GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages18
Publication statusPublished - 2013

Publication series

NameTI Discussion Paper
No.13-047/III

Cite this