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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
Ardia, David; Boudt, Kris; Nguyen, Giang - In: Quantitative finance 18 (2018) 8, pp. 1249-1259
Persistent link: https://www.econbiz.de/10011911535
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Stock index returns' density prediction using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - 2011
Persistent link: https://www.econbiz.de/10008824705