Bank Loan Loss Provision Estimates: A Hybrid Data-driven Approach

Luo, Yi (PI)

Department of Accounting

Project: Internal Research Project

1 Article

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2024

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