When MIDAS Meets LASSO: The Wisdom of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

Autor:	Yi Luo, Xiaohan Xue, Marwan Izzeldin
Rok vydání:	2023
Předmět:	History Polymers and Plastics Business and International Management Industrial and Manufacturing Engineering
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.4342139
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::16437fb6e476ce0f24db0ac1a69ccc7e https://doi.org/10.2139/ssrn.4342139 Zobrazit plný text záznamu