GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
David Ardia; Lennart F. Hoogerheide
| Year of publication: |
2014
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|---|---|
| Authors: | Ardia, David ; Hoogerheide, Lennart F. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 123.2014, 2, p. 187-190
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| Subject: | GARCH | Value-at-Risk | Expected Shortfall | Equity | Frequency | False discovery rate | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Volatilität | Volatility | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010400299