13-047/III - GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts

  • Authors
    David Ardia, Universite Laval, Quebec, Canada; Lennart Hoogerheide, VU University Amsterdam
  • Publication date
    March 21, 2013
  • Keywords
    GARCH, Value-at-Risk, Expected Shortfall, equity, frequency, false discovery rate
  • JEL
    C12, C22, C58, G17, G32