GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Year of publication: |
2014
|
---|---|
Authors: | Ardia, David ; Hoogerheide, Lennart F. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 2, p. 187-190
|
Publisher: |
Elsevier |
Subject: | GARCH | Value-at-Risk | Expected Shortfall | Equity | Frequency | False discovery rate |
-
Ardia, David, (2014)
-
Ardia, David, (2013)
-
Ardia, David, (2013)
- More ...
-
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David, (2010)
-
Bayesian estimation of the GARCH(1,1) model with Student-t innovations
Ardia, David, (2009)
-
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David, (2010)
- More ...