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