Quantile-based GARCH-MIDAS : estimating value-at-risk using mixed-frequency information
Year of publication: |
2021
|
---|---|
Authors: | Xu, Yan ; Wang, Xinyu ; Liu, Hening |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 43.2021, p. 1-9
|
Subject: | Error bootstrapping method | GARCH-MIDAS | Quantile regression | Value-at-risk forecast | Risikomaß | Risk measure | Bootstrap-Verfahren | Bootstrap approach | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Schätzung | Estimation |
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