Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Sebastian Letmathe"'
Publikováno v:
The R Journal. 14:182-195
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7a1af031a6429aaed36704f8131ca95
https://doi.org/10.32614/rj-2022-017
https://doi.org/10.32614/rj-2022-017
Publikováno v:
Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8cfab3d3d11e17c0e22b62f7fd7625e2
https://doi.org/10.21314/jor.2022.044
https://doi.org/10.21314/jor.2022.044
Autor:
Sebastian Letmathe
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ba7369a8d20b31332030802c4fb9003
https://doi.org/10.2139/ssrn.4224241
https://doi.org/10.2139/ssrn.4224241
Publikováno v:
SSRN Electronic Journal.
In this paper new semiparametric GARCH models with long memory are introduced. The estimation of the nonparametric scale function is carried out by an adapted version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised recommendat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::afcc274592340d5563325ddbdab2e45c
https://doi.org/10.2139/ssrn.3823895
https://doi.org/10.2139/ssrn.3823895
Publikováno v:
Journal of Nonparametric Statistics; Jun2020, Vol. 32 Issue 2, p510-533, 24p
Autor:
Letmathe, Sebastian
The underlying methodology of this thesis is based on the decomposition of a time series into a deterministic and stochastic component, where the latter is assumed to follow well-known time series models from the ARMA- as well as GARCH-class and the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8847057e2ad211d88b6787d4a800e228
https://digital.ub.uni-paderborn.de/doi/10.17619/UNIPB/1-1674
https://digital.ub.uni-paderborn.de/doi/10.17619/UNIPB/1-1674
