When MIDAS Meets LASSO : The Wisdom of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Year of publication: |
2023
|
---|---|
Authors: | Luo, Yi ; Xue, Xiaohan ; Izzeldin, Marwan |
Publisher: |
[S.l.] : SSRN |
Subject: | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (50 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 19, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4342139 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; c58 ; G17 - Financial Forecasting ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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