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

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title = "GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts",
author = "D. Ardia and L.F. Hoogerheide",
year = "2013",
language = "English",
series = "TI Discussion Paper",
publisher = "Tinbergen Institute",
number = "13-047/III",
type = "WorkingPaper",
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts. / Ardia, D.; Hoogerheide, L.F.

Amsterdam : Tinbergen Institute, 2013. (TI Discussion Paper; No. 13-047/III).

Research output: Working paperProfessional

TY - UNPB

T1 - GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

AU - Ardia, D.

AU - Hoogerheide, L.F.

PY - 2013

Y1 - 2013

M3 - Working paper

T3 - TI Discussion Paper

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

PB - Tinbergen Institute

CY - Amsterdam

ER -