Yi Luo - Research output - Xi'an Jiaotong-Liverpool University

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EmailYi.Luoxjtlu.educn

Research activity per year

4 Article
1 Paper

4 results

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2025
When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Luo, Y., Xue, X. & Izzeldin, M., 2025, In: Journal of Financial Econometrics. 23, 1, nbae016.
Research output: Contribution to journal › Article › peer-review
2024

Bankruptcy Forecasting – Market Information with Ensemble Model
Cao, Y., Luo, Y., Wei, P., Zhai, J. & Shi, S., 26 Nov 2024, (Accepted/In press) In: British Accounting Review.
Research output: Contribution to journal › Article › peer-review
When MIDAS Meets LASSO: The Power of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Luo, Y., Xue, X. & Izzeldin, M., 23 Jul 2024, (Accepted/In press) In: Journal of Financial Econometrics.
Research output: Contribution to journal › Article › peer-review
2023

When MIDAS Meets LASSO: The Wisdom of Low-frequency Variables in Forecasting Value-at-Risk and Expected Shortfall
Xiaohan Xue & Marwan Izzeldin, 19 Jan 2023, (Submitted) In: Journal of Financial Econometrics.
Research output: Contribution to journal › Article › peer-review