Anyone know where it could be? I checked most stables and the person who gave me Frost. Or is there a command I could teleport to?

At least for me, Frost is where I left him or in the general area. He is currently floating around the Dark Brotherhood Sanctuary because that is where I obtained Shadowmere. He doesn't go to a specific place but just chases bad guys, etc so he can move. Last time I checked (at least a month of in game time later) he was still where I left him.

I guess I've lost him too then, as I don't remeber when I swapped horses. I'll try around the stables at Riften.

That horse is nothing but trouble! He'll stand right in front of an ancient dragon and try to survive a full breath attack.