GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Year of publication: |
2013
|
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Authors: | Ardia, David ; Hoogerheide, Lennart |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | GARCH | Value-at-Risk | Expected Shortfall | equity | frequency | false discovery rate |
Series: | Tinbergen Institute Discussion Paper ; 13-047/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 770072623 [GVK] hdl:10419/87361 [Handle] RePEc:dgr:uvatin:20130047 [RePEc] |
Classification: | C12 - Hypothesis Testing ; C22 - Time-Series Models ; c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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Ardia, David, (2013)
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Ardia, David, (2013)
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Ardia, David, (2020)
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