Výsledky vyhledávání - "Sebastian Letmathe"

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

Autor: Yuanhua Feng, Thomas Gries, Sebastian Letmathe, Dominik Schulz

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

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

Autor: Sebastian Letmathe, Yuanhua Feng, André Uhde

Publikováno v: Journal of Risk.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::8cfab3d3d11e17c0e22b62f7fd7625e2
https://doi.org/10.21314/jor.2022.044

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Data-driven P-Splines under Short-Range Dependence

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

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

Autor: Sebastian Letmathe, André Uhde, Yuanhua Feng

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

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