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

Yi Luo^*, Xiaohan Xue, Marwan Izzeldin

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Original language	English
Journal	Journal of Financial Econometrics
DOIs	https://doi.org/10.1093/jjfinec/nbae016
Publication status	Accepted/In press - 23 Jul 2024

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title = "When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall",

author = "Yi Luo and Xiaohan Xue and Marwan Izzeldin",

year = "2024",

month = jul,

day = "23",

doi = "10.1093/jjfinec/nbae016",

language = "English",

journal = "Journal of Financial Econometrics",

issn = "1479-8417",

publisher = "Oxford University",

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T1 - When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

AU - Luo, Yi

AU - Xue, Xiaohan

AU - Izzeldin, Marwan

PY - 2024/7/23

Y1 - 2024/7/23

U2 - 10.1093/jjfinec/nbae016

DO - 10.1093/jjfinec/nbae016

M3 - Article

SN - 1479-8417

JO - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

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