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

Xiaohan Xue, Marwan Izzeldin

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

Original language	English
Journal	Journal of Financial Econometrics
Publication status	Submitted - 19 Jan 2023

Cite this

@article{277dace72139490a8ac2d6ef8118b86e,

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

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

year = "2023",

month = jan,

day = "19",

language = "English",

journal = "Journal of Financial Econometrics",

issn = "1479-8417",

publisher = "Oxford University",

}