Jalal, Amine; Rockinger, Michael - In: Journal of Empirical Finance 15 (2008) 5, pp. 868-877
We investigate the consequences for Value-at-Risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (McNeil, A.J. and R. Frey, 2000, Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time...