Iterative Plug-In Algorithm for P-Spline Regression

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Elsevier BV, 2024

Published in: SSRN Electronic Journal (2024)
Letmathe, Sebastian; Beran, Jan; Feng, Yuanhua

An extended exponential SEMIFAR model with application in R

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Informa UK Limited, 2024

Published in: Communications in Statistics - Theory and Methods, 53 (2024) 22, Seite 7914-7926
Letmathe, Sebastian; Feng, Yuanhua; Uhde, André

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

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Elsevier BV, 2021

Published in: SSRN Electronic Journal (2021)
Feng, Yuanhua; Gries, Thomas; Letmathe, Sebastian; Schulz, Dominik

The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series

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The R Foundation, 2022

Published in: The R Journal, 14 (2022) 1, Seite 182-195

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