GARCH models for daily stock returns: Impact of estimation...

Economics Letters 2014 / 05 Vol. 123; Iss. 2

GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts

Ardia, David, Hoogerheide, Lennart F.
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Volume:
123
Language:
english
Journal:
Economics Letters
DOI:
10.1016/j.econlet.2014.02.008
Date:
May, 2014
File:
PDF, 331 KB
english, 2014
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